Price Arbitrage
Price arbitrage on perps: convergence trades on mark-price gaps between exchanges, the P&L formula, costs to account for and when the trade makes sense.
Convergence Trade
Price arbitrage exploits temporary mismatches in the mark price of the same asset between two venues. Long the cheap one, short the rich one; profit when the prices converge.
Unlike funding arbitrage, hold periods are short (minutes to hours) and the P&L comes from spread compression, not from accrued funding payments.
Spreads on /arbitrage are point-in-time, NOT annualized. A 19% spread does NOT mean 19% APR — it means the prices are currently 19% apart. If they converge in 30 minutes, you make 19% in 30 minutes. If they widen, you lose.
P&L Formula
pnl_long_leg_usd =
(current_price_long / entry_price_long − 1) × position_size_usd
pnl_short_leg_usd =
(entry_price_short / current_price_short − 1) × position_size_usd
total_pnl_usd =
pnl_long_leg_usd + pnl_short_leg_usd − round_trip_feesWhen the spread compresses (prices converge), one leg gains more than the other loses → positive PnL. When it widens, the opposite.
When to Use It
- Spread on a liquid pair (BTC/ETH/SOL) above 0.3% → potentially worth a fast trade
- Both venues have order-book depth at your size — otherwise slippage eats the spread
- You can monitor positions for hours — not a passive strategy
- You have low-fee venues on both sides (maker rebates ideal)
Pre-IPO synthetic equity (ANTHROPIC, OPENAI, etc.) often shows large "spreads" but is NOT tradeable arbitrage — each venue uses a different oracle methodology with no convergence force. Default /arbitrage view excludes these. Toggle class=tradfi to see them with an explicit honesty banner.