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updated —WTI Funding Arbitrage Backtester
Size per leg$
R-trip cost
on +$10000.00 per leg · +$20000.00 turnover · funding covers it in ~11d
Funding ArbitrageLooking at price convergence? → /price-pair
Current Net APR · Snapshot
+10.96%
1d Period Avg+11.56%
swing±35.09%
LONG QFEX · nowCL-USD
+0.00%
1d avg:−6.85%
SHORT TxFlow · nowCL
+10.96%
1d avg:+4.71%
Entry Spread Now
−0.077%
Eaten by executionL 87.6175 · S 87.5500−$7.70 if it converges
24h range −0.16%…+0.13% · median +0.01%
Long pays every1hShort pays every1h
LONGmaker0.050%/taker0.100%SHORTmaker0.015%/taker0.045%
Loading Funding History…
↗Total PnL
−$30.11
−0.30%
$Avg Daily PnL
+$3.16
+0.0316%
★Best Day
+$1.91
Nov 13
◎Open Interest
QFEX$970.0K
TxFlow$157.1K⚡Funding APR
+11.55%
annualized · funding only
⚠Execution Cost
−$33.27
entry + exit fees
⏱Payback
10.5d
to break even
◧24h Volume
QFEX$2.03MTxFlow$263.4KLoading 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 (−$33.27 for size $10,000). Slippage scales nonlinearly with position size — try a larger size to see thin upper levels run out.