NSE Cash-and-Carry Arbitrage Scanner and Edge Search
A read-only scanner that ranks cash-versus-futures basis trades on executable depth prices, plus an exhaustive search that found nothing beat T-bills.
Angel One depth-based VWAP slippage model, junk-instrument and crossed-market filters, two flattering backtest bugs found and fixed, a 125,775-combination edge search with a sealed holdout, and a live paper trader on real bid/ask.
- Depth-based executable pricing, never LTP-to-LTP
- Two result-inflating bugs found and corrected
- 125,775-combination search with a sealed holdout
- Honest verdict: nothing beat risk-free after costs
The brief was to find a low-risk 1.5 to 2 percent per month on a seven-figure rupee book. The scanner itself is careful engineering: it logs into Angel One SmartAPI, reads five levels of depth per side, ranks opportunities on futures best bid minus cash best ask rather than last prices, models slippage through depth, flags candidates without verified corporate actions, and filters the instrument master's test contracts and the zero-bid quotes that appear after close and would otherwise read as infinite basis. It never places orders.
The research verdict, measured on two years of exchange bhavcopy data, was negative and reported as such: cash-and-carry peaked below one percent a month, conversion arbitrage near zero, dividend capture lost money, and index option selling variants ended below the risk-free rate once their worst months were included. Two bugs that had made results look good were found and fixed: dividend adjustments to futures contracts booked as profit, and a stale expiry date that silently dropped the worst month.
A follow-on search over 125,775 strategy and filter combinations with an untouched holdout kept two overnight and intraday volatility rules alive; these now run as a paper trader on real bid/ask prices every market day, and only the paper record will decide whether anything goes further.
How it works
- Login via TOTP; instrument master filtered for junk and stale contracts
- Depth quotes pulled for cash and futures pairs
- Net basis computed on executable prices with modelled slippage and costs
- Candidates ranked and flagged for unverified corporate actions
- Paper trader journals the surviving rules daily
Software and automation are infrastructure, not financial advice. No performance guarantees. Every live system needs staged testing, risk limits, and owner approval.