Two-leg cost check
Cross-venue funding spreads: from gross rates to net P&L
After finding a rate gap, put both legs' funding cash flows, execution costs and price P&L into the same holding-period ledger.
A funding gap suggests a potential difference in payments, not net profit. Exposure, units and observation periods must be comparable, and actual funding receipts must cover trading fees, price losses and other costs for total P&L to be positive.
First make the two legs comparable
This guide covers two linear perpetuals on the same underlying asset with the same settlement currency: short one and long the other. It does not model spot-perpetual or inverse-contract strategies. Every price, rate and fee here is hypothetical, not a current opportunity.
- Check contract multipliers and size units. The same ticker need not mean the same asset or exposure.
- Compare base-asset quantities for price exposure; equal notional at different execution prices need not mean equal coin quantities.
- Confirm settlement currency, collateral and valuation. Different stablecoins or inverse contracts add conversion and collateral risks.
- Choose a shared holding period and list settlement timestamps for both legs before comparing rates with different periods.
How to align 4h and 8h funding rates
Assume 0.2 BTC on each leg, valued at an unchanged 50,000 USDT, so settlement notional is 10,000 USDT per leg. Within one shared 8h window, short A participates in exactly one settlement and long B in exactly two. All rates stay unchanged for this example.
Gross funding income = 10,000 × (0.03% − 2 × 0.005%) = 2 USDT
A: 32.85% annualised − B: 10.95% annualised = 21.90 percentage points
| Position | Rate per settlement | Settlements | Total cash flow |
|---|---|---|---|
| Venue A: short | +0.03% / 8h | 1 | +3 USDT |
| Venue B: long | +0.005% / 4h | 2 | −1 USDT |
| Combined | 0.03% − 2 × 0.005% | Same 8h window | +2 USDT |
The 21.90 figure is an annualised percentage-point gap, not a 21.90% return in eight hours. Another 2 USDT window requires the same fixed notional and rates. Recalculate whenever actual settlement timing, rates or notional changes.
Two entries and two exits mean at least four trading fees
Bybit's linear-contract explanation calculates fees as executed quantity × executed price × trading fee rate. We use that measurement method only: every fill below assumes 10,000 USDT notional and a 0.02% fee. These are not quotes for any venue or account tier.
| Execution | Assumed fill notional | Assumed fee rate | Fee |
|---|---|---|---|
| A: sell to open short | 10,000 USDT | 0.02% | 2 USDT |
| B: buy to open long | 10,000 USDT | 0.02% | 2 USDT |
| A: buy to close short | 10,000 USDT | 0.02% | 2 USDT |
| B: sell to close long | 10,000 USDT | 0.02% | 2 USDT |
| Total | 40,000 USDT traded | — | 8 USDT |
For a real trade, use each fill's price, account fee tier, maker or taker classification, rebates and extra charges. Split orders and partial fills create more ledger rows. A limit order does not automatically guarantee maker execution. This equal-notional budget cannot replace the execution ledger.
Put price P&L and costs into one ledger
For a completed trade, use the accounting identity below. Funding is signed cash flow; fees and other costs are expenses. When price P&L uses actual execution prices, slippage is already reflected in those prices. Do not subtract it twice. Only a pre-trade budget should separate reference-price P&L from estimated slippage.
Here, price P&L means the component before funding and trading fees. A venue's realised or closed total may already include them, as Bybit's Closed P&L does. Inserting that total again would double-count the payments and costs.
Net P&L = actual funding cash flows + actual execution-price P&L − actual trading fees − other actual costs
For matched base quantity Q, price P&L = Q × (A short entry − A short exit + B long exit − B long entry)
| Ledger item | Assumed amount | Treatment |
|---|---|---|
| Total funding cash flow | +12 USDT | Sum all settlements on both legs |
| Combined execution-price P&L | −3 USDT | Includes execution slippage |
| Actual entry and exit fees | −8 USDT | Use the execution ledger |
| Transfers, borrowing and other costs | −1 USDT | Only costs actually incurred |
| Net P&L | 0 USDT | 12 − 3 − 8 − 1 |
This separate ledger example does not assume the previous section's four execution prices produced the −3 USDT loss. A change in the cross-venue price gap between entry and exit can consume funding receipts. OKX discusses basis and slippage for a spot-perpetual strategy; our two-perpetual accounting identity is separate and does not import that strategy's return.
Breakeven time depends on fixed assumptions
Return to the simplified 2 USDT gross income per shared 8h window. Counting only 8 USDT round-trip trading fees and ignoring price P&L and all other costs gives four identical windows, or 32 hours, to break even. This is an arithmetic threshold, not a forecast.
Simplified breakeven windows = round up (total round-trip costs ÷ positive gross income per shared window)
8 ÷ 2 = 4 windows; zero or negative gross income has no breakeven window count in this fixed model
If gross income drops to 1 USDT per window, covering those 8 USDT fees alone takes eight windows. A reversal can instead increase losses. Recalculate for basis losses, borrowing or collateral costs, and check whether both positions can survive until those settlements occur.
A rate gap does not ensure both positions can be maintained
- Confirm the latest rates, settlement timestamps and rate periods on both venues. Quotes can change before settlement.
- Check depth, bid-ask spreads, size minimums and entry and exit execution. If one leg fills before the other, the position is temporarily directional.
- Check margin and liquidation distance separately. Profit on one venue does not automatically replenish collateral on the other.
- Include transfer availability, withdrawal restrictions, maintenance, auto-deleveraging and counterparty risk in the exit plan.
- Save actual fills and funding records and reconcile in one settlement currency. High annualisation, historical payment-direction shares or matching tickers do not guarantee executable returns.
Common questions
Does a larger funding spread mean a larger net return?
Not necessarily. A funding spread describes one potential gross cash flow. Actual notional, settlement counts, entry and exit fees, changes in the price gap and other costs determine net P&L.
Can 4h and 8h funding rates be subtracted directly?
No. Count each venue's actual settlements and cash flows over the same holding period first. With fixed rates and notional, one 0.03% settlement minus two 0.005% settlements is 0.02%, not 0.025%, over eight hours.
How many trading fees does a two-leg funding trade incur?
A full entry and exit typically includes at least four executions: open and close on each venue. Split fills and rebalancing add records. Check the actual fee rate for every fill.
Should I subtract slippage after using actual execution prices for P&L?
No. Execution-price P&L already reflects slippage. A pre-trade budget can instead use reference-price P&L and list estimated slippage separately.
Can a hedged long and short still be liquidated?
Yes. Venues manage margin separately and profit on one does not automatically support the other. Price gaps, asynchronous fills, funding payments and margin rules can liquidate one leg first.
Official sources and scope
These sources support the venue rules explained here. Worked numbers are our calculations under stated assumptions, not venue quotes. Rules can change; the specific contract and account settlement record take precedence.