Cross-Exchange Spot Arbitrage with Fee-Adjusted Order Books
Summary
The article describes a taker-style spot arbitrage method for capturing temporary price gaps across crypto exchanges. It proposes fetching order books concurrently, combining eligible ask and bid levels, and ranking them after adjusting prices for exchange fees. A candidate trade pairs the cheapest adjusted ask with a higher adjusted bid on another venue, subject to a minimum spread threshold. Trade size is constrained by available coin and quote balances, displayed depth, and configured amount limits; the example then submits buy and sell orders concurrently with price offsets intended to encourage execution.
The document explains mechanics and includes implementation examples, but its references to live results provide no readable figures or independently assessed performance evidence. It also acknowledges that failed orders and loss handling remain to be addressed. The approach depends on synchronized data, sufficient balances on both exchanges, fees, liquidity, and timely fills; slippage, latency, and one-sided execution can erase the apparent spread or leave residual exposure.
Key ideas
- Concurrent order-book retrieval is intended to reduce timing differences between exchange quotes.
- Sorting fee-adjusted asks and bids helps identify cross-venue spreads that may cover trading costs.
- Trade size depends on order-book depth, account balances, and configured quantity limits.
- Simultaneous orders with price offsets attempt to execute both legs, but do not guarantee paired fills.
- Latency, slippage, and failed orders can remove the expected edge or create exposure.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.