Two-Exchange ETH Arbitrage Using Order-Book Price Gaps

Summary

This short example describes a cross-exchange arbitrage loop for ETH. It reads the second bid level on one exchange and the second ask level on another, then compares their prices. When the bid-to-ask ratio reaches a configurable minimum, it buys on the lower-priced venue and sells the same quantity on the higher-priced venue. The trade size is capped by both displayed order sizes, the seller’s ETH holdings, and the buyer’s available quote balance.

The published backtest configuration uses hourly data across Bitfinex and OKCoin_EN from January to August 2018, with balances and ETH holdings specified for each account. The document gives no performance results, transaction-cost model, or treatment of latency and partial fills. It also does not account for fees, transfers, or whether the displayed prices remain available when orders execute, so the example illustrates a basic spread trigger rather than evidence of profitable arbitrage.

Key ideas

• The strategy compares a bid on one exchange with an ask on another.
• It trades only when the ratio between those prices reaches a configured threshold.
• Trade quantity is limited by order-book size and each account’s available assets.
• The example provides backtest settings but no results or analysis of execution costs.

Tags

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