hi there, fellows
i’ve been working on modelling triangular arbitrage, so that one can
- determine the set of coins he would accept to trade (given the inventory risk)
- estimate the max profit (assuming the whole initial capital is traded through) on all tradable combinations of accepted coins (from item 1)
- how to trade the above, in an algorithm.
it includes pseudo code to express the profit conditions.
in case you decide to implement it, it’ll be my pleasure clarify its aspects to ease you burden and speed up your dev time.
i believe triangular arbitrage allows the trader to profit from more popular coins that trade with a spread too tight for market making, still on a quasi market neutral trade.
the article is available for download in the link bellow.
best & thanks.
fernando a. bender