Most brokers compute rollover once a day (2200 GMT), but OANDA calculates it continuously.
I thought I'd cleverly found an arbitrage opportunity, but it turns out OANDA knows about this and advertises it. Quoting from http://www.oanda.com/corp/story/innovations
Professional traders can exploit this flexibility by arbitraging the continuous and discrete interest-calculation scenarios through two trading lines--one with an established player, such as Citibank or UBS, and the other with OANDA. Whenever they sell a high-interest-rate currency (such as South African Rand) they can do so with the traditional player, where they will pay no intra-day interest for shorting that currency. On the other hand, they can always buy a high-interest-rate currency through OANDA, where they earn the "carry" (interest-rate differential) for the position, however briefly they may hold it.
Has anyone done this? I realize the bid/ask spread on both sides would have to be small, but this still seems viable?
My form of arbitrage is slightly different: hold a high-interest position w/ a regular broker for 1 minute on each side of rollover time, just to get the rollover (for the entire 24 hour period). Take the opposite position w/ OANDA. You'll pay rollover, but for only 2 minutes.
EDIT: Apologies, I never got around to test this. Has anyone else had a chance? I realize oanda.com's higher spreads (which are non-negotiable) may cover the arbitrage.