I can see that there is no variable of "fees" which usually applies even on a LIMIT order. For example Coinbase Pro has Maker fees of 0.15%. Ideally this fees should be added to BUY order and subtracted from SELL order, as that will actually cost you.

Cool stuff. 20% Deviation from the market price is quite high though. I suppose orders will never get a chance to execute. What would be a more realistic percentage? Could it be based on the current volatility for example? Or am I missing something.

Yep, you are 100% correct.

This is a very naive bot, it will rarely ever execute at that margin but you will never lose either. You are just betting on the fact that hopefully someone buys out the orderbook by accident or because they really want that asset.

A more realistic margin is 0.0000001% but when you start doing that, you will start losing money so you will want a much better algorithmic trading strategy.

I will probably write a hedging tutorial next.

the current implementation will do great on flash crashes :-)