Funding Basis Arbitrage

objective

Trade funding and basis dislocations with carry decomposition and liquidation-risk controls.

workflow

1. define spot-futures-perp instrument triplets and carry conventions.
2. compute basis and implied funding differentials in real time.
3. estimate net carry after fees, borrow, and transfer costs.
4. stress basis positions for funding spikes and liquidation events.
5. deploy only when expected carry dominates tail funding risk.

required diagnostics

• basis level and zscore by tenor and venue.
• implied-versus-realized funding differential error.
• carry decomposition after fee and borrow adjustments.
• liquidation-spike sensitivity of basis pnl.
• net edge persistence versus transfer latency.