> 写在前面
> 本文不是“暴富教程”，而是一篇“亏钱笔记”。
> 如果你看完能少亏 1000 U，记得回来点个赞。
01 先泼一盆冷水
套利≠稳赚，它只是“换了一种姿势亏钱”。
我 3 个月跑遍了 DEX-CEX 搬砖、期现、期期、资金费率……
结果扎心：散户的盈亏比，居然还不如合约梭哈（别学我）。
下面 10 个案例，全是我或群友真金白银买来的教训。
02 链上套利：死亡3连击
坑位
|
真实案例
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损失
|
① 转错地址
|
把 ETH 从 Arbitrum 直接打到 Optimism 合约地址
|
100%
|
② 跨链延迟
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跨链桥卡 3 小时，价差从 +8% 变 -3%
|
11%
|
③ 授权钓鱼
|
用了假 Approve 网站，10 分钟被扫空
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100%
|
一句话总结：
链上每一步都是0和1的游戏，输一次就归零。
03 交易所套利：你以为的低风险，全是暗雷
📌期现套利
看到溢价 2%，现货秒入，合约卡30秒，价差归零，倒亏1.5%。
以为对冲安全，结果现货跌停、合约插针，两头爆仓。
📌资金费率套利
正向费率0.3%/8h，开开心心吃三天，结果费率突然转负，两周被反撸7%。
📌合约-合约套利
A 所空、B 所多，
B 所宕机 5 分钟，
A 所空单被强平，直接亏光保证金。
04 避坑6件套（建议截图保存）
👉双边同步：宁可滑点，也不单边裸奔。
👉熔断止损：单笔亏损 >0.8%，一键全平。
👉远离小所：深度＜100 万 U 的合约别碰。
👉实时监控：费率、滑点、强平价、网络 Gas。
👉低杠杆：超过 3 倍就是给插针送钱。
👉分批建仓：别一把梭，把风险切成 4 份。
05 给散户的 3 句真心话
❄️套利是机构游戏，他们有专线、有做市返佣，我们只有手机和 Wi-Fi。
🎺本金越少，容错越低，一次失误一个月白干。
🍠不试不甘心，试了死得快 ——先把上面 7 条做到位，再谈赚钱。
06 互动区
你在套利中还踩过哪些坑❓
评论区留给你❕
> 风险提示：本文不构成任何投资建议，加密货币投资风险极高，请谨慎决策。
——END——
点个「在看」，祝你下次套利不翻车。
A Guide to Avoiding Crypto Arbitrage Pitfalls: I'll Explain the Pitfalls I've Tried in the Past Three Months
—For Those Still Dreaming of "Guaranteed Profits"
> Preface
> This article isn't a "get-rich-quick tutorial," but rather a "losing money diary."
> If reading this helps you avoid losing 1,000 U, please come back and give it a thumbs up.
01 Let me pour some cold water on this:
Arbitrage doesn't guarantee profits; it's just "losing money in a different way."
For three months, I scoured the DEX and CEX markets, arbitrage trading, spot trading, futures trading, and funding rates...
The results were heartbreaking: retail investors' profit-loss ratios were even worse than those of all-in futures trading (don't try to imitate me).
The following 10 cases are all lessons learned by me and my friends in the group who paid real money.
02 On-chain arbitrage: A three-hit death spiral
pit
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Real Case
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loss
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① Transfer to the wrong address
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Transfer ETH from Arbitrum directly to the Optimism contract address
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100%
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② Cross-chain delay
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The cross-chain bridge card lasted for 3 hours, and the price difference changed from +8% to -3%
|
11%
|
③ Authorized phishing
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I used a fake Approve website and it was wiped out in 10 minutes.
|
100%
|
In short:
Every step on the chain is a game of 0s and 1s; losing once wipes out everything.
03 Exchange Arbitrage: What you thought was low risk is full of hidden dangers
📌Spot-Futures Arbitrage
Seeing a 2% premium, I entered the spot market instantly. The futures market was stuck for 30 seconds, and the spread went to zero, resulting in a 1.5% loss.
Thought the hedge was safe, but the spot market hit the limit down and the futures market was forced to liquidate, leaving both positions liquidated.
📌Funding Rate Arbitrage
With a positive 0.3%/8-hour fee, I was happily enjoying it for three days, but the fee suddenly turned negative, resulting in a 7% loss in two weeks.
📌Contract-Contract Arbitrage
I was short at Exchange A and long at Exchange B.
Exchange B was down for 5 minutes,
and my short position at Exchange A was forcibly liquidated, completely losing my margin.
04 6-Piece Guide to Avoiding Pitfalls (Screenshot Recommended)
👉Bilateral Synchronization: It's better to accept slippage than to risk unilateral losses.
👉Circuit Breaker Stop-Loss: If a single loss exceeds 0.8%, liquidate it with one click.
👉Stay away from small exchanges: Avoid contracts with depth less than 1 million U.
👉Real-Time Monitoring: Fees, slippage, forced liquidation price, and network gas.
👉 Low Leverage: More than 3x leverage is simply giving money to traders.
👉Build positions in batches: Don't go all in; split the risk into four parts.
05 3 Truths for Retail Investors
❄️ Arbitrage is an institutional game. They have dedicated lines and market-making rebates, while we only have phones and Wi-Fi.
🎺 The smaller the capital, the lower the margin of error. One mistake can mean a month's work wasted.
🍠Don't give up until you try, and you'll die quickly if you do — First, master the above 7 points, then talk about making money.
06 Interactive Zone
What other pitfalls have you encountered in arbitrage? ❓
Leave it to the comments section! ❕
> Risk Warning: This article does not constitute investment advice. Cryptocurrency investing carries an extremely high risk, so please make your decisions with caution.
——END——
Click "Like" to avoid a botched arbitrage attempt next time.