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Crypto Simulation (Legacy)

MesoSim's historical crypto backtests use data sourced from Deribit. This legacy feature remains available as-is for research within the archived data periods.

Historical data​

  • BTCUSD: 1 June 2019 – 28 March 2026.
  • ETHUSD: 1 June 2019 – 28 March 2026.
  • SOLUSD: 9 May 2022 – 30 December 2022.

Keep the backtest's start and end dates within the relevant period. The Portal's Service Status lists the available data; see Features for the full instrument list.

Simulation conventions​

Historical crypto strategies differ from equity and index options in several ways:

  • Trading schedule: Crypto trades around the clock, including weekends. MesoSim uses UTC midnight as the daily schedule anchor, and weekday lists can include sat and sun.
  • Inverse options: Option premiums and settlement payoffs use the underlying cryptocurrency, while strikes are quoted in USD. For example, a BTCUSD option premium of 0.01 represents 0.01 BTC. See Deribit's inverse option specifications for the BTC and ETH contract conventions.
  • Fractional quantities: Positions can use fractional contracts, with a contract multiplier of 1.
  • Settlement: MesoSim calculates a cash payoff at expiration using the average underlying price over the preceding 30 minutes.
  • Commissions: The historical Deribit fee model includes maker, taker, and delivery fees, a fee cap, and configurable fee waivers. Review the strategy's settings for the period being simulated.
  • Theta units: Theta is quoted in USD while option prices use the underlying cryptocurrency. Convert with pos_theta / underlying_price when defining a theta-based target in that cryptocurrency.

The legacy crypto settings reference contains the schedule conventions, expiration roots, and configurable commission fields.