Foreign exchange futures arbitrage trading refers to the trading behavior that traders buy and sell two related foreign exchange futures contracts at the same time according to the abnormal fluctuation of theoretical spread between different markets, maturities or currencies, so as to hedge and close positions at the same time after the spread changes in a favorable direction. Traders believe that the price of USD-RMB forward contract is undervalued and EUR-RMB forward contract is overvalued, so traders should buy the undervalued USD-RMB forward contract and sell the overvalued EUR-RMB forward contract, and then make a profit when the forward contract price is reasonable.