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No, we finished coding a trading dashboard and we were building the arbitrage functionality last night. The general premise is this: match bids on mtgox with a
by sachingulaya 13y ago
No, we finished coding a trading dashboard and we were building the arbitrage functionality last night.
The general premise is this: match bids on mtgox with asks on bitfloor when transaction fees are less than the spread. Then later on you have to balance with a bid on bitfloor and an ask on mtgox. Send coins between exchanges to fund accounts. If cash runs low on one exchange(it would be bitfloor) then the plan was to manually fund bitfloor with capitalone p2p(no transaction fees) and withdraw using dwolla($0.25 transaction fee).
The big problem was the lack of liquidity in the bitfloor market. We figured if we brought bitfloor prices down to mtgox prices we could attract people who didn't want to go through the onerous mtgox verification process. People were, more or less, turned off by bitfloor by the 5% markup that you pay to buy bitcoins on bitfloor.
There are plenty of arbitrage bots running in European exchanges that are making money. Some are on github.
I'm going to write the idea off as abandoned for now. Mtgox is crap. Bitfloor is gone. B24 has been offline for a while. The platforms just aren't there yet.
- leot 13y agoWhy people haven't deployed something like this (http://www.millenniumit.com/capital_market_solutions/ http://www.millenniumit.com/capital_market_solutions/) as part of a bank in the Cayman Islands eludes me. Yes, the upfront cost is large. But it seems likely that you'll own the market basically overnight.
- sachingulaya 13y agoIMHO, the markets aren't ready yet. 1) The available APIs sucks. MtGox's trading engine tops out at 37TPS. Thirty seven. Price swings trigger situations where you can have minutes of lag where price discovery is impossible. These are, unfortunately, the times where arbitrage is most profitable if you have reliable market data. 2) Gox's socket API magically drops cancelled orders here and there so the order book is unreliable. 3) The markets lack liquidity and, although there are profitable strategies that can be exploited, they are only going to make you a few thousand a day at most. This isn't going to attract much attention. 4) There is no historical data to backtest strategies...not that it would be helpful while bitcoin behaves like a penny stock. HFT for bitcoin is pointing a bazooka at a cockroach. Price lags between exchanges correct on the order of minutes--not milliseconds. MtGox is a toy for now. So I was(maybe still am) building a toy trading bot to match ;D.
- jzwinck 13y agoThe London Stock Exchange spent some US$30 million to buy that, and ended up with quite a few very significant production problems: http://www.computing.co.uk/ctg/analysis/2032112/lse-stricken-millennium-bugs http://www.computing.co.uk/ctg/analysis/2032112/lse-stricken....
- leot 13y agoOne hopes that many such problems would have been resolved by now. Certainly the problems can't have been worse than 60 minute+ trading lags.
- swinglock 13y agoBitstamp is quite good.