Monitoring Price Spreads Between Two Exchanges
Summary
This document describes a monitor that samples prices from two exchanges and plots their difference over time. The operator can choose last-traded, bid, or ask prices independently for each venue, set polling and retry intervals, and optionally adjust exchange currency conversion. The displayed chart includes zero and user-defined positive and negative spread reference levels, making changes in the selected price differential easier to inspect.
The tool requires exactly two exchanges and continuously requests ticker data, retrying when a request fails. It updates the chart when the measured spread changes, while filtering out some unusually large jumps using a hard-coded difference check. That filter may also discard genuine market moves, and the document does not explain its rationale. Although the plotted spread can help identify potential cross-venue opportunities, the monitor does not place or coordinate trades, account for fees, latency, liquidity, or currency conversion error, or provide backtest results. A displayed price gap alone does not establish an executable arbitrage opportunity.
Key ideas
- The monitor compares a selected price type from each of two exchanges and charts their difference.
- Users can configure polling intervals, retry delays, reference levels, and optional currency conversion.
- A hard-coded jump filter can suppress abrupt changes in the measured spread.
- The tool visualizes potential cross-venue gaps but does not execute trades or establish profitability.
- Fees, liquidity, latency, and other execution constraints are not evaluated.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.