Crypto Futures Spread

CryptoFuturesSpread represents an exchange-defined spread strategy over crypto futures. The venue publishes the strategy as a single instrument with its own symbol, strategy type, precision, increments, and expiration.

Examples include listed crypto futures calendar spreads.

Fields

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

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

Behavior

CryptoFuturesSpread has asset class Cryptocurrency and instrument class FuturesSpread.
The venue publishes the spread as a single tradable instrument.
The strategy can be linear, inverse, or quanto, depending on the currency set.
Store venue-specific leg details in info when the adapter provides them.

Example

use chrono::{TimeZone, Utc};
use nautilus_core::UnixNanos;
use nautilus_model::{
    identifiers::{InstrumentId, Symbol},
    instruments::CryptoFuturesSpread,
    types::{Currency, Price, Quantity},
};
use rust_decimal_macros::dec;
use ustr::Ustr;

let activation = Utc.with_ymd_and_hms(2026, 5, 12, 0, 0, 0).unwrap();
let expiration = Utc.with_ymd_and_hms(2026, 5, 19, 8, 0, 0).unwrap();

let btc_spread = CryptoFuturesSpread::builder()
    .instrument_id(InstrumentId::from("BTC-FS-19MAY26_PERP.DERIBIT"))
    .raw_symbol(Symbol::from("BTC-FS-19MAY26_PERP"))
    .underlying(Currency::from("BTC"))
    .quote_currency(Currency::from("USD"))
    .settlement_currency(Currency::from("BTC"))
    .is_inverse(false)
    .strategy_type(Ustr::from("FS"))
    .activation_ns(UnixNanos::from(activation.timestamp_nanos_opt().unwrap() as u64))
    .expiration_ns(UnixNanos::from(expiration.timestamp_nanos_opt().unwrap() as u64))
    .price_precision(1)
    .size_precision(0)
    .price_increment(Price::from("0.5"))
    .size_increment(Quantity::from("1"))
    .multiplier(Quantity::from("10"))
    .lot_size(Quantity::from("1"))
    .min_quantity(Quantity::from("1"))
    .maker_fee(dec!(0.0003))
    .taker_fee(dec!(0.0003))
    .ts_event(UnixNanos::default())
    .ts_init(UnixNanos::default())
    .build()
    .unwrap();

Adapters

Representative adapters that create or consume CryptoFuturesSpread instruments include:

Deribit for crypto futures combos.
OKX for crypto futures spread markets.

Crypto Future covers single-leg dated crypto futures.
Futures Spread covers non-crypto futures spreads.

Crypto Futures Spread

Fields

Behavior

Example

Adapters

Related guides

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