ARB–OP Layer-2 Twin Spread Convergence, Dollar-Neutral Cross-Venue Long/Short (ARBUSDT.OKX vs OPUSDT.BYBIT, 4H)

Market-neutral relative-value trade between Arbitrum (ARB) and Optimism (OP), the two largest Ethereum optimistic-rollup tokens. They share the same business (Ethereum L2 sequencer revenue), the same holder base, the same narrative catalysts (EIP-4844 blobs, L2 fee wars, ETH beta) and similar token-unlock overhangs, so common factors drive most of their log price ratio. Name-specific flow shocks push the ratio away from its recent mean, and these tend to partly retrace within days. Examples are an unlock dump on one name, one-sided listing or airdrop rotation, and a liquidation cluster on one name. Primary leg: ARBUSDT.OKX (OKX USDT swap, history from 2023-03). Hedge leg: OPUSDT.BYBIT (Bybit linear perp, history from 2022-06). The strategy uses synchronized 4-HOUR bars and OHLCV only, with no supplementary feed. The engine charges funding where available, but funding is not a signal. Signal: s_t = ln(ARB_close) - beta * ln(OP_close), where beta is a rolling OLS hedge ratio over `lookback` bars, and z = (s_t - mean(s)) / std(s) over the same window. A stability gate allows trades only when the rolling correlation of 4H log returns over `lookback` bars is >= `min_corr`, meaning the twin relationship is intact. This gate separates the factory's surviving LTC–DOGE cross-venue spread from the failed BCH–LTC overreaction trade, which traded shocks without a stability condition. Venue choice: cross-venue scope is at 7.7% against a >=15% target, OKX and BYBIT are each at about 2.5-2.7% against >=5% targets, and long/short is at 18.7% (long-only is 81.3% against a 55% cap). Neither ARB on OKX nor OP on Bybit is concentrated in the corpus. Fills: orders are submitted at the signal bar's close, which is the 24/7 equivalent of a next-bar-open fill. Sizing: the ARB leg is `leg_notional_pct` (0.30) x equity x leverage (2.0), about 60% of equity. The OP leg is beta x the ARB notional, capped at 1.5x the ARB notional. Gross exposure is about 120% of equity at beta = 1, up to 150% at the cap. Only one spread position is held at a time, on netting accounts. Protective exits: a spread-level stop on |z| (evaluated on bar close) plus a time stop. Fee arithmetic: the ARB/OP ratio's daily realized volatility is roughly 2.5-3.5%. Entries at |z|>=2 on a ~10-day window correspond to ~5-8% ratio dislocations. Capturing half of that gives ~2.5-4% on the spread, or ~1.2-2% per leg-notional. Costs are ~0.10% RT on OKX and ~0.11% RT on Bybit per leg, plus ~0.05% impact, so the capture is more than 5x cost. Expected firing rate: 15-30 spread trades per year, about 45-90 over ~3.5 years of overlapping history.