Upgrading a Two-Exchange Spot Hedger with Directional Spread Triggers
Summary
The article develops an upgrade to a cryptocurrency spot hedger operating across two exchanges. It adds separate spread thresholds for each trading direction, allowing the strategy to respond when price differences are persistently asymmetric and inventory becomes concentrated on one venue. The example sizes each hedge using available order-book quantity, balances, holdings, and configured limits, while applying a slippage allowance to the buy and sell prices.
Other additions include plotting both spreads and their trigger levels, changing thresholds through runtime commands, switching supported Binance spot margin modes, and presenting account and spread data in a status table. The article focuses on implementation details and illustrative code rather than demonstrating a validated trading edge. It cautions that backtesting is only preliminary and that the strategy still requires testing in a live environment; exchange support and execution behavior may differ.
Key ideas
- Use separate spread thresholds for each hedge direction when exchange prices remain asymmetric.
- Limit hedge size by visible depth, available balances, holdings, and a configured maximum.
- Apply price allowances to both legs and monitor spread conditions alongside account inventory.
- Runtime controls, charts, and organized status data help operators adjust and observe the strategy.
- Treat backtesting as preliminary and verify exchange-specific behavior in live conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.