Implemented calculation of arbitrage opportunities

2017-10-11 15:25:09 +02:00
parent 942e6081b2
commit 8adbe96dca
3 changed files with 61 additions and 6 deletions
--- a/bot/market_data_analyzer.py
+++ b/bot/market_data_analyzer.py
@@ -0,0 +1,40 @@
+#!/usr/bin/python
+from . import market_data_crawler
+
+import time
+import operator
+
+
+def calculate_arbitrage_opportunities(basecoin):
+    market_data = market_data_crawler.market_data
+    print("Total currency pairs: {0}".format(len(market_data)))
+    market_opport = {}
+
+    print("--- Calculating arbitrage oportunities now ---")
+    start_time = time.time()
+
+    for pair in market_data:
+        if len(market_data[pair]) > 1:
+            price_list = {}
+
+            for price in market_data[pair]:
+                key, value = price.popitem()
+                price_list[key] = float(value)
+
+            sorted_x = sorted(price_list.items(), key=operator.itemgetter(1), reverse=True)
+            spread = sorted_x[0][1] - sorted_x[-1][1]
+            spread_perc = round((spread / sorted_x[0][1]) * 100, 2)
+
+            market_opport[pair] = {"highest_market": sorted_x[0][0],
+                                   "highest_price:": sorted_x[0][1],
+                                   "lowest_market": sorted_x[-1][0],
+                                   "lowest_price": sorted_x[-1][1],
+                                   "spread": spread,
+                                   "spread_perc": spread_perc,
+                                   "pair": pair}
+
+    market_opport = sorted(market_opport.values(), key=operator.itemgetter("spread_perc"), reverse=True)
+
+    print("--- Arbitrage oportunities calculated in {0:.3f}ms ---".format((time.time() - start_time)*100))
+
+    return market_opport