R2 Bitcoin Arbitrager

R2 Bitcoin Arbitrager is an automatic arbitrage trading application targeting Bitcoin exchanges operated in Japan.

This application is implemented with Node.js/TypeScript. The previous version was implemented by C# on .NET Framework in Rinjani repository.

Getting Started

Install Node.js 8.5 or newer.
Clone this repository.

git clone https://github.com/bitrinjani/r2.git

Run npm install. (or yarn)

cd r2
npm install

Rename config_default.json in src folder to config.json
Replace key and secret fields with your API keys (tokens) and secrets.
Start the application by npm start or yarn start.

npm start

Prerequisites

The application should work on any OS that supports Node.js, such as:

Windows
Mac OS
Linux

Supported Exchanges

Currently, the Arbitrager supports three exchanges operated in Japan.

Bitflyer (Cash)
Quoine (Leverage)
Coincheck (Cash, Leverage)

How it works

Every 3 seconds, the Arbitrager fetches quotes from exchanges.
Verifies if the max net exposure (maxNetExposure config) is not breached.
Filters out quotes that are not usable for arbitrage. For example, if maxShortPosition config is 0 and the current position is 0 for a broker, the ask quotes for the broker are filtered out.
Calculates the best ask and the best bid from the filtered quotes. If the spread is not inverted, there is no arbitrage opportunity, so the arbitrager waits for the next iteration.
Verifies if there is enough expected profit. If the expected profit is smaller than minTargetProfit config, the Arbitrager waits for the next iteration.
Arbitrage the spread by sending a buy leg and a sell leg to each broker.
With 3 seconds interval, the Arbitrager checks if the legs are filled or not.
If the both legs are filled, shows the profit.

Architecture Overview

Configuration

All configurations are stored in config.json.

Global Config

Name	Values	Description
language	"ja" or "en"	UI language. Japanese or English.
demoMode	true or false	If it's True, the arbitrager analyzes spreads but doesn't send any trade.
priceMergeSize	number	Merges small quotes into the specified price ladder before analyzing arbitrage opportunity.
maxSize	number	Maximum BTC size to be sent to a broker.
minSize	number	Minimum BTC size to be sent to a broker.
minTargetProfit	number	Minimum profit in JPY to try to arbitrage.
minTargetProfitPercent	number	Minimum profit percentage against notional to try to abitrage. Profit percentage against notional is calculated by `100 * profit / (MID price * volume)`. When both minTargetProfit and minTargetProfitPercent is greater than zero, both are evaluated, meaning larger one will be effective.
iterationInterval	Millisecond	Time lapse in milliseconds of an iteration. When it's set to 3000, the quotes fetch and the spreads analysis for all the brokers are done every 3 seconds
positionRefreshInterval	Millisecond	Time lapse in milliseconds of position data refresh. Position data is used to check max exposure and long/short availability for each broker.
sleepAfterSend	Millisecond	Time lapse in milliseconds after one arbitrage is done.
maxNetExposure	number	Maximum total net exposure. If net exposure qty is larger than this value, Arbitrager stops.
maxRetryCount	number	Maximum retry count to check if arbitrage orders are filled or not. If the orders are not filled after the retries, Arbitrager tries to cancel the orders and continues.
orderStatusCheckInterval	Millisecond	Time lapse in milliseconds to check if arbitrage orders are filled or not.

Broker config

Name	Values	Description
broker	Bitflyer, Quoine or Coincheck	Broker enum
enabled	true or false	Enable the broker for arbitrage
key	string	Broker API Key or Token
secret	string	BrokerAPI Secret
maxLongPosition	number	Maximum long position allowed for the broker.
maxShortPosition	number	Maximum short position allowed for the broker
cashMarginType	Cash, MarginOpen, MarginClose, NetOut	Arbitrage order type. Not all options are supported for each exchange. See the table below.
commissionPercent	number	Comission percentage for each trade. Commission JPY amount is calculated by `target price * target volume * (commissionPercent / 100)`. Arbitrager calculates expected profit by `inversed spread * volume - commission JPY amount`.

Supported cashMarginType

Exchange	Supported option
Bitflyer	Cash
Quoine	NetOut
Coincheck	Cash, MarginOpen, NetOut

Quoine's NetOut is handled by Exchange API. Quoine can close multiple positions by one order. Coincheck's NetOut is handled by R2 because the exchange doesn't support netout operation. Coincheck's NetOut works as below.

The arbitrager finds leverage positions with the following conditions.

The opposite side of the sending order
Almost same amount as the sending order. 'Almost same' here means within 1% difference

If the positions are found, the arbitrager closes the oldest one.
If not found, the arbitrager opens a new position.

Please note this implementation doesn't close multiple positions by one order.

Log files

All log files are saved under logs directory.

File name	Description
info.log	Standard log file
debug.log	Verbose logging, including all REST HTTP requests and responses in JSON format

Running the tests

test script runs ts-jest.

npm test

License

This project is licensed under the MIT License - see the LICENSE file for details

Disclaimer

USE THE SOFTWARE AT YOUR OWN RISK. YOU ARE RESPONSIBLE FOR YOUR OWN MONEY. THE AUTHOR HAS NO RESPONSIBILITY FOR YOUR TRADING RESULTS.

Inspirations

Blackbird, which targets US exchanges.

nafu / r2 Goto Github PK

r2's Introduction