Implemented Cycle Detection #19

ruidazeng · 2024-10-17T16:34:19Z

Implemented cycle detection, adapted tests, improved README, added comments.

This works on live data (example below):

New 2.33873% binanceus opportunity:
# 1. buy DOGE to BTC at 552486.18785
# 2. sell DOGE to USDT at 0.12232
# 3. buy ETH to USDT at 0.00038
# 4. buy ADA to ETH at 7570.02271
# 5. sell ADA to USDC at 0.35000
# 6. buy SOL to USDC at 0.00662
# 7. sell SOL to BTC at 0.00226

arbitrage_opportunity/detector.py

ruidazeng

Made changes to appropriate places. Also recommend renaming repository since it is no longer just triangular.

This code uses the best cycle detection algorithm developed by Johnson in 1975 with optimization

Herklos

Great job! Thank you for this very useful contribution.

Herklos · 2024-10-17T20:33:53Z

tests/test_detector.py

+    assert len(best_opportunity) >= 3  # Handling cycles with more than 3 tickers
+    assert best_profit == 4.775


Can you please keep the old test to ensure nothing is broken with the new code and add a new one with more than 3 cycles?

I will write separate tests for get best opportunities (new method) vs get best triangular opportunities (old method) then.

Herklos · 2024-10-17T20:36:23Z

setup.py

@@ -1,7 +1,7 @@
 from setuptools import find_packages
 from setuptools import setup

-from triangular_arbitrage import PROJECT_NAME, VERSION
+from arbitrage_opportunity import PROJECT_NAME, VERSION


Although the library now offers more than just triangular arbitrage, could you please keep the old package name?

This will break the imports for people (including us) who already use the library.

I see. Will revert the renames for now. Maybe something in the future if big updates/overhaul are required to avoid confusions.

I totally agree on that.

Herklos · 2024-10-17T20:36:38Z

main.py

+        print(f"New {total_profit_percentage}% {exchange_name} opportunity:")
+        for i, opportunity in enumerate(best_opportunities):
+            # Get the base and quote currencies
+            base_currency = opportunity.symbol.base
+            quote_currency = opportunity.symbol.quote
+
+            # Format the output as below (real live example):
+            # -------------------------------------------
+            # New 2.33873% binanceus opportunity:
+            # 1. buy DOGE to BTC at 552486.18785
+            # 2. sell DOGE to USDT at 0.12232
+            # 3. buy ETH to USDT at 0.00038
+            # 4. buy ADA to ETH at 7570.02271
+            # 5. sell ADA to USDC at 0.35000
+            # 6. buy SOL to USDC at 0.00662
+            # 7. sell SOL to BTC at 0.00226
+            # -------------------------------------------
+            order_side = get_order_side(opportunity)
+            print(f"{i+1}. {order_side} {base_currency} to {quote_currency} at {opportunity.last_price:.5f}")


Great example!

arbitrage_opportunity/detector.py

Herklos · 2024-10-17T20:38:25Z

arbitrage_opportunity/detector.py

@@ -85,6 +85,46 @@ def get_best_opportunity(tickers: List[ShortTicker]) -> Tuple[List[ShortTicker],

    return best_triplet, best_profit

+def get_best_opportunity(tickers: List[ShortTicker]) -> Tuple[List[ShortTicker], float]:


Should we add a max cycle param here? Then we would be able to call this method inside get_best_triangular_opportunity with a max_cycle=3

@Herklos what's a good default value? I am thinking 50?

I don't have many ideas.
I was thinking of a value much smaller than 50. For example, 5.

Just changed it to 10, since our example yielded a great result where the cycle length is below 10 but greater than 5

arbitrage_opportunity/detector.py

Co-authored-by: Herklos <[email protected]>

ruidazeng · 2024-10-23T13:29:18Z

triangular_arbitrage/detector.py

@@ -56,34 +60,37 @@ def get_best_opportunity(tickers: List[ShortTicker]) -> Tuple[List[ShortTicker],
                           ticker=ShortTicker(symbols.Symbol(f"{ticker.symbol.quote}/{ticker.symbol.base}"),
                                              1 / ticker.last_price, reversed=True))

-    best_profit = 0
-    best_triplet = None
+    best_profit = 1


base case must be = 1, since 100%-100% means no profit, and 1 is the multiplicative identity (we are multiplying the exchange rates, and not adding, the original best_profit = 0 does not make sense)

ruidazeng · 2024-10-23T13:29:39Z

tests/test_detector.py

@@ -14,16 +14,28 @@ def sample_tickers():
    ]


+def test_get_best_triangular_opportunity_handles_empty_tickers():
+    best_opportunity, best_profit = get_best_triangular_opportunity([])
+    assert best_profit == 1


This is necessary since the we need to multiply all the stock prices by the number.

The reason why the old test (with best_profit = 0) worked for the old code is, if no opportunity or empty, the multiplication never occurred as it was hardcoded to only accept minimum a trio of tickers.

However, for our new code, even if there is 0, 1, or 2 tickers, the multiplication occurs, and the base line for profit will be 1 since we are multiplying 1 by the exchange rates to maintain identity.

I see, you're right it's better without best_profit = 0

Herklos · 2024-10-23T16:31:15Z

main.py

+    exchanges = ['binance', 'coinbase', 'kucoin', 'binanceus']
+    exchange_name = exchanges[3] # allow pickable exchange_id from https://github.com/ccxt/ccxt/wiki/manual#exchanges


Could you explain the purpose of the exchanges list? Why not only reference the exchange_id URL instead?

I was just testing different exchanges and didn't want to rewrite the entire exchange_id every time... I will get rid of this.

Herklos · 2024-10-23T16:31:33Z

triangular_arbitrage/detector.py

+def get_best_triangular_opportunity(tickers: List[ShortTicker]) -> Tuple[List[ShortTicker], float]:
+    # Build a directed graph of currencies
+    return get_best_opportunity(tickers, 3)


That's great!

ruidazeng · 2024-10-23T19:05:19Z

Hmm @Herklos not sure how to solve this... The profit is supposed to be 5.775.

However, sometimes it returns 5.775000000000001 and sometimes it returns 5.7749999999999995 and I am not sure why...

ruidazeng · 2024-10-23T19:10:26Z

Hmm @Herklos not sure how to solve this... The profit is supposed to be 5.775.

However, sometimes it returns 5.775000000000001 and sometimes it returns 5.7749999999999995 and I am not sure why...

Is assert round(best_profit, 3) == 5.775 the best approach? I am skeptical.

Herklos · 2024-10-23T20:37:34Z

Hmm @Herklos not sure how to solve this... The profit is supposed to be 5.775.
However, sometimes it returns 5.775000000000001 and sometimes it returns 5.7749999999999995 and I am not sure why...

Is assert round(best_profit, 3) == 5.775 the best approach? I am skeptical.

Yes, that works for me, let's do it that way

ruidazeng · 2024-10-24T18:43:56Z

@Herklos all checks have passed

Herklos

Great work! Thanks for your contribution @ruidazeng

Ruida Zeng and others added 10 commits October 7, 2024 14:08

Any cycle instead of triangular

a9c9c2f

Consider using enumerate instead of iterating with range and len

0b661bd

changed display + updated README

176e7c4

reverted cycle_detector

45a3d6e

removed the percentage change that doesn't make sense

f55795e

reverted detector to triangular

5d4e1ae

fixed final new line linter

3c2b439

fixed tests, added cycles, changed README and comments

db3f092

fixed test with real values

46e331f

cleaned up

05e5b00

ruidazeng commented Oct 17, 2024

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arbitrage_opportunity/detector.py Outdated Show resolved Hide resolved

ruidazeng commented Oct 17, 2024

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Herklos reviewed Oct 17, 2024

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Herklos mentioned this pull request Oct 18, 2024

Rename package to "arbitrage_opportunities" #20

Open

Herklos linked an issue Oct 18, 2024 that may be closed by this pull request

Higher order cycles #16

Closed

Herklos assigned Herklos and ruidazeng and unassigned Herklos Oct 18, 2024

Herklos added the enhancement New feature or request label Oct 18, 2024

ruidazeng and others added 2 commits October 18, 2024 08:19

fixed typo

dc6545e

Co-authored-by: Herklos <[email protected]>

fixed tests

586b350

ruidazeng requested a review from Herklos October 18, 2024 14:08

fixed test cases, edit base case

2b49a7a

ruidazeng commented Oct 23, 2024

View reviewed changes

changed default value to 10

f07321b

Herklos reviewed Oct 23, 2024

View reviewed changes

fixed exchange name and test value

3b7e6ee

fixed tests

01a6cdf

Herklos approved these changes Oct 24, 2024

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Herklos merged commit 368a785 into Drakkar-Software:master Oct 24, 2024
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Implemented Cycle Detection #19

Implemented Cycle Detection #19

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		assert len(best_opportunity) >= 3 # Handling cycles with more than 3 tickers
		assert best_profit == 4.775

		@@ -85,6 +85,46 @@ def get_best_opportunity(tickers: List[ShortTicker]) -> Tuple[List[ShortTicker],

		return best_triplet, best_profit

		def get_best_opportunity(tickers: List[ShortTicker]) -> Tuple[List[ShortTicker], float]:

		exchanges = ['binance', 'coinbase', 'kucoin', 'binanceus']
		exchange_name = exchanges[3] # allow pickable exchange_id from https://github.com/ccxt/ccxt/wiki/manual#exchanges

Implemented Cycle Detection #19

Implemented Cycle Detection #19

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