arbitrage opportunity and maximizing the function

The name of the pictureThe name of the pictureThe name of the pictureClash Royale CLAN TAG#URR8PPP











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0
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Let's say you have currencies,A, B, C



with the exchanges rates a/b, b/c, c/a



If the product 



a/b * b/c * c/a > 1


then the arbitrage opportunity exists. And larger that product is, more profit you can make.



So essentially i would like to maximize the function y 



y = a/b * b/c * c/a


where a/b, b/c, c/a change on minute by minute basis which can be updated from the exchange API.



The problem is that there are many many currency triples to consider and not really sure how to approach picking the right combination.



it seems like there should be a way to set up an excel sheet. anyone have any thought?



Here's an example of an excel sheet



https://docs.google.com/spreadsheets/d/1BK0sJf91Niqbodao_Ipf7RCvNTRrH9UI-KUaKQJgjZ0/edit#gid=0




linear-algebra optimization




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  • 1




    Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
    – José Carlos Santos
    Aug 1 at 7:18










  • The given product is always 1.
    – AlgebraicsAnonymous
    Aug 1 at 7:19










  • Hey thanks for the comment. yes, the product should always be 1 mathematically. but it is not in the market let it be forex or cryptocurrency. take a look at docs.google.com/spreadsheets/d/…
    – bo reddude
    Aug 1 at 7:35











  • It's unclear what the question is. (1) How is an API related here? (2) You only show A, B, and C. There is only 1 "triple".
    – user202729
    Aug 1 at 7:37










  • Ok. I'm on binance for cryptocurrency. They have over 1000 alt coins listed. i've added an excel sheet to the post.
    – bo reddude
    Aug 1 at 7:41














up vote
0
down vote

favorite












Let's say you have currencies,A, B, C



with the exchanges rates a/b, b/c, c/a



If the product 



a/b * b/c * c/a > 1


then the arbitrage opportunity exists. And larger that product is, more profit you can make.



So essentially i would like to maximize the function y 



y = a/b * b/c * c/a


where a/b, b/c, c/a change on minute by minute basis which can be updated from the exchange API.



The problem is that there are many many currency triples to consider and not really sure how to approach picking the right combination.



it seems like there should be a way to set up an excel sheet. anyone have any thought?



Here's an example of an excel sheet



https://docs.google.com/spreadsheets/d/1BK0sJf91Niqbodao_Ipf7RCvNTRrH9UI-KUaKQJgjZ0/edit#gid=0




linear-algebra optimization




share|cite|improve this question

















  • 1




    Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
    – José Carlos Santos
    Aug 1 at 7:18










  • The given product is always 1.
    – AlgebraicsAnonymous
    Aug 1 at 7:19










  • Hey thanks for the comment. yes, the product should always be 1 mathematically. but it is not in the market let it be forex or cryptocurrency. take a look at docs.google.com/spreadsheets/d/…
    – bo reddude
    Aug 1 at 7:35











  • It's unclear what the question is. (1) How is an API related here? (2) You only show A, B, and C. There is only 1 "triple".
    – user202729
    Aug 1 at 7:37










  • Ok. I'm on binance for cryptocurrency. They have over 1000 alt coins listed. i've added an excel sheet to the post.
    – bo reddude
    Aug 1 at 7:41












up vote
0
down vote

favorite









up vote
0
down vote

favorite











Let's say you have currencies,A, B, C



with the exchanges rates a/b, b/c, c/a



If the product 



a/b * b/c * c/a > 1


then the arbitrage opportunity exists. And larger that product is, more profit you can make.



So essentially i would like to maximize the function y 



y = a/b * b/c * c/a


where a/b, b/c, c/a change on minute by minute basis which can be updated from the exchange API.



The problem is that there are many many currency triples to consider and not really sure how to approach picking the right combination.



it seems like there should be a way to set up an excel sheet. anyone have any thought?



Here's an example of an excel sheet



https://docs.google.com/spreadsheets/d/1BK0sJf91Niqbodao_Ipf7RCvNTRrH9UI-KUaKQJgjZ0/edit#gid=0




linear-algebra optimization




share|cite|improve this question













Let's say you have currencies,A, B, C



with the exchanges rates a/b, b/c, c/a



If the product 



a/b * b/c * c/a > 1


then the arbitrage opportunity exists. And larger that product is, more profit you can make.



So essentially i would like to maximize the function y 



y = a/b * b/c * c/a


where a/b, b/c, c/a change on minute by minute basis which can be updated from the exchange API.



The problem is that there are many many currency triples to consider and not really sure how to approach picking the right combination.



it seems like there should be a way to set up an excel sheet. anyone have any thought?



Here's an example of an excel sheet



https://docs.google.com/spreadsheets/d/1BK0sJf91Niqbodao_Ipf7RCvNTRrH9UI-KUaKQJgjZ0/edit#gid=0





linear-algebra optimization





share|cite|improve this question












share|cite|improve this question




share|cite|improve this question








edited Aug 1 at 7:41
























asked Aug 1 at 7:13









bo reddude

11




11







  • 1




    Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
    – José Carlos Santos
    Aug 1 at 7:18










  • The given product is always 1.
    – AlgebraicsAnonymous
    Aug 1 at 7:19










  • Hey thanks for the comment. yes, the product should always be 1 mathematically. but it is not in the market let it be forex or cryptocurrency. take a look at docs.google.com/spreadsheets/d/…
    – bo reddude
    Aug 1 at 7:35











  • It's unclear what the question is. (1) How is an API related here? (2) You only show A, B, and C. There is only 1 "triple".
    – user202729
    Aug 1 at 7:37










  • Ok. I'm on binance for cryptocurrency. They have over 1000 alt coins listed. i've added an excel sheet to the post.
    – bo reddude
    Aug 1 at 7:41












  • 1




    Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
    – José Carlos Santos
    Aug 1 at 7:18










  • The given product is always 1.
    – AlgebraicsAnonymous
    Aug 1 at 7:19










  • Hey thanks for the comment. yes, the product should always be 1 mathematically. but it is not in the market let it be forex or cryptocurrency. take a look at docs.google.com/spreadsheets/d/…
    – bo reddude
    Aug 1 at 7:35











  • It's unclear what the question is. (1) How is an API related here? (2) You only show A, B, and C. There is only 1 "triple".
    – user202729
    Aug 1 at 7:37










  • Ok. I'm on binance for cryptocurrency. They have over 1000 alt coins listed. i've added an excel sheet to the post.
    – bo reddude
    Aug 1 at 7:41







1




1




Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
– José Carlos Santos
Aug 1 at 7:18




Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
– José Carlos Santos
Aug 1 at 7:18












The given product is always 1.
– AlgebraicsAnonymous
Aug 1 at 7:19




The given product is always 1.
– AlgebraicsAnonymous
Aug 1 at 7:19












Hey thanks for the comment. yes, the product should always be 1 mathematically. but it is not in the market let it be forex or cryptocurrency. take a look at docs.google.com/spreadsheets/d/…
– bo reddude
Aug 1 at 7:35





Hey thanks for the comment. yes, the product should always be 1 mathematically. but it is not in the market let it be forex or cryptocurrency. take a look at docs.google.com/spreadsheets/d/…
– bo reddude
Aug 1 at 7:35













It's unclear what the question is. (1) How is an API related here? (2) You only show A, B, and C. There is only 1 "triple".
– user202729
Aug 1 at 7:37




It's unclear what the question is. (1) How is an API related here? (2) You only show A, B, and C. There is only 1 "triple".
– user202729
Aug 1 at 7:37












Ok. I'm on binance for cryptocurrency. They have over 1000 alt coins listed. i've added an excel sheet to the post.
– bo reddude
Aug 1 at 7:41




Ok. I'm on binance for cryptocurrency. They have over 1000 alt coins listed. i've added an excel sheet to the post.
– bo reddude
Aug 1 at 7:41















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