# Arbitraging OANDA continuous rollover vs other brokers' discrete rollover

Most brokers compute rollover once a day (2200 GMT), but OANDA calculates it continuously.

 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.

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Transaction costs are indeed the barrier to most forms of arbitrage. Have you backtested your strategy with historical data? – chrisaycock Mar 13 '11 at 17:22
@chrisaycock Nope. I plan to "forward test" in about 3h35m10s... Backtesting may be difficult since different brokers have different bid/ask spreads and different rollover rates. I'm not sure how much historical data they keep on either. – barrycarter Mar 13 '11 at 17:25
how did it end up going? – emaster70 Aug 2 '11 at 8:36