#套利交易策略 has tried cross-platform arbitrage in cryptocurrency and inter-month arbitrage in commodity futures. The opportunity identification and execution logic of these two models are quite different, and the pitfalls I have experienced have given me a more practical understanding of 'low risk'—the risk of arbitrage does not lie in volatility, but rather in 'seemingly risk-free detailed loopholes'.
1. Cross-platform arbitrage in cryptocurrency: 'Price difference capture' racing against time
In the early days, I engaged in cross-platform arbitrage with Bitcoin and Ethereum. For instance, if the BTC price on OKX was $200 higher than on Binance at the same time, I would think about buying on Binance and selling on OKX to profit from the difference.
- Identifying opportunities: I wrote a simple web scraper in Python to capture the order book prices of five major exchanges in real-time and set an alert for when 'the price difference exceeds 0.5%'. However, I later found that the price differences that can actually be arbitraged often only exist for 10-30 seconds, and one must account for transfer fees and withdrawal time costs (for example, transferring from platform A to platform B requires blockchain confirmation, during which the price difference may have already disappeared).
- Tool dependence: Later, I switched to direct connections via the exchange's API, reducing scraper latency, and focused only on 'spot + spot' instant arbitrage (not involving withdrawals, such as finding price differences between trading pairs on the same platform), but such opportunities are becoming increasingly rare because there are too many quantitative bots that will fill the price difference within seconds.
Key lesson: The core of cross-platform arbitrage is not 'finding price differences', but 'calculating friction costs'—fees, slippage, transfer time, and even the platform's KYC restrictions can turn 'seemingly profitable opportunities' into losses.
2. Inter-month arbitrage in commodity futures: Betting on the return of 'time difference'
I have engaged in inter-month arbitrage with rebar and coke, for example, buying long-month contracts and selling near-month contracts, betting that the price difference will converge from the current 100 yuan to the historical average of 50 yuan.
- Identifying opportunities: I used Excel to analyze the distribution of inter-month price differences over the past three years, and when the current price difference exceeds the mean by two standard deviations, I consider there to be arbitrage space. For instance, under normal circumstances, the long-month price is 50 yuan higher than the near-month price, but if it suddenly rises to 150 yuan, I can enter the market and wait for the return.
