recommendation to simply vwap algo trade CME crypto futures

Discussion in 'Financial Futures' started by whistle, Jan 5, 2023.

  1. whistle

    whistle

    I have a pairs trading strategy between BTC and ETH that I would like to execute using CME futures. The strategy trades once daily to rebalance the BTC and ETH exposures (long/short). I have done a lot of futures trading at IBKR typically using IB's VWAP Algos (over a Python API). But I can't use IBKR for this because of the way they margin the CME crypto futures. I could use any number of other futures brokers, but what setup would you recommend if I wanted the simplest technology to be able to use a VWAP type algo for the daily futures rebalance of basically just 2 futures contracts?