KILLED · no residual
Hypothesis
Price loops across three pairs (e.g. BTC→ETH→USDT→BTC) drift out of parity; executing the cycle when the product of rates exceeds 1 locks a riskless profit.
Math — cycle parity
Arbitrage exists when the product of the three exchange rates beats fees:
$$ R = r_{A\to B}\cdot r_{B\to C}\cdot r_{C\to A} > \frac{1}{(1-\phi)^3} $$
where $\phi$ is the per-leg taker fee.
Method
Stream all three books, compute $R$ continuously, simulate atomic 3-leg execution with real taker fees and realistic fill latency.
Results
| Raw cycles with $R>1$ | frequent |
| Cycles with $R>1/(1-\phi)^3$ | ~0 after fees |
| Surviving after latency to fill leg 3 | none |
After three taker fees and the latency to complete all three legs, the parity gap vanishes before leg three fills. This is the most-watched arb on every exchange and is closed in microseconds by colocated bots. Zero retail edge.
The most obvious arbitrage is the most competed. If a profit is visible in the public order book, it has already been taken by someone faster.