Cross-Exchange Crypto Hedging Around Net-of-Fee Price Spreads
Summary
This strategy seeks to trade price differences between two or more crypto exchanges while holding both cash and coins across the accounts. It adjusts bid and ask prices for estimated fees, selects a venue to buy and another to sell, and acts only when the net spread clears a configured minimum. Order size is capped, and the program later checks aggregate holdings and places balancing trades when inventory differs from its starting level. Price bounds, retry intervals, and an optional loss limit are included as controls.
The document describes the mechanics and configuration but provides no backtest or measured profitability evidence. Its claim that price direction does not matter does not eliminate execution, inventory, exchange, or transfer risks; positions remain distributed across venues and may not be perfectly hedged. The source’s spread calculation, order sequencing, and balance logic deserve independent review, and the example depends on pre-funded accounts with both cash and coins. A displayed loss stop and notification option do not establish that losses can be contained in all market conditions.
Key ideas
- The method buys on one venue and sells on another when the fee-adjusted spread exceeds a threshold.
- Accounts must be pre-funded with both cash and coins because the strategy does not transfer assets.
- It caps trade size and attempts to rebalance aggregate coin holdings after trades.
- Price limits and an optional loss threshold are configurable operational controls.
- No measured results are given, and cross-venue execution and inventory risks remain.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.