Latency Arbitrage
Use a fast external feed (e.g., Binance WebSocket) to detect price moves before the prediction market book reprices. When the book is stale and a significant move has occurred, trade ahead of the expected repricing.
How It Works
- Monitor a fast reference feed (e.g., BTC price on Binance)
- Monitor the prediction market book feed (e.g., “Will BTC hit $100k?”)
- When the reference feed shows a move but the book hasn’t updated (stale):
- Expected price = mid + (ref_change * sensitivity)
- If expected > ask + fees: BUY (market will reprice up)
- If expected < bid - fees: SELL (market will reprice down)
Rust Type: LatencyArbOpportunity
| Field | Type | Description |
|---|
direction | str | "buy" or "sell" |
expected_price | float | Expected repriced level |
market_price | float | Current market price (ask for buy, bid for sell) |
edge | float | Edge after fees |
staleness_ms | float | Book staleness in milliseconds |
ref_price_change | float | Reference price change |
Engine Method: scan_latency_arb
opp = engine.scan_latency_arb(
market_id="btc-100k",
ref_feed="binance",
market_feed="polymarket",
sensitivity=1.0,
min_age_ms=500.0,
min_edge=0.02,
fee_rate=0.002,
)
Pipeline: latency_arb
scanner = hz.latency_arb(
market_id="btc-100k",
ref_feed="binance",
market_feed="polymarket",
sensitivity=1.0,
min_staleness_ms=500.0,
min_edge=0.02,
max_size=20.0,
fee_rate=0.002,
auto_execute=True,
cooldown=2.0,
max_daily_trades=50,
)
hz.run(pipeline=[scanner], ...)
| Parameter | Type | Default | Description |
|---|
market_id | str | required | Market to trade |
ref_feed | str | required | Fast reference feed |
market_feed | str | required | Prediction market feed |
sensitivity | float | 1.0 | Ref move multiplier |
min_staleness_ms | float | 500.0 | Min book staleness (ms) |
min_edge | float | 0.02 | Min edge after fees |
max_size | float | 20.0 | Max trade size |
fee_rate | float | 0.002 | Fee rate |
auto_execute | bool | False | Auto-execute |
cooldown | float | 2.0 | Seconds between trades |
max_daily_trades | int | 50 | Hard cap on daily trades |
LatencyArbOpportunity in ctx.params["last_latency_arb"].
Safety Controls
- max_daily_trades: Hard cap that resets at midnight. Prevents runaway execution.
- min_staleness_ms: Only trades when the book is genuinely stale, not just slow.
- cooldown: Minimum time between executions.
- Ultra tier gate: Only available to Ultra subscribers.
Example
import horizon as hz
scanner = hz.latency_arb(
market_id="btc-100k",
ref_feed="binance",
market_feed="polymarket",
sensitivity=0.8,
min_staleness_ms=750.0,
min_edge=0.03,
max_size=15.0,
auto_execute=True,
cooldown=3.0,
max_daily_trades=30,
)
hz.run(
name="latency_arb_bot",
exchanges=[hz.Polymarket(private_key="0x...")],
markets=["btc-100k"],
feeds={
"binance": hz.BinanceWS("BTCUSDT"),
"polymarket": hz.PolymarketBook("btc-100k"),
},
pipeline=[scanner],
interval=0.1, # Fast polling for latency arb
)
Latency arb is high-risk. Markets may reprice before your order fills, resulting in adverse selection. Always use conservative sizing and the max_daily_trades safety cap.
