Introduction
Thalex currently offers three bots:
- Grid Bot — systematic buy-low-sell-high within a defined price range
- Delta Hedger Bot — keep the delta of a portfolio or position within target (default is 0)
- Delta Follower Bot — replicate the delta exposure of a specific option
Grid Bot
The Grid Bot is designed to profit from local volatility and works best in when there is no trend. It sets buy orders below and sell orders above a target price, aiming to benefit from short-term volatility rather than big directional moves. Any fill on the buy side is immediately quoted one level up on the sell side, and vice versa. The bot adjusts its quoted size based on your position relative to your base.
Key configurations are the price range, number of levels, and stop-losses. If price breaks out, the bot can accumulate against the move, so set exit prices to limit risk.
Example
BTC is trading around $105k and you expect it to chop in a tight range. You set up a grid with four levels at $103k, $104k, $105k, and $106k with a step size of 0.1 BTC. The bot places bids at $103k and $104k, and asks at $105k and $106k. As fills come in, it continuously recycles them one level up or down, any long opened at $104k gets offered out at $105k, any short opened at $105k gets bid back at $104k.
| Setting | What it does |
|---|---|
| Instrument | The instrument the bot trades, e.g. BTC-PERPETUAL. |
| Price Range | Upper and lower USD boundaries for the grid. Set these around the range you expect price to oscillate within. Too wide and the levels are too far apart to fill. Too narrow and you risk frequent exits. |
| Number of Levels | How many price levels to divide the range into (2–8). With 4 levels across a $2,000 range, you get orders every $500. With 8 levels: every $250. More levels means more frequent fills and smaller profit per trade. |
| Max Total Quoted Quantity | The total size the bot can have in open orders at any one time (0.0005–0.05 BTC). This is a hard cap on exposure. It limits how much the bot can accumulate if price moves directionally through all levels. |
| Target Mean Price | The price treated as the center of the grid. By default this is the midpoint of your range. Shifting it up means the bot places more sell levels above it and fewer buy levels below, useful if you want to enter with a short bias at the start. Shifting it down does the opposite. |
| Base Position | The position the bot treats as neutral. If you already hold 0.01 BTC long going in, set this to 0.01 so the bot factors that in rather than treating it as a grid-generated deviation. |
| Upside Exit Price | If mark price crosses above this level, the bot cancels all maker orders, aggressively unwinds back to your base position, and stops. Think of it as a stop-loss for a market that has broken out to the upside and your grid has accumulated a short. |
| Downside Exit Price | Same logic on the downside. If mark price drops below this level, the bot exits to your base position and stops. |
| End Time | Timestamp at which the bot stops and cancels its orders. Positions are left intact. |
Delta Hedger Bot
For when you are running an options book or market making, and you do not want to carry delta. The Delta Hedger automates the hedge, it monitors your net delta across the full underlying, or scoped to a single position, and trades the perpetual or future to keep it at your target.
The bot gives you three levers to control how it hedges:
- Period: A time-based trigger that checks your hedge on a fixed schedule, no matter where your delta is.
- Threshold: A debounce filter, if delta drifts outside the band but returns before the period ends, the bot does nothing and the timer resets.
- Tolerance: A hard limit independent of the schedule. If delta exceeds it at any moment, the bot hedges immediately, acting like a stop-loss for your delta exposure.
Together, these let you fine-tune how tight or relaxed your hedging strategy is.
Example
You are running a BTC options book and want to stay close to delta neutral without getting churned on fees. You set the bot to trade BTC-PERPETUAL every 30 minutes with a threshold of 0.01 and a tolerance of 0.06. In normal conditions, the 30-minute check handles routine drift, anything inside ±0.01 gets ignored. If a move recovers before the 30 minutes are up, the timer resets and no hedge fires at all. But if delta blows past 0.06 mid-period, the tolerance kicks in immediately and the bot hedges without waiting for the next scheduled run.
| Setting | What it does |
|---|---|
| Select Underlying / Position | Which underlying (BTC or ETH) and which specific positions to include in the delta calculation. The table shows each instrument, its current position, and its cash delta. You can scope the bot to a single instrument rather than the full underlying. |
| Period | How frequently the bot runs its scheduled check, from 5 minutes to 24 hours. At each interval, the bot compares your actual delta against your target. If you are outside the band, it hedges. If you are inside, it does nothing and waits for the next period. |
| Threshold | The delta band around your target that the period-based check works against. If your target is 0 and threshold is 0.1, the bot will only act on its scheduled run if your delta is below -0.1 or above 0.1. A tighter threshold means more frequent hedging on the schedule. A wider threshold means more drift is tolerated before the scheduled hedge fires. |
| Tolerance | A hard limit, independent of the period. If your delta deviates beyond tolerance at any point, the bot hedges immediately. Example: period is 1 hour, threshold is 0.2, tolerance is 0.5. The hourly check fires when delta drifts past ±0.2. But if a sharp move pushes delta past ±0.5 at any point in the hour, the bot acts right away without waiting for the next scheduled run. |
| Hedging Instrument | The instrument used to adjust delta. Typically the perpetual on the same underlying. |
| Target Delta | The net delta the bot maintains. 0 for delta neutral. The range is -10 to 10. |
| Max Slippage | Maximum acceptable slippage on hedge trades, as a percentage of mark price. The bot will not execute if the market has moved beyond this from the time it decides to hedge. |
| End Time | Timestamp at which the bot stops. Positions are left intact. |
Delta Follower Bot
The Delta Follower uses perpetuals or futures to follow the delta of an option. In practice, this creates a position that is effectively short gamma. The strategy is a bet on low realized volatility, as the hedging costs then remain lower than the implied premium embedded in options.
Example
You recreate a BTC put using the Thalex delta follower. Set the target instrument to the put with a target amount of 0.1 and use a BTC perpetual contract as the hedging instrument.
Every 10 minutes, the bot checks whether the delta of the perp is tracking the delta of the put within ±0.05. If it remains outside that range for a full 10 minutes, the bot automatically adjusts the perp to bring it back in line.
| Setting | What it does |
|---|---|
| Target Instrument | The instrument which delta you want to replicate. Must be an instrument with at least 0.25 delta. |
| Amount | How many contracts of the target instrument to follow. If the target option has a delta of 0.6 and you set the amount to 5, the bot targets a net delta of 3.0. |
| Period | How often the bot checks whether rebalancing is needed, from 1 minute to 24 hours. At each interval it checks whether your tracking position's delta is within the threshold band around the target. If not, it corrects. Shorter periods mean tighter tracking but more trades and fees. |
| Threshold | The delta band used at each scheduled check. A threshold of 0 (default) means the bot corrects any deviation at every period interval. A threshold of 0.1 means small drifts inside ±0.1 are ignored on the schedule. |
| Tolerance | A continuous deviation limit that triggers an immediate correction, bypassing the period entirely. Example: period is 15 minutes, threshold is 0.05, tolerance is 0.3. The 15-minute check handles minor drift. But if the target instrument's delta shifts sharply and the tracking error hits 0.3, the bot corrects immediately rather than waiting up to 14 more minutes. |
| Hedging Instrument | The instrument used to replicate the delta. Typically the perpetual on the same underlying as the target. |
| Max Slippage | Maximum acceptable slippage per rebalancing trade, as a percentage of mark price. |
| End Time | Timestamp at which the bot stops. Positions are left intact. |
Things to keep in mind
- Trading manually in the same account while a bot is active can interfere with its operations. To avoid conflicts, it’s best to run bots in separate subaccounts.
- All bot strategy trades are subject to a 1 basis point (bps) trading fee.
- Bots may automatically stop themselves if they detect conflicts with other bot strategies in the same account.
- The Grid Bot executes with maker orders.
- The Delta Hedger and Delta Follower bots execute using taker orders.