How to use it
- Enter the trade size in CAD.
- Enter the token price on the chain where you buy and on the chain where you sell.
- Enter the trading fee on each side, the bridge cost and the total gas.
- Enter the transfer time in minutes and an hourly volatility estimate.
- Compare the net result with the one-standard-deviation price risk.
How the gap is measured
The calculator buys units at price A, sells them at price B, and subtracts a fee on each trade, the bridge cost and gas. The breakeven spread is the gap needed to cover all of these, expressed as a percentage of trade size so you can compare it directly with the visible spread.
It then adds the part most screens leave out: the tokens are in transit between the two trades, and the price can move while they are.
In the worked example below, trading fees alone need a gap of about 0.60%, and the bridge cost and gas add another 0.25%, for a breakeven of 0.85%. Fixed costs shrink as a share of larger trades, but the trading fees do not, so a gap smaller than the two fees combined cannot be closed profitably at any size.
Worked example
Illustrative inputs: $10,000 trade, token at $25.00 on chain A and $25.30 on chain B, a 0.3% fee on each side, a $15 bridge cost, $10 of gas, 20 minutes in transit and an assumed volatility of 1.5% an hour.
The trade clears its costs by $34.64, but a one-standard-deviation price move during the 20-minute transfer is $86.60. An unfavourable move of that size turns the result into a loss of $51.96. If price moves were normally distributed, an adverse move at least that large would happen roughly one time in six, and crypto prices have fatter tails than a normal distribution.
| Measure | Result |
|---|---|
| Visible spread | 1.20% |
| Units bought | 400 |
| Gross gain | $120.00 |
| Trading fees (0.3% each side) | −$60.36 |
| Bridge cost and gas | −$25.00 |
| Net, if prices stay put | +$34.64 |
| Breakeven spread | 0.85% |
| One-standard-deviation move over 20 minutes | ±$86.60 |
| Net after an adverse one-standard-deviation move | −$51.96 |
Transit time is the core risk
The calculator scales hourly volatility by the square root of time: σ per hour × √(minutes ÷ 60). Twenty minutes is a third of an hour, so the move is 1.5% × √(1/3), about 0.87% of the trade. Bridges can take much longer than expected when congested, and the risk grows with every extra minute.
The volatility figure is your assumption, not a measurement. Volatility tends to rise sharply in sell-offs, and that is often when gaps between chains open up, because gaps appear when bridges are congested or markets are moving fast.
What the model leaves out
It does not include price impact on either trade, other traders closing the gap first, the return trip to move funds back, failed transactions, or a bridge pausing or failing. Use the bridge cost calculator and the MEV calculator to refine the fee and impact inputs.
A one-standard-deviation figure describes a typical move, not a worst case. Moves of two or three standard deviations are less likely but far from rare in crypto markets.
Canadian context
Each leg is a trade of one crypto-asset for another or for cash, and CRA treats such trades as dispositions. CRA's factors for business income include frequent transactions, short holding periods and time spent studying the markets, so repeated arbitrage is more likely to be business income than capital gains; see capital vs business income.
Record both chains, both wallet addresses and the CAD value at each step. The ACB calculator can track cost where you hold inventory between trades.