A basic app which uses web3.py and the etherscan.io api to examine the blockchain and find arbitrage opportunities across ERC-20 compliant tokens. User can load in an arbitrary amount of ERC-20 tokens by specifying them within data.json.
The app is capable of reading and writing data, and generates and stores a list of trading pairs and their corresponding Uniswap Smart Contract if the -update argument is passed through CLI. This is so that the app doesn't have to look up every Uniswap exchange address at runtime.
The coolest part about this project is that it actually works, at least for stablecoins: here's some sample output:
Trading Pair: Token 1 liquidity: Token 2 liquidity: Uniswap2 Price: Kyberswap Min. Price:
--------------- --------------------------- -------------------- ------------------------------------- ----------------------------
DAI/USDT 1554006.946 DAI 1575859.933 USDT 0.986DAI/USDT 0.983DAI/USDT
DAI/LINK 82.712 DAI 1027.409 LINK 0.081DAI/LINK 0.081DAI/LINK
DAI/USDC 1437613.782 DAI 1461538.788 USDC 0.984DAI/USDC 0.983DAI/USDC
DAI/WETH 26745560.671 DAI 75080.218 WETH 356.226DAI/WETH 345.454DAI/WETH
DAI/sUSD 67.280 DAI 66.735 sUSD 1.008DAI/sUSD 1.001DAI/sUSD
USDT/LINK 442813253798507.500 USDT 0.000 LINK 82573202816319507922944.000USDT/LINK 79898721125.494USDT/LINK
USDT/USDC 7200650.193 USDT 7196308.107 USDC 1.001USDT/USDC 964716419700.000USDT/USDC
USDT/WETH 203222085572909920.000 USDT 0.000 WETH 2761399419255379722240.000USDT/WETH 350215636560000.000USDT/WETH
USDT/sUSD 30519.417 USDT 0.000 sUSD 30519417078999995645952.000USDT/sUSD 982484947415.431USDT/sUSD
USDC/LINK 11.846 LINK 153.111 USDC 0.077USDC/LINK 0.000USDC/LINK
LINK/WETH 821962.350 LINK 27427.984 WETH 29.968LINK/WETH 28.981LINK/WETH
USDC/WETH 50983564.174 USDC 141229.297 WETH 360.998USDC/WETH 349929386650000.000USDC/WETH
USDC/sUSD 641424.817 USDC 0.000 sUSD 641424817384999899627520.000USDC/sUSD 984224665654.783USDC/sUSD
sUSD/WETH 11490964.383 WETH 31650.355 sUSD 363.060sUSD/WETH 354.774sUSD/WETH
Takeaways for V2
V1 surprised me as it tracks stablecoins really well - this is because they have the same amount of decimals (in general). You can actually run this script and go and confirm prices on UniswapV2 and KyberSwap, which is really cool (though the Uniswap prices are consistently off by a few decimals - I suspect that this is because they're using time-adjusted average pricing and I'm taking a point price, but that's just a hunch.
Uniswap also has a weird ordering conventions, which means that sometimes the Kyberswap lookup can get messed up, especially if the tokens have different decimals. This shows in the above as pools which supposedly have 0 liquidity - this isn't true, they're just using the wrong decimal count.
I suspect that this is because my implementation of currency pairs is pretty lacking and not formal enough - in V2, I'm actually going to implement pairs as a key underlying data structure, and hope that I can implement some more flexibility vis a vis Kyber/UniswapV2 that way. I also want to implement Sushiswap support, and focus on client-side performance - that means as few server calls as possible. I know I can implement exchange lookup algorithmically for UniswapV2 (and probably Sushiswap, it being a fork and all)
I should also add a column for arbitrage opportunity in percent!
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