I can share my small experience with this.
I've tried trading single instrument with multiple brokers (I've even made a software which was monitoring one instrument across several brokers and once the arbitrage was found - was sending orders to both of them). But unfortunately I've faced the same technical challenges - for example your software identified an arbitrage and you sending BUY to Broker1 and SELL to Broker2. As I've used metatrader the commands were send only on the next tick (not sure about another platforms but I presume there is the same stuffthere). But the problem is that Broker1 can provide you with this tick in short period of time while Broker2 can just "hang" - no ticks for several seconds - or even minutes. And once you get this tick the price is already changed. As the result you have one naked position at Broker 1, and worst case - second open position with Broker 2 but with crappy price. For example in my case FXCM was providing ticks just fine while others were "hanging".
So I would say that in case of arbitrage the speed is the key. Maybe it's possible to find two or more brokers which will give you the quick feeds so you'll be able execute at price close to your optimal. But I didn't manage to find such ones yet. I'm not saying its not possible - it just takes time.
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