Slippage/Volume Considerations

[PWShawn]

Any way this could take into consideration slippage ? It seems like most of the trades it suggests are not worth it because there is very little volume on the pairs it suggests

[ruidazeng]

Which exchange are you using?

[PWShawn]

Binance.us

[PWShawn]

its suggesting pairs like MATIC/ETH which has no volume over the last 24 hrs.

[Herklos]

Any way this could take into consideration slippage ? It seems like most of the trades it suggests are not worth it because there is very little volume on the pairs it suggests

That's a good question. Do you have any idea how to do it and from what value it would be worth it?

[ruidazeng]

I think slippage handling value should probably be set by the users individually, since this value will determine the RISK of the arbitrage. Users can take the simulated profit, then can adjust the slippage for the route to be a percentage of the total less the required profit.

[Herklos]

I think slippage handling value should probably be set by the users individually, since this value will determine the RISK of the arbitrage. Users can take the simulated profit, then can adjust the slippage for the route to be a percentage of the total less the required profit.

I see. Do you have any ideas about what the minimal threshold is for that value to be worth it?

[PWShawn]

slippage cant be calculated just based on a percentage. It has to do with volume and orderbook stuff for the specific pair. Less used pairs like what this Triangular-Arbitrage bot pulls up are often very low volume and so slippage/ price impact of a market order on some of them are upwards of 5% for a $1000 order. and that completely eliminates any profit found in these Triangular-Arbitrage opportunities.

[Herklos]

slippage cant be calculated just based on a percentage. It has to do with volume and orderbook stuff for the specific pair. Less used pairs like what this Triangular-Arbitrage bot pulls up are often very low volume and so slippage/ price impact of a market order on some of them are upwards of 5% for a $1000 order. and that completely eliminates any profit found in these Triangular-Arbitrage opportunities.

Ok, I understand. If it can't be calculated just based on a percentage, how can it be calculated?

[PWShawn]

Honestly I'm not completely sure. Somthing about checking the order book for the ordersize you want to make. I know its possible because binance.us gives an estimated slippage % when you are placing a market order.

[unsigned69]

You can use the following scheme: Take the order volume from the order book for the first three tickers from the current price, then sum them up and provide advice on the maximum order amount.