91 lines
3.5 KiB
Python
91 lines
3.5 KiB
Python
#!/usr/bin/python
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from . import market_data_crawler
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from bot.shared_config import *
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import time
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import sys
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import operator
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import pprint
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def calculate_arbitrage_opportunities(exchanges):
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market_data = market_data_crawler.update_market_data_for_symbol_and_exchange(exchanges)
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sorted_market_data = {}
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for exchange_name, order_books in market_data.items():
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for order_book in order_books:
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symbol = order_book['symbol']
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new_dictionary = {symbol:
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{exchange_name:
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{"bids": order_book['bids'][:5],
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"asks": order_book['asks'][:5],
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"timestamp": order_book['timestamp']}}}
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if symbol not in sorted_market_data.keys():
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sorted_market_data.update(new_dictionary)
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else:
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sorted_market_data[symbol].update(new_dictionary[symbol])
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dump(green(str(len(sorted_market_data))), "possible symbols found in total:", ' '.join(sorted_market_data.keys()))
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market_opport = {}
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for symbol, exchanges in sorted_market_data.items():
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lowest_ask = None
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highest_bid = None
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market_opport.update({symbol: {}})
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for exchange_name, order_book in exchanges.items():
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"""""""""
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TODO: This is wrong - you have to calculate the biggest spread!!!
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"""""""""
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if lowest_ask is None or lowest_ask['value'] < order_book['asks'][0]:
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lowest_ask = {"exchange_name":exchange_name,
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"value":order_book['asks'][0],
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"order_book": order_book['asks'][:3]}
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if highest_bid is None or highest_bid['value'] > order_book['bids'][0]:
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highest_bid = {"exchange_name": exchange_name,
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"value": order_book['bids'][0],
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"order_book": order_book['bids'][:3]}
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spread = float(highest_bid['value'][0]) - float(lowest_ask['value'][0])
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market_opport[symbol].update({"highest_bid": highest_bid,
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"lowest_ask": lowest_ask,
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"spread": spread})
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with open("market_analyzation.txt", "w") as file:
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pprint.pprint(market_opport, stream=file)
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return
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start_time = time.time()
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for pair in market_data:
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if len(market_data[pair]) > 1:
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price_list = {}
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for price in market_data[pair]:
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key, value = price.popitem()
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price_list[key] = float(value)
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sorted_x = sorted(price_list.items(), key=operator.itemgetter(1), reverse=True)
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spread = sorted_x[0][1] - sorted_x[-1][1]
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spread_perc = round((spread / sorted_x[0][1]) * 100, 2)
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market_opport[pair] = {"highest_market": sorted_x[0][0],
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"highest_price": sorted_x[0][1],
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"lowest_market": sorted_x[-1][0],
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"lowest_price": sorted_x[-1][1],
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"spread": spread,
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"spread_perc": spread_perc,
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"pair": pair}
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market_opport = sorted(market_opport.values(), key=operator.itemgetter("spread_perc"), reverse=True)
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print("--- Arbitrage oportunities calculated in {0:.3f}ms ---".format((time.time() - start_time)*100))
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return market_opport
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if __name__ == '__main__':
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calculate_arbitrage_opportunities(sys.argv[1:]) |