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Futures Spread Order

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A futures spread order is a single order that will result in the execution of trades in two futures simultaneously. One future will be bought, the other will be sold.

Additional details

When trading a futures spread, two futures are traded with a single order. The price that the futures spread order trades at, combined with the mark price, determines the price the individual legs are traded at.

For example, imagine future A currently has a mark price of $10,000, and future B currently has a mark price of $11,000. The mark price of the spread between these two futures (B - A) would then be $1,000. If the spread is sold for $1,100, the traded price for the individual legs will be calculated as follows:

Difference between execution and mark price = $1,100 - $1,000 = $100

Execution price for future A = $10,000 - ($100 / 2) = $9,950

Execution price for future B = $11,000 + ($100 / 2) = $11,050

The spread has been sold for $100 more than the mark price, and this distance from the mark price of the spread is equally applied to the mark prices of the individual legs.

Placing a futures spread order on Deribit

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  1. USD or asset selection. Choose whether you want to enter the size of the order in USD or an amount of the underlying asset. Values will be rounded to the nearest valid amount.

  2. RFQ. This button allows traders to send a notification to market makers that indicates they are interested in trading the instrument. This will allow market makers to put a quote into the order book for the requested size. This button is informational only, not an execution mechanism.

  3. Order type. Some order types are not available for certain instruments.

  4. Order amount

  5. Order price

  6. Buy and Sell buttons

  7. TIF

    • Good till cancel (GTC) - GTC is the default setting. The order will remain open until it is filled, cancelled, or the instrument expires.

    • Good till day (GTD) - If it has not already been filled or cancelled, the order will be cancelled automatically at the end of the current daily session (8 AM UTC).

    • Immediate or cancel (IOC) - Any portion of the order that cannot be filled immediately will be cancelled.

    • Fill or Kill (FOK) - The order is either filled immediately and completely, or not at all.

  8. Special ordertype

    • Reduce (reduce_only) - This setting will ensure the order can only reduce an open position. It can not increase the size of any existing positions, or open any new positions.

    • A hidden order will sit in the order book, but will not be visible to other traders. A hidden order will always match as a taker order for fee purposes. Non-hidden orders at the same price level have a preference over hidden orders in the matching engine.

    • Post only (post_only) - This setting will ensure the order will not act as a taker, and therefore will not match against orders that are already resting in the orderbook (excluding hidden orders). If the price of the order is such that it would otherwise execute against the best available price, the post only order will be placed into the order book one tick away from the best available price.

  9. Initial margin requirement

  10. Leg details, showing which instrument is bought or sold in spread orders.