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R2 Bitcoin Arbitrager

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

Getting Started

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

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

3. Run npm install. (or yarn)

cd r2
npm install

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

npm start

or

1. Install Docker
2. Clone this repository.

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

3. Run docker build and docker run.

cd r2
docker build -t r2:latest .
docker run --rm -it r2:latest

Prerequisites

R2 works on any OS that supports Node.js, such as:

• Windows
• Mac OS
• Linux

Supported Exchanges

R2 supports three exchanges operated in Japan.

How it works

1. Every 3 seconds, R2 concurrently fetches quotes from exchanges.
2. Verifies if the max net exposure (maxNetExposure config) is not breached.
3. 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 will be filtered out.
4. Calculates the best ask and the best bid from the filtered quotes. If there is no arbitrage opportunity, R2 waits for the next iteration.
5. Verifies if there is enough expected profit. If the expected profit is smaller than minTargetProfit config, R2 waits for the next iteration.
6. R2 concurrently sends a buy leg and a sell leg to each broker that offered the best bid or the best ask.
7. R2 checks whether the legs are filled or not for the configured period, say 30 seconds.
8. If the both legs are filled, shows the profit.

Architecture Overview

Configuration

All configurations are stored in config.json.

Global Config

onSingleLeg config details

The onSingleLeg config specifies what action should be taken when only one leg is filled.

...
  "onSingleLeg": {
    "action": "Reverse",
    "actionOnExit": "Proceed",
    "options": {
      "limitMovePercent": 5,
      "ttl": 3000
    }
  },
...

• action: Action to be taken when only one leg is opened.
  • Cancel: Cancel the unfilled order.
  • Reverse: After canceling the unfilled order, R2 sends a limit order to the opposite side of the filled order. The limit price depends on limitMovePercent config.
  • Proceed: After canceling the unfilled order, R2 sends another order to the same side of the unfilled order. The limit price depends on limitMovePercent config.
• actionOnExit: Action to be taken when only one leg is closed. Cancel, Reverse, or Proceed.
• options
  • limitMovePercent: Set the limit price created by the action to the price worse than the original order by limitMovePercent %.
  • ttl: Time to Live of the limit order created by the action。

Broker config

Supported cashMarginType

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

1. 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

2. If the positions are found, the arbitrager closes the oldest one.
3. 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.

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.