[afinemonkey]

I do some algorithmic trading and automated investment in the crypto space. I trade intra-exchange and do arbitrage between pairs (tri-arb). I also occasionally rebalance into an index of coins I like. Note that I do this at a fairly small scale, so not sure if my answer really matters much.

Although there are a lot of platforms for trading crypto, when it comes to arb, I found that you need to have control over a lot of things, most importantly:

- which data center you host your code in - the way you get data from the exchange - not just prices and order books, but also current balances and orders - the way you push orders to the exchange

With "the way" I mean mostly which APIs you use and how, the last few milliseconds of optimization for me were usually gained by making multiple simultaneous connections to the exchange and trying to figure out the fastest one.

For my rebalanced index-like portfolio I made a little script initially and then turned it into a side project, plug: https://nazcabot.io

[dclusin]

Don't the fees negate the profitability of this strategy? How often do you see the spread between the rates achieving profitability when factoring in taker fees?

[afinemonkey]

Trades are only triggered when profit is > fees. Depending on the market there can be fairly large opportunities popping up (on the thousands) a few times an hour. In a triangle, you only need 1 of the 3 pairs to have an inefficiency in the book to trigger a trade.

During the december craze: very profitable. Now: better than not trading.

If I were american and had to pay higher taxes on short term gains, it would probably not be worth it.