With the excitement around Bitcoin and related currencies hitting a fever pitch, I thought I'd play around with some investment techniques. I'll try to get something together that is a bit more detailed, but I wanted to post an excel tool that demonstrates how to detect arbitrage opportunities given the sometimes enormous differences between varias cryptoexchanges.
It can be downloaded here as a .xlsx file:
This tool is simply an excel spreadsheet that monitors the order books of two popular exchanges (gemini and GDAX).
From what I can tell, all the exchanges I have looked at have accessible APIs that work in a fairly similar fashion.
This tool does not require an account on the exchanges. It uses only public APIs to analyze the order books and display the instant gain or loss of equal buy/sell orders on different exchanges.
It further selects the "best" or most profitable transaction and highlights this as its recommendation.
Note that it does not take into account fees, which range as high as .3% on each side.
Note also that cryptocurrency exchanges, while inefficient, do move very quickly. Taking action based upon this recommendation may require some quick typing. I have coded this on other platforms to automate and test the orders, but Excel is inappropriate for this (and orders obviously require account information.)
I'm uploading it prior to finishing my article so that friends in the community can evaluate it and make suggestions.
Obviously, I'm offering this for folks to use as they see fit and I take no responsibility for your trading results.
Quickstart: The spreadsheet is developed in Excel 2016 and uses automated calls to the web services API's of two exchanges. The queries are visible in the Excel Query pane. They are simply url datasources that retrieve real-time order book information for BTCUSD, ETHUSD and ETHBTC pairs. The queries should refresh automatically every minute, but you can go to the "Data" tab in excel and click "Refresh All" for faster updates.
Please let me know what you think.
Additional notes:
- It doesn't appear to be supported in Google Sheets.
- I used excel 2016 to create it and am unsure if web data connections were available without a plugin in previous versions.
4 comments:
Hello there....do you still monitor the comments on your blog? I love your spreadsheet. cant get it to feed live prices though. Any suggestions? Thanks
Ozborn,
I am back to monitoring (if not posting) frequently.
I'm not sure when you posted your comment, but I've downloaded the spreasheet and tested it on 2013 and 2017 versions of excel. The queries are basic REST calls and should work as long as you have an open connection.
If you are still having problems, please feel free to shoot me a screenshot and what's happening when you click refresh on the data tab.
Best Regards,
DT
thanks for that DT. gonna give it a try now
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