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updated —SPY Funding Arbitrage Backtester
Size per leg$
R-trip cost
on +$10000.00 per leg · +$20000.00 turnover · funding never covers this cost
Funding ArbitrageLooking at price convergence? → /price-pair
Current Net APR · Snapshot
+0.00%
3d Period Avg+8.62%
swing±19.31%
LONG Variational · nowUS500
+0.00%
3d avg:+4.20%
SHORT Aster · now
+0.00%
3d avg:+12.82%
Entry Spread Now
+0.090%
In your favorL 751.5005 · S 752.1783+$9.02 if it converges
24h range −0.04%…+0.20% · median +0.09%
Long pays every8hShort pays every8h
LONGmaker0%/taker0%SHORTmaker0.010%/taker0.040%
Loading Funding History…
↗Total PnL
−$4.71
−0.05%
$Avg Daily PnL
+$2.36
+0.0236%
★Best Day
+$5.16
Nov 14
◎Open Interest
Variational$21.74M
Aster$952.6K⚡Funding APR
+8.61%
annualized · funding only
⚠Execution Cost
−$11.79
entry + exit fees
⏱Payback
5.0d
to break even
◧24h Volume
Variational$8.99MAster$874.5KLoading Cumulative PnL…
How it works: Funding PnL is bucketed daily from real settlement history. Execution Cost = round-trip taker fees + fees only (orderbook snapshot stale) on both legs (−$11.79 for size $10,000). Slippage scales nonlinearly with position size — try a larger size to see thin upper levels run out.