Triangular Arbitrage Spread Analysis and the Effect of Fees

Summary

This brief note examines how trading fees affect the spread available to a triangular hedging strategy. It points readers to two research notebooks: one using the default fee setting and another adjusted for a different fee rate. Its central lesson is that an apparent hedge spread must be evaluated after transaction costs, since the default fee assumption can make the trade unprofitable.

For the default fee of 0.2%, the document reports a spread of about 0.00004725 BTC and a loss of about 0.806 in the notebook’s reported units. It does not provide the adjusted-fee notebook’s outcome, the exchange or markets involved, or details of the trade sequence and calculation. The example therefore illustrates fee sensitivity but is not enough to establish a repeatable arbitrage opportunity or assess execution risk, liquidity, and slippage.

Key ideas

• Triangular hedging profitability depends on transaction fees as well as the quoted spread.
• The default fee assumption produces a reported loss at the example spread.
• A second notebook adjusts the fee rate, but this note does not state its result.
• The brief example omits execution and liquidity details needed to judge practical arbitrage.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.