Delta Neutral Bot
Overview
The Delta Neutral Bot lets you open simultaneous long and short positions to capture funding rate differentials while neutralizing directional price risk. The bot executes both legs using a TWAP (Time-Weighted Average Price) strategy.
Key Terms and Definitions
Entry Form Terms
Long Leg / Short Leg
Long Leg: The buy side of the delta neutral position. You profit when the asset price increases, but in a delta neutral strategy this is offset by the short leg.
Short Leg: The sell side of the delta neutral position. You profit when the asset price decreases, but in a delta neutral strategy this is offset by the long leg.
Account
The exchange account used for each leg. You can use different accounts for cross-exchange arbitrage
Pair
The trading pair (e.g.,
BTC:PERP-USDT,ETH:PERP-USDT). Each leg can use a different pair, allowing cross-asset delta neutral strategies.
Leverage
The leverage multiplier for the position. Higher leverage increases position size but also risk. Only applicable to perpetual futures contracts, not spot markets.
Notional
The total dollar value of the delta neutral position. This amount is split equally between the long and short legs (each leg receives 50% of the notional value).
Mode
The execution speed and aggressiveness of the order:
Aggressive: Fast execution (~5 minutes), higher market impact, higher urgency
Normal: Balanced execution (~15 minutes), moderate market impact, medium urgency
Passive: Slow execution (~30 minutes), lower market impact, lower urgency
Funding Rate (Long)
The funding rate displayed for the selected long pair. Shows the rate you would pay (negative) or receive (positive) as a long position holder. Funding rates are typically paid every 8 hours.
Available Margin
The available quote currency (e.g., USDT) balance in the selected account that can be used to open the position. This includes both margin and asset balances.
Target Amount
The notional value allocated to each leg (long or short). This equals half of your total notional input.
Estimated Fees
The total estimated trading fees for each leg, including:
Builder Fee: A fixed 2 basis points (0.02%) fee
Maker Fee: Exchange-specific maker fees (varies by exchange and VIP Tier)
Sided Funding Rate
The funding rate from your perspective for each leg:
Long Sided Funding Rate: For long positions, this is the negative of the raw funding rate (if funding is positive, longs pay, so your rate is negative)
Short Sided Funding Rate: For short positions, this equals the raw funding rate (if funding is positive, shorts receive, so your rate is positive)
Net Sided Funding Rate
The combined funding rate across both legs. This represents your net funding income (positive) or cost (negative) for the entire delta neutral position. Calculated as: Long Sided Funding Rate + Short Sided Funding Rate.
Total Exposure
The total executed notional value of the position, calculated as the sum of both legs' executed notional values. This represents the total capital deployed in the delta neutral strategy.
Net Exposure
The net directional exposure of your position, expressed as a percentage of total exposure. In a perfectly balanced delta neutral position, this should be close to 0%.
Positive values indicate you have more long exposure than short
Negative values indicate you have more short exposure than long
Values above 1% may trigger an "Unbalanced" warning
Funding Rate
The net combined funding rate for the position (same as Net Sided Funding Rate). Shows your net funding income (green/positive) or cost (red/negative) for the entire position.
Status
The current state of the position:
Opening: The opening order is still executing
Open: The opening order is complete and the position is active
Closing: A closing/wind-down order is executing
Complete: The position has been fully closed
Unbalanced: Warning indicator when net exposure exceeds 1% of total exposure
Orders
Links to view the opening and closing orders:
↑ (Up Arrow): Opens the opening order details
↓ (Down Arrow): Opens the closing order details (if applicable)
Actions
Available actions for each position:
Cancel (X icon): Cancels any active opening or closing orders
Wind Down (Swap icon): Reverses the position by submitting a closing order that unwinds both legs
How It Works
Setup: Select accounts and pairs for both long and short legs, set your total notional value, and choose an execution mode.
Execution: The bot simultaneously places buy orders for the long leg and sell orders for the short leg using a TWAP strategy to minimize market impact.
Funding Capture: While the position is open, you earn or pay funding rates based on the net difference between the long and short funding rates.
Wind Down: When ready to close, use the "Wind Down" action to reverse both positions simultaneously.
Important Notes
Delta Neutral Strategy: This strategy aims to be market-neutral, profiting from funding rate differentials rather than price movements.
Cross-Asset Support: You can use different pairs for long and short legs, enabling cross-asset delta neutral strategies.
Unbalanced Positions: If net exposure exceeds 1%, the position is marked as "Unbalanced" and you may have directional risk.
Funding Rates: Funding rates change every 8 hours and can be positive or negative. Monitor the net funding rate to ensure profitability.
Fees: Both legs incur trading fees, which reduce your net funding income. Consider fees when evaluating profitability.
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