Abstract
When dot.com has become a quaint idea, when electronic shops have lost the mass attention, while classical and margin trading has become obsolete, something new is coming: cryptocur-rencies. Hundreds of virtual coins have been invented for a single reason: the profit. The high price volatility of these new markets and the fact that the virtual coins price is not regulated by a central bank or a single exchange, gives us opportunities for arbitrage trading. The existence of important price differences makes possible the profit when an automated system buy cheaper and sell more expensive in the same time. This paper will present the general principles under-pinning the implementation of arbitrage trading software for virtual coins market. The very large number of cryptocurrencies and exchanges fundamentally change the server architecture of the trading software. The distributed price data in hundreds of sources and the technical dif-ferences of each of these data providers make all the things difficult to be implemented in a sin-gle application. The low-latency order calculation needed for the fast delivery before a signifi-cant price change, in the presence of thousands of price quotes coming from hundreds of dis-tributed servers makes everything special.
Highlights
The question is how to find these opportunities and how can we profit from all of these in the real time
The profit for multiple arbitrage trades will be expressed in this case by the formula: For the level of multi arbitrage trades, when we buy more pairs and sell more pairs in order to earn the difference between those operations, the profit will be expressed by the equation: where is the number of buy trades and is the number of sell trades made simultaneous
For a database including more than 1,000,000 real-time quotes, the process to build the arbitrage trading signals was longer than two minutes on a dedicated server with 2x3GHz processor core and 4 GB RAMM Burst
Summary
The question is how to find these opportunities and how can we profit from all of these in the real time. The price of a pair, for example BTCETH if we will consider Bitcoin and Ethereum, means how much ETH we need to sell in order to buy a specified unit of BTC. In this case the profit will be: 2 Arbitrage trading As we already presented, the arbitrage trading means to buy cheap and to sell more expensive the same equity in the same moment of time in two places where the quote prices are different.
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