bitmex-recipe-basis-trade-entry

name	bitmex-recipe-basis-trade-entry
description	Enter a perp-futures basis trade when premium exceeds threshold.

Basis Trade Entry

A basis trade is delta-neutral: long the cheaper leg (usually the perpetual) and short the more expensive leg (the fixed-date future) when the premium between them exceeds the cost of carry. The trade profits as the basis converges to zero at expiry.

Prerequisites

• BITMEX_API_KEY and BITMEX_API_SECRET set.
• jq and bc installed.
• Know the target symbols: e.g. XBTUSD (perp) and XBTM25 (fixed-date future).

Steps

1. Get perpetual mark price

PERP_PRICE=$(bitmex market instrument --symbol XBTUSD -o json \
  | jq '.[0].markPrice')
echo "Perp: $PERP_PRICE"

2. Get futures mark price

FUT_PRICE=$(bitmex market instrument --symbol XBTM25 -o json \
  | jq '.[0].markPrice')
echo "Futures: $FUT_PRICE"

3. Calculate basis

BASIS=$(echo "scale=6; ($FUT_PRICE - $PERP_PRICE) / $PERP_PRICE * 100" | bc)
echo "Basis: ${BASIS}%"

4. Check entry threshold

Only enter if basis exceeds 1% (adjust to your cost model):

THRESHOLD=1.0
if (( $(echo "$BASIS > $THRESHOLD" | bc -l) )); then
  echo "Basis ${BASIS}% > ${THRESHOLD}% threshold — entering trade"
else
  echo "Basis too thin, skipping"
  exit 0
fi

5. Enter both legs (validate first)

QTY=100

# Long perp
bitmex order buy XBTUSD $QTY --order-type Limit \
  --price $PERP_PRICE --validate -o json

# Short future
bitmex order sell XBTM25 $QTY --order-type Limit \
  --price $FUT_PRICE --validate -o json

If validate output looks correct, submit both with --yes instead of --validate.

6. Monitor convergence

bitmex position list -o json \
  | jq '[.[] | select(.symbol == "XBTUSD" or .symbol == "XBTM25")
         | {symbol, currentQty, avgEntryPrice, unrealisedPnl}]'

Exit both legs when basis narrows to under 0.1% or at futures expiry.

Notes

• Size both legs equally in USD notional to maintain delta neutrality.
• Account for maker/taker fees on both entry and exit when calculating the net carry.
• The perpetual leg exposes you to funding rate volatility; net carry = basis − cumulative funding over hold period. Check bitmex market funding --symbol XBTUSD before entering.
• For carry estimates, exit logic, and roll procedures, see the bitmex-basis-trading skill.