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Binance Triangular Arbitrage
import requests
import datetime
import operator
host = 'https://api.binance.com'
priceURL = host + '/api/v3/ticker/price'
priceResponse = requests.get(priceURL)
priceResponseJSON = priceResponse.json()
# {'symbol': 'ETHBTC', 'price': '0.07608700'}: 1 ETH = 0.0760 BTC
# It's a BTC pair. ETH = price * BTC
# Buy: BTC -> ETH
BTC_Pairs = dict() # 1 AC = x BTC
ETH_Pairs = dict() # 1 AC = y ETH
for pair in priceResponseJSON:
coin_name = pair['symbol'][:-3]
quote_name = pair['symbol'][-3:]
if quote_name == 'BTC':
BTC_Pairs[coin_name] = pair
elif quote_name == 'ETH':
ETH_Pairs[coin_name] = pair
ETH_price = float(BTC_Pairs["ETH"]["price"])
print("Binance: Triangular-Arbitrage")
print (datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S'))
# Buy ETH/BTC (BTC -> ETH, 1 * ETH = price * BTC)
# Buy AC/ETH (ETH -> AC, 1 * AC = price * ETH)
# Sell AC/BTC (AC -> BTC, 1 * AC = price * BTC)
result = dict()
for k, v in BTC_Pairs.items():
if k in ETH_Pairs:
coin2btc = 1 / (float(ETH_price) * float(ETH_Pairs[k]["price"]))
btcbuy = 1 / float(BTC_Pairs[k]["price"]) #BTC买一
profit = round((coin2btc - btcbuy) * 1000 / coin2btc, 2)
result[k] = profit
result = sorted(result.items(), key=operator.itemgetter(1), reverse=True)
formatted_result = dict()
for i in result:
formatted_result[i[0]] = i[1]
count = 10
for i, v in BTC_Pairs.items():
if not i in ETH_Pairs:
continue
name = i
# print("%s\t%10.8f\t%10.8f\t%10.8f\t%10.8f\t"%(name,formatted_result[name], ETH_price, float(ETH_Pairs[name]["price"]), float(BTC_Pairs[name]["price"])))
if formatted_result[name] < 0:
continue
depth_url = host + "/api/v1/depth?symbol=" + name + "ETH"
# Buy
buy_depth = requests.get(depth_url).json()
buy_price = buy_depth["asks"][0][0]
depth_url_btc = host + "/api/v1/depth?symbol=" + name + "BTC"
# Buy
sell_depth = requests.get(depth_url_btc).json()
sell_price = sell_depth["bids"][0][0]
coin2btc = 1 / (float(ETH_price) * float(buy_price))
btcbuy = 1 / float(sell_price)
profit = round((coin2btc - btcbuy) * 1000 / coin2btc, 2)
btc_amount_after_ta = coin2btc*float(sell_price)
if btc_amount_after_ta >= 1.0015:
print('1 BTC = %10.8f ETH = %10.8f %s = %s BTC, %10.2f'%(1 / float(ETH_price), coin2btc, name, btc_amount_after_ta, (btc_amount_after_ta-1) * 100))
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