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Include Max Depth Sizes in Calculation
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@bmino
bmino committed Jan 28, 2021
1 parent c1e2a73 commit edc8584
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Showing 2 changed files with 52 additions and 31 deletions.
12 changes: 6 additions & 6 deletions src/main/ArbitrageExecution.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -160,9 +160,9 @@ const ArbitrageExecution = {

parallelExecutionStrategy(calculated) {
return Promise.all([
BinanceApi.marketBuyOrSell(calculated.trade.ab.method)(calculated.trade.ab.ticker, calculated.ab),
BinanceApi.marketBuyOrSell(calculated.trade.bc.method)(calculated.trade.bc.ticker, calculated.bc),
BinanceApi.marketBuyOrSell(calculated.trade.ca.method)(calculated.trade.ca.ticker, calculated.ca)
BinanceApi.marketBuyOrSell(calculated.trade.ab.method)(calculated.trade.ab.ticker, calculated.ab.quantity),
BinanceApi.marketBuyOrSell(calculated.trade.bc.method)(calculated.trade.bc.ticker, calculated.bc.quantity),
BinanceApi.marketBuyOrSell(calculated.trade.ca.method)(calculated.trade.ca.ticker, calculated.ca.quantity)
])
.then(([resultsAB, resultsBC, resultsCA]) => {
let actual = {
Expand Down Expand Up @@ -217,11 +217,11 @@ const ArbitrageExecution = {
fees: 0
};
let recalculated = {
bc: calculated.bc,
ca: calculated.ca
bc: calculated.bc.quantity,
ca: calculated.ca.quantity
};

return BinanceApi.marketBuyOrSell(calculated.trade.ab.method)(calculated.trade.ab.ticker, calculated.ab)
return BinanceApi.marketBuyOrSell(calculated.trade.ab.method)(calculated.trade.ab.ticker, calculated.ab.quantity)
.then((results) => {
if (results.orderId) {
[actual.a.spent, actual.b.earned, fees] = ArbitrageExecution.parseActualResults(calculated.trade.ab.method, results);
Expand Down
71 changes: 46 additions & 25 deletions src/main/CalculationNode.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -43,10 +43,19 @@ const CalculationNode = {
let calculated = {
id: `${trade.symbol.a}-${trade.symbol.b}-${trade.symbol.c}`,
trade: trade,
ab: 0,
bc: 0,
ca: 0,
depth: depthSnapshot,
ab: {
quantity: 0,
depth: 0
},
bc: {
quantity: 0,
depth: 0
},
ca: {
quantity: 0,
depth: 0
},
a: {
spent: 0,
earned: 0,
Expand All @@ -66,35 +75,35 @@ const CalculationNode = {

if (trade.ab.method === 'BUY') {
// Buying BA
const dustedB = CalculationNode.orderBookConversion(investmentA, trade.symbol.a, trade.symbol.b, trade.ab.ticker, depthSnapshot.ab);
calculated.b.earned = calculated.ab = CalculationNode.calculateDustless(dustedB, trade.ab.dustDecimals);
calculated.a.spent = CalculationNode.orderBookReverseConversion(calculated.b.earned, trade.symbol.b, trade.symbol.a, trade.ab.ticker, depthSnapshot.ab);
const { value: dustedB } = CalculationNode.orderBookConversion(investmentA, trade.symbol.a, trade.symbol.b, trade.ab.ticker, depthSnapshot.ab);
calculated.b.earned = calculated.ab.quantity = CalculationNode.calculateDustless(dustedB, trade.ab.dustDecimals);
({ value: calculated.a.spent, depth: calculated.ab.depth } = CalculationNode.orderBookReverseConversion(calculated.b.earned, trade.symbol.b, trade.symbol.a, trade.ab.ticker, depthSnapshot.ab));
} else {
// Selling AB
calculated.a.spent = calculated.ab = CalculationNode.calculateDustless(investmentA, trade.ab.dustDecimals);
calculated.b.earned = CalculationNode.orderBookConversion(calculated.a.spent, trade.symbol.a, trade.symbol.b, trade.ab.ticker, depthSnapshot.ab);
calculated.a.spent = calculated.ab.quantity = CalculationNode.calculateDustless(investmentA, trade.ab.dustDecimals);
({ value: calculated.b.earned, depth: calculated.ab.depth } = CalculationNode.orderBookConversion(calculated.a.spent, trade.symbol.a, trade.symbol.b, trade.ab.ticker, depthSnapshot.ab));
}

if (trade.bc.method === 'BUY') {
// Buying CB
const dustedC = CalculationNode.orderBookConversion(calculated.b.earned, trade.symbol.b, trade.symbol.c, trade.bc.ticker, depthSnapshot.bc);
calculated.c.earned = calculated.bc = CalculationNode.calculateDustless(dustedC, trade.bc.dustDecimals);
calculated.b.spent = CalculationNode.orderBookReverseConversion(calculated.c.earned, trade.symbol.c, trade.symbol.b, trade.bc.ticker, depthSnapshot.bc);
const { value: dustedC } = CalculationNode.orderBookConversion(calculated.b.earned, trade.symbol.b, trade.symbol.c, trade.bc.ticker, depthSnapshot.bc);
calculated.c.earned = calculated.bc.quantity = CalculationNode.calculateDustless(dustedC, trade.bc.dustDecimals);
({ value: calculated.b.spent, depth: calculated.bc.depth } = CalculationNode.orderBookReverseConversion(calculated.c.earned, trade.symbol.c, trade.symbol.b, trade.bc.ticker, depthSnapshot.bc));
} else {
// Selling BC
calculated.b.spent = calculated.bc = CalculationNode.calculateDustless(calculated.b.earned, trade.bc.dustDecimals);
calculated.c.earned = CalculationNode.orderBookConversion(calculated.b.spent, trade.symbol.b, trade.symbol.c, trade.bc.ticker, depthSnapshot.bc);
calculated.b.spent = calculated.bc.quantity = CalculationNode.calculateDustless(calculated.b.earned, trade.bc.dustDecimals);
({ value: calculated.c.earned, depth: calculated.bc.depth } = CalculationNode.orderBookConversion(calculated.b.spent, trade.symbol.b, trade.symbol.c, trade.bc.ticker, depthSnapshot.bc));
}

if (trade.ca.method === 'BUY') {
// Buying AC
const dustedA = CalculationNode.orderBookConversion(calculated.c.earned, trade.symbol.c, trade.symbol.a, trade.ca.ticker, depthSnapshot.ca);
calculated.a.earned = calculated.ca = CalculationNode.calculateDustless(dustedA, trade.ca.dustDecimals);
calculated.c.spent = CalculationNode.orderBookReverseConversion(calculated.a.earned, trade.symbol.a, trade.symbol.c, trade.ca.ticker, depthSnapshot.ca);
const { value: dustedA } = CalculationNode.orderBookConversion(calculated.c.earned, trade.symbol.c, trade.symbol.a, trade.ca.ticker, depthSnapshot.ca);
calculated.a.earned = calculated.ca.quantity = CalculationNode.calculateDustless(dustedA, trade.ca.dustDecimals);
({ value: calculated.c.spent, depth: calculated.ca.depth } = CalculationNode.orderBookReverseConversion(calculated.a.earned, trade.symbol.a, trade.symbol.c, trade.ca.ticker, depthSnapshot.ca));
} else {
// Selling CA
calculated.c.spent = calculated.ca = CalculationNode.calculateDustless(calculated.c.earned, trade.ca.dustDecimals);
calculated.a.earned = CalculationNode.orderBookConversion(calculated.c.spent, trade.symbol.c, trade.symbol.a, trade.ca.ticker, depthSnapshot.ca);
calculated.c.spent = calculated.ca.quantity = CalculationNode.calculateDustless(calculated.c.earned, trade.ca.dustDecimals);
({ value: calculated.a.earned, depth: calculated.ca.depth } = CalculationNode.orderBookConversion(calculated.c.spent, trade.symbol.c, trade.symbol.a, trade.ca.ticker, depthSnapshot.ca));
}

// Calculate deltas
Expand All @@ -110,15 +119,15 @@ const CalculationNode = {

recalculateTradeLeg({ base, quote, method, ticker, dustDecimals }, quantityEarned, depthSnapshot) {
if (method === 'BUY') {
const dustedQuantity = CalculationNode.orderBookConversion(quantityEarned, quote, base, ticker, depthSnapshot);
const { value: dustedQuantity } = CalculationNode.orderBookConversion(quantityEarned, quote, base, ticker, depthSnapshot);
return CalculationNode.calculateDustless(dustedQuantity, dustDecimals);
} else {
return CalculationNode.calculateDustless(quantityEarned, dustDecimals);
}
},

orderBookConversion(amountFrom, symbolFrom, symbolTo, ticker, depthSnapshot) {
if (amountFrom === 0) return 0;
if (amountFrom === 0) return { value: 0, depth: 0 };

let amountTo = 0;

Expand All @@ -133,7 +142,10 @@ const CalculationNode = {
amountTo += exchangeableAmount;
} else {
// Last fill
return amountTo + (amountFrom * rate);
return {
value: amountTo + (amountFrom * rate),
depth: i+1
};
}
}
throw new Error(`Bid depth (${bidRates.length}) too shallow to convert ${amountFrom} ${symbolFrom} to ${symbolTo} using ${ticker}`);
Expand All @@ -148,15 +160,18 @@ const CalculationNode = {
amountTo += quantity;
} else {
// Last fill
return amountTo + (amountFrom / rate);
return {
value: amountTo + (amountFrom / rate),
depth: i+1
};
}
}
throw new Error(`Ask depth (${askRates.length}) too shallow to convert ${amountFrom} ${symbolFrom} to ${symbolTo} using ${ticker}`);
}
},

orderBookReverseConversion(amountFrom, symbolFrom, symbolTo, ticker, depthSnapshot) {
if (amountFrom === 0) return 0;
if (amountFrom === 0) return { value: 0, depth: 0 };

let amountTo = 0;

Expand All @@ -171,7 +186,10 @@ const CalculationNode = {
amountTo += exchangeableAmount;
} else {
// Last fill
return amountTo + (amountFrom * rate);
return {
value: amountTo + (amountFrom * rate),
depth: i+1
};
}
}
throw new Error(`Ask depth (${askRates.length}) too shallow to reverse convert ${amountFrom} ${symbolFrom} to ${symbolTo} using ${ticker}`);
Expand All @@ -186,7 +204,10 @@ const CalculationNode = {
amountTo += quantity;
} else {
// Last fill
return amountTo + (amountFrom / rate);
return {
value: amountTo + (amountFrom / rate),
depth: i+1
};
}
}
throw new Error(`Bid depth (${bidRates.length}) too shallow to reverse convert ${amountFrom} ${symbolFrom} to ${symbolTo} using ${ticker}`);
Expand Down

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