Cross-Exchange Bitcoin Spot Trading with Laddered Spread Thresholds

Summary

This document presents a two-exchange Bitcoin spot strategy that monitors account balances and top-of-book prices, then places paired orders when the observed cross-exchange spread meets a threshold. The threshold varies with a measure of how much trading has occurred on each venue. Order size is constrained by available balances, displayed depth, and a configured maximum; an adjustment is also made for a target profit and estimated slippage. The code checks for stale or unavailable market depth and limits certain frozen funds before proceeding.

The material consists mainly of implementation code and parameter names, with no backtest results, fees analysis, or evidence of realized profitability. It does not explain a complete method for handling partially filled or mismatched paired orders, and the excerpt is truncated, so the full execution and recovery behavior cannot be assessed. The approach depends on synchronized, reliable order books and sufficient liquidity on both exchanges. Trading costs, latency, inventory exposure, and venue-specific execution risks could change whether an apparent spread is exploitable.

Key ideas

• The strategy seeks cross-exchange spreads by placing paired Bitcoin spot orders when a threshold is met.
• The spread threshold depends partly on a measure of relative trading progress across the venues.
• Order size is limited by balances, top-of-book quantities, and a configured maximum.
• Estimated slippage and a target profit affect the prices used for orders.
• The truncated code and lack of results leave execution recovery and net profitability unverified.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.