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We also recommend that a + file or class name and description of purpose be included on the + same "printed page" as the copyright notice for easier + identification within third-party archives. + + Copyright [yyyy] [name of copyright owner] + + Licensed under the Apache License, Version 2.0 (the "License"); + you may not use this file except in compliance with the License. + You may obtain a copy of the License at + + http://www.apache.org/licenses/LICENSE-2.0 + + Unless required by applicable law or agreed to in writing, software + distributed under the License is distributed on an "AS IS" BASIS, + WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + See the License for the specific language governing permissions and + limitations under the License. diff --git a/README.md b/README.md new file mode 100644 index 0000000..96e06aa --- /dev/null +++ b/README.md @@ -0,0 +1,10 @@ +# ethereum-arbitrage + +## Resources + +- [Contributing](./CONTRIBUTING.md) + +## Licensing + +This project is licensed under the [Apache Licence 2.0](./LICENSE). + diff --git a/blog_post.pdf b/blog_post.pdf new file mode 100644 index 0000000..fccbcfa Binary files /dev/null and b/blog_post.pdf differ diff --git a/constants.py b/constants.py new file mode 100644 index 0000000..553bf76 --- /dev/null +++ b/constants.py @@ -0,0 +1,8 @@ +import os +class Constants: + AMBERDATA_API_KEY = os.environ['AMBERDATA_API_KEY'] + AMBERDATA_BASE = 'https://web3api.io/api/v1' + AMBERDATA_BASE_MARKET = AMBERDATA_BASE + '/market' + AMBERDATA_WEBSOCKET_BASE = 'wss://ws.web3api.io' + + \ No newline at end of file diff --git a/exchanges.py b/exchanges.py new file mode 100644 index 0000000..d2b983e --- /dev/null +++ b/exchanges.py @@ -0,0 +1,22 @@ +import requests +from log import logger +from constants import Constants +if __name__ == '__main__': + logger.info('main start') + url = Constants.AMBERDATA_BASE_MARKET + '/exchanges' + headers = { 'x-api-key': Constants.AMBERDATA_API_KEY } + response = requests.get(url, headers=headers) + payload = response.json()['payload'] + exchange_count_pair = [(k, len(v)) for (k,v) in payload.items()] + exchange_count_pair.sort(key=lambda x: x[1], reverse=True) + logger.info(exchange_count_pair[:10]) + pair_count_exchange_dict = {} + for k, v in payload.items(): + for pair in list(v.keys()): + if pair not in pair_count_exchange_dict: + pair_count_exchange_dict[pair] = 0 + pair_count_exchange_dict[pair] += 1 + pair_count_exchange = [(k, v) for (k,v) in pair_count_exchange_dict.items()] + pair_count_exchange.sort(key=lambda x: x[1], reverse=True) + logger.info(pair_count_exchange[:10]) + logger.info('main end') \ No newline at end of file diff --git a/log.py b/log.py new file mode 100644 index 0000000..bdcee10 --- /dev/null +++ b/log.py @@ -0,0 +1,4 @@ +import logging +from logging.config import fileConfig +fileConfig('logging_config.ini') +logger = logging.getLogger() diff --git a/logging_config.ini b/logging_config.ini new file mode 100644 index 0000000..5fec49c --- /dev/null +++ b/logging_config.ini @@ -0,0 +1,21 @@ +[loggers] +keys=root + +[handlers] +keys=stream_handler + +[formatters] +keys=formatter + +[logger_root] +level=INFO +handlers=stream_handler + +[handler_stream_handler] +class=StreamHandler +level=DEBUG +formatter=formatter +args=(sys.stderr,) + +[formatter_formatter] +format=%(thread)s: [%(asctime)s] {%(filename)s:%(lineno)d} %(levelname)-8s %(message)s diff --git a/ohlcv_historical.py b/ohlcv_historical.py new file mode 100644 index 0000000..5ca382b --- /dev/null +++ b/ohlcv_historical.py @@ -0,0 +1,30 @@ +import requests +import statistics +from log import logger +from urllib.parse import urlencode +from constants import Constants +def join(data_a, data_b, key_index, value_index): + data_b_dict = { x[key_index]: x[value_index] for x in data_b } + data_joined = [] + for x in data_a: + if x[key_index] in data_b_dict: + data_joined.append([x[key_index], x[value_index], data_b_dict[x[key_index]]]) + return data_joined + +if __name__ == '__main__': + logger.info('main start') + url = Constants.AMBERDATA_BASE_MARKET + '/ohlcv/eth_btc/historical?' + filters = {} + filters['exchange'] = 'binance,huobi' + filters['timeInterval'] = 'minutes' + filters['startDate'] = 1556064000 #'2019-04-24' + filters['endDate'] = 1558656000 #'2019-05-24' + url += urlencode(filters) + logger.info('url = {}'.format(url)) + headers = { 'x-api-key': Constants.AMBERDATA_API_KEY } + response = requests.get(url, headers=headers, timeout=600) + data = response.json()['payload']['data'] + data_joined = join(data['binance'], data['huobi'], 0, 4) + diff_price_stdev = statistics.stdev([x[1] - x[2] for x in data_joined]) + logger.info('diff_price_stdev = {}'.format(diff_price_stdev)) + logger.info('main end') \ No newline at end of file diff --git a/ohlcv_information.py b/ohlcv_information.py new file mode 100644 index 0000000..c5c0997 --- /dev/null +++ b/ohlcv_information.py @@ -0,0 +1,13 @@ +import requests +from log import logger +from constants import Constants +from datetime import datetime +if __name__ == '__main__': + logger.info('main start') + url = Constants.AMBERDATA_BASE_MARKET + '/ohlcv/information?exchange=binance,huobi' + headers = { 'x-api-key': Constants.AMBERDATA_API_KEY } + response = requests.get(url, headers=headers) + payload = response.json()['payload'] + for exchange in ['binance', 'huobi']: + logger.info('{} eth_btc startDate is {}'.format(exchange, datetime.utcfromtimestamp(payload[exchange]['eth_btc']['startDate']/1000.0).isoformat())) + logger.info('main end') \ No newline at end of file diff --git a/requirements.txt b/requirements.txt new file mode 100644 index 0000000..8024749 --- /dev/null +++ b/requirements.txt @@ -0,0 +1 @@ +requests==2.21.0 \ No newline at end of file diff --git a/tickers_latest.py b/tickers_latest.py new file mode 100644 index 0000000..1bf2d51 --- /dev/null +++ b/tickers_latest.py @@ -0,0 +1,39 @@ +import requests +from concurrent.futures import ThreadPoolExecutor,as_completed +from log import logger + +import time +import json +from constants import Constants + +sigma = 3.862523415579312e-05 + +def place_order_if_condition_met(prices): + if prices['binance_bid'] and prices['huobi_ask']: + diff = abs(prices['binance_bid'] - prices['huobi_ask']) + if diff > 2 * sigma: + logger.info('here we need to take some positions') + elif diff < 0.1 * sigma: + logger.info('here we need to exit some positions') + if prices['binance_ask'] and prices['huobi_bid']: + diff = abs(prices['binance_ask'] - prices['huobi_bid']) + if diff > 2 * sigma: + logger.info('here we need to take some positions') + elif diff < 0.1 * sigma: + logger.info('here we need to exit some positions') + +if __name__ == '__main__': + logger.info('main start') + while True: + url = Constants.AMBERDATA_BASE_MARKET + '/tickers/eth_btc/latest?exchange=binance,huobi' + headers = { 'x-api-key': Constants.AMBERDATA_API_KEY } + response = requests.get(url, headers=headers) + payload = response.json()['payload'] + prices = {} + prices['binance_bid'] = payload['binance'].get('bid') + prices['binance_ask'] = payload['binance'].get('ask') + prices['huobi_bid'] = payload['huobi'].get('bid') + prices['huobi_ask'] = payload['huobi'].get('ask') + place_order_if_condition_met(prices) + time.sleep(60) + logger.info('main end') diff --git a/websocket_market_bbos.py b/websocket_market_bbos.py new file mode 100644 index 0000000..7347d54 --- /dev/null +++ b/websocket_market_bbos.py @@ -0,0 +1,63 @@ +import websocket +from log import logger +import ssl +import json +from constants import Constants + +prices = {} +sigma = 3.862523415579312e-05 +def on_open(ws): + logger.info('websocket {} was connected'.format(ws.url)) + ws.send(json.dumps({ + 'jsonrpc': '2.0', + 'id': 1, + 'method': 'subscribe', + 'params': ['market:bbos', {'pair': 'eth_btc', 'exchange': 'binance'}] + })) + ws.send(json.dumps({ + 'jsonrpc': '2.0', + 'id': 2, + 'method': 'subscribe', + 'params': ['market:bbos', {'pair': 'eth_btc', 'exchange': 'huobi'}] + })) + +def place_order_if_condition_met(prices): + if prices['binance_bid'] and prices['huobi_ask']: + diff = abs(prices['binance_bid'] - prices['huobi_ask']) + if diff > 2 * sigma: + logger.info('here we need to take some positions') + elif diff < 0.1 * sigma: + logger.info('here we need to exit some positions') + if prices['binance_ask'] and prices['huobi_bid']: + diff = abs(prices['binance_ask'] - prices['huobi_bid']) + if diff > 2 * sigma: + logger.info('here we need to take some positions') + elif diff < 0.1 * sigma: + logger.info('here we need to exit some positions') + +def on_message(ws, message): + json_message = json.loads(message) + if json_message.get('params') and json_message.get('params').get('result'): + result = json_message.get('params').get('result') + if result['exchange'] == 'binance': + if result['isBid']: + prices['binance_bid'] = result['price'] + place_order_if_condition_met(prices) + else: + prices['binance_ask'] = result['price'] + place_order_if_condition_met(prices) + elif result['exchange'] == 'huobi': + if result['isBid']: + prices['huobi_bid'] = result['price'] + place_order_if_condition_met(prices) + else: + prices['huobi_ask'] = result['price'] + place_order_if_condition_met(prices) +if __name__ == '__main__': + logger.info('main start') + ws = websocket.WebSocketApp(Constants.AMBERDATA_WEBSOCKET_BASE) + ws.header = {'x-api-key': Constants.AMBERDATA_API_KEY} + ws.on_open = on_open + ws.on_message = on_message + ws.run_forever(sslopt={'cert_reqs': ssl.CERT_NONE}) + logger.info('main end')