Okay, since my last post I've had a bit of a think about this, and there are a few things I'd like to clear up - and also a few ideas I'd like to suggest.
Thank you very much for bearing with me for the following noobish questions.

1) What is your method for quantifying liquidity?
1a) Do you check for the bid/ask spread within an exchange?  If this is the case isn't this counter intuitive, since the more illiquid the market the more volatile it is? How then do you strike a balance between liquidity risk and potential volatility profits?

1b) A way to ensure 0% liquidity risk that I can see is by buying at the lowest ask price at Exchange 1 and selling at the highest bid price at Exchange 2. Of course this is a smaller spread, but if the markets are as volatile as they've been in the past few days then there should be a few opportunities.

2) For exchanges that offer short-selling/margin-trading but with no API to do so, have you considered pure web automation, with something like Selenium?  Of course this would be much slower than an API call. However if your polling timeframe is 5 seconds then generally speaking using a web automation framework would be well within those bounds.

Thank you!