What about sports arbitrage, I can see that working out quite well but I'm not too familiar if that is a common enough occurrence to really happen. In sports arb I dont see why the user can't just bet on both outcomes and simply profit on the same match. I've seen the concept before but I'm not sure why its not being more widespread than what is is currently.
It actually is a quite popular concept but most gambling platforms kick against it and consider it to be unethical, users are usually banned from a site when accused of arbing, so it's not much suggested as a betting strategy.
I would assume links are estalished between accounts when they deposit through bank transfer or use same wallet address when depositing using cryptocurrency.
Arbitrage trading is legal, but not really worth it, using bots comes with lots of risks.
Arbitrage gambling is not legal as per the ToS of majority of gambling platforms.