MCP For Claude Marketplace
Reverse Cash-and-Carry Arbitrage Engine

Reverse Cash-and-Carry Arbitrage Engine MCP Connector for Claude

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Identify and calculate deterministic arbitrage signals in backwardation markets.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides a deterministic engine to exploit backwardation by identifying underpriced futures. It calculates the theoretical fair value of contracts and generates precise trade signals. Use calculate_arbitrage_signals to detect entry points where the annualized basis is attractive, or get_theoretical_fair_value to compute the fair market value based on the cost of carry. The engine also includes evaluate_risk_metrics to assess market safety by analyzing borrowing costs and convenience yield volatility.

futuresbackwardationarbitragecommoditiesquantitative

3 tools expose this connector's capabilities to your AI agent.

calculate_arbitrage_signals

Determines if a trade signal is generated based on historical or daily market data and calculates position parameters

evaluate_risk_metrics

Analyzes the risk profile of the current market environment to validate if the strategy is safe to execute

get_theoretical_fair_value

Computes the fair market value of a futures contract at a specific point in time

See how to talk to your AI agent using Reverse Cash-and-Carry Arbitrage Engine.

Calculate arbitrage signals for these prices: spot [100, 102], futures [95, 96], open interest [15000, 16000], days to expiry [45, 44], risk-free rate 0.03, borrowing cost 0.02, convenience yield 0.01, transaction costs 0.1.

The signal is a BUY futures and SELL spot position. Spot Price: 100, Futures Price: 95, Theoretical Price: 100.32, Basis: -5.0%, Annualized Yield: -8.2%, Days to Expiry: 45, Position Size: 1000, Margin Requirement: 5000.

What is the theoretical fair value for a spot price of 50 with a 4% risk-free rate, 2% convenience yield, and 30 days to expiry?

The theoretical fair value is 50.08.

Evaluate the risk for a basis of -0.02, annualized basis of -0.09, borrowing cost of 0.04, and convenience yield volatility of 0.05.

The market is safe to trade. Risk Score: 0.45. Convenience Yield Risk Alert: False.

The engine specifically targets backwardation, where futures prices are lower than the spot price, allowing for a reverse cash-and-carry strategy.

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