Trading Information

Contract Specifications: Futures Rolls

Futures Rolls

Contract Size1 BTC valued at 1 USD per Index Point1 ETH valued at 1 USD per Index Point
Minimum Order Size0.001 BTC0.01 ETH
Tick Size1 USD0.1 USD
Fee Discount50%50%

Thalex offers order books in roll instruments. Roll instruments are tradable combinations to simultaneously buy and sell a perpetual and a future or two futures with the same underlying.

A buy order in a roll instrument is an order to buy the longer maturity contract and sell the earlier maturity. For example:

  • A participant buys one roll instrument BTC-28JAN22-PERPETUAL. The resulting position change is +1 BTC-28JAN22 and -1 BTC-PERPETUAL.
  • A participant sells one roll instrument ETH-25FEB22-28JAN22. The resulting position change is -1 ETH-25FEB22 and +1 ETH-28JAN22.

A roll order fill results in two trades. The trade prices of the legs are given suitable (arbitrary) reference prices.

For instance, a limit buy order of size 0.5 in BTC-28JAN22-PERPETUAL at $45 may lead to the following trade history when filled:

  • 0.5 BTC-28JAN22 bought at $50,945, and
  • 0.5 BTC-PERPETUAL sold at $50,900.

Implied Matching

Thalex supports implied matching. This means that orders in a roll instrument and one of its outright contracts imply orders in the other outright contract.

Implied orders compete with outright orders for price/time priority. The time priority of an implied order is taken to be the later time of its constituents.

The next example shows implied orders in a future derived from liquidity in the roll and perpetual. For illustrative purposes, implied orders are marked with "i".


Bid SizeBid PriceAsk PriceAsk Size


Bid SizeBid PriceAsk PriceAsk Size


Bid SizeBid PriceAsk PriceAsk Size
$50,4550.900 i
$50,4500.100 i
0.100 i$50,300
1.000 i$50,295

A market sell order in BTC-28JAN22 of size 0.200 BTC would trigger the following order fills:

InstrumentFill LevelsDescription
BTC-28JAN220.1 at $50,300
0.1 at $50,295
Incoming aggressive sell order
BTC-28JAN22-PERPETUAL0.2 at $300Limit buy order in the roll book, translates to: buy 0.2 28JAN22 and sell 0.2 PERPETUAL
BTC-PERPETUAL0.1 at $50,000
0.1 at $49,995
Passive bids in the PERPETUAL book