I did something similar (https://github.com/Metabot-Tech/artis), I stopped when my bot wasn't fast enough to place order. I had a lot of fun trying to optimize round trip time with various datacenters around the world.
>> I had a lot of fun trying to optimize round trip time with various datacenters around the world.
To be honest - I am thinking crypto exchanges are not at this state yet: many of them relying on public clouds, some of them still send non-compressed plain text json data, etc.