Triangular Crypto Arbitrage Across BTC, LTC, and USDT Markets

Summary

This example describes two triangular arbitrage directions across BTC/USDT, LTC/USDT, and LTC/BTC markets. It compares prices from the three tickers and estimates whether converting through the triangle could yield a positive return after applying a stated trading fee. One route buys and sells LTC while moving between BTC and USDT; the reverse route evaluates the opposite sequence. The example calculates resulting balances and reports estimated USDT and adjusted account gains.

The strategy assumes orders can execute at the quoted opposing prices and uses a fixed trade quantity. The document explicitly flags market depth as a further consideration for real execution, and its account-balance checks are not implemented. The published backtest covers a short historical period, but no aggregate performance statistics are given. Actual profitability would also depend on fees, liquidity, price movement between legs, and whether all three trades fill as expected.

Key ideas

• The method checks price discrepancies across three linked crypto pairs for arbitrage opportunities.
• It evaluates both forward and reverse conversion routes.
• The opportunity test incorporates a stated fee rate into its price comparison.
• The example assumes fills at opposing quoted prices and notes that market depth matters.
• Balance sufficiency and real multi-leg execution are not fully modeled.

Tags

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