Futures arbitrage calculator
Profit, ROE and the liquidation price of a perpetual at the exchange's live price, your fee and the maintenance margin rate we read from the exchanges daily. The second tab sizes a position from your risk, the third works out a two-leg arbitrage trade.
The basis is how far the short leg trades above the long leg. Profit = amount × (entry basis − exit basis) − four fees + funding: the short receives its rate, a long perp pays its own. Capital is the spot bought plus the perps' margin at the leverage set.
Result
Type the amount and the entry basis.
How it counts
The price result = quantity × (exit price − entry price) for a long, the reverse for a short. The taker fee is charged on the position's value at entry and at exit. Each funding period = position value × rate: with a positive rate longs pay and shorts receive. ROE is the net profit over the margin.
Margin = position value / leverage. Liquidation comes when margin plus the unrealised result falls to the maintenance margin: position value × maintenance rate − the tier's deduction. For a long the liquidation price = (value − margin − deduction) / (quantity × (1 − rate)); for a short = (value + margin + deduction) / (quantity × (1 + rate)).
We read each perpetual's first-tier maintenance rate and maximum leverage from the exchanges daily: Binance, Bybit, OKX, Bitget, Gate, MEXC, KuCoin and Hyperliquid. A large position falls into the next tier at a higher rate; the calculator warns you.
Example: a long of 10 ETH at $1,000 with $1,000 of margin (10× leverage) at a 0.4% maintenance rate. The liquidation price is $903.6145, about 9.6% below the entry.
Related pages
- Futures — futures routes now: basis and funding between exchanges, profit after fees
- Futures basis — spot–futures basis by exchange and coin
- Funding — funding rates on every exchange
- Calculator — the spot arbitrage calculator, with the transfer between exchanges
FAQ
- How do you calculate a futures liquidation price?
- For isolated margin, a long's liquidation price = (position value − margin − deduction) / (quantity × (1 − maintenance margin rate)); a short's has the signs reversed. The calculator fills in the chosen exchange's first-tier rate.
- How does leverage affect liquidation?
- The higher the leverage, the smaller the margin and the closer the liquidation: the price must move about 1 / leverage less the maintenance rate against the position. At 10× and a 0.5% rate that is about 9.5%, at 50× about 1.5%.
- How is ROE calculated on futures?
- ROE is the net profit after fees and funding divided by the position's margin. At 10× leverage a 1% price move gives about 10% ROE before fees.
- How do you calculate position size from risk?
- Size = the loss you accept / (distance to the stop + entry and exit fees per coin). The Position size tab does this and shows the minimum leverage.
- Why can the exchange's liquidation price differ?
- Exchanges work from the mark price, put large positions on higher margin tiers and charge fees and funding to the margin. The difference is usually small, but it matters for a position near liquidation.