Arbitrage bot needs USDT to start. This USDT is used to buy token in Spot market , and to buy short contract in futures market. By this way, any price movement will not affect your total holdings, either increase of price or decrease of price. This could happen because any profit in spot market will cause loss in futures market, and any profit in futures market will cause loss in spot market. Those 2 position will cancel out. You only gain profit from funding fee, and opportunity profit from price gap.