CFM Nano-Futures: BIT, ET, and Beyond

CFM Nano-Futures: BIT, ET, and Beyond

Coinbase Financial Markets (CFM) offers CFTC-regulated nano-futures on its derivatives exchange (CDE). These are small, accessible contracts designed for retail traders — you don't need to post hundreds of thousands of dollars in margin.

Contract Specifications

Contango, Backwardation, and Roll Cost

Futures contracts almost always trade at a different price than spot. The gap between the futures price and spot price is called the "basis." Understanding it determines your true cost of holding a futures position.

• Contango (normal): futures price > spot price. BTC futures typically trade at a 5–15% annualized premium to spot. Monthly roll cost ≈ 0.4–1.2% of notional.
• Backwardation (rare): futures price < spot price. This occasionally happens in sharp sell-offs. Rolling in backwardation is profitable.
• Basis narrows to zero at expiry — the settlement price converges to spot.

Settlement and Expiry

CFM contracts expire on the last Friday of the contract month. Settlement is cash — no physical BTC changes hands. At settlement, your position closes at the CME CF Bitcoin Reference Rate (BRR), which is a volume-weighted average of BTC/USD trades across major exchanges during a 1-hour window.

The Roll Decision: When and How

Rolling means closing the expiring contract and opening an equivalent position in the next contract. This sounds simple but requires careful timing:

• Monitor days-to-expiry. The platform shows a countdown on each bot card.
• Start preparing 5–7 days before expiry. Volume in the expiring contract starts to thin.
• Execute the roll 3–5 days before expiry for best liquidity and tightest spreads.
• On the platform: live bots pause at expiry and show a "Roll to next contract" button. Virtual bots auto-roll.
• After rolling: the strategy re-evaluates signals on the new contract's candle history.

// The platform handles roll mechanics automatically.
// Your strategy code stays the same regardless of which
// monthly contract is currently active.

function handleData(context, data) {
  // data.history('BTC', ...) always fetches the active BIT contract
  const closes = data.history('BTC', 'close', 50);
  const sma50  = indicators.sma(closes, 50);
  const price  = closes[closes.length - 1];

  if (price > sma50) orderTargetPercent('BTC-FUTURES', 1.0);
  else               orderTargetPercent('BTC-FUTURES', 0);
}

// When BIT-29MAY26-CDE expires, the engine rolls to BIT-26JUN26-CDE.
// Your code doesn't change. The engine handles the contract switch.

Sizing: How Many Contracts?

Position sizing for futures differs from spot because you're specifying a number of contracts, not a dollar amount. The platform calculates this automatically based on your positionSizeUsd setting:

Example: positionSizeUsd = $500, BTC price = $60,000, contract size = 0.01 BTC → notional per contract = $600 → contracts = floor(500/600) = 0. The minimum position is 1 contract ($600), so you need positionSizeUsd ≥ $600.