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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 ~22d
Funding ArbitrageLooking at price convergence? → /price-pair
Current Net APR · Snapshot
+3.51%
3d Period Avg+9.48%
swing±18.03%
LONG QFEX · nowCL-USD
+0.00%
3d avg:−42.64%
SHORT Lighter · now
+3.51%
3d avg:−33.16%
Entry Spread Now
−0.086%
Eaten by executionL 87.6031 · S 87.5280−$8.57 if it converges
24h range −0.13%…+0.11% · median −0.03%
Long pays every1hShort pays every1h
LONGmaker0.050%/taker0.100%SHORTmaker0%/taker0%
Loading Funding History…
↗Total PnL
−$13.58
−0.14%
$Avg Daily PnL
+$2.59
+0.0259%
★Best Day
+$3.38
Nov 12
◎Open Interest
QFEX$975.2K
Lighter$3.50M⚡Funding APR
+9.47%
annualized · funding only
⚠Execution Cost
−$21.36
entry + exit fees
⏱Payback
8.2d
to break even
◧24h Volume
QFEX$1.93MLighter$7.46MLoading 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 (−$21.36 for size $10,000). Slippage scales nonlinearly with position size — try a larger size to see thin upper levels run out.