I am not putting anything under the sand. I would love to be able to put a crushed limestone base down, but it would triple the cost of the whole thing. I am having it leveled which is going to cost about $700. My neighbor who used to own our land does excavation and he already knows my land really well. He built our house, dug our well, and even did the septic. I went over to his house to talk to him about it and his estimates on the amount of slope the land has where within inches of what he measured.
Their is about 1 foot of topsoil and under that it is just clay, so my sand will go right on top of the clay. He is going to cut out draining ditches and
berms, so that the only water that gets onto the arena is the rain that falls from the sky. Before I put the sand down I am going to rake out as many of the rocks as I can and compact it down. This is how my trainer did her large dressage arena and it has worked out pretty well. It is in no way an all weather arena, but the footing is consistent and is ride-able sooner after a rain then the field is.
I have seen the results of just putting the footing down on an "already pretty flat bit" the sand gets washed away and your back to where you started.
As for the type of sand, get sand that is angular. Depending on your region and who you talk to they will call this many different things. I am going to start with putting in 2 inches of sand. You can easily add to it, but it is much harder to take it away. I hate working in really deep footing. IMO, if your horses' hooves disappear in the footing just walking them in it, it is way to deep.
I have been toying with the idea of mixing in sawdust into the sand. One, it is much cheaper, two it would act like the fiber footing mixes that they sell, and three it makes the footing have more grab to it. I only hesitate because I have never seen it in use in an outdoor. I rode in a mix like this in an indoor and loved it.