Price Arbitrage

Convergence trades on mark-price gaps.

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_fees

When 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.