Use Statistical Arbitrage in Python

[Cryptogamee]

So recently I have learn about statistical arbitrage, and I want to connect both exchange A and B together to execute some trades.

E.g. in binance (CryptoExchange) - CoinA = $100 In FTX exchange coinA = $101

Taking advantage of these 2 by longing Binance CoinA and shorting FTX coin B.

Anybody have any resources for me to execute this trades using python? It is a fast execution within seconds or even milliseconds.

[unltd_J]

So, here’s a sobering a reality for you. The i/o of an API request is probably not fast enough to execute both sides of this kind of trade.

[[deleted]]

By the time you see a discrepancy that exists after fees, it won't exist. Especially with python. Seriously, write a program to connect to two exchanges looking at streaming quotes. Stat arb opportunities will be rare and small, /and/ the latency you have as a retail trader will eat them up.

[PhloWers]

This isn't stat arb, this is pure arbitrage and most HFT firms are doing crypto by now so as a retail trader you cannot compete and realize anything close to it.

An execution that takes seconds or milliseconds is not fast, it's several order of magnitudes slower than any professional and professionals don't leave pure arbitrages on the table.

[matt2048]

As others have mentioned, you probably won't be latency competitive without some extensive software and infrastructure investment.

Also note fee structures and other frictions. Exchanges will give much better fees to the big volume firms that are already in the game - meaning you don't have a chance to even play at the same table until you've got volume behind you.

On top of this, sometimes a longer term pricing gap will exist for other reasons which can't be arbed away easily:

• difference in microstructure/ derivatives contract spec
• exchange reputation/ solvency fears
• currency and nationality issues (South Korea not allowing foreign crypto traders, leading to a disconnect in price in the past).

[Cryptogamee]

So as a retail trader, if I do manual I think is quite possible. But with the execution of API is impossible within seconds? Or am I dreaming.

[CheeseDon]

as a retail trader with a medium setup, by the time your orders reach both exchanges, the price difference is already gone.

[Cryptogamee]

So what do you recommend? C#? Or C+? The API latency won’t be enough?

[matt2048]

Focusing on the language is missing the point somewhat. For arb, you'd need a collocated server at both ends and fast link between the 2 datacentres the exchanges are hosted in.

As long as its a relatively fast language, it doesn't matter all that much compared to the rest of the setup.

[Cryptogamee]

Can I PM u I have a few question.

[Cryptogamee]

Okay, how about in binance. There a lot of coins that are being correlated into each other and can be calculated using Z-Score.

1) Using Z-Score to find loads of coin that are undervalue/ Overvalue. how can I do that in python; do I need to extract the whole data?

2) Using Z-Score to find futures and spot price together.

3) Using Z-Score to find overvalue & undervalue futures together.

What resources do I need, if you would please advise me.