TermStructureBasis

The dated future's relative premium to the spot index — the term-structure carry a calendar or cash-and-carry trade harvests as the contract converges at expiry.

Quick reference

Item	Value
Family	Derivatives
Input type	DerivativesTick — a perp / futures market tick
Output type	f64 (fraction; × 10 000 for bps)
Output range	unbounded around zero
Default parameters	none
Warmup period	1
Interpretation	Contango / backwardation carry

Formula

basis = (futuresPrice − indexPrice) / indexPrice

Where FundingBasis measures the perpetual's premium to spot, this measures a dated future's. Stateless and O(1). See crates/wickra-core/src/indicators/term_structure_basis.rs.

Parameters

None. Construct with TermStructureBasis::new().

Inputs / Outputs

Indicator<Input = DerivativesTick, Output = f64>. The bindings expose the two fields this indicator reads: update(futures_price, index_price). Python / Node batch accept two equal-length arrays (futures_price, index_price) and return a 1-D array of fractions; WASM is streaming-only.

Warmup

warmup_period() == 1; emits on the first tick.

Edge cases

• At par. A future trading at spot reads 0.
• Index validity. The index price must be finite and strictly positive; the DerivativesTick constructor and the bindings reject a non-positive index.

Examples

Rust

use wickra::{DerivativesTick, Indicator, TermStructureBasis};

let mut ts = TermStructureBasis::new();
let tick = DerivativesTick::new(
    0.0, 100.0, 100.0, 102.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0,
)
.unwrap();
assert!((ts.update(tick).unwrap() - 0.02).abs() < 1e-12); // 2% contango

Python

import wickra as ta

ts = ta.TermStructureBasis()
print(ts.update(102.0, 100.0))  # 0.02

Node

const { TermStructureBasis } = require('wickra');

const ts = new TermStructureBasis();
console.log(ts.update(102.0, 100.0)); // 0.02

Interpretation

A positive basis is contango (the future trades over spot), a negative one backwardation. The basis is the carry a calendar / cash-and-carry trade captures as the contract pulls to spot at expiry; its magnitude, annualised by time-to-expiry, is the implied roll yield.

Common pitfalls

• Not annualised. This is the raw spot basis; divide by time-to-expiry to compare carries across tenors.
• Future vs perp. This uses the dated futures_price. For the perpetual's basis use FundingBasis; for future-vs-perp use CalendarSpread.

See also

• FundingBasis — perpetual vs spot.
• CalendarSpread — dated future vs perpetual.
• Indicators-Overview — the full taxonomy.