recommendation to simply vwap algo trade CME crypto futures

January 5th, 2023, 10:00 PM

I have a pairs trading strategy between BTC and ETH that I would like to execute using CME futures. The strategy trades once daily to rebalance the BTC and ETH exposures (long/short). I have done a lot of futures trading at IBKR typically using IB's VWAP Algos (over a Python API). But I can't use IBKR for this because of the way they margin the CME crypto futures. I could use any number of other futures brokers, but what setup would you recommend if I wanted the simplest technology to be able to use a VWAP type algo for the daily futures rebalance of basically just 2 futures contracts?

January 12th, 2023, 10:53 AM

Greetings @whistle and welcome to futures.io

Just looked up IBKR's crypto futures margin requirements. 100% margin on a short position. Ouch! Yes you can definitely do much better than that. CME margin rates for Bitcoin started around 45% of notional when launched years ago but have declined to just under 30% currently. Long or Short! Additionally there is margin offset for spreads between BTC and ETH. So currently the margin requirement for BTC is $25k and for ETH $22k. If you have a 1:1 spread on the margin requirement is $33.9k which is a 28% reduction versus outright legs. If you have a 1:3 spread on the margin requirement is $46.75k which is a 49% reduction versus outright legs. Of course if your just long (or short) both than their is no margin reduction, its additive.

VWAP is much more prevalent in equities than futures. CME does not publish a VWAP for its futures (ICE does though) so you will need software that either calculates it internally or gives you access to the raw trade feed so you can calculate it yourself. Most graphic/indicator intensive software will have VWAP available for charting, and hence I assume could be called through their API. To what you are talking about in TT you would need to use ADL which is a visual programming sweet. For anybody who can program in Python this would be very easy.

Note when talking about Brokers - not all brokers are tied to specific software. Many of the bigger brokers are software agnostic so picking software and brokers can be done independently. Even software like Tradestation and Ninja Trader, which you may think of being broker specific can be used with other brokers in certain circumstances - normally more expensive circumstances!

I know that doesn't answer your specific question, but hopefully it gives you so more information on how to proceed. Lots of resources available here on futures.io although I'm not sure how many are trading through a Python API!

recommendation to simply vwap algo trade CME crypto futures

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recommendation to simply vwap algo trade CME crypto futures