Arbitrage Page

The Arbitrage page provides tools to identify and analyze arbitrage opportunities across multiple exchanges.

There are three major arbitrage strategies:

• Spot arbitrage
• Spot-perpetual arbitrage
• Cross-Exchange Perpetual Arbitrage

Spot Arbitrage

Spot arbitrage involves buying a cryptocurrency on one spot market and selling the same cryptocurrency on another spot market where the price is higher.

Spot arbitrage involves buying a cryptocurrency on one spot market and selling it on another spot market where the price is higher.

On the Spot Arbitrage page, you will find key metrics to help you make informed decisions:

• Premium: The percentage price difference between two exchanges.
• Maker & Taker Fees: The trading fees charged by the relevant exchanges.
• Withdrawal Fee: If you do not currently hold the cryptocurrency, you will need to buy it on one exchange (where the price is lower) and transfer it to another exchange (where the price is higher). The withdrawal fee should be factored into your profit-and-loss (PnL) calculations when executing such trades.
• PnL (Profit and Loss): The estimated profit from completing the arbitrage trade based on the position size. The default position size is US$10,000, but you can adjust it based on market conditions and available capital.
• Cryptocurrency Prices: The real-time prices of the cryptocurrency on both exchanges.
• 24-Hour Volume: The trading volume of the cryptocurrency on both exchanges. ⚠
  • Note: If the volume is extremely low, the arbitrage opportunity may not be practically executable despite a high premium or discount.
• Premium Duration: An estimate of how long the price discrepancy (premium) is expected to last.
• Network: The blockchain network used to transfer the cryptocurrency between exchanges.
• Transfer Time: The estimated time required to complete the cryptocurrency transfer from one exchange to another.

Spot arbitrage is the default strategy displayed when you open the arbitrage page. To switch to another strategy, click ‘Arbitrage between Spot and Perpetual’.

Spot-Perpetual Arbitrage

This strategy takes advantage of funding rate differentials between the spot and perpetual futures markets. A trader simultaneously buys the cryptocurrency in the spot market and takes an opposing short position in the perpetual market to collect funding fees.

Spot-perpetual arbitrage is delta-neutral, meaning the trader hedges against price movement risks by holding offsetting positions in both markets.

There are two types of spot-perpetual arbitrage:

• Positive Carry: When the funding rate is positive, a trader can earn funding fee income by purchasing the asset in the spot market while short-selling an equivalent position in the perpetual market.
• Reverse Carry: When the funding rate is negative, a trader can profit by shorting the asset in the spot market (e.g., selling it at the current price) and going long on an equivalent leveraged position in perpetual futures.

Note: Reverse carry arbitrage is not currently supported in DataMaxi+ v1 but will be available in future versions.

Key Metrics for Spot-Perpetual Arbitrage

• Funding Interval: The number of hours between funding payouts. This varies by exchange and trading pair but is typically 4 or 8 hours, with some cases as short as 1, 2, or 3 hours.
• Funding Rate (%): The current funding rate at the ongoing funding cycle.
• 1D Funding APR: The accumulated funding rate over the past 1 day, expressed as an annualized percentage.
• 7D Funding APR: The accumulated funding rate over the past 7 days, expressed as an annualized percentage.
• 30D Funding APR: The accumulated funding rate over the past 30 days, expressed as an annualized percentage.
• Recommended Minimum Holding Period: The estimated minimum duration needed to hold the arbitrage position to at least break even on transaction fees (0.2%), based on the current funding rate (%).
• Countdown: The time remaining (in hours) until the next funding rate cycle when funding fees will be received or paid. ⚠

Profit and Loss (PnL) Metrics

The forward profit and loss is calculated based on the prevailing funding rate at the moment you view the screen.

The profit and loss (PnL) metrics account for estimated CEX transaction fees incurred when opening and closing both spot and perpetual positions required for spot<>perpetual arbitrage. Please note that actual fees may vary depending on your VIP level at each exchange, as well as the exchange’s fee policies and promotions.

• 30D PnL: The historical 30-day accumulated profit and loss in dollar terms, after deducting estimated transaction fees (assumed to be 0.2%), based on the selected position size.
• 7D PnL: The historical 7-day accumulated profit and loss, net of estimated transaction fees (assumed to be 0.2%), based on the selected position size.
• 1D PnL: The historical 1-day accumulated profit and loss, net of estimated transaction fees (assumed to be 0.2%), based on the selected position size.
• 1D PnL: The real-time 1-day profit and loss accrued so far today, net of estimated transaction fees (assumed to be 0.2%).
• 7D PnL: The projected 7-day profit and loss, net of estimated transaction fees (assumed to be 0.2%), based on the current funding rate.
• 30D PnL: The projected 30-day profit and loss, net of estimated transaction fees (assumed to be 0.2%), based on the current funding rate.
• 1Y PnL: The projected 1-year (365-day) profit and loss, net of estimated transaction fees (assumed to be 0.2%), based on the current funding rate.

PnL Calculation Overview

Metric	Time period	Type	CEX Transaction Fees
-30D PnL	Last 30 days	Historical (Accumulated)	0.2% (Assumed total)
-7D PnL	Last 7 days	Historical (Accumulated)	0.2% (Assumed total)
-1D PnL	Last 1 day	Historical (Accumulated)	0.2% (Assumed total)
1D PnL	Today (Accrued)	Real-Time (Accumulated)	0.2% (Assumed total)
7D PnL	Next 7 days	Projected (Estimated)	0.2% (Assumed total)
30D PnL	Next 30 days	Projected (Estimated)	0.2% (Assumed total)
1Y PnL	Next 365 days	Projected (Estimated)	0.2% (Assumed total)

Cross-Exchange Perpetual Arbitrage

When the funding rates of a cryptocurrency differ between exchanges, traders can exploit this disparity by:

• Taking a long perpetual position on Exchange A (where the funding rate is lower or negative).
• Taking a short perpetual position on Exchange B (where the funding rate is higher or positive).

By doing so, the trader collects funding fees from both exchanges.

Note: Cross-exchange perpetual arbitrage is not supported in DataMaxi+ v1 but will be available in future versions.