幣安三角套利

binance_trianglular_arbitrage_btc_eth.py

import ccxt
import pandas as pd
import time

pd.set_option('expand_frame_repr', False)


def main():
    """
        主函数
    """
    # 初始化交易所
    binance_exchange = ccxt.binance({
        'timeout': 15000,
        'enableRateLimit': True
    })

    # 加载行情
    markets = binance_exchange.load_markets()

    # == Step.1 选择两个交易市场 A, B
    market_a = 'BTC'
    market_b = 'ETH'
    # == Step.1 END =================

    # == Step.2 找到所有同时以 A 和 B 都作为计价的货币
    # 市场内的交易对
    symbols = list(markets.keys())

    # 存放到DataFrame中
    symbols_df = pd.DataFrame(data=symbols, columns=['symbol'])

    # 分割字符串得到 基础货币/计价货币
    base_quote_df = symbols_df['symbol'].str.split(pat='/', expand=True)
    base_quote_df.columns = ['base', 'quote']

    # 过滤得到以 A, B 计价的计价货币
    base_a_list = base_quote_df[base_quote_df['quote'] == market_a]['base'].values.tolist()
    base_b_list = base_quote_df[base_quote_df['quote'] == market_b]['base'].values.tolist()

    # 获取相同的基础货币列表
    common_base_list = list(set(base_a_list).intersection(set(base_b_list)))
    print('{}和{}共有{}个相同的计价货币'.format(market_a, market_b, len(common_base_list)))
    # == Step.2 END =================

    # == Step.3 执行套利步骤

    # 结果保存到DataFrame中
    columns = ['Market A',
               'Market B',
               'Market C',
               'P1',
               'P2',
               'P3',
               'Profit(‰)']

    results_df = pd.DataFrame(columns=columns)

    # 获取前一分钟的close价格
    last_min = binance_exchange.milliseconds() - 60 * 1000  # 前一分钟

    for base_coin in common_base_list:
        market_c = base_coin
        market_a2b_symbol = '{}/{}'.format(market_b, market_a)
        market_b2c_symbol = '{}/{}'.format(market_c, market_b)
        market_a2c_symbol = '{}/{}'.format(market_c, market_a)

        # 获取行情前一分钟的K线数据
        market_a2b_kline = binance_exchange.fetch_ohlcv(market_a2b_symbol, since=last_min, limit=1, timeframe='1m')
        market_b2c_kline = binance_exchange.fetch_ohlcv(market_b2c_symbol, since=last_min, limit=1, timeframe='1m')
        market_a2c_kline = binance_exchange.fetch_ohlcv(market_a2c_symbol, since=last_min, limit=1, timeframe='1m')

        if len(market_a2b_kline) == 0 or len(market_b2c_kline) == 0 or market_a2c_kline == 0:
            continue

        # 获取行情前一分钟的交易对价格
        p1 = market_a2b_kline[0][4]
        p2 = market_b2c_kline[0][4]
        p3 = market_a2c_kline[0][4]

        # 价差
        profit = (p3 / (p1 * p2) - 1) * 1000

        results_df = results_df.append({
            'Market A': market_a,
            'Market B': market_b,
            'Market C': market_c,
            'P1': p1,
            'P2': p2,
            'P3': p3,
            'Profit(‰)': profit
        }, ignore_index=True)

        # 显示信息
        print(results_df.tail(1))

        # 防止超过rate limit
        time.sleep(binance_exchange.rateLimit / 1000)
    # == Step.3 END =================

    results_df.to_csv('./tri_arbitrage_results.csv', index=None)


if __name__ == '__main__':
    main()