Glossary

A review in which an independent party tries to break a study by challenging its method, data and conclusions. At OpenBasis, every objection, response and round is published in the audit trail.

See also Audit trail · Sealed design

Evidence that anyone can check that a claim is true, for example that a wallet holds a stated position. On-chain attestation lets readers verify positions without trusting the publisher.

See also On-chain · Live book

The public record of an adversarial audit: each objection raised, each response and each round, in order. OpenBasis links it from every study and keeps it in the repo.

See also Adversarial audit

The difference between a futures price and the spot price of the same asset. It is positive when the future trades above spot and negative when below. Some texts use the opposite sign.

See also Basis trade · Spot

Holding an asset and shorting a future on it, so that price moves largely offset. The position is left exposed to the basis or, with perpetual futures, to funding.

See also Basis · Delta-neutral · Funding rate

How much a position's value changes for a small move in the underlying price. One unit held in spot has a delta of one. A short future on one unit has a delta of about minus one.

See also Delta-neutral

A position whose deltas add up to about zero, so small price moves barely change its value. Neutral to price, not to risk: funding, costs, liquidation and venue risk remain.

See also Delta · Hedge

The gap between what a model expected and what actually happened. OpenBasis publishes realized-vs-modeled drift next to its returns every week once the book runs.

See also Paper book · Live book

The funding a short perpetual position receives when funding is positive. It is what a perpetual basis trade is built to collect, net of costs. When funding turns negative, the short pays instead.

See also Funding rate · Basis trade

The rate at which holders of a perpetual future pay each other at fixed intervals. When positive, longs pay shorts. When negative, shorts pay longs. Each venue sets its own formula.

See also Perpetual future · Funding premium

A position taken to offset the risk of another. In a basis trade, the short future hedges the price risk of the spot holding.

See also Delta-neutral · Basis trade

A reference price for an asset, usually an average of spot prices from several exchanges. Venues use it to calculate funding and to set the mark price.

See also Mark price · Funding rate

The forced closing of a leveraged position when its margin falls below the venue's requirement. In a hedged book, one leg can be liquidated even while the other leg gains.

See also Margin · Mark price

The book run with real money and real fills. At OpenBasis, the live book follows the paper book, with positions attestable on-chain.

See also Paper book · Attestation

Collateral posted to open and hold a leveraged position. If losses reduce it below the venue's maintenance level, the position can be liquidated.

See also Liquidation

The price a venue uses to value open positions and trigger liquidations. It is usually derived from the index price, so that trading on one venue alone can't easily move it.

See also Index price · Liquidation

The full market value of a position: its size times the price. A leveraged position's notional can be much larger than the margin behind it.

See also Margin · Basis trade

Held outside the trading venue, for example in a wallet the owner controls. The OpenBasis design under test holds its spot leg off-venue.

See also Spot · Basis trade

Recorded on a public blockchain, where anyone can read it. Positions that are on-chain can be checked directly rather than taken on trust.

See also Attestation

A trading system run on live market data with simulated money and modeled fills. OpenBasis runs its book on paper, in public, before it runs with real money.

See also Live book · Drift

A futures contract with no expiry date. A periodic funding payment between longs and shorts keeps its price close to spot.

See also Funding rate · Basis

A study design fixed before the study runs and published in full with it: what is tested, how, and what is expected. Readers can check that the results answer the question that was set.

See also Adversarial audit · Audit trail

Run on infrastructure the user controls, with the user's own keys. OpenBasis is self-hosted: there is no hosted service to sign up for and no account with us.

See also Trade-only key

The market for buying or selling an asset for immediate delivery, as opposed to futures.

See also Basis · Off-venue

An exchange API key that can place and cancel orders but cannot withdraw funds. OpenBasis uses trade-only keys.

See also Self-hosted