Arbitrage is not legal. It just way of trading where the trader takes the advantage of the spread available in different exchanges. This difference in price can also be coz of the buy and sell volume available at that exchange.

It is not that arbitrage is very hard to do. There are very rare opputunity to get the difference but, there are bots designed that detect the differences. If you have problem with any exchange for deposit and withdrawal then you can exclude that for arbitrage as arbitrage is done in very small time window.