[lopatin]

You don't get killed by transaction fees. Some exchanges have withdraw limits. Some exchanges have withdraw fees (but they are flat). Your market/limit orders may also have fees, percentage fees, so those are to look out for, but when arbitrage opportunities are around the 5% range, it's moot. I think what kills you is the time that it takes to balance your accounts between exchanges. You can make one arbitrage execution, and have to wait 30 minutes up to an entire day, before you can rinse and repeat, assuming the spread still exists by then. Scripts should really help here.