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arbitrage_analysis.py
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arbitrage_analysis.py
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import json
import pymongo
from bot_utils import join_and_sort, get_arb_opp
from pprint import pprint
EPS = 1e-4
def arbitrage_analysis(config_file='arbitrage_analysis_config.json'):
try:
print('# Reading configuration file')
config = json.load(open(config_file))
auth_string = config['auth_string']
db_name = config['db_name']
inf = config['inf']
number_of_entries = config['number_of_entries']
pair = config['pair']
exchanges = config['exchanges']
print('# Forming list of currencies')
current_balance = dict()
currencies = set()
for exch in exchanges:
for key in exch['balance']:
currencies.add(key)
print('# Imitating balances')
for exch in exchanges:
exch_name = exch['name']
exch_balance = exch['balance']
if len(exch_balance) == 0:
continue
current_balance[exch_name] = dict()
for currency in currencies:
try:
cur_balance = exch_balance[currency]
if cur_balance == -1:
current_balance[exch_name][currency] = inf
else:
current_balance[exch_name][currency] = cur_balance
except:
current_balance[exch_name][currency] = 0.0
except Exception as e:
print('\tERROR while processing config file')
print(e)
else:
try:
pass
# print('# Connecting to Mongo')
# client = pymongo.MongoClient(auth_string) # defaults to port 27017
# db = client[db_name]
# print('\t', db.collection_names())
except Exception as e:
print('\t', e)
else:
print('# Entering the main loop')
cur = pair.split('_')
cur_base = cur[0]
cur_quote = cur[1]
with open(pair + '_arb.csv', 'w') as f:
print('{},{},{},{},{},{}'.format('timestamp', 'buy_exchange', 'sell_exchange',
'profit_' + cur_quote, 'volume_' + cur_quote, 'volume_' + cur_base),
file=f)
# col = db['ob_' + pair]
it = 0
# x = []
# for entry in col.find(): #limit=number_of_entries, sort=[("_id", pymongo.DESCENDING)]):
# x.append(entry['timestamp'])
# print(len(set(x)))
# for entry in col.find(limit=number_of_entries, sort=[("_id", pymongo.DESCENDING)]):
# iterator = col.find()
# x = set()
# for entry in iterator: #sort=[("_id", pymongo.ASCENDING)]):
with open('ob_btc_usd.json') as collection:
for row in collection:
entry = json.loads(row)
it += 1
#print('\t# Getting list of exchanges for iteration', it)
exchs = [key for key in entry['data'].keys() if len(entry['data'][key]['asks']) > 0]
n_exchs = len(exchs)
#print(n_exchs)
timestamp = entry['timestamp']
print(timestamp)
# print(exchs)
if timestamp == 1530620346.2809477:
print(current_balance)
print()
for key in entry['data']:
print('\t', key)
print('\t\tasks:', entry['data'][key]['asks'])
print('\t\tbids:', entry['data'][key]['bids'])
#print('\t# Computing pairwise arbitrage for iteration', it)
for i in range(n_exchs):
exch_i = exchs[i]
ob_i = entry['data'][exch_i]
for k in range(i+1, n_exchs):
if i == k:
continue
try:
exch_k = exchs[k]
ob_k = entry['data'][exch_k]
# print('\t', i, k, exch_i, exch_k)
data = {pair: {exch_i: ob_i, exch_k: ob_k}}
if timestamp == 1530620346.2809477:
for key in data[pair]:
print('\t', key)
print('\t\tasks:', data[pair][key]['asks'])
print('\t\tbids:', data[pair][key]['bids'])
d = get_arb_opp(join_and_sort(data), current_balance, copy_balance=True, copy_order_books=True)
profit = d[pair]['profit'] # quote currency
if timestamp == 1530620346.2809477:
pprint(d)
print(profit)
print()
if profit < EPS:
continue
volume_quote = d[pair]['required_quote_amount']
volume_base = d[pair]['required_base_amount']
buy_orders = d[pair]['buy']
if exch_i in buy_orders:
buy_exchange = exch_i
sell_exchange = exch_k
else:
buy_exchange = exch_k
sell_exchange = exch_i
print('{},{},{},{},{},{}'.format(timestamp, buy_exchange, sell_exchange,
profit, volume_quote, volume_base), file=f)
except Exception as e:
print('\t', e)
arbitrage_analysis()