Funding Arbitrage Calculator
Long one exchange, short another at the same time, collect the funding spread. This calculator turns a quoted spread into an honest annualized number · net of taker fees on both legs, rebalancing, and a slippage buffer. Pair this with our live funding arb screener to find current opportunities.
Inputs
Results
How the math works
- Income / interval = spread_pct × capital. The calculator assumes settlement every 8 h.
- Intervals / year = 3 × 365 = 1095.
- Gross annual = income_per_interval × 1095.
- Fee cost / rebalance = 2 × (taker_long + taker_short) × capital.
- Annual rebalance cost = fee_per_rebalance × rebalances_per_year.
- Slippage buffer subtracted as flat bps × capital × rebalances.
- Net APR = gross_annual − fee_annual − slippage_annual, expressed as % of capital.
The net APR assumes today's spread holds for a year; funding spreads change at every settlement and can flip sign. Check the live funding arb screener before and during the trade.
Hypothetical result. Computed with hindsight from recorded prices or the numbers you entered; fees, slippage and funding only where a field says so; not a forecast, not a trade that was placed and not indicative of future results.
Questions
What does the funding arbitrage calculator compute?
It converts a quoted funding spread into a net annualized return, subtracting taker fees on both legs, rebalancing costs, and a slippage buffer.
How often does funding settle?
It depends on the venue and the contract. The calculator assumes an 8-hour settlement, 1095 intervals per year, and annualizes income with that cadence; for a venue that settles more often, enter the spread per 8 hours.
Does a high net APR mean the arb is safe?
No. The figure assumes today's spread holds for a year, while funding spreads change at every settlement and can flip sign. The calculator does not rank trades; compare the result with the live spreads on the funding arb screener.
Related
Run this arb on a real exchange
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