Hourly Funding Spread — META Arb

Long META on Lighter  +  Short xyz:META on HL (1×)  ·  Nov 20 2025 → Jan 20 2026  ·  1,000 hourly snapshots  ·  Lighter rate: current snapshot 71.4% APR  ·  HL rate: historical
CAPITAL
$10,000
Liquidity Warning: HL book depth ≈$750 · Lighter ≈$1,356. At this size you need — sequential orders — slippage model understates real entry cost.
Portfolio Value
—
capital + gross income
Gross Income
—
61 days · before fees
Entry Fees
—
0.5% × 2 legs
Exit Fees
—
0.5% × 2 legs
Net Income
—
after all fees
Net APR
—
annualised 61 days
Rebalance Events
1
HL < −1.5 bps × 2h
HL Rate  /  Lighter Rate  /  Net Spread  (bps per 8h, hourly snapshots) spread always positive (min 4.07 bps) 1 rebalance alert
Net spread (HL + Lighter) Lighter rate — 6.52 bps floor HL rate — variable Rebalance alert
Cumulative Gross Income — scales with capital slider $10K
Total Yield Earned — scales with slider
Gross Yield
—
61 days · before fees
Net Yield
—
after entry + exit
Gross APR
—
annualised gross
Net APR
—
annualised net
Lighter Contribution
—
98.7% of gross
HL Contribution
—
1.3% of gross
Strategy Parameters
AssetMETA
HL perpxyz:META (HIP-3 DEX)
HL directionSHORT · 1× leverage
Lighter directionLONG · spot margin
SettlementEvery 8h (00:00 / 08:00 / 16:00 UTC)
Lighter rate (snapshot)0.000652 / 8h = 71.4% APR
HL rate (mean)0.000009 / 8h ≈ 1% APR
Min spread observed4.07 bps / 8h — always > 0
Entry + exit slippage1% + 1% of capital
HL book depth~$750 per order
Lighter book depth~$1,356 per order
Rebalance triggerHL < −1.5 bps for 2+ hours
Rebalance Alert Log
#Timestamp (UTC)HL RateSpreadAction
Alert when HL < −1.5 bps for 2+ hours. At 1× leverage no liquidation risk — spread compression warrants review.
HL xyz:META Rate Only (bps/8h) — short side contribution tiny vs Lighter
Notes: Lighter rate is current API snapshot (71.4% APR) applied uniformly — historical Lighter data unavailable. HL rate is actual historical data. 20-day gap (Dec 11–31) visible as flat region. 1× HL leverage: minimal liquidation risk.

META Funding Arb — Backtest LIVE DATA

Short xyz:META on HL  ·  Long META on Lighter  ·  Nov 20 2025 → Jan 20 2026 (61 days)  ·  $10K deployed in 10 × $1K chunks · 1 chunk every 2 days
Combined Net P&L
+$456
after $200 entry + exit slippage
Annualised Return
39.3%
on $10K capital · 61 days
HL Funding Only
+$10.50
−$189.50 net after slippage
% Positive Periods
86.5%
109 / 126 × 8h settlement windows
Cumulative P&L  20-DAY DATA GAP DEC 11–31
P&L Breakdown
Capital Deployed Ramp-Up (10 × $1K chunks)
HL Funding Rate per 8h Settlement (bps) +86.5% of periods
Deployment Schedule — chunk by chunk P&L at entry
#Date deployedAddedTotalCum P&L (net)
Caveats: Lighter rate is current snapshot (71.4% APR) projected backward — not verified historically. HL data gap Dec 11–31 excluded. Slippage 0.5%/leg assumes single-order fill; above $750 needs multiple orders. Combined P&L entirely driven by Lighter rate assumption.