Crypto arbitrage help please

Trade Prophet

Trade Prophet

Hi traders,
If you have some experience trading crypto arbitrage I would like to discuss rebalance issues arising from asymmetric trading like selling one side but canceled buy on the other which creates imbalance challenge,
If you can help us figure out how to battle such issues, it is much appreciated,
Thanks.
 
Trade Prophet said:
Hi traders,
If you have some experience trading crypto arbitrage I would like to discuss rebalance issues arising from asymmetric trading like selling one side but canceled buy on the other which creates imbalance challenge,
If you can help us figure out how to battle such issues, it is much appreciated,
Thanks.
More...

It is done on purpose to prevent arbitrage. Easy money in crypto was 5 years ago
 
Trade Prophet said:
Hi traders,
If you have some experience trading crypto arbitrage I would like to discuss rebalance issues arising from asymmetric trading like selling one side but canceled buy on the other which creates imbalance challenge,
If you can help us figure out how to battle such issues, it is much appreciated,
Thanks.
More...
It's just an infrastructure issue. Your bot isn't fast enough
 
Trade Prophet said:
The bot is fast enough, it just has to trade cryptocurrency that displays arbitrage quality on one platform and then the other frequently
More...
Well then I don't understand the issue. When you are filled at the bid for your entire inventory on venue 1, transfer everything to venue 2 and do the reverse. If you don't like discrete rebalancing times, rebalance every x% of your inventory and use stables to instantly transfer the money
 
Thanks for the reply.
The issue is that in that scenario I lose conversion to stable + transfer fees + conversion from stable, right?
My challenge is calculating the precise loss in order to know what's the minimum arb profit
 
In the end, it depends how your bot acts. If it watches the prices and snipes trades that are over a certain threshold while you convert instantly, you need to calculate your threshold on a trade by trade basis.

If you quote bids and offers on venue1 based on bids and offers on venue 2, which is a basic market making algo, then you could wait until your inventory on venue 1 is maxed out, then do the transfer on fiat (w/o stables) then you could quote more narrow.

Then only thing you have to pay attention to in scenario two is the fact that you are not hedged while the transfer is happening so the trade is as follows:

BTC/USD venue 1 is too low->you have USD on venue 1 and BTC on venue 2->you exchange USD vs BTC on venue 1 and do the opposite on venue 2-> once you have only BTC on venue1 and only USD on venue 2-> sell BTC/USD futures to hedge inventory->transfer USD to venue1 and BTC to venue2-> buy back futures and switch on the arb bot again.
 
MrMuppet said:
In the end, it depends how your bot acts. If it watches the prices and snipes trades that are over a certain threshold while you convert instantly, you need to calculate your threshold on a trade by trade basis.

If you quote bids and offers on venue1 based on bids and offers on venue 2, which is a basic market making algo, then you could wait until your inventory on venue 1 is maxed out, then do the transfer on fiat (w/o stables) then you could quote more narrow.

Then only thing you have to pay attention to in scenario two is the fact that you are not hedged while the transfer is happening so the trade is as follows:

BTC/USD venue 1 is too low->you have USD on venue 1 and BTC on venue 2->you exchange USD vs BTC on venue 1 and do the opposite on venue 2-> once you have only BTC on venue1 and only USD on venue 2-> sell BTC/USD futures to hedge inventory->transfer USD to venue1 and BTC to venue2-> buy back futures and switch on the arb bot again.
More...
I have decided to go with detecting bid ask spreads over different platforms and convert to quote immediately, now i see that the pair I was tracking does not generates the spreads it has for many weeks, any thoughts?
 
Trade Prophet said:
I have decided to go with detecting bid ask spreads over different platforms and convert to quote immediately, now i see that the pair I was tracking does not generates the spreads it has for many weeks, any thoughts?
More...
well, then your trade is dead
 
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