
A Super Simple Crypto Arbitrage Spreadsheet for Finding Mismatched Prices - spreadstreet
https://medium.com/@spreadstreet/a-super-simple-cryptocurrency-arbitrage-spreadsheet-for-finding-mismatched-prices-a6e8b12dd8b0
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kesor
I created a straightforward explanation on how to take Fees into account.
Because FEES are super duper important, and often people just don’t understand
the simple math required to compute them.

The explanation is in this blog post:
[https://steemit.com/arbitrage/@kesor/the-math-behind-
cross-e...](https://steemit.com/arbitrage/@kesor/the-math-behind-cross-
exchange-arbitrage-trading)

Another critical thing that creates arbitrage across exchanges is a
malfunction at some exchange. One great example is the YoBit exchange, which
has about 100+ wallets permanently as “offline”. The price at YoBit might be
much higher than on some other exchange, but without a wallet, you cannot move
the funds across. Newbies beware!

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thisisit
Whenever I read an article on "crypto" arbitrage I roll my eyes. For one,
people don't seem to account for fees, ever. This guy makes the same mistake
in ELIF and mentions it as some kind of "responsible disclosure" towards end.

And for god's sake, it is not because "these (NYSE and Nasdaq) markets have
had decades of consolidation and mergers" rather the National Market System
regulation and NBBO:

[https://www.investopedia.com/terms/n/nbbo.asp](https://www.investopedia.com/terms/n/nbbo.asp)

Frankly, every time I read article like these I fear for "investors" in the
cryptocurrency space.

~~~
spreadstreet
Hi thisisit,

Thanks for the comment. If you would have read through the entire article, you
would see fees mentioned in the "pitfalls" section.

I am glad you brought up the NBBO, as it is an extremely important regulation
for newer traders to understand. However, the comment on mergers and
consolidations still stands...just look at the Philly Stock Exchange:
[https://en.wikipedia.org/wiki/Philadelphia_Stock_Exchange](https://en.wikipedia.org/wiki/Philadelphia_Stock_Exchange)

~~~
thisisit
I am sorry to sound condescending but if you read my post, a rather short one,
I said: "and mentions it as some kind of "responsible disclosure" towards
end."

Arbitrage money is net of fees between exchanges so your ELIF showing $5
profit is kind of irresponsible giving people false information. If you are
concerned about your users do mention the fees in bold letters above fold.

On your question on exchanges in US, well read this:

[https://www.investopedia.com/ask/answers/08/security-
market-...](https://www.investopedia.com/ask/answers/08/security-market-
usa.asp)

And it doesn't even mention IEX:

[https://en.m.wikipedia.org/wiki/IEX](https://en.m.wikipedia.org/wiki/IEX)

So no not only two exchanges in existence.

And I mentioned NBBO because it nearly removes arbitrage opportunity not
because there are only "two exchanges". But if you want to change your
goalpost to focus on M&A, I digress.

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meirelles
IMHO the biggest issue is keeping the money sitting on multiple exchanges,
that's very risky, especially these kinds of amounts to make arbitrage
meaningful. The counterparty risk is high, crypt exchanges are not like banks
or brokerages, you should buy or sell then withdrawal whatever you got asap.

~~~
jnordwick
Hugely underrated comment.

Counterparty risk is incredibly difficult to price, and you're going to get
adverse selection problems (eg you're more likely to get bids hit on venues
that are more difficult to move btc off of).

BRTI (CME real time index) is closing in on 10k (@ 9918.33 right now), but
I've heard of issues moving money at all for exchanges used to calculate the
index.

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itodd
I wrote a bot to do this a few years ago. It would grab the order books from a
set of exchanges and execute on the overlap. It had support for maker/taker
fees as well as deposit/withdrawal fees for rebalancing accounts. I avoided
USD trades as it required so much time to transfer. It worked well and it was
a fun project to learn how markets functioned. The risk of missing the trade
and the risk of hacks ultimately caused me to stop the experiment

I had BTC in bter when it was hacked. That more than wiped out all of the
profits I had made arbitraging.

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lordnacho
There are more than two stock exchanges in the United States.

You also want to think about what you mean by arbitrage. If you can buy IBM at
95 on NYSE and sell it at BATS for 100, you might call that an arbitrage. Your
main issue is sending the orders off before someone else does. The problem you
don't have is credit risk. Your money on one exchange is as good as your money
on another. In crypto this is not quite the case.

~~~
spreadstreet
Hey Lord,

Thanks for the comment. I reiterated that it was not an apples-to-apples
comparison for stock exchanges...but let's be honest. NYSE and Nasdaq are far
and away the leaders.

Aboslutely agree on sending the orders off before someone else does. I mention
that in the "pitfalls" section.

~~~
lordnacho
It wasn't meant to be a damning criticism.

Here is a chart of exchange volumes. It's far from a two-horse race. There are
structural reasons why there will be business for more than just a couple of
exchanges, and it's closely linked to arbitrage players actually.

[https://www.sec.gov/marketstructure/datavis/ma_exchange_trad...](https://www.sec.gov/marketstructure/datavis/ma_exchange_tradevolume.html#.Wh3NybSFjyI)

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bufferoverflow
You don't even need any spreadsheets, you can open any currency and sort by
price, then take pairs from the top and the bottom of the list.

The problem is getting currencies in and out of exchanges in time and paying
all the fees, while still making a profit. While there are fast
cryptocurrencies like Ethereum and Litecoin, most exchanges still force you to
wait for something like 6 confirmations. Which takes minutes to hours. And
forget about doing this with USD, it takes days to move from one exchange to
another.

If you look at the exchange rates, fast pairs all have very similar exchange
rates on different exchanges, because you aren't the only one doing this.

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wbl
That's not what you do. You have piles of each at each exchange and arb
between the piles. Long transfers you do rarely to keep piles the same if the
trading doesn't.

~~~
xur17
A lot of the arbitrage opportunities I found in the past existed because it
was challenging to get cash in and out of the exchange, so the arbitrage was
always in one direction.

