Crypto Future

CryptoFuture represents a dated crypto futures contract. It tracks a crypto underlying, quotes in a quote currency, settles in a settlement currency, and expires at a fixed timestamp.

Examples include dated BTC or ETH futures on crypto derivatives venues.

Fields

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required	Stored as `id` in Rust.
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`underlying`	`Currency`	Required	Crypto asset the contract tracks.
`quote_currency`	`Currency`	Required	Currency used to quote the price.
`settlement_currency`	`Currency`	Required	Currency used to settle PnL and fees.
`is_inverse`	`bool`	Required	True when sizing/costing is inverse.
`activation_ns`	`UnixNanos`	Required	Contract activation timestamp.
`expiration_ns`	`UnixNanos`	Required	Contract expiration timestamp.
`price_precision`	`u8`	Required	Decimal places allowed for prices.
`size_precision`	`u8`	Required	Decimal places allowed for order sizes.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_increment`	`Quantity`	Required	Smallest valid size step.
`multiplier`	`Quantity`	`1`	Contract multiplier.
`lot_size`	`Quantity`	`1`	Rounded lot or board size.
`max_quantity`	`Option<Quantity>`	`None`	Maximum order quantity.
`min_quantity`	`Option<Quantity>`	`None`	Minimum order quantity.
`max_notional`	`Option<Money>`	`None`	Maximum order notional value.
`min_notional`	`Option<Money>`	`None`	Minimum order notional value.
`max_price`	`Option<Price>`	`None`	Maximum valid quote or order price.
`min_price`	`Option<Price>`	`None`	Minimum valid quote or order price.
`margin_init`	`Option<Decimal>`	`0`	Initial margin rate.
`margin_maint`	`Option<Decimal>`	`0`	Maintenance margin rate.
`maker_fee`	`Option<Decimal>`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Option<Decimal>`	`0`	Taker fee rate. Negative values rebate.
`tick_scheme`	`Option<Ustr>`	`None`	Registered variable tick scheme name.
`info`	`Option<Params>`	`None`	Adapter metadata.
`ts_event`	`UnixNanos`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	Required	Initialization timestamp in nanoseconds.

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`underlying`	`Currency`	Required	Crypto asset the contract tracks.
`quote_currency`	`Currency`	Required	Currency used to quote the price.
`settlement_currency`	`Currency`	Required	Currency used to settle PnL and fees.
`is_inverse`	`bool`	Required	True when sizing/costing is inverse.
`activation_ns`	`int`	Required	Contract activation timestamp.
`expiration_ns`	`int`	Required	Contract expiration timestamp.
`price_precision`	`int`	Required	Decimal places allowed for prices.
`size_precision`	`int`	Required	Decimal places allowed for order sizes.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_increment`	`Quantity`	Required	Smallest valid size step.
`multiplier`	`Quantity`	`1`	Contract multiplier.
`lot_size`	`Quantity`	`1`	Rounded lot or board size.
`max_quantity`	`Quantity \| None`	`None`	Maximum order quantity.
`min_quantity`	`Quantity \| None`	`None`	Minimum order quantity.
`max_notional`	`Money \| None`	`None`	Maximum order notional value.
`min_notional`	`Money \| None`	`None`	Minimum order notional value.
`max_price`	`Price \| None`	`None`	Maximum valid quote or order price.
`min_price`	`Price \| None`	`None`	Minimum valid quote or order price.
`margin_init`	`Decimal \| None`	`0`	Initial margin rate.
`margin_maint`	`Decimal \| None`	`0`	Maintenance margin rate.
`maker_fee`	`Decimal \| None`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Decimal \| None`	`0`	Taker fee rate. Negative values rebate.
`tick_scheme`	`str \| None`	`None`	Registered variable tick scheme name.
`info`	`dict \| None`	`None`	Adapter metadata.
`ts_event`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`int`	Required	Initialization timestamp in nanoseconds.

Note: Python constructors use instrument_id; Rust stores the same value as id.

Behavior

CryptoFuture has asset class Cryptocurrency and instrument class Future.
Linear contracts typically set is_inverse=False and settle in the quote currency.
Inverse contracts set is_inverse=True and typically settle in the underlying currency.
Quanto contracts settle in a third currency that differs from both underlying and quote.
Use CryptoPerpetual for crypto derivatives with no expiration.

Example

use chrono::{TimeZone, Utc};
use nautilus_core::UnixNanos;
use nautilus_model::{
    identifiers::{InstrumentId, Symbol},
    instruments::CryptoFuture,
    types::{Currency, Money, Price, Quantity},
};

let activation = Utc.with_ymd_and_hms(2024, 1, 8, 0, 0, 0).unwrap();
let expiration = Utc.with_ymd_and_hms(2024, 3, 29, 0, 0, 0).unwrap();

let btcusdt_future = CryptoFuture::builder()
    .instrument_id(InstrumentId::from("BTCUSDT-240329.BINANCE"))
    .raw_symbol(Symbol::from("BTCUSDT-240329"))
    .underlying(Currency::from("BTC"))
    .quote_currency(Currency::from("USDT"))
    .settlement_currency(Currency::from("USDT"))
    .is_inverse(false)
    .activation_ns(UnixNanos::from(activation.timestamp_nanos_opt().unwrap() as u64))
    .expiration_ns(UnixNanos::from(expiration.timestamp_nanos_opt().unwrap() as u64))
    .price_precision(2)
    .size_precision(6)
    .price_increment(Price::from("0.01"))
    .size_increment(Quantity::from("0.000001"))
    .max_quantity(Quantity::from("9000.0"))
    .min_quantity(Quantity::from("0.000001"))
    .min_notional(Money::from("10.00 USDT"))
    .max_price(Price::from("1000000.00"))
    .min_price(Price::from("0.01"))
    .ts_event(UnixNanos::default())
    .ts_init(UnixNanos::default())
    .build()
    .unwrap();

Adapters

Representative adapters that create or consume CryptoFuture instruments include:

BitMEX for inverse and linear dated futures.
Bybit for crypto futures markets.
Deribit for dated crypto futures.
OKX for dated crypto futures.
Tardis for crypto futures metadata.

Crypto Perpetual covers perpetual crypto futures.
Futures Contract covers non-crypto futures contracts.

Crypto Future

Fields

Behavior

Example

Adapters

Related guides

On this page