Poloniex arbitrage check

polo-arbitrage

#!/usr/bin/env node
var https = require('https');

var fee = 0.002;
var uri = "https://poloniex.com/public?command=returnTicker";

function parse(ticker){
    var pairs = [], pair, parts;
    for (pair in ticker){
        parts = pair.split('_');
        if(parts.indexOf("DIEM") > -1 || parts.indexOf("HUGE") > -1){
        	continue; 
        }
        pairs.push([parts[0], parts[1], ticker[pair].lowestAsk]);
        pairs.push([parts[1], parts[0], 1/ticker[pair].highestBid]);
    } 
    return pairs;
}

function build(pairs){
    var graph = {};
    var rates = {};
    for (var r, w, i = pairs.length; i--;){
        r = pairs[i][2] * (1 - fee);
        w = Math.log10(r);
        graph[pairs[i][0]] = graph[pairs[i][0]] || {};
        graph[pairs[i][0]][pairs[i][1]] = -1.0 * w;
        rates[pairs[i][0]] = rates[pairs[i][0]] || {};
        rates[pairs[i][0]][pairs[i][1]] = r;
    }
    return { graph: graph, rates: rates };
}

function arbitrage(data){
    data.graph.root = {};
    for (var edge in data.graph){
        data.graph.root[edge] = 0.0;
    }
    var dist = {};
    var pred = {};
    for (var edge in data.graph){
        dist[edge] = Infinity;
    }
    dist.root = 0;
    for (var i = Object.keys(data.graph).length; i--;){
        for (var edge in data.graph){
            for (var vertex in data.graph[edge]){
                if (dist[vertex] > (dist[edge] + data.graph[edge][vertex])){
                    dist[vertex] = dist[edge] + data.graph[edge][vertex];
                    pred[vertex] = edge;
                }
            }
        }
    }
    var arbitrage = false;
    var cyclic = {};
    for (var edge in data.graph){
        for (var vertex in data.graph[edge]){
            if (dist[vertex] > (dist[edge] + data.graph[edge][vertex])){
                arbitrage = true;
                dist[vertex] = dist[edge] + data.graph[edge][vertex];
                cyclic[vertex] = true;
            }
        }
    }
    if (!arbitrage){
        console.log("No arbitrage");
        return [];
    }
    var paths = [];
    for (var key in cyclic){
        var visited = {};
        visited[key] = true; 
        var path = [];
        var p = key;
        do {
            path.push(p);
            visited[p] = true;
            p = pred[p];
        } while (p && !visited[p]);
        path.reverse();
        path.push(path[0]);
        var value = 1.0;
        for (var n = path.length-1; n--;)
            value = value * data.rates[path[n]][path[n+1]];
        paths.push([path, value]);
    }
    return paths.filter(function(v){
        return v[1];
    }).sort(function(a, b){
        return b[1] > a[1];
    });
}

function print(paths){
    for (var i = 0, l = paths.length; i<l; i++){
        for (var v = 1, r = [], j = 0, m = paths[i][0].length-1; j<m; j++){
            console.log(v + " " + paths[i][0][j] + " -> " + paths[i][0][j+1]
                + " = " + (v * data.rates[paths[i][0][j]][paths[i][0][j+1]]));
            v *= data.rates[paths[i][0][j]][paths[i][0][j+1]];
        }
        if (i<l-1) console.log('-');
    }
}

var data;

var req = https.request(uri, function(res, buff){
    data = "";
    res.on('data', function(chunk){
        data += chunk;
    }).on('end', function(){
    	data = build(parse(JSON.parse(data))); 
        print(arbitrage(data));
    });
}).on('error', console.error).end();