IXOR Arbitrage
Arbitrage
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04 MATH 10 min

Spread, fees, funding, and ROI

Reproduce the IXOR calculation manually and understand what each field already includes.

AFTER THIS LESSON

You will be able to

  • Calculate gross and net spread
  • Verify the funding adjustment
  • Explain why ROI uses the capital of two legs
01

Gross spread

The base price dislocation is (Sell price − Buy price) × 100 / Buy price. With Sell 102 and Buy 100, gross spread is 2%.

  • This is not yet the IXOR spread after fees.
  • The formula expresses the sell side relative to the buy side.
02

Full fee

IXOR subtracts the round-trip taker fee: entry and exit on both exchanges. If the total estimate is 0.20%, IXOR spread is 2.00 − 0.20 = 1.80%.

  • The actual rate depends on your personal fee tier.
  • A maker fill cannot be assumed in advance.
03

Funding adjustment and ROI

IXOR first calculates a directional delta: funding Δ = Sell/Short funding − Buy/Long funding. For example, +0.01% − (−0.01%) = +0.02%. A positive Δ means the current unweighted rates favor the selected position; a negative Δ means they add cost.

ROI uses the price-weighted funding adjustment rather than raw Δ: (Sell price × Sell funding − Buy price × Buy funding) / (Sell price + Buy price). ROI = (IXOR spread + funding adjustment) / 2.

Division by two reflects the combined capital of two comparable legs. With Sell 102, Buy 100, Sell funding +0.01%, and Buy funding −0.01%, the funding adjustment is 0.01%, so ROI = (1.80 + 0.01) / 2 = 0.905%.

  • Funding rate and price may change after the signal.
  • Slippage and partial fills are unknown before execution.

PRACTICE

Calculate it yourself

Sell 102, Buy 100, total round-trip fee 0.20%, Sell funding +0.01%, and Buy funding −0.01%. Calculate gross spread, IXOR spread, funding Δ, funding adjustment, and ROI.

? Show answer

Answer: Gross spread = (102 − 100) × 100 / 100 = 2%. IXOR spread = 2% − 0.20% = 1.80%. Funding Δ = +0.01% − (−0.01%) = +0.02%: Short/Long direction is already accounted for. Funding adjustment = (102 × 0.01% − 100 × (−0.01%)) / 202 = 0.01%. ROI = (1.80% + 0.01%) / 2 = 0.905%.

Lesson checklist

  • I distinguish gross spread from IXOR spread.
  • I understand the total round-trip fee.
  • I can reproduce ROI manually.

Common mistakes

  • Subtracting fees again from an already net IXOR spread.
  • Treating the funding adjustment as a guaranteed payment.
Finishing the lesson

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