When using crypto-arbitrage on crypto exchangers, a slippage problem often arises, which is caused by the fact that there is not enough liquidity at the top of the book, and the order is executed due to the liquidity of the next levels of the book at a worse price. In order to prevent this situation, we added the possibility of price calculation based not only on top of the book but on several book layers.
In the latest version of VIP Crypto Arbitrage Software, we have added the ability to choose which price to use when detecting arbitrage situations. Previously, in the program, only TOB price (top of the book, best bid, and ask) was used. For FIX API and / trading, this approach is suitable enough, but for crypto exchanges, sometimes TOB orders contain small volumes, so the best bid and ask prices possibly not represent the final price at which arbitrage order will be executed. That is why we have implemented 2 buttons (for each side of the hedging pair), called “Price management ...”:
If you click on one of these buttons, a new dialog will appear:
By default, “Top Of the book” is selected. It means that in price comparison, the best bid and ask will be used on this side.
If you select “Weighted average from x to y level,” the price will be calculated by the formula (https://www.investopedia.com/terms/v/vwap.asp):
where Price and Volume are price and volume on each level of the book.
If you select “Weighted average (for specified volume),” the price will be calculated by the same formula, iterating from zero level (TOB) and down, and stop once the calculated cumulative volume is higher than the volume specified in “Lots” field for this side.
Important note: If you want to deal with non-TOB prices for WebSocket crypto connectors, you will need to specify and control Market depth parameter for Crypto Pricing:
This parameter controls how many levels will be kept in the symbols' order book when getting market data updates from the exchanges. The maximum supported value is 10.
Learn more about VIP Crypto Arbitrage Software