Multi-Exchange Spot Arbitrage with Fee-Adjusted Quotes
Summary
The document describes a spot arbitrage method that compares order books across exchanges to identify temporary price gaps. It proposes collecting market data concurrently, combining asks and bids, and adjusting prices for exchange fees before ranking possible buy and sell venues. Trades are considered when the best sell quote exceeds the best buy quote by a configured threshold, with checks for venue balances, order sizes, open orders, and asset imbalances.
Execution uses simultaneous taker orders with added price slippage, followed by return calculation and handling for unsuccessful fills. The article includes strategy logic but provides no readable quantified performance evidence; referenced charts are not explained in text. Results may depend on data latency, fees, liquidity, transfer constraints, and whether both legs fill as intended, which the excerpt does not analyze in depth.
Key ideas
- Concurrent quote collection is used to reduce delays in comparing venues.
- Ask and bid prices are adjusted for fees before spreads are ranked.
- The strategy buys at one venue and sells at another when the net gap clears a threshold.
- Trade size depends on available balances, displayed depth, maximum limits, and asset distribution.
- Simultaneous taker orders introduce slippage and execution risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.