Futures Rolls
| Underlying | Bitcoin | Ethereum |
|---|---|---|
| Ticker | BTC-DDMMMYY-PERPETUAL or BTC-DDMMMYY-DDMMMYY | ETH-DDMMMYY-PERPETUAL or ETH-DDMMMYY-DDMMMYY |
| Contract Size | 1 BTC valued at 1 USD per Index Point | 1 ETH valued at 1 USD per Index Point |
| Quotation | USD | USD |
| Minimum Order Size | 0.1 BTC | 1 ETH |
| Volume Tick Size | 0.001 BTC | 0.01 ETH |
| Price Tick Size | 1 USD | 0.1 USD |
| Fee Discount | 50% | 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 Size | Bid Price | Ask Price | Ask Size |
|---|---|---|---|
| $350 | 1.000 | ||
| 2.000 | $300 |
BTC-PERPETUAL
| Bid Size | Bid Price | Ask Price | Ask Size |
|---|---|---|---|
| $50,105 | 1.000 | ||
| $50,100 | 0.100 | ||
| 0.100 | $50,000 | ||
| 1.000 | $49,995 |
BTC-28JAN22
| Bid Size | Bid Price | Ask Price | Ask Size |
|---|---|---|---|
| $50,455 | 0.900 i | ||
| $50,450 | 0.100 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:
| Instrument | Fill Levels | Description |
|---|---|---|
| BTC-28JAN22 | 0.1 at $50,300 0.1 at $50,295 | Incoming aggressive sell order |
| BTC-28JAN22-PERPETUAL | 0.2 at $300 | Limit buy order in the roll book, translates to: buy 0.2 28JAN22 and sell 0.2 PERPETUAL |
| BTC-PERPETUAL | 0.1 at $50,000 0.1 at $49,995 | Passive bids in the PERPETUAL book |