I just released the C++ code of my Bitcoin exchange arbitrage system that generates a ~2% monthly return with a USD 2,000 exposure.
I think you guys might be interested in seeing how arbitrage can work with Bitcoin exchanges.
The full code is on the following GitHub page: https://github.com/butor/blackbird. I tried to write a pretty complete Readme file that explains the arbitrage mechanism.
It is also a good way to see how you can connect a C++ system to two Bitcoin exchanges (Bitfinex and OKCoin) using JSON and base64 encoding.
Please let me know what you think. I will try to find C++ contributors that will be able to improve the code and connect to new exchanges.
I hope it can help you understand and actually test how arbitrage between Bitcoin exchanges works.
Here is a quick real life example where arbitrage can occur because of market inefficiency between Bitfinex and Bitstamp in November 2014 (between the two vertical gray lines):