Valian/arbitrage.py

## arbitrage.py
from collections import defaultdict
from operator import itemgetter
from time import time

from binance.client import Client

FEE = 0.0005
PRIMARY = ['ETH', 'USDT', 'BTC', 'BNB']


def main():
    start_time = time()

    prices = get_prices()
    prices_time = time()
    print(f"Downloaded in: {prices_time - start_time:.4f}s")

    triangles = list(find_triangles(prices))
    print(f"Computed in: {time() - prices_time:.4f}s")

    if triangles:
        for triangle in sorted(triangles, key=itemgetter('profit'), reverse=True):
            describe_triangle(prices, triangle)
    else:
        print("No triangles found, try again!")


def get_prices():
    client = Client(None, None)
    prices = client.get_orderbook_tickers()
    prepared = defaultdict(dict)
    for ticker in prices:
        pair = ticker['symbol']
        ask = float(ticker['askPrice'])
        bid = float(ticker['bidPrice'])
        for primary in PRIMARY:
            if pair.endswith(primary):
                secondary = pair[:-len(primary)]
                prepared[primary][secondary] = 1 / ask
                prepared[secondary][primary] = bid
    return prepared


def find_triangles(prices):
    triangles = []
    starting_coin = 'BTC'
    for triangle in recurse_triangle(prices, starting_coin, starting_coin):
        coins = set(triangle['coins'])
        if not any(prev_triangle == coins for prev_triangle in triangles):
            yield triangle
            triangles.append(coins)


def recurse_triangle(prices, current_coin, starting_coin, depth_left=3, amount=1.0):
    if depth_left > 0:
        pairs = prices[current_coin]
        for coin, price in pairs.items():
            new_price = (amount * price) * (1.0 - FEE)
            for triangle in recurse_triangle(prices, coin, starting_coin, depth_left - 1, new_price):
                triangle['coins'] = triangle['coins'] + [current_coin]
                yield triangle
    elif current_coin == starting_coin and amount > 1.0:
        yield {
            'coins': [current_coin],
            'profit': amount
        }


def describe_triangle(prices, triangle):
    coins = triangle['coins']
    price_percentage = (triangle['profit'] - 1.0) * 100
    print(f"{'->'.join(coins):26} {round(price_percentage, 4):-7}% <- profit!")
    for i in range(len(coins) - 1):
        first = coins[i]
        second = coins[i + 1]
        print(f"     {second:4} / {first:4}: {prices[first][second]:-17.8f}")
    print('')


if __name__ == '__main__':
    main()
	from collections import defaultdict
	from operator import itemgetter
	from time import time

	from binance.client import Client

	FEE = 0.0005
	PRIMARY = ['ETH', 'USDT', 'BTC', 'BNB']


	def main():
	start_time = time()

	prices = get_prices()
	prices_time = time()
	print(f"Downloaded in: {prices_time - start_time:.4f}s")

	triangles = list(find_triangles(prices))
	print(f"Computed in: {time() - prices_time:.4f}s")

	if triangles:
	for triangle in sorted(triangles, key=itemgetter('profit'), reverse=True):
	describe_triangle(prices, triangle)
	else:
	print("No triangles found, try again!")


	def get_prices():
	client = Client(None, None)
	prices = client.get_orderbook_tickers()
	prepared = defaultdict(dict)
	for ticker in prices:
	pair = ticker['symbol']
	ask = float(ticker['askPrice'])
	bid = float(ticker['bidPrice'])
	for primary in PRIMARY:
	if pair.endswith(primary):
	secondary = pair[:-len(primary)]
	prepared[primary][secondary] = 1 / ask
	prepared[secondary][primary] = bid
	return prepared


	def find_triangles(prices):
	triangles = []
	starting_coin = 'BTC'
	for triangle in recurse_triangle(prices, starting_coin, starting_coin):
	coins = set(triangle['coins'])
	if not any(prev_triangle == coins for prev_triangle in triangles):
	yield triangle
	triangles.append(coins)


	def recurse_triangle(prices, current_coin, starting_coin, depth_left=3, amount=1.0):
	if depth_left > 0:
	pairs = prices[current_coin]
	for coin, price in pairs.items():
	new_price = (amount * price) * (1.0 - FEE)
	for triangle in recurse_triangle(prices, coin, starting_coin, depth_left - 1, new_price):
	triangle['coins'] = triangle['coins'] + [current_coin]
	yield triangle
	elif current_coin == starting_coin and amount > 1.0:
	yield {
	'coins': [current_coin],
	'profit': amount
	}


	def describe_triangle(prices, triangle):
	coins = triangle['coins']
	price_percentage = (triangle['profit'] - 1.0) * 100
	print(f"{'->'.join(coins):26} {round(price_percentage, 4):-7}% <- profit!")
	for i in range(len(coins) - 1):
	first = coins[i]
	second = coins[i + 1]
	print(f" {second:4} / {first:4}: {prices[first][second]:-17.8f}")
	print('')


	if __name__ == '__main__':
	main()