[ARBITRAGE] Agent Smith: Arbing the great bull run of 2017

[askmike]

So basically you say it is profitable. I don't want your code but I just want to know if you, or anyone you know, have a working, profitable one?

Right now I have a system running that does market making in a way very similar to arbitrage. It's basically inter exchange arbitrage (arbitrage between two different exchanges). The profit I have been making for almost a month is quite insane, it's well over 1% a day. This bot is called LIMBOBEACH and it came out of KNIGHT RIDER (hinted at in the end of the agent smith article). Here is a sneak preview:



That said, it's very tough. Here some things that I came to realize:


- Poloniex was considered very shady until Circle bought them earlier this year: their owners were hard to find and they didn't have a great reputation. They also became big after cryptsy (which ended with everyone losing all their money). This way no big traders came close to it, the risk seemed big. Now that's completely gone since Circle bought it.
- I am in contact with a lot of other traders and discussing more sophisticated forms of trading (basically HFT stuff), you need to be really dedicated to get on that level, start reading books and papers on market microstructures and market making. If you have a very simple strategy or simple bot you won't have an edge (unless you trade on tiny exchanges that nobody trusts, etc).
- Spreads are a lot smaller than last year because of all this competition: you can't make the same percentages anymore, if you want to make money you need to move a lot of volume.

If you want to make money you need to find an edge, something that allows you to trade faster or more efficient than everyone else. The edge of Agent Smith was speed & some risk management (what to do if you don't get all 3 trades fast enough - because you won't ALWAYS be fast enough). Limbobeach has a new edge. I can't tell too many details now because it's still very profitable right now. But once that stops I'll write a new blogpost.