Gross Price Gap vs Net Edge: Why Orderbook Spread Eats Your Arbitrage
The crypto arbitrage scanner says 1.8%. Your unrealized PnL agrees. You close—and wonder where the trade went.
I have been there. The gap was real. The edge was not. The difference is almost always the orderbook.
Gross vs Net in One Breath
- Gross gap — cross-exchange cryptocurrency price difference using ticker or mid prices (what the table shouts).
- Net edge (conceptual) — gross minus bid–ask spread % on the buy venue minus spread % on the sell venue, before fees.
ArbiSight's Price Opportunity alerts apply that net filter before Telegram pings you. The orderbook panel on Live Crypto Arbitrage shows per-venue spread and a tentative spread style summary so you see the same story visually.
If you only trade gross, you are paying tuition to the book.
A Numbers Story (Round but Realistic)
Say Exchange A is cheap at 100.00 and Exchange B is rich at 101.80.
- Gross gap ≈ 1.8% — looks tasty on a free crypto arbitrage screener row.
But on A you lift the ask, not the mid. Spread on A = 0.65%. On B you hit the bid. Spread on B = 0.70%.
Rough net before fees ≈ 1.8 − 0.65 − 0.70 = 0.45%. Add taker fees twice and you are flirting with zero—or negative—on a "great" headline.
That is why I open green and close confused. Marks sat in the middle of wide books. Fills did not.
Why Unrealized PnL Lies (Politely)
CEX arbitrage hedges often show profit immediately because:
- both legs mark near mids,
- spreads have not been paid yet,
- your size has not walked the book.
Closing is when reality invoices you. Futures arbitrage and spot transport both die on exits more than entries—see How to Read an Orderbook for Arbitrage Entry Quality.
My rule, stolen from pain: if process difference ≈ combined orderbook spread, I do not have a trade—I have a mirage.
What I Check Before Size
- Gross % on Live Crypto Arbitrage.
- Per-exchange spread % in the orderbook view (red when wide hurts).
- Orderbook Snapshot at the size I might actually need.
- Fees and perp funding rate if the hedge is on arbitrage perpetuals.
- Is this a fresh surge or a stale plateau? Price Chart history answers that.
Pair with when to enter or walk away so net math meets timing discipline.
How Alerts Already Think Net (So You Should Too)
When you configure Price Opportunity alerts, the backend compares your threshold to net gap after cached book spreads—not fantasy mids.
That does not replace your eyes. Books move. It does mean a ping is closer to "maybe executable" than a raw sort column.
Parting Thought
Orderbook analysis crypto arbitrage is not optional garnish—it is the difference between crypto arbitrage earnings and donating to market makers.
Gross gap is the headline. Net edge after both spreads is the trade. If those two numbers hug each other, I walk—and I am usually glad I did.
Disclaimer: This article is educational content only and not financial advice. Trading carries risk, including loss of capital.
