Cross-Exchange Spot Arbitrage with Inventory Rebalancing
Summary
This strategy monitors two spot exchanges for price differences in either direction. It sells on one venue and buys on the other when the top-of-book spread exceeds a configurable threshold, expressed either as a fixed price difference or a percentage. Trade size is bounded by visible order-book amounts, minimum and maximum order sizes, and available balances. Price offsets, precision, and optional currency conversion rates are configurable.
A separate balancing routine compares current combined asset holdings with their saved starting level. When inventory drift exceeds the minimum trade size, it selects a venue based on available funds and depth pricing, then trades to restore the balance. The example also cancels outstanding orders and periodically checks accounts. Parameters include a 300-second balance interval and a 0.005 to 0.2 unit trade range. The document gives implementation settings but no backtest or profitability evidence. It does not detail fees, latency, partial-fill handling, transfer constraints, or how robust the spread thresholds are, all of which can affect arbitrage outcomes.
Key ideas
- The strategy buys and sells the same asset across two venues when the quoted spread clears a configurable threshold.
- The threshold can be set as a fixed price difference or a percentage of a reference price.
- Order size is constrained by available top-of-book quantity, account balances, and configured limits.
- A periodic inventory routine trades to bring aggregate asset holdings back toward their initial level.
- The document provides parameters and implementation logic but no evidence of net profitability after costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.