基差交易是一种套利策略，您可以在现货市场上做多资产并使用永续合约做空。这种技术也被称为“现金和携带”策略，在传统金融市场中很流行，可以应用于加密货币市场。
This technology, also known as the “cash and carry” strategy, is popular in traditional financial markets and can be applied to encrypted money markets.
典型的套利策略包括在一个交易所以较低的价格购买一种资产，然后以较高的价格出售另一种资产，称为跨交易所/空间套利。基差交易是另一种 delta 中性策略，使投资者免受价格波动的影响，但不同之处在于该策略利用衍生品（期货或永续合约）。
Typical arbitrage strategies include the purchase of an asset at a lower price by an exchange and the sale of another asset at a higher price, known as a cross-exchange/space arbitrage. A base trade is another neutral strategy to protect investors from price volatility, but the difference is that it uses derivatives (for futures or durable contracts).
Delta-neutral：delta (Δ) 是一个术语，用于描述在基础资产发生 1 美元变化的情况下衍生品价格的估计变化。例如，对于空头永续头寸，delta 是负数，因为如果标的资产价格上涨，头寸的价值就会下降。Delta-neutral 是指delta 整体持仓为零的情况，即没有价格敞口，将两个持仓组合起来，正负delta 相互抵消。
对于使用永续合约的基差交易，该策略利用了资金费率。资金费率作为交易者定期支付的费用，是一种使永续合约价格与标的资产价格保持一致的机制。如果您不熟悉什么是资金费率，请阅读下面的说明：
If you are not familiar with what the financial rate is, please read the following:
当资金费率为正时，这意味着使用永续合约做空的交易者将收到做多交易者的付款。在这种情况下，以太坊永续合约的价格将高于当前市场价格。资金支付的作用是激励交易者做空头寸，并使永续期货的价格与标的资产的价格保持一致。
When the funding rate is correct, this means that traders who use permanent contracts to make empty payments will receive payments from multiple traders. In this case, the price of a permanent contract with Taiyo will be higher than the current market price.
在这种情况下，交易者可以做空并赚取资金。但如果 ETH 的价格暴涨，那么空头头寸就会蒙受损失。为了对冲任何价格波动，投资者可以同时在现货市场购买 ETH 以抵消永续空头头寸的损益。
If the prices of ETH soar, the empty position will suffer. In order to hedge any price fluctuations, investors can buy ETH at the spot market at the same time to offset the loss or loss of permanent empty position.
只要资金费率保持正数，您就会获得资金付款。如果 ETH 价格下跌，则永续空头头寸的利润将抵消现货头寸的损失。另一方面，如果 ETH 价格上涨，则永续空头头寸的损失将大约等于持有现货的收益。
If the ETH price falls, the profit in the empty position will offset the loss in the spot position. On the other hand, if the ETH price rises, the loss in the empty position will be approximately equal to the gain in holding the spot.
无论价格如何，无论价格上涨还是下跌，基差交易都能确保您赚钱，前提是资金利率保持正数。该策略的利润来自“基差”，即现货市场资产价格与永续期货合约价格之间的差额。除了 delta 中性之外，基差交易策略可能非常有利可图，尤其是在看涨的市场条件下，为交易者提供稳定的回报而没有任何方向性风险。
Regardless of the price, whether price increases or falls, base-line transactions ensure that you make money, provided that the interest rate of the money remains positive. The profit of the strategy is derived from the “base differential”, i.e. the difference between the price of assets in the spot market and the price of a permanent futures contract. Apart from Delta neutrality, base-line trading strategies can be very profitable, especially in view of rising market conditions, providing traders with a steady return without any risk of directional risk.
让我们通过一个例子让基差交易的概念更加清晰。
Let us use one example to make the concept of a base-line transaction clearer.
实施基差交易策略
Implementation of base-line trading strategy
要创建基差交易策略，交易者可以通过现货市场，例如Uniswap，使用 USDC 或其他稳定币购买 1 ETH。同时，USDC 可用作抵押品，使用Perp v2做空ETH-USD，头寸规模为 1 ETH 。
To create a base-trading strategy, traders can purchase 1 ETH in the spot market, e. g. Uniswap, using USDC or other stable currency. At the same time, USDC can be used as collateral, using Perp v2 for empty ETH-USD, with an ETH size of 1 ETH.
由于您在 Uniswap 上购买 ETH 后持有多头头寸，并且使用永续期货合约的头寸完全相同但做空，因此每笔交易的损益将抵消另一笔交易。但是，由于您是空头且资金利率为正，您将获得资金付款，这是由在Perp v2上做多永续期货合约的交易者支付的。
Because you buy ETH on Uniswap and use the permanent futures contract in exactly the same position but empty, the gain or loss on each transaction offsets the other. But, because you are empty and the interest rate is correct, you will receive the funds, which are paid by the person who made the multi-perpetual futures contract on Perp v2.
如果 ETH 的资金费率保持正数，则基差交易策略应该是有利可图的，并且任何做空的交易者都会继续收到资金付款。然而，当资金利率变为负值时，任何持有空头头寸的交易者将开始支付（而不是接收）资金付款，并且应该通过出售 ETH 现货持有并关闭永续空头头寸来平仓基础交易。
If the ETH fund rate remains positive, the base spread trading strategy should be profitable and any empty dealer will continue to receive payment. However, when the interest rate on the money becomes negative, any transacter with an empty position will start paying (rather than receiving) the money and should clear the base transaction by selling the ETH spot holding and closing the permanent empty position.
资金支付取决于市场状况以及在 Perp v2 上做多或做空的交易者数量。例如，如果市场看涨并且大多数交易者持有多头头寸，则资金费率为正。另一方面，如果市场看跌并且大多数交易者处于空头头寸，那么资金利率将变为负数。
Financial payments depend on market conditions and the number of dealers who do more or more empty work on Perp v2. For example, if the market is looking up and most traders hold multiple positions, the rate is positive. On the other hand, if the market is looking down and most traders are in empty positions, then the interest rate will turn negative.
自动化基差交易策略
Automation base trade strategy
有几种方法可以通过使用建立在永久协议之上的第三方提供商来自动化此类策略，从而更方便地执行基差交易。以下是一些建立在 Perp v2 之上的保险库示例，这些保险库可以自动执行现金和套利策略：
There are several ways to automate such strategies by using third-party providers based on permanent agreements, thus making it easier to execute base-line transactions. Here are some examples of vaults based on Perp v2, which can automatically implement cash and arbitrage strategies:
GalleonDAO 的基差收益率 ETH 指数($BYE)：这是一种使用 Set Protocol 为 ETH-USD 构建的代币化基差交易策略。通过在 Perp v2 上建立 ETH-USD 空头头寸，并使用 Uniswap 在 ETH 中建立多头现货头寸，$BYE 代币的持有者可以获得资金支付。
GalleonDAO's base spread yield ETH index ($BYE): This is a currency base trade strategy built with Set Protocol for ETH-USD. By creating an ETH-USD empty position on Perp v2, and using Uniswap to create a multiple spothead position in ETH, the payee of the dollar is paid.
Diamond Protocol 的 Cash and Carry ETH 保险库：用户可以将 USDC 存入此保险库，分为通过现货市场做多 ETH 和在 Perp v2 上做空 ETH。一种算法用于为当前市场找到最佳的再平衡频率，并为金库的储户自动再平衡。
Cash and Carry ETH vault for Diamond Protocol: Users can deposit USDC into this vault, divided into multiple ETHs through the spot market and empty ETHs on Perp v2. An algorithm is used to find the best rebalancing frequency for the current market and to automatically rebalance the vault's depositors.
DeComma 的 PERP-ETH-MAINNET 保险库：这个基础交易保险库的工作方式与 Diamond Protocol 的保险库类似，在 Perp v2 上进行空头头寸，在 Uniswap v3 上进行多头现货交易。
The PERP-ETH-MAINNET vault of DeComma: This base trading vault works in a similar way to that of Diamond Protocol, with empty positions on Perp v2 and multiple spot transactions on Uniswap v3.
IndexCoop 的市场中性收益率 ETH ($MNYe)：通过Set与 Perpetual Protocol on Optimism 的集成使之成为可能，$MNYe 包含一个完全对冲的 ETH 头寸，具有同等的现货敞口和通过 perps 的空头敞口。当资金利率为正时，代币持有者将获得可变的 USDC 回报，同时消除了基础资产价格波动的所有风险。
IndexCoop’s market neutral rate of return ETH ($MNYe): This is possible through the integration of Set with Perpetual Protocol on Optimism, where $MNYe contains a fully hedge ETH position, an equivalent spot opening and a blank opening through perps. When the interest rate is positive, the intergenerational holder will receive a variable USDC return, while eliminating all risks of price volatility in the underlying asset.
概括
General
实施基差交易策略允许交易者在资金支付为正时获得低风险收益，而无需任何定向敞口。
The implementation of the base spread trading strategy allows traders to obtain low-risk returns when the funds are paid correctly without any targeted exposure.
然而，风险在于市场条件发生变化，资金费率从正变为负，这意味着任何空头头寸都将在资金支付方面花费金钱以保持头寸开放。
The risk, however, is a change in market conditions and a change in funding rates from positive to negative, which means that any empty position will spend money on the disbursement of funds to keep the position open.
因此，这种策略产生的利润在很大程度上取决于资金利率以及它是否会随着时间的推移保持正数。此外，如果您使用第三方提供商作为基础交易保险库，也存在智能合约风险，因为您将资金存入智能合约以执行策略。
In addition, if you use a third-party provider as a base trading vault, there is also a risk of an intelligent contract because you put the funds into a smart contract to implement the strategy.
但如果大多数市场参与者看好加密货币的未来，那么与空头相比，多头头寸往往会更多。因此，从长远来看，基差交易将是一种有利可图的策略，为投资者提供稳定的回报，而无需预测市场接下来的走势。返回搜狐，查看更多
But if most market participants look at the future of encrypted money, they tend to have more positions than empty ones. So, in the long run, trading on the base would be a profitable strategy that would provide investors with a stable return without having to predict the future of the market. returned to search for more
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