Aiming at the problem of the gap between theory and practice that exists in our stock index futures market which causes the disequilibrium between the development demand and actual condition of the market. The present paper proposes a strategy to solve it, namely to construct a system of stock index futures arbitrage and management. The system's design is based on practical survey, and the realized system named SIFAM-System is based on C#. The system implements two calendar spread arbitrage strategies based on models. One is calendar spread arbitrage based on basis trade and the other is calendar spread arbitrage based on arbitrage-free interval. It also implements some management functions that are related to the core function of arbitrage. The system implements model calculation, market monitoring, arbitrage opportunities judgment, and open or close positions by computer-assisted, which achieves the goal of decision-making for investors. It also provides a solution strategy from theory to practice to the development problem that exists in the stock index futures market.