Crypto Arb Monitor

[zcsoka]

The Crypto Arb Monitor shows users when there are arbitrage opportunities in the crypto markets. 
The add-on is specifically created for the crypto markets, but can be used for other instruments as well. The add-on is not certified for DXFeed.

Before one uses the plugin, Bookmap has to be connected to multiple exchanges and has to be subscribed to the arbitrageable instruments on all exchanges. Since the exchanges offer different tick granularities, it is important to base all instrument subscriptions to the same tick granularity, namely 1.

Cryptoarb_subscribe.png (115.09 KiB) Viewed 20330 times

The add-on automatically collects all of the subscribed instruments. Choose in Bookmap any of the instruments tab and add the plugin to it. (In the example below the add-on is added to the BTC-USDC@Coinpro). On the configuration screen the automatically collected instruments will show up. If they do not, please disable and enable the plugin again.

CryptoArb_Config.png (144.83 KiB) Viewed 20330 times

Choose the other instruments you want to compare with and check the boxes. If you see instruments that you are not subscribed anymore, but had been used before, you can use the X button on the right to remove them.
In the Period you can choose how often the bids and offers should be compared. The shorter the period, the more computer resources it will take. 
To display spreads only beyond a threshold, please set the Arbitrage spread delta. When set, the Crypto Arb Monitor will display only spreads bigger or equal to the threshold. 

When the settings are done, click on the Start Arbitrage Viewer button. It will show the table in a separate window:

cryptoarb1.png (119.7 KiB) Viewed 20330 times

The add on is available on the Marketplace.

If you have any issues or recommendations, please use this forum to discuss it.

[martijn luijckx]

Hi Zoltan, Thanks for creating this tool. I have a question: which datafeed do I need to receive the crypto quotes from the different exchanges? (I only have experience to date with Rithmic datafeed for the futures markets.)

[zcsoka]

It can be any what Bookmap supports

[martijn luijckx]

Hi,

So if I take the arbitrage trade according the picture above (cryptoarb1.png), I’ll be long at the BN exchange (@59450), and short at the BFX exchange (@59469), for a profit of 19 pips spread.

But since it will be on 2 different exchanges, I‘ll have 2 open positions. How can I take the profit? could you please explain this?

[zcsoka]

Dear Martijn,

You have a potential profit of 15 pips. You have to wait until the price on both exchanges equal out and then you have to close both trades on the same price. In-between the price might go up or down, it will not hurt you, since you own both short and long. When you close the trade on the same price, on one account you will have a profit on the other a loss, but all in all, you will collect your 15 pips profit.