Crypto Option Spread

CryptoOptionSpread represents an exchange-defined strategy over crypto options. The venue publishes the strategy as one instrument with its own symbol, strategy type, precision, increments, and expiration.

Examples include listed BTC or ETH option combos on crypto derivatives venues.

Fields

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required	Stored as `id` in Rust.
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`underlying`	`Currency`	Required	Crypto asset the strategy tracks.
`quote_currency`	`Currency`	Required	Currency used to quote the premium.
`settlement_currency`	`Currency`	Required	Currency used to settle PnL and fees.
`is_inverse`	`bool`	Required	True when sizing/costing is inverse.
`strategy_type`	`Ustr`	Required	Venue strategy type, such as vertical.
`activation_ns`	`UnixNanos`	Required	Strategy activation timestamp.
`expiration_ns`	`UnixNanos`	Required	Strategy expiration timestamp.
`price_precision`	`u8`	Required	Decimal places allowed for prices.
`size_precision`	`u8`	Required	Decimal places allowed for order sizes.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_increment`	`Quantity`	Required	Smallest valid size step.
`multiplier`	`Quantity`	`1`	Strategy multiplier.
`lot_size`	`Quantity`	`1`	Rounded lot or board size.
`max_quantity`	`Option<Quantity>`	`None`	Maximum order quantity.
`min_quantity`	`Option<Quantity>`	`None`	Minimum order quantity.
`max_notional`	`Option<Money>`	`None`	Maximum order notional value.
`min_notional`	`Option<Money>`	`None`	Minimum order notional value.
`max_price`	`Option<Price>`	`None`	Maximum valid quote or order price.
`min_price`	`Option<Price>`	`None`	Minimum valid quote or order price.
`margin_init`	`Option<Decimal>`	`0`	Initial margin rate.
`margin_maint`	`Option<Decimal>`	`0`	Maintenance margin rate.
`maker_fee`	`Option<Decimal>`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Option<Decimal>`	`0`	Taker fee rate. Negative values rebate.
`tick_scheme`	`Option<Ustr>`	`None`	Registered variable tick scheme name.
`info`	`Option<Params>`	`None`	Adapter metadata.
`ts_event`	`UnixNanos`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	Required	Initialization timestamp in nanoseconds.

</Tab> <Tab value="Python">

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`underlying`	`Currency`	Required	Crypto asset the strategy tracks.
`quote_currency`	`Currency`	Required	Currency used to quote the premium.
`settlement_currency`	`Currency`	Required	Currency used to settle PnL and fees.
`is_inverse`	`bool`	Required	True when sizing/costing is inverse.
`strategy_type`	`str`	Required	Venue strategy type, such as vertical.
`activation_ns`	`int`	Required	Strategy activation timestamp.
`expiration_ns`	`int`	Required	Strategy expiration timestamp.
`price_precision`	`int`	Required	Decimal places allowed for prices.
`size_precision`	`int`	Required	Decimal places allowed for order sizes.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_increment`	`Quantity`	Required	Smallest valid size step.
`multiplier`	`Quantity`	`1`	Strategy multiplier.
`lot_size`	`Quantity`	`1`	Rounded lot or board size.
`max_quantity`	`Quantity \| None`	`None`	Maximum order quantity.
`min_quantity`	`Quantity \| None`	`None`	Minimum order quantity.
`max_notional`	`Money \| None`	`None`	Maximum order notional value.
`min_notional`	`Money \| None`	`None`	Minimum order notional value.
`max_price`	`Price \| None`	`None`	Maximum valid quote or order price.
`min_price`	`Price \| None`	`None`	Minimum valid quote or order price.
`margin_init`	`Decimal \| None`	`0`	Initial margin rate.
`margin_maint`	`Decimal \| None`	`0`	Maintenance margin rate.
`maker_fee`	`Decimal \| None`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Decimal \| None`	`0`	Taker fee rate. Negative values rebate.
`tick_scheme`	`str \| None`	`None`	Registered variable tick scheme name.
`info`	`dict \| None`	`None`	Adapter metadata.
`ts_event`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`int`	Required	Initialization timestamp in nanoseconds.

</Tab> </Tabs>

Note: Python constructors use instrument_id; Rust stores the same value as id.

Behavior

CryptoOptionSpread has asset class Cryptocurrency and instrument class OptionSpread.
The venue publishes the spread as a single tradable instrument.
The strategy can be linear, inverse, or quanto, depending on the currency set.
Store venue-specific leg details in info when the adapter provides them.

Example

rust

use chrono::{TimeZone, Utc};
use nautilus_core::UnixNanos;
use nautilus_model::{
    identifiers::{InstrumentId, Symbol},
    instruments::CryptoOptionSpread,
    types::{Currency, Price, Quantity},
};
use rust_decimal_macros::dec;
use ustr::Ustr;

let activation = Utc.with_ymd_and_hms(2026, 5, 12, 0, 0, 0).unwrap();
let expiration = Utc.with_ymd_and_hms(2026, 5, 19, 8, 0, 0).unwrap();

let btc_spread = CryptoOptionSpread::builder()
    .instrument_id(InstrumentId::from("BTC-CS-19MAY26-70000_75000.DERIBIT"))
    .raw_symbol(Symbol::from("BTC-CS-19MAY26-70000_75000"))
    .underlying(Currency::from("BTC"))
    .quote_currency(Currency::from("USD"))
    .settlement_currency(Currency::from("BTC"))
    .is_inverse(false)
    .strategy_type(Ustr::from("CS"))
    .activation_ns(UnixNanos::from(activation.timestamp_nanos_opt().unwrap() as u64))
    .expiration_ns(UnixNanos::from(expiration.timestamp_nanos_opt().unwrap() as u64))
    .price_precision(4)
    .size_precision(1)
    .price_increment(Price::from("0.0001"))
    .size_increment(Quantity::from("0.1"))
    .multiplier(Quantity::from("1"))
    .min_quantity(Quantity::from("0.1"))
    .maker_fee(dec!(0.0003))
    .taker_fee(dec!(0.0003))
    .ts_event(UnixNanos::default())
    .ts_init(UnixNanos::default())
    .build()
    .unwrap();

python

from decimal import Decimal

import pandas as pd

from nautilus_trader.model import CryptoOptionSpread
from nautilus_trader.model import Currency
from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Price
from nautilus_trader.model import Quantity
from nautilus_trader.model import Symbol

BTC = Currency.from_str("BTC")
USD = Currency.from_str("USD")

btc_spread = CryptoOptionSpread(
    instrument_id=InstrumentId.from_str("BTC-CS-19MAY26-70000_75000.DERIBIT"),
    raw_symbol=Symbol("BTC-CS-19MAY26-70000_75000"),
    underlying=BTC,
    quote_currency=USD,
    settlement_currency=BTC,
    is_inverse=False,
    strategy_type="CS",
    activation_ns=pd.Timestamp("2026-05-12T00:00:00", tz="UTC").value,
    expiration_ns=pd.Timestamp("2026-05-19T08:00:00", tz="UTC").value,
    price_precision=4,
    size_precision=1,
    price_increment=Price.from_str("0.0001"),
    size_increment=Quantity.from_str("0.1"),
    min_quantity=Quantity.from_str("0.1"),
    maker_fee=Decimal("0.0003"),
    taker_fee=Decimal("0.0003"),
    ts_event=0,
    ts_init=0,
)

Adapters

Representative adapters that create or consume CryptoOptionSpread instruments include:

Deribit for crypto option combos.
OKX for crypto option spread markets.

Crypto Option covers single-leg crypto options.
Option Spread covers non-crypto option spreads.

Crypto Option Spread

Crypto Option Spread

Fields

Behavior

Example

Adapters

Related guides