Two notes. First, as others have said, while the market may contain inefficiencies, they tend to close fast especially with a public solution. That said, this may be a good starting point for you to go nuts on for generation 2.0 so enjoy the code.
Second, while I won’t comment on this particular strategy, I want to note that many so-called “arbitrage” systems are actually sleeves for another important risk: liquidity. These strategies typically assume normal trading behavior and don’t take into account that exchanges break during crisis events, the exact events (even if they’re rare “black swans”) which can leave you half in a trade and wearing massive exposure during extreme volatility. The analogy is picking up nickels before a bulldozer... use at your own risk.
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