I have a problem with FX arbitrage triangles. I can’t get the same arbitrage that I get clockwise, as when I go counter clockwise. This may have something to do with the bid-ask spreads, or maybe I’m just missing something.
How do I know which currency to go to first to get the right answer?
Note, the answers are only off by a few hundred dollars when a million is being converted, but nevertheless it worries me. Thanks.