Arbitrage opportunity tracker

This Python application listens to centralised cryptocurrency exchange orderbooks to track arbitrage opportunities between exchanges.

When there is an arbitrage opportunity an alert is generated.

This project uses CCXT Pro that is a paid service. You need to access to the private Github repository of CCXT Pro to install this project.

This project is not going to be actively maintained. If you are interested using this code please reach out in Discord.

Features

It will show the arbitration opportunities between exchanges. Currently Python logging output support.

BTC/GBP #1 (@0.0400 BTC) is 0.09564%  by buy Coinbase   41,875.95  - sell Bitfinex   - 41,916.00  (40.05 GBP)
BTC/GBP #2 (@0.0400 BTC) is 0.03556%  by buy Coinbase   41,875.95  - sell Bitstamp   - 41,890.84  (14.89 GBP)
BTC/EUR #1 (@0.0400 BTC) is 0.05433%  by buy Coinbase   49,428.15  - sell Bitfinex   - 49,455.00  (26.85 EUR)
BTC/EUR #2 (@0.0400 BTC) is 0.05261%  by buy Kraken     49,429.00  - sell Bitfinex   - 49,455.00  (26.00 EUR)
ETH/GBP #1 (@0.5000 ETH) is 0.06897%  by buy Coinbase   2,755.40   - sell Bitfinex   - 2,757.30   (1.90 GBP)
ETH/GBP #2 (@0.5000 ETH) is 0.05082%  by buy Kraken     2,755.90   - sell Bitfinex   - 2,757.30   (1.40 GBP)
ETH/EUR #1 (@0.5000 ETH) is 0.04951%  by buy Coinbase   3,251.69   - sell Bitfinex   - 3,253.30   (1.61 EUR)
ETH/EUR #2 (@0.5000 ETH) is 0.01998%  by buy Bitstamp   3,252.65   - sell Bitfinex   - 3,253.30   (0.65 EUR)

The ask and bid levels on specified depth levels can be written to Redis Timeseries database.

A Telegram alert can be send if the arbitration profitabiltiy reaches a certain level.

Installation

Checkout.

Get submodules.

git submodule update --recursive --init

Install with Poetry

poetry install

Running

Start Redis with Timeseries extension for recording depth data. This will start a Redis instance with password configured by REDIS_PASSWORD environment variable.

# Read REDIS_HOST and REDIS_PASSWORD
source secrets-local.env 
docker-compose up

Activate Poetry shell extensions

poetry shell

Then

python order_book_recorder/main.py --no-live

Configuring the Python Telegram bot for a group chat

Get a Telegram API key from Botfather.

Add the bot in to a chat group.

Add the TELEGRAM_API_KEY in secrets.env.

Query active messages using JQ.

# Read TG API key from the secrets file
source secrets.env

# Get the chat messages for the bot and extract chat id from those
curl https://api.telegram.org/bot$TELEGRAM_API_KEY/getUpdates | jq

Extract chat id from the output and add it to secrets.env:

export TELEGRAM_CHAT_ID="-111113672"

Examining time series data

Ask and bid price is recorded to Redis Timeseries at depths specified in the config.

Here is an example how to examine this data with redis-cli:

docker exec -it redistimeseries redis-cli

Then:

AUTH yourlocalpassword
keys *

You should see recorder data:

  1) 
  2) "Orderbook depth: Coinbase BTC-EUR bid at 0.04"
  3) "Orderbook depth: Exmo BTC-GBP ask at 0.04"
  4) "Orderbook depth: Bitfinex BTC-EUR bid at 0.04"

You can query it. For example to get Bitfinex ETH-EUR ask prices all-time.

127.0.0.1:6379> TS.RANGE "Orderbook depth: Bitfinex ETH-EUR ask at 3" - + AGGREGTION avg
 1) 1) (integer) 1634236371966
    2) 3252.50454148169
 2) 1) (integer) 1634236373112
    2) 3252.43330625139
...

Background

This pile of scripts was originally created to see what fiat pair arbitrage opportunities there exists in the markets. The code is designed for crude arbitrage, not for high-frequency systems. The main goal is to have easily modifieable code base.

More information

Visit Trading Strategy Discord for help with algorithmic trading.