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Triangular Hedging Across Three Crypto Trading Pairs

Article Strategy library · Author: 发明者量化-小小梦
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Summary

This teaching example describes a triangular hedge using ETH/BTC, ETH/USDT, and BTC/USDT markets. It compares the ETH/BTC quote on one venue with an implied ETH/BTC rate calculated from the other two pairs. When the difference exceeds a fixed threshold, it places a three-leg set of trades intended to hedge the relative pricing gap. The example also checks available balances and submits the legs concurrently, then updates account balances and estimated profit.

The document explicitly calls the approach educational and identifies missing improvements, including balancing coin inventories, adjusting the spread threshold for fees, executing arbitrage directly, and scanning order-book depth to choose trade size. The sample code uses a fixed hedge amount and threshold and waits a short interval between checks. It does not provide backtest settings or performance results, and it offers no detailed treatment of partial fills, execution risk, latency, or fee impact. These omissions limit what can be inferred about profitability or practical reliability.

Key ideas

  • The strategy compares one ETH/BTC market with an implied rate derived from ETH/USDT and BTC/USDT.
  • A price discrepancy beyond a fixed threshold triggers coordinated trades across three pairs.
  • Balance checks and concurrent orders are used to manage the example's three legs.
  • The author identifies coin balancing, fee-aware thresholds, and order-book depth as unfinished work.
  • No results are reported, and execution risks such as partial fills and latency are not analyzed.

Tags

CryptoArbitrageExecutionMarket microstructureSpot markets

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