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The XEMM Executor (Cross-Exchange Market Making) captures arbitrage by simultaneously placing orders on different exchanges, exploiting price discrepancies.

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Overview

PropertyValue
Position TypeSpot
keep_positionConfigurable
Use CasesCross-exchange arbitrage, market making, spread capture

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Configuration

from hummingbot.strategy_v2.executors.xemm_executor.data_types import XEMMExecutorConfig

config = XEMMExecutorConfig(
    controller_id="my-agent",
    buying_market=ExchangePair(
        exchange="binance",
        trading_pair="ETH-USDT",
    ),
    selling_market=ExchangePair(
        exchange="kucoin",
        trading_pair="ETH-USDT",
    ),
    maker_side="buy",              # Which side to make
    order_amount=Decimal("0.5"),   # Amount in base asset
    min_profitability=Decimal("0.002"),  # 0.2% minimum
)

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Parameters

ParameterDescription
buying_marketExchange and pair for buy side
selling_marketExchange and pair for sell side
maker_sideWhich side places maker orders (buy or sell)
order_amountOrder size in base asset
min_profitabilityMinimum profit threshold after fees

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How It Works

  1. Price Monitoring: Watches prices on both exchanges
  2. Spread Calculation: Computes potential profit including fees
  3. Maker Order: Places limit order on maker side
  4. Taker Order: When maker fills, immediately takes on other side
  5. Profit Capture: Locks in spread as profit

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Arbitrage Validation

The executor validates that:
  • Trading pairs are interchangeable (same tokens)
  • Sufficient balance on both exchanges
  • Spread exceeds minimum profitability threshold
  • Transaction costs are accounted for

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Example: ETH Arbitrage

eth_xemm = XEMMExecutorConfig(
    controller_id="eth-arb",
    buying_market=ExchangePair(
        exchange="binance",
        trading_pair="ETH-USDT",
    ),
    selling_market=ExchangePair(
        exchange="okx",
        trading_pair="ETH-USDT",
    ),
    maker_side="buy",
    order_amount=Decimal("1.0"),
    min_profitability=Decimal("0.003"),  # 0.3% min profit
)

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Example: Stablecoin Spread

stable_xemm = XEMMExecutorConfig(
    controller_id="stable-spread",
    buying_market=ExchangePair(
        exchange="kraken",
        trading_pair="USDC-USD",
    ),
    selling_market=ExchangePair(
        exchange="coinbase",
        trading_pair="USDC-USD",
    ),
    maker_side="sell",
    order_amount=Decimal("10000"),
    min_profitability=Decimal("0.0005"),  # 0.05% min
)

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Profitability Calculation

Gross Spread = Sell Price - Buy Price
Net Profit = Gross Spread - Buy Fee - Sell Fee - Transfer Costs

Execute if: Net Profit / Trade Value > min_profitability

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Inventory Management

The executor creates positions on both exchanges:
ExchangePosition
Buying ExchangeLong base asset
Selling ExchangeShort base asset (or sold)
Total inventory risk depends on keep_position setting:
  • true: Positions remain for future management
  • false: Inventory rebalanced or hedged