Funding-rate arbitrage explained: a glossary
Funding-rate arbitrage collects the payments perpetual futures make between longs and shorts while holding two legs whose price moves cancel. These are the terms AfterFees uses, in the order you meet them, each defined the way the calculator applies it.
Updated 2026-10-29 00:00 UTC
Funding rate
A periodic payment between the longs and the shorts of a perpetual future, set by the exchange to keep the perp's price close to its index. When the rate is positive, longs pay shorts; when it is negative, shorts pay longs. Each payment is the position's quantity × the mark price × the rate.
Each exchange sets its own rate for each contract, so the same coin is often paid very differently on two exchanges. That difference is what funding-rate arbitrage collects.
Funding interval
How often a perp settles funding, commonly every 1, 4 or 8 hours; it differs between exchanges and between contracts on the same exchange. A rate is quoted per interval, so 0.01% every hour pays eight times as often as 0.01% every 8 hours.
AfterFees does not convert everything to 8 hours: each leg is counted at its own real settlement times inside your holding period. A settlement exactly now is not counted, only the ones strictly after now.
Annualised rate (APR)
A rate scaled to a year so that different intervals can be compared: rate per period × 8,760 ÷ interval in hours, simple, not compounded. 0.01% every 8 hours is 0.01% × 1,095 = 10.95% a year.
A funding APR is gross: it is what the rate would pay before any cost. The net APR on AfterFees annualises the net result against your size per side; return on capital annualises it against the margin you tie up.
Perpetual future (perp)
A futures contract with no expiry date. Instead of converging to the spot price at delivery, its price is held near the spot index by funding payments. Linear perps are margined and settled in a stablecoin (USDT, USDC) or USD; inverse, coin-margined perps in the coin itself.
Spot-perp carry
Buy the coin on a spot market and short the same quantity as a perp. Price moves cancel and only the perp pays or receives funding, so the pair earns while the perp's rate is positive. Spot is bought outright and ties up its full value; the perp ties up its notional ÷ leverage.
When funding is negative the reverse carry works: borrow the coin on a margin account, sell it spot and hold the perp long. It pays borrow interest, which AfterFees counts at the higher of the current rate and its 24-hour average.
Cross-exchange funding arbitrage
Long the perp on the exchange where funding is lower (or negative) and short the same quantity where it is higher. The price moves of the two legs cancel and you keep the difference between the two funding payments.
Each exchange holds its own margin and there is no offset between them: a loss on one leg must be covered on that exchange even while the other leg gains.
Basis
The gap between a future's price and spot (or the perp). A delivery future converges to its index at delivery, so buying spot and shorting the future, held to delivery, locks the basis less the costs.
AfterFees quotes it at your fills, annualised to delivery: (short fill − long fill) ÷ long fill × 365 ÷ days to delivery. The term structure page shows it for every delivery future of a coin.
Open interest
The total value of the positions still open in a contract. It limits how much a pair can take: AfterFees caps max size at 1% of the thinner leg's open interest by default (3% or 10% can be chosen), because a position large against open interest is hard to enter and leave.
Order-book slippage
The difference between the price a market order actually gets and the mid price, because a large order walks through several levels of the order book. The bigger the order against the book, the larger it is.
AfterFees walks the live order book level by level for exactly your quantity on each of the four trades; closing trades are estimated from today's book. If a trade cannot be filled from the visible book, the pair is not actionable at that size.
Taker and maker fee
A taker order fills at once against orders already in the book and pays the taker fee. A maker order rests in the book and pays the maker fee, usually lower and sometimes negative (a rebate), but it may not fill.
AfterFees counts four taker trades by default (open and close, both legs) at each exchange's published fee for that contract, or at your own fee tier if you set one.
Net (after fees, slippage and carry)
What you keep: funding over your holding period minus the four taker fees, order-book slippage, borrow interest where a coin is borrowed, currency conversion for a USDC or USD leg, and carry, the opportunity cost of the margin tied up (zero unless you set one). The board ranks pairs by it.
For perp ↔ perp and spot-long ↔ perp-short pairs, funding is counted at the lower of today's rates and what the same pair actually settled over the last 7 days. Net is a projection from current and recent rates, not a realised return.
How every number is calculated · How every number is calculated
Max size
The largest size per side that fits two caps: 1% of the thinner leg's open interest by default, and the slippage budget (by default 5 bp of one side's size for all four trades together). If either cap cannot be measured, max size is blank and the pair is not actionable. When your size does not fit, the board recalculates the pair at the size that does.
Breakeven
The first settlement at which the funding collected covers all four trades' fees and slippage. If it would take longer than 30 days, AfterFees says so instead of showing a time.
Settled replay
Applies the funding rates actually settled over the past 7, 30, 90, 180 or 365 days to today's position and direction. It shows whether a spread has been paying, not what an executed trade earned; the four trading costs are charged once, on the first day.
The track record is different: it stores each day's top picks and later adds up the funding that actually settled on them.
Actionable and watch
Actionable: the pair passes every check at your size right now: among them funding data under 30 seconds old and order books under 5 seconds, exact books on both legs, known fees, at least 72 hours of settled history with no loss over the last 7 days, a positive net, every trade filled, and your size within max size and the slippage budget.
Watch: shown, but at least one check fails, and the row says which. If any data goes stale, a pair stops being actionable within 5 seconds.
The method behind every number on AfterFees is published; Pro opens each figure into its line-by-line calculation. Estimates from current data, not investment advice. We never hold funds or trade for you.