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Trading Information

Contract Specifications: Future Rolls

Future Rolls

UnderlyingBitcoinEthereum
TickerBTC-DDMMMYY-PERPETUAL or
BTC-DDMMMYY-DDMMMYY
ETH-DDMMMYY-PERPETUAL or
ETH-DDMMMYY-DDMMMYY
Contract Size1 BTC valued at 1 USD per Index Point1 ETH valued at 1 USD per Index Point
QuotationUSDUSD
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".

BTC-28JAN22-PERPETUAL

Bid SizeBid PriceAsk PriceAsk Size
$3501.000
2.000$300

BTC-PERPETUAL

Bid SizeBid PriceAsk PriceAsk Size
$50,1051.000
$50,1000.100
0.100$50,000
1.000$49,995

BTC-28JAN22

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