Timeline for Calculating most profitable arbitrage orders on multiple market with fixed and variable fees
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 12, 2015 at 22:54 | answer | added | Jason Nordwick | timeline score: 1 | |
| Sep 4, 2013 at 3:00 | review | Community Evaluations | |||
| Sep 12, 2013 at 3:00 | |||||
| Jul 15, 2013 at 6:18 | comment | added | user5399 | Have you made any progress on this question? Is there anything in my answer which you have trouble following? | |
| Jul 11, 2013 at 19:59 | history | tweeted | twitter.com/#!/StackQuant/status/355415994459619329 | ||
| Jul 10, 2013 at 3:37 | comment | added | Matt Wolf | that does not change the kind of algorithm you need to run the markets over. You need to include your all-in execution related costs and may find out that low volume will not push you over the "hurdle-rate", which may rank this particular arbitrage lower or even net-unprofitable. | |
| Jul 10, 2013 at 2:00 | comment | added | Paya | Well, the idea is that the arbitrage opportunity can be at more than 2 markets at the same time. And the market depth at each exchange is finite IN VOLUME. What I mean is that at price 107, there might be only 3 pieces of the stock. | |
| Jul 10, 2013 at 1:27 | comment | added | Matt Wolf | Example: Market1(fixed fee: 1, variable fee: 2%, BBO: 105/107), Market2(fixed fee: 0.5, variable fee 1%, BBO: 98/100). Variable Fees -> Buy asset at M2 for (100 + 1) and sell to M1 for (105-2.1). PnL with fixed fees applied: (105-0.5) - (100+1). -> Apply same logic to all markets and chose the most profitable one. | |
| Jul 10, 2013 at 1:20 | comment | added | Matt Wolf | I find your question slightly confusing. Why you need more than 2 markets to present an arbitrage opportunity, 2 or more are already sufficient. And why is it complicated to add in your execution related fees, whether stated as a percentage of notional traded or as fixed fee per trade? | |
| Jul 9, 2013 at 22:28 | review | First posts | |||
| Jul 9, 2013 at 23:26 | |||||
| Jul 9, 2013 at 22:10 | history | asked | Paya | CC BY-SA 3.0 |