These arbitrage opportunities tend to go away quickly. There are automated programs that will be trading these and the spreads will narrow quickly. Why not just treat it like a pairs trade, i.e. buy the Canadian shares, sell short the US shares then reverse when necessary? At the same time you can hold an FX position to hedge the currency. No journaling of shares required which requires a lot of time.
Hmm that could work! I was primarily worried about closing the trade on each side if the opportunities don't close, and have a limited amount of capital so I don't want to lock it up. But I'll look into it and try. Thanks Gary!