Strategy 05 · Spot Trading
Cross-Venue Arbitrage
Inventory first. Then the trade.
When the same asset trades at different prices on two venues and the gap is wider than the cost of closing it, the trade is to buy on one and sell on the other simultaneously. The idea is simple. Doing it reliably depends on having inventory already sitting where it is needed, because a trade that waits on a blockchain transfer is not an arbitrage, it is a directional position with a delay.
The cost of closing a gap
Taker fees on both venues. Any withdrawal or network fee on the eventual rebalance. Expected slippage, which depends on the depth behind the quoted price rather than the price itself. The inventory risk of holding the asset between the two fills, which is near zero when both fill at once and grows with every second one leg is open. A gap that is smaller than the sum of these is not an opportunity.
Inventory management
Wesvel holds working balances of traded assets and of settlement currency across its venue rotation. Each arbitrage draws down one asset on one venue and builds it on another; the balances drift, and are periodically rebalanced by transfer when fees are low and chains are quiet. The size of each venue’s working balance is that venue’s counterparty exposure limit, and everything above it is swept to segregated custody.
Detecting and acting
Prices and depth are read from every venue in the rotation continuously. A gap is evaluated net of all costs against the depth available at each level; if it clears the threshold in a size the book can fill from local balances, both orders are sent at once. Humans set the thresholds, the venue list and the balance limits. Systems watch and act.
Practice
How Wesvel approaches it
- 01Arbitrage legs fill only from pre-positioned balances; the strategy never relies on an in-flight transfer to complete a trade.
- 02Every gap is evaluated net of fees, expected slippage and inventory risk before an order is sent.
- 03Working balances per venue are the venue’s exposure limit, and are swept to custody on a schedule.
- 04Venue list and thresholds are set by people and recorded; the systems that trade cannot add a venue.
More in Spot Trading
- Smart Order RoutingSplitting large orders across venues and time against live depth, and reviewing every execution against arrival price.
- OTC Block ExecutionExecuting large trades bilaterally with principal liquidity providers, and settling without leaving assets at the desk.
- Decentralized VenuesTrading on automated market makers and on-chain order books, gas, MEV, finality and contract risk in place of exchange risk.
- Inventory and SettlementManaging working balances across venues, sweeping to custody, and settling fiat and stablecoin legs through regulated partners.