cointhink arbitrage

arbitrage.rb

module Arbitrage
  // exchanges: [ exchange, ... ]
  // exchange: { name: "Name", markets: [ market, ...] }
  // market: { buy: '<currency code>', sell: '<currency code>', offers: [offer, ...] }
  // offer: { quantity: 1.0, price: 2.0  }
  def calc(exchanges)
    bids = asks = []
    exchanges.each do |exchange|
      bids += exchange.bid_market('btc').offers.sort(&:price)
      asks += exchange.ask_market('btc').offers.sort(&:price)
    end

    # only look at offers with potential
    bids = bids.select{|bid| bid.price > asks[0]}
    asks = asks.select{|ask| ask.price < bids[0]}

    # purse limited by either the available asks or available bids
    bid_market_size = bids.sum{|b|b.price*b.quantity}
    ask_market_size = asks.sum{|a|a.price*a.quantity}
    usd_purse = Math.min(bid_market_size, ask_market_size)

    # buy low from the asks
    portfolio = buy(usd_purse, asks)
    # sell high to the bids
    usd_proceeds = sell(portfolio, bids)

    # whats left is profit
    profit = usd_proceeds - usd_purse

  end
end