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Intermarket Arbitrage

Explain and discuss different trading strategies.
JoelKatz
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Intermarket Arbitrage

Postby JoelKatz » Wed Mar 16, 2016 7:38 am

I understand why the bot can't rebalance across markets. But why doesn't it support (or does it support) inter-market arbitrage?

A simple version of the strategy would be to trade BTC->ETH on two exchanges. If you can trade, say, BTC->ETH on one market and ETH->BTC on the other market, when possible you make concurrent trades on both exchanges in opposite directions that leave you with both more ETH and more BTC in total.

The bot may occasionally need manual rebalancing, of course. But if you combine it with other strategies that move funds around, there's a good chance you'll have at least some of what you need and at worst it's lost opportunity.

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Quintus
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Re: Intermarket Arbitrage

Postby Quintus » Wed Mar 16, 2016 1:33 pm

It depends a bit on when you want to trigger a trade, but you may want to consider this setup:

Bot 1
Exchange : X
Market : ETH/BTC
Indicators: Monitoring this market

Bot 2
Exchange : Y
Market : ETH/BTC
Indicators: Monitoring market of Bot 1, but with reversed signals on

Both bots will trigger on the same time. One will sell, one will buy.

Is this a bit want you are trying to accomplish?

JoelKatz
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Re: Intermarket Arbitrage

Postby JoelKatz » Thu Mar 17, 2016 3:55 am

I'm not sure how to get that to work. The decision to transact has to be the same on both bots, but it has to be based on the price in both markets. It's the comparison of the two markets that triggers the decision to buy and sell at the same time.

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Quintus
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Re: Intermarket Arbitrage

Postby Quintus » Thu Mar 17, 2016 11:15 am

Like I said its depends on when you want to trigger, but you are right. What you describe doesn't fit in my example indeed.

I don't think we have anything currently in HTS what can do what you desire. But we will consider it and maybe try to work it out in the near future.

I would like to point out our bug/request tracker:
http://bugs.haasonline.com/

Here we track all the bugs and request of version 3.0. You can see which one are known and there status. Feel free to make a account and insert any unknown bugs and/or requests.


Best,
Quintus

JoelKatz
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Posts: 12
Joined: Mon Mar 14, 2016 4:07 pm
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Re: Intermarket Arbitrage

Postby JoelKatz » Fri Apr 01, 2016 12:00 am

Thanks. Done.

http://bugs.haasonline.com/show_bug.cgi?id=157

And thanks for being incredibly responsive to both bug reports and requests for enhancements.


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