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updated —SPY Funding Arbitrage Backtester
Size per leg$
R-trip cost
on +$10000.00 per leg · +$20000.00 turnover · funding covers it in ~16d
Funding ArbitrageLooking at price convergence? → /price-pair
Current Net APR · Snapshot
+6.52%
3d Period Avg+49.58%
swing±25.77%
LONG BloFin · now
−1.52%
3d avg:−9.96%
SHORT Crypto.com · nowSPYUSD-PERP
+5.01%
3d avg:+39.62%
Entry Spread Now
−0.202%
Against youL ask 758.8300 · S bid 757.3000−$20.16 at entry
24h range −0.31%…−0.07% · median −0.20%
Long pays every8hShort pays every1h
LONGmaker0.020%/taker0.060%SHORTmaker0.020%/taker0.050%
Loading Funding History…
↗Total PnL
+$12.91
+0.13%
$Avg Daily PnL
+$13.55
+0.1355%
★Best Day
+$15.86
Oct 30
◎Open Interest
BloFin$1.30M
Crypto.com$621.4K⚡Funding APR
+49.47%
annualized · funding only
⚠Execution Cost
−$27.75
entry + exit fees
⏱Payback
2.0d
to break even
◧24h Volume
BloFin$447.8KCrypto.com$125.5KLoading Cumulative PnL…
How it works: Funding PnL is bucketed daily from real settlement history. Execution Cost = round-trip taker fees + live L2 orderbook slippage on both legs (−$27.75 for size $10,000). Slippage scales nonlinearly with position size — try a larger size to see thin upper levels run out.