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arbitrageTrader.py
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arbitrageTrader.py
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import time
from config import config
from services.geminiService import geminiService
from services.gdaxService import gdaxService
import gdax
import sys
import threading
from multiprocessing import Process, Queue
import logging
geminiService = geminiService(config['gemini'])
gdaxService = gdaxService(config['gdax'], gdax)
logging.basicConfig(filename="logs.log", level=logging.INFO)
def calculateBidPrice(bids, ethereumTradingQuantity):
try:
priceLevel = filter(lambda bid: float(bid['amount']) >= ethereumTradingQuantity, bids)
if len(priceLevel) > 0:
return float(priceLevel[0]['price'])
else:
return 'no match found'
except Exception as e:
print('Error on line {}'.format(sys.exc_info()[-1].tb_lineno), type(e).__name__, e)
def calculateAskPrice(asks, ethereumTradingQuantity):
try:
priceLevel = filter(lambda ask: float(ask['amount']) >= ethereumTradingQuantity, asks)
if len(priceLevel) > 0:
return float(priceLevel[0]['price'])
else:
return 'no match found'
except Exception as e:
print('Error on line {}'.format(sys.exc_info()[-1].tb_lineno), type(e).__name__, e)
def determineExchangeBalances():
try:
currentGeminiBalances = geminiService.availableBalances()
print currentGeminiBalances
geminiUsdBalance = filter(lambda accountDetails: accountDetails['currency'] == 'USD', currentGeminiBalances)
geminiUsdBalance = float(geminiUsdBalance[0]['amount'])
geminiEthBalance = filter(lambda accountDetails: accountDetails['currency'] == 'ETH', currentGeminiBalances)
geminiEthBalance = float(geminiEthBalance[0]['amount'])
currentGdaxBalances = gdaxService.availableBalances()
gdaxUsdBalance = filter(lambda accountDetails: accountDetails['currency'] == 'USD', currentGdaxBalances)
gdaxUsdBalance = float(gdaxUsdBalance[0]['balance'])
gdaxEthBalance = filter(lambda accountDetails: accountDetails['currency'] == 'ETH', currentGdaxBalances)
gdaxEthBalance = float(gdaxEthBalance[0]['balance'])
exchangeBalances = {
'gdax':{
'usd': gdaxUsdBalance,
'eth': gdaxEthBalance
},
'gemini':{
'usd': geminiUsdBalance,
'eth': geminiEthBalance
}
}
return exchangeBalances
except Exception as e:
print('Error on line {}'.format(sys.exc_info()[-1].tb_lineno), type(e).__name__, e)
def determinePositionChange(orderBooks):
try:
ethereumTradingQuantity = config['ethereumTradingQuantity']
takeProfitTradeThreshold = config['takeProfitTradeThreshold']
swapFundsTradeThreshold = config['swapFundsTradeThreshold']
# below logic for taker scheme
bidPriceGemini = calculateBidPrice(orderBooks['gemini']['bids'], ethereumTradingQuantity)
bidPriceGdax = calculateBidPrice(orderBooks['gdax']['bids'], ethereumTradingQuantity)
askPriceGemini = calculateAskPrice(orderBooks['gemini']['asks'], ethereumTradingQuantity)
askPriceGdax = calculateAskPrice(orderBooks['gdax']['asks'], ethereumTradingQuantity)
# below logic for maker-only scheme
# bidPriceGemini = float(orderBooks['gemini']['bids'][0]['price'])
# bidPriceGdax = float(orderBooks['gdax']['bids'][0]['price'])
# askPriceGemini = float(orderBooks['gemini']['asks'][0]['price'])
# askPriceGdax = float(orderBooks['gdax']['asks'][0]['price'])
transactionPercentageGemini = config['transactionPercentageGemini']
transactionPercentageGdax = config['transactionPercentageGdax']
gdaxBasePercentageDifference = ((bidPriceGdax - askPriceGemini)/askPriceGemini)*100
geminiBasePercentageDifference = ((bidPriceGemini - askPriceGdax)/askPriceGdax)*100
gdaxRateIsHigherAndProfitable = gdaxBasePercentageDifference > takeProfitTradeThreshold
geminiRateIsSwappable = geminiBasePercentageDifference > swapFundsTradeThreshold
positionChange = None
estimatedTransactionFees = None
estimatedGrossProfit = None
estimatedNetProfit = None
print ''
print "Sell on Gemini for " + str(bidPriceGemini)
print "Buy on Gdax for " + str(askPriceGdax)
print "Percent Difference: " + str(geminiBasePercentageDifference)
print 'OR'
print "Sell on Gdax for " + str(bidPriceGdax)
print "Buy on Gemini for " + str(askPriceGemini)
print "Percent Difference: " + str(gdaxBasePercentageDifference)
if gdaxRateIsHigherAndProfitable:
print "gdax rate is higher and profitable"
totalSaleValue = bidPriceGdax*ethereumTradingQuantity
totalPurchaseCost = askPriceGemini*ethereumTradingQuantity
estimatedGrossProfit = totalSaleValue-totalPurchaseCost
estimatedTransactionFees = ((transactionPercentageGdax/100)*totalSaleValue) + ((transactionPercentageGemini/100)*totalPurchaseCost)
estimatedNetProfit = estimatedGrossProfit - estimatedTransactionFees
print "estimated total sale value: " + str(totalSaleValue)
print "estimated total purchase cost: " + str(totalPurchaseCost)
print "estimated gross profit: " + str(estimatedGrossProfit)
print "estimated transaction fees: " + str(estimatedTransactionFees)
print "estimated net profit: " + str(estimatedNetProfit)
positionChange = {
'takeProfit': 'gdax',
'gdax' : {
'action': 'sell',
'quantity': ethereumTradingQuantity,
'units': 'eth',
'rate': bidPriceGdax
},
'gemini': {
'action': 'buy',
'quantity': ethereumTradingQuantity,
'units': 'eth',
'rate': askPriceGemini
}
}
elif geminiRateIsSwappable:
print "gemini rate is higher and profitable"
totalSaleValue = bidPriceGemini*ethereumTradingQuantity
totalPurchaseCost = askPriceGdax*ethereumTradingQuantity
estimatedGrossProfit = totalSaleValue-totalPurchaseCost
estimatedTransactionFees = ((transactionPercentageGemini/100)*totalSaleValue) + ((transactionPercentageGdax/100)*totalPurchaseCost)
estimatedNetProfit = estimatedGrossProfit - estimatedTransactionFees
print "estimated total sale value: " + str(totalSaleValue)
print "estimated total purchase cost: " + str(totalPurchaseCost)
print "estimated gross profit: " + str(estimatedGrossProfit)
print "estimated transaction fees: " + str(estimatedTransactionFees)
print "estimated net profit: " + str(estimatedNetProfit)
positionChange= {
'takeProfit' : 'gemini',
'gemini' : {
'action' : 'sell',
'quantity' : ethereumTradingQuantity,
'units' : 'eth',
'rate' : bidPriceGemini
},
'gdax' : {
'action' : 'buy',
'quantity' : ethereumTradingQuantity,
'units' : 'eth',
'rate' : askPriceGdax
}
}
else:
positionChange = 'none'
return positionChange
except Exception as e:
print('Error on line {}'.format(sys.exc_info()[-1].tb_lineno), type(e).__name__, e)
def execute(positionChange):
try:
processes = []
gdaxTradeResults = Queue()
geminiTradeResults = Queue()
process1 = Process(target=gdaxService.executeTrade, args=(positionChange, gdaxTradeResults))
process2 = Process(target=geminiService.executeTrade, args=(positionChange, geminiTradeResults))
processes.append(process1)
processes.append(process2)
for p in processes:
p.start()
for p in processes:
p.join()
gdaxTradeResults = gdaxTradeResults.get()
geminiTradeResults = geminiTradeResults.get()
gdaxTradeResults = gdaxTradeResults[0]
geminiTradeResults = geminiTradeResults[0]
tradeLog = {
'gdax': gdaxTradeResults,
'gemini': geminiTradeResults,
'takeProfit': positionChange['takeProfit']
}
return tradeLog
except Exception as e:
print('Error on line {}'.format(sys.exc_info()[-1].tb_lineno), type(e).__name__, e)
def isTradePossible(positionChange, ethereumTradingQuantity):
try:
exchangeBalances = determineExchangeBalances()
if positionChange['takeProfit'] == 'gdax':
enoughEth = exchangeBalances['gdax']['eth'] >= ethereumTradingQuantity
enoughUsd = exchangeBalances['gemini']['usd'] > ethereumTradingQuantity*positionChange['gemini']['rate']*2
elif positionChange['takeProfit'] == 'gemini':
enoughEth = exchangeBalances['gemini']['eth'] >= ethereumTradingQuantity
enoughUsd = exchangeBalances['gdax']['usd'] > ethereumTradingQuantity*positionChange['gdax']['rate']*2
if enoughUsd and enoughEth:
return True
else:
return False
except Exception as e:
print('Error on line {}'.format(sys.exc_info()[-1].tb_lineno), type(e).__name__, e)
def main():
try:
orderBookGdax = gdaxService.getOrderBook()
orderBookGemini = geminiService.getOrderBook()
orderBooks = {
'gdax': orderBookGdax,
'gemini': orderBookGemini
}
positionChange = determinePositionChange(orderBooks)
if positionChange == 'none':
print 'no trade opportunity'
return
else:
logging.info('possible trade: ')
logging.info(str(time.time()))
logging.info(str(positionChange))
return
tradePossible = isTradePossible(positionChange, config['ethereumTradingQuantity'])
if tradePossible:
print 'trade is possible'
tradeResults = execute(positionChange)
gdaxResults = tradeResults['gdax']
geminiResults = tradeResults['gemini']
buyValue = None
sellValue = None
if tradeResults['takeProfit'] == 'gdax':
buyValue = (tradeResults['gemini']['price']*tradeResults['gemini']['amount']) - tradeResults['gemini']['fee']
sellValue = (tradeResults['gdax']['price']*tradeResults['gdax']['amount']) - tradeResults['gdax']['fee']
if tradeResults['takeProfit'] == 'gemini':
sellValue = (tradeResults['gemini']['price']*tradeResults['gemini']['amount']) - tradeResults['gemini']['fee']
buyValue = (tradeResults['gdax']['price']*tradeResults['gdax']['amount']) - tradeResults['gdax']['fee']
profit = (sellValue - buyValue) / buyValue
print "successful " + tradeResults['gdax']['action'] + " on Gdax for " + str(tradeResults['gdax']['amount']) + " ethereum at " + str(tradeResults['gdax']['price']) + "/eth, fee of " + str(tradeResults['gdax']['fee'])
print "successful " + tradeResults['gemini']['action'] + " on Gemini for " + str(tradeResults['gemini']['amount']) + " ethereum at " + str(tradeResults['gemini']['price']) + "/eth, fee of " + str(tradeResults['gemini']['fee'])
logging.info(time.time())
logging.info("successful " + tradeResults['gdax']['action'] + " on Gdax for " + str(tradeResults['gdax']['amount']) + " ethereum at " + str(tradeResults['gdax']['price']) + "/eth, fee of " + str(tradeResults['gdax']['fee']))
logging.info("successful " + tradeResults['gemini']['action'] + " on Gemini for " + str(tradeResults['gemini']['amount']) + " ethereum at " + str(tradeResults['gemini']['price']) + "/eth, fee of " + str(tradeResults['gemini']['fee']))
print "profit percentage: " + str(profit)
exchangeBalances = determineExchangeBalances()
totalUsd = exchangeBalances['gdax']['usd']+exchangeBalances['gemini']['usd']
totalEth = exchangeBalances['gdax']['eth']+exchangeBalances['gemini']['eth']
print 'total USD: ' + str(totalUsd)
print 'total ETH: ' + str(totalEth)
logging.info('total USD: ' + str(totalUsd))
logging.info('total ETH: ' + str(totalEth))
else:
print 'trade is not possible'
sys.exit()
except Exception as e:
print('Error on line {}'.format(sys.exc_info()[-1].tb_lineno), type(e).__name__, e)
finally:
time.sleep(config['timeDelta'])
while True:
main()