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I just tried to do this last week. The issue I ran into is you can't move dollars between exchanges easily, so to rebalance, you've got to switch to something

I just tried to do this last week. The issue I ran into is you can't move dollars between exchanges easily, so to rebalance, you've got to switch to something else. So you're profiting from volatility on one side and then betting on it not happening when you rebalance... and for the rebalancing, you have to wait a lot longer (as compared to trading instantly between currencies on the same exchange). The other issue is that you have to anchor to something, and you can't anchor to the USD generally because even dollars in various exchanges aren't effectively worth the same amount (since you can't get them out as quickly / easily / risklessly in all exchanges). So you've basically got to anchor to US dollars on a certain exchange, and make trades based on the value of, for example, "Litecoin if sold on GDAX." That adds complexity, but might just be the reality of arbitrage. That and I'm not sure the order books were large enough to make anything other than small amounts of money. The "last sell" price is just that--the price it last sold for. It doesn't take a whole lot of money before you've driven the price toward parity (and your arbitrage opportunity away). Anyway--for me it was just a winter vacation project more for the experience than expecting real success. And it may actually work better on a week that wasn't last week (which was a bit uncommon). I guess we'll see.

coderdude 9y ago
Instead of looking at the last sell price, depending on whether you're buying or selling, look at the best ask or bid price on the order book and the quantity available. If that quantity isn't enough to satisfy your order, look at the next price and quantity and keep adding up the cost until you reach the quantity you want to trade. That will give you the accurate cost of the trade for that moment in time. You must also factor in exchange fees. Many exchanges charge 0.1% of the quote currency for market orders. Some exchanges offer a 0.01% rebate when a limit order is executed.

coderdude 9y ago

Instead of looking at the last sell price, depending on whether you're buying or selling, look at the best ask or bid price on the order book and the quantity available. If that quantity isn't enough to satisfy your order, look at the next price and quantity and keep adding up the cost until you reach the quantity you want to trade. That will give you the accurate cost of the trade for that moment in time. You must also factor in exchange fees. Many exchanges charge 0.1% of the quote currency for market orders. Some exchanges offer a 0.01% rebate when a limit order is executed.