[latchkey]

Having gone through this learning exercise myself, it always makes me giggle to watch others do it. People first learn about arbitrage and think they can automate it to make money (tm).

In reality, the complexities involved are enormous and the biggest issue is simply that it is almost impossible to predict when the opportunity opens. Therefore, you're always dealing with what is effectively stale data. The next step is to try to trade faster, which then exposes bugs in apis and issues with dealing with connection failures.

That said, I do think that with the proper architecture and enough effort, it is definitely possible to build an arbitrage bot. Especially when you get into more complex solutions, like 3+ way. Those that have done it and are successful with it, don't sell or give away their bots because, it is arbitrage, and to make money, you have to be better at it than everyone else. Why sell a money printer when you can use it to print money?

The other realization is that the exchanges must be running arbitrage bots against themselves. I also would not doubt that there is cross exchange collusion in place as well. They help create volume and heck.. why not? No trading fees.

[Pmop]

It would be nice and time saving to have a book documenting thoughtfully these issues.