Cross-Exchange Fee Schedule Arbitrage
Fee schedule arbitrage exploits differences in trading fees, maker/taker structures, and rebate programs across exchanges. Traders who account for hidden costs, fee tiers, and maker rebates can discover net-positive edges even when raw price spreads appear negative after naive fee subtraction.
How Fee Schedules Create Edges
Exchanges charge fees based on maker/taker roles, monthly volume tiers, and promotional rebates. A maker rebate on Exchange A combined with a lower taker fee on Exchange B can, when sequenced correctly, produce an arbitrage path where fees are effectively subsidized. Always model fee tiers and tier thresholds when computing expected P&L.
Profitability Calculation
Calculate net profit after: quoted spread - (maker fee - maker rebate) - taker fee - transfer costs - funding/gas. Include effective rebate rates, tiered reductions and any maker-taker inversion during order execution.
Edge cases: volume ramps that push you into a lower tier mid-day, delayed rebate credits, or conditional promotional terms. Simulate these in backtesting before deploying live capital.
Risk Management & Execution Tips
- Use small test sizes to validate that maker rebates apply and that fills classify as maker orders.
- Monitor for fee updates and dynamic repricing that can remove the edge instantly.
- Factor in withdrawal and settlement costs when transferring assets between venues.
Tools & Automation
Automate fee table ingestion, map tier thresholds to your account, and incorporate rebate timing into P&L. Use monitoring to detect when your maker orders are executed as taker fills and adjust routing rules accordingly.
Conclusion
Fee schedule arbitrage is subtle but powerful. With careful modeling of maker/taker roles, rebate timing and tier thresholds, traders can uncover sustainable edges. Start with simulations, small tests, and robust monitoring before scaling.
Categories
Sources & References
-
1Exchange Fee DocumentationOfficial fee table and maker/taker definitions
-
2Fee Arbitrage Case StudiesExamples and simulation results
-
3Market Structure and Fee ImpactAcademic take on fee structure effects