This paper reports facts about arbitrage of rice traders in Antananarivo, Madagascar. First, even in the same period, for the same variety, some traders are purchasing from districts with higher prices when some others are purchasing with lower price in different district, indicating scope for better arbitrage. Second, although the cheapest district changes over time, most of the traders specialize in trading in few, limited, popular districts, which are not always the cheapest district. Third, consequently, traders often fail to purchase from the cheapest district and therefore are paying substantially higher prices than the cheapest price. Fourth, traders do not search price in other districts extensively, and their knowledge on price is concentrated in very few districts. Fifth, our randomized controlled trial intervention to provide regional price information via SMS had no effect on purchasing behavior, arbitrage efficiency, or quantity, price, and margin of purchase.