From 8adbe96dcabe529e63e848e0f508d3a0b644fa7e Mon Sep 17 00:00:00 2001
From: Dennis Thiessen <det@vizrt.com>
Date: Wed, 11 Oct 2017 15:25:09 +0200
Subject: [PATCH] Implemented calculation of arbitrage opportunities

---
 bot/core.py                 | 19 ++++++++++++++++--
 bot/market_data_analyzer.py | 40 +++++++++++++++++++++++++++++++++++++
 bot/market_data_crawler.py  |  8 ++++----
 3 files changed, 61 insertions(+), 6 deletions(-)
 create mode 100644 bot/market_data_analyzer.py

diff --git a/bot/core.py b/bot/core.py
index 7a9e6ea..e7d392a 100644
--- a/bot/core.py
+++ b/bot/core.py
@@ -1,5 +1,5 @@
 #!/usr/bin/python
-from . import market_data_crawler
+from . import market_data_crawler, market_data_analyzer
 
 from tornado import gen
 from tornado.ioloop import IOLoop
@@ -13,7 +13,7 @@ class MainHandler(tornado.web.RequestHandler):
     def post(self):
         print("POST received from IP {0}".format(self.request.remote_ip))
 
-        response = {'error': False, 'msg': ""}
+        response = {'error': False, 'msg': "None"}
         request = json.loads(self.request.body.decode('utf-8'))
 
         if "token" not in request or request["token"] != "abc":
@@ -26,6 +26,11 @@ class MainHandler(tornado.web.RequestHandler):
 
             if request["command"] == "init_market_data":
                 yield self.update_market_data(request, response)
+            elif request["command"] == "get_market_data":
+                yield self.get_market_data(request, response)
+            elif request["command"] == "calc_arbitr_opport":
+                yield self.update_market_data(request, response)
+                yield self.get_arbitrage_opportunities(request, response)
 
         self.write(json.dumps(response))
 
@@ -35,6 +40,16 @@ class MainHandler(tornado.web.RequestHandler):
         response["msg"] = "Market Data initialized"
         response["data"] = market_data_crawler.market_data
 
+    @gen.coroutine
+    def get_market_data(self, request, response):
+        response["msg"] = "Market Data Retrieved"
+        response["data"] = market_data_crawler.market_data
+
+    @gen.coroutine
+    def get_arbitrage_opportunities(self, request, response):
+        response["msg"] = "Arbitrage Oportunities Retrieved"
+        response["data"] = market_data_analyzer.calculate_arbitrage_opportunities(request["basecoin"])
+
     @gen.coroutine
     def delete(self):
         print("Stopping server...")
diff --git a/bot/market_data_analyzer.py b/bot/market_data_analyzer.py
new file mode 100644
index 0000000..97bba07
--- /dev/null
+++ 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
diff --git a/bot/market_data_crawler.py b/bot/market_data_crawler.py
index 167c71e..789cad2 100644
--- a/bot/market_data_crawler.py
+++ b/bot/market_data_crawler.py
@@ -1,16 +1,17 @@
 #!/usr/bin/python
 
-import tornado.escape, tornado.httpclient
+import tornado.escape
+import tornado.httpclient
 import tornado.httpclient
 from tornado import gen
 import time
 from collections import defaultdict
 
+market_data = defaultdict(list)
+
 
 @gen.coroutine
 def update_market_data_for_basecoin(basecoin):
-    global market_data
-    market_data = defaultdict(list)
     market_requests = []
 
     @gen.coroutine
@@ -134,7 +135,6 @@ def update_market_data_for_basecoin(basecoin):
             "https://api.bitfinex.com/v2/tickers?symbols=tETHBTC,tIOTETH,tEOSETH,tSANETH,tOMGETH,tQTMETH,tAVTETH,tETPETH,tNEOETH,tBCHETH",
             handle_response_bitfinex))
 
-
     print("--- Retrieve market data now ---")
     start_time = time.time()
     response_dict = yield market_requests