Designing a Two-Way Spot Exchange Hedge with Adjustable Spread Triggers
Summary
This article describes upgrades to a cryptocurrency spot arbitrage strategy operating across two exchanges. It adds separate spread thresholds for trading in each direction, uses order-book bid and ask prices with a slippage allowance, and caps hedge size by available coin inventory, quote-currency balance, and a configured maximum. A one-sided hedge mechanism is intended to restore inventory when persistent price differences leave assets concentrated on the less favorable exchange.
The implementation also plots both directional spreads and their trigger levels, accepts live changes to trigger parameters, and presents account balances and spread data in a status table. The article explains that the exchange leverage-mode switch applies only to supported Binance spot accounts and is a live-trading feature. It offers backtesting as an initial way to catch functional issues, while cautioning that real-market testing remains necessary; no quantitative performance results are supplied.
Key ideas
- Separate spread thresholds allow the strategy to trigger hedges independently in each exchange direction.
- Orders use executable top-of-book prices adjusted by a slippage amount, with hedge quantities bounded by liquidity and balances.
- A one-sided rebalancing trade can restore inventory when persistent spreads prevent the opposite hedge from occurring.
- Charts, interactive controls, and a tabular status display support monitoring and adjusting the strategy.
- Backtests can reveal implementation issues, but they do not establish live execution performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.