Cross-exchange arbitrage

Per-minute cross-exchange spread matrix for one market across many venues — the canonical "find the price gap" demo.

Query

WITH
    '2024-12-31' AS day,
    p AS (
        SELECT start, exchange, toFloat64(close) AS close
        FROM api.ohlcv(candle_duration_in_minutes = 1)
        WHERE market = 'BTC-USDT'
          AND exchange IN ('binance', 'okx', 'kucoin', 'gateio')
          AND start >= toDateTime(day)
          AND start <  toDateTime(day) + INTERVAL 1 DAY
    )
SELECT a.start,
       a.exchange AS buy_ex,
       b.exchange AS sell_ex,
       a.close AS buy_price,
       b.close AS sell_price,
       (b.close - a.close) / a.close * 100 AS spread_pct
FROM p a
JOIN p b ON a.start = b.start
WHERE a.exchange < b.exchange
ORDER BY a.start, buy_ex, sell_ex

Functions used: toFloat64, toDateTime

Two SQL details worth flagging:

• a.exchange < b.exchange is the standard ordered-pair trick to avoid double-counting (binance, okx) and (okx, binance). With 4 exchanges you get C(4, 2) = 6 ordered pairs, not 16 of the unordered-and-self-joined Cartesian product.

• No threaded fetcher. api.ohlcv(...) returns simultaneous cross-exchange snapshots by virtue of the WHERE clause — every row for start = T is for the same T. The repo's threading exists only because each REST call is independent and synchronous.

Output (2024-12-31)

8,640 rows = 1,440 minutes × 6 ordered pairs. Top 8 absolute spreads of the day:

start	buy_ex	sell_ex	buy_price	sell_price	spread_pct
2024-12-31 16:54:00	binance	kucoin	94903.65	95000.00	+0.102
2024-12-31 16:54:00	gateio	kucoin	94904.20	95000.00	+0.101
2024-12-31 13:40:00	kucoin	okx	95561.60	95656.00	+0.099
2024-12-31 16:54:00	kucoin	okx	95000.00	94906.60	−0.098
2024-12-31 13:36:00	kucoin	okx	95600.00	95693.60	+0.098
2024-12-31 13:35:00	kucoin	okx	95600.00	95691.80	+0.096
2024-12-31 13:36:00	binance	kucoin	95688.98	95600.00	−0.093
2024-12-31 13:50:00	binance	kucoin	95891.73	95804.20	−0.091

A few clusters of ~0.1 % gaps — well above retail trading-fee breakeven (~0.04 % each side), but small enough that the venues re-arbed within a minute or two. The mean / std distribution per pair tells the same story:

pair	mean	std	min	max
binance ↔ gateio	−0.010	0.010	−0.043	+0.047
binance ↔ kucoin	−0.003	0.012	−0.093	+0.102
binance ↔ okx	0.000	0.008	−0.025	+0.033
gateio ↔ kucoin	+0.007	0.013	−0.085	+0.101
gateio ↔ okx	+0.010	0.011	−0.036	+0.057
kucoin ↔ okx	+0.003	0.012	−0.098	+0.099

kucoin is the noisiest leg — its standard deviation against every other venue is the largest, and it's the buy/sell side of every top-8 spread row.

Extending it

• More exchanges — append to the IN (...) list. Each addition gives you (N − 1) new pair rows per minute, no extra wrappers.

• Filter to actionable spreads — append HAVING spread_pct > 0.04 (or whatever your round-trip fee is). The alert-dispatcher in the article's repo collapses to a single WHERE.

• Different market — the WHERE market = 'BTC-USDT' is the only market constraint. Add OR market IN (...) and a GROUP BY market to scan a basket simultaneously.

• Higher-resolution timing — 1-minute candles are the smallest exposed via api.ohlcv(...). For sub-minute work, JOIN against api.trade directly with a tolerance window (WHERE abs(a.timestamp - b.timestamp) < INTERVAL 100 MILLISECOND).