recipe-basis-trade-entry

Basis Trade Entry

PREREQUISITE: Load the following skills to execute this recipe: kraken-basis-trading, kraken-futures-risk

Enter a delta-neutral basis trade (long spot, short futures) when the basis premium is attractive.

CAUTION: Both legs must fill to be market-neutral. A single-leg fill is a directional bet.

Steps

1. Get spot price: SPOT=$(kraken ticker BTCUSD -o json 2>/dev/null | jq -r '.[].c[0]')
2. Get futures price: FUTURES=$(kraken futures ticker PF_XBTUSD -o json 2>/dev/null | jq -r '.ticker.last')
3. Calculate basis: BASIS=$(echo "scale=4; ($FUTURES - $SPOT) / $SPOT * 100" | bc)
4. If basis < target threshold (e.g., 0.5% annualized), skip
5. Check spot balance for capital: kraken balance -o json 2>/dev/null
6. Check futures margin availability: kraken futures accounts -o json 2>/dev/null
7. Calculate matched position sizes
8. Execute spot buy (requires human approval): kraken order buy BTCUSD 0.01 --type limit --price $SPOT -o json 2>/dev/null
9. Execute futures short: kraken futures order sell PF_XBTUSD 1 --type limit --price $FUTURES -o json 2>/dev/null
10. Verify both legs filled: kraken open-orders -o json 2>/dev/null + kraken futures open-orders -o json 2>/dev/null
11. If one leg unfilled, cancel it to avoid directional exposure