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194 lines
10 KiB
194 lines
10 KiB
12 months ago
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import logging
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from decimal import Decimal
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from typing import Any, Dict
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import pandas as pd
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from hummingbot.core.data_type.common import OrderType, TradeType
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from hummingbot.core.data_type.order_candidate import OrderCandidate
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from hummingbot.core.event.events import OrderFilledEvent
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from hummingbot.strategy.script_strategy_base import ScriptStrategyBase
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class SimpleArbitrage(ScriptStrategyBase):
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"""
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BotCamp Cohort: Sept 2022
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Design Template: https://hummingbot-foundation.notion.site/Simple-Arbitrage-51b2af6e54b6493dab12e5d537798c07
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Video: TBD
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Description:
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A simplified version of Hummingbot arbitrage strategy, this bot checks the Volume Weighted Average Price for
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bid and ask in two exchanges and if it finds a profitable opportunity, it will trade the tokens.
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"""
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order_amount = Decimal("0.01") # in base asset
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min_profitability = Decimal("0.002") # in percentage
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base = "ETH"
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quote = "USDT"
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trading_pair = f"{base}-{quote}"
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exchange_A = "binance_paper_trade"
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exchange_B = "kucoin_paper_trade"
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markets = {exchange_A: {trading_pair},
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exchange_B: {trading_pair}}
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def on_tick(self):
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vwap_prices = self.get_vwap_prices_for_amount(self.order_amount)
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proposal = self.check_profitability_and_create_proposal(vwap_prices)
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if len(proposal) > 0:
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proposal_adjusted: Dict[str, OrderCandidate] = self.adjust_proposal_to_budget(proposal)
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self.place_orders(proposal_adjusted)
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def get_vwap_prices_for_amount(self, amount: Decimal):
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bid_ex_a = self.connectors[self.exchange_A].get_vwap_for_volume(self.trading_pair, False, amount)
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ask_ex_a = self.connectors[self.exchange_A].get_vwap_for_volume(self.trading_pair, True, amount)
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bid_ex_b = self.connectors[self.exchange_B].get_vwap_for_volume(self.trading_pair, False, amount)
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ask_ex_b = self.connectors[self.exchange_B].get_vwap_for_volume(self.trading_pair, True, amount)
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vwap_prices = {
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self.exchange_A: {
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"bid": bid_ex_a.result_price,
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"ask": ask_ex_a.result_price
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},
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self.exchange_B: {
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"bid": bid_ex_b.result_price,
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"ask": ask_ex_b.result_price
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}
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}
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return vwap_prices
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def get_fees_percentages(self, vwap_prices: Dict[str, Any]) -> Dict:
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# We assume that the fee percentage for buying or selling is the same
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a_fee = self.connectors[self.exchange_A].get_fee(
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base_currency=self.base,
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quote_currency=self.quote,
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order_type=OrderType.MARKET,
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order_side=TradeType.BUY,
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amount=self.order_amount,
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price=vwap_prices[self.exchange_A]["ask"],
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is_maker=False
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).percent
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b_fee = self.connectors[self.exchange_B].get_fee(
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base_currency=self.base,
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quote_currency=self.quote,
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order_type=OrderType.MARKET,
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order_side=TradeType.BUY,
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amount=self.order_amount,
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price=vwap_prices[self.exchange_B]["ask"],
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is_maker=False
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).percent
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return {
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self.exchange_A: a_fee,
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self.exchange_B: b_fee
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}
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def get_profitability_analysis(self, vwap_prices: Dict[str, Any]) -> Dict:
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fees = self.get_fees_percentages(vwap_prices)
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buy_a_sell_b_quote = vwap_prices[self.exchange_A]["ask"] * (1 - fees[self.exchange_A]) * self.order_amount - \
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vwap_prices[self.exchange_B]["bid"] * (1 + fees[self.exchange_B]) * self.order_amount
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buy_a_sell_b_base = buy_a_sell_b_quote / (
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(vwap_prices[self.exchange_A]["ask"] + vwap_prices[self.exchange_B]["bid"]) / 2)
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buy_b_sell_a_quote = vwap_prices[self.exchange_B]["ask"] * (1 - fees[self.exchange_B]) * self.order_amount - \
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vwap_prices[self.exchange_A]["bid"] * (1 + fees[self.exchange_A]) * self.order_amount
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buy_b_sell_a_base = buy_b_sell_a_quote / (
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(vwap_prices[self.exchange_B]["ask"] + vwap_prices[self.exchange_A]["bid"]) / 2)
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return {
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"buy_a_sell_b":
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{
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"quote_diff": buy_a_sell_b_quote,
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"base_diff": buy_a_sell_b_base,
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"profitability_pct": buy_a_sell_b_base / self.order_amount
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},
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"buy_b_sell_a":
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{
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"quote_diff": buy_b_sell_a_quote,
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"base_diff": buy_b_sell_a_base,
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"profitability_pct": buy_b_sell_a_base / self.order_amount
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},
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}
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def check_profitability_and_create_proposal(self, vwap_prices: Dict[str, Any]) -> Dict:
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proposal = {}
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profitability_analysis = self.get_profitability_analysis(vwap_prices)
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if profitability_analysis["buy_a_sell_b"]["profitability_pct"] > self.min_profitability:
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# This means that the ask of the first exchange is lower than the bid of the second one
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proposal[self.exchange_A] = OrderCandidate(trading_pair=self.trading_pair, is_maker=False,
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order_type=OrderType.MARKET,
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order_side=TradeType.BUY, amount=self.order_amount,
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price=vwap_prices[self.exchange_A]["ask"])
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proposal[self.exchange_B] = OrderCandidate(trading_pair=self.trading_pair, is_maker=False,
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order_type=OrderType.MARKET,
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order_side=TradeType.SELL, amount=Decimal(self.order_amount),
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price=vwap_prices[self.exchange_B]["bid"])
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elif profitability_analysis["buy_b_sell_a"]["profitability_pct"] > self.min_profitability:
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# This means that the ask of the second exchange is lower than the bid of the first one
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proposal[self.exchange_B] = OrderCandidate(trading_pair=self.trading_pair, is_maker=False,
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order_type=OrderType.MARKET,
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order_side=TradeType.BUY, amount=self.order_amount,
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price=vwap_prices[self.exchange_B]["ask"])
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proposal[self.exchange_A] = OrderCandidate(trading_pair=self.trading_pair, is_maker=False,
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order_type=OrderType.MARKET,
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order_side=TradeType.SELL, amount=Decimal(self.order_amount),
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price=vwap_prices[self.exchange_A]["bid"])
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return proposal
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def adjust_proposal_to_budget(self, proposal: Dict[str, OrderCandidate]) -> Dict[str, OrderCandidate]:
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for connector, order in proposal.items():
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proposal[connector] = self.connectors[connector].budget_checker.adjust_candidate(order, all_or_none=True)
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return proposal
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def place_orders(self, proposal: Dict[str, OrderCandidate]) -> None:
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for connector, order in proposal.items():
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self.place_order(connector_name=connector, order=order)
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def place_order(self, connector_name: str, order: OrderCandidate):
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if order.order_side == TradeType.SELL:
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self.sell(connector_name=connector_name, trading_pair=order.trading_pair, amount=order.amount,
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order_type=order.order_type, price=order.price)
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elif order.order_side == TradeType.BUY:
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self.buy(connector_name=connector_name, trading_pair=order.trading_pair, amount=order.amount,
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order_type=order.order_type, price=order.price)
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def format_status(self) -> str:
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"""
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Returns status of the current strategy on user balances and current active orders. This function is called
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when status command is issued. Override this function to create custom status display output.
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"""
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if not self.ready_to_trade:
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return "Market connectors are not ready."
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lines = []
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warning_lines = []
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warning_lines.extend(self.network_warning(self.get_market_trading_pair_tuples()))
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balance_df = self.get_balance_df()
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lines.extend(["", " Balances:"] + [" " + line for line in balance_df.to_string(index=False).split("\n")])
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vwap_prices = self.get_vwap_prices_for_amount(self.order_amount)
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lines.extend(["", " VWAP Prices for amount"] + [" " + line for line in
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pd.DataFrame(vwap_prices).to_string().split("\n")])
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profitability_analysis = self.get_profitability_analysis(vwap_prices)
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lines.extend(["", " Profitability (%)"] + [
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f" Buy A: {self.exchange_A} --> Sell B: {self.exchange_B}"] + [
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f" Quote Diff: {profitability_analysis['buy_a_sell_b']['quote_diff']:.7f}"] + [
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f" Base Diff: {profitability_analysis['buy_a_sell_b']['base_diff']:.7f}"] + [
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f" Percentage: {profitability_analysis['buy_a_sell_b']['profitability_pct'] * 100:.4f} %"] + [
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f" Buy B: {self.exchange_B} --> Sell A: {self.exchange_A}"] + [
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f" Quote Diff: {profitability_analysis['buy_b_sell_a']['quote_diff']:.7f}"] + [
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f" Base Diff: {profitability_analysis['buy_b_sell_a']['base_diff']:.7f}"] + [
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f" Percentage: {profitability_analysis['buy_b_sell_a']['profitability_pct'] * 100:.4f} %"
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])
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warning_lines.extend(self.balance_warning(self.get_market_trading_pair_tuples()))
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if len(warning_lines) > 0:
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lines.extend(["", "*** WARNINGS ***"] + warning_lines)
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return "\n".join(lines)
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def did_fill_order(self, event: OrderFilledEvent):
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msg = (
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f"{event.trade_type.name} {round(event.amount, 2)} {event.trading_pair} at {round(event.price, 2)}")
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self.log_with_clock(logging.INFO, msg)
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self.notify_hb_app_with_timestamp(msg)
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