In this paper, the transaction price of gold T+D is selected as the spot price benchmark, mainly based on the following considerations: First, the spot gold delivered by gold T+D is very similar to that delivered by futures, and some brands can even directly register warehouse receipts for futures delivery. Second, the deferred settlement mechanism of T+D is more flexible than spot trading, which can save delivery, warehousing and transportation costs in arbitrage transactions and reduce arbitrage costs to some extent. T+D margin trading mechanism saves the occupation cost compared with direct spot trading. Third, the price difference between gold T+D and spot gold is very small, which is mainly caused by the difference in transaction and delivery costs and delivery grades.