Basis Trading With A Target Price: Crossing On Both Legs

QB’s Legger multi-asset execution algorithm can be used for basis trading, trading an on-the-run cash treasury and a corresponding futures contract together. One approach to basis trading involves a target price, where the goal is to execute an order such that a fixed ratio of both the cash treasury and the futures contract are executed at a synthetic (combined) price that is at least as good as the target price.

Here we give an example of the type of analysis we are using to improve our basis execution.

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