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The book right now
Each commodity: perps on crypto exchanges against the same dollars of CME futures, short perps and long futures normally, the other way round when flipped. Prices update every 20 seconds.
Perp positions
Sizes split by open interest. A contract is capped at 10% of its open interest and at the largest size whose exchange risk tier still allows 4x. Funding is the rate for the current period, annualised.
CME futures
Margin and risk
Each exchange is a separate cross-margin account. Maintenance margin follows that exchange's position-tier table, so bigger positions need more.
Risk limits, live
Checked every 20 seconds. The bot tops up an exchange from cash when its buffer falls under 18%, halves the shorts there if it is still under 12%, rehedges when futures and perps drift more than 2% apart, and closes everything for 7 days if NAV falls 5% from its high since entry. Because every perp position is hedged with CME futures, winding down only costs fees and spread.
The funding stop, per commodity
Every day at the rebalance, for each commodity: if its last 7 days of funding beat its futures carry (with 2 points of slack) it is held short perps / long futures; more than 8 points below and it is flipped; in between it steps aside.
Performance
Net asset value every 5 minutes against the same money in 3-month T-bills.
Net asset value
Where the P&L came from
Market board
Every commodity perp on the three exchanges, live. "Would hold" is today's target for the current NAV, whether or not the stop has us out. The limit is the smallest of 20% of open interest, 25% of a day's traded volume, and the largest size the exchange's risk tier allows with a 22% buffer.
Blotter
Every simulated fill, funding payment, transfer and roll.
What the simulation charges
Conservative: base-tier fees, taker on every perp fill, and CME fills at delayed quotes plus spread and size impact.