Cross-Exchange Crypto Spread Hedging with Fixed-Size Orders
Summary
This teaching example describes a simple cross-exchange crypto hedge. It fetches account balances and ticker data from several exchanges, then compares each exchange’s bid with another exchange’s ask. When the spread exceeds a configured threshold, it sells on the higher-priced venue and buys on the lower-priced venue, subject to available coin and cash balances. The example uses a fixed coin amount and configured order precision.
The document provides implementation logic and adjustable thresholds, but no performance results or formal evaluation. Its approach has practical limits: the comparison uses quoted prices, while fees, slippage, order execution timing, and partial fills can erase or alter the apparent spread. It also has no explicit handling for failed or unmatched legs, and it does not describe inventory rebalancing or risk controls. Treat it as a basic illustration of spread hedging rather than evidence of a profitable arbitrage strategy.
Key ideas
- The strategy scans exchange pairs for a bid–ask spread that exceeds a configurable threshold.
- It sells on the venue with the higher bid and buys on the venue with the lower ask.
- Orders use a fixed coin quantity and require sufficient balances on both exchanges.
- Quoted spreads do not account for execution costs, fill risk, or inventory management.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.