Oanda has their own product pricing and method of rollover that stitches the futures contract prices. I was trying to implement a strategy that accesses the bond term premium and roll over yield for commodities contracts in backwardation.

However, due to the nature of these price stitching, I am unsure of what is the equivalent market timing or if it is possible to access these risk premia using Oanda's contracts.

Currently, what I can think of is just holding a dollar equivalent short in 2Y T-Note and long in 10Y T-Note for bond term premiums, while holding contracts in backwardation. Since their quotes is in terms of dollars instead of yields the duration adjustment portion looks like it can be ignored. But even in my head this sounds highly suspect as it implies prices of the 2 bonds would diverge over time.

I am new to these strategies so any help and explanation would be of great help. Thank you


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