nhzaci / CryptoLpSimpleArbitrage

Crypto Liquidity Pool Simple Arbitrage

Project Requirements

• Liquidity Pools in src/Pool.hxx and Pool.cxx
• Simple Arbitrage Logic defined in src/ArbitrageStrategy.cxx
• Used GTest to add test cases for various scenarios
• Used Google Benchmark to benchmark async calculation and synchronous calculation

Usage

Requirements

• CMake v3.23
• Clang v13.0
• C++20 std

Building the project

Using the build script

chmod u+x build.sh && ./build.sh

Using CLI

# remove existing build, make build directory and cd inside
rm -rf build && mkdir build && cd build

# init cmake from CMakeLists in project root
cmake -DCMAKEBUILD_TYPE=Relase ..

# build
cmake --build .

Running the project

Run Main

Main program takes in user input to set the X and Y values of the two pools and calculates the amount of eth required and profit to make the arbitrage.

❯ ./build/bin/Main
Enter the ETH quantity for Pool A (X_1):
89 
Enter the DAI quantity for Pool A (Y_1):
536375
Enter the ETH quantity for Pool B (X_2):
45
Enter the DAI quantity for Pool B (Y_2):
346361
Calculating async call
You will need: 7.57786 ETH; and you will profit: 0.000272033

Running tests

./build/bin/TestMain

Running Benchmarks

./build/bin/ArbitrageStrategyBenchmark

Project Breakdown

Problem Statement

Given

• Two Uniswap Pools, A and B
• Constant Product Formula:
  • X_1 * Y_1 = K_1
  • X_2 * Y_2 = K_2

Constraints

• Swap fee 0.3%
  • added to reserves

Requirements

• Define data structs of pool status
  • add / remove / swap
  • maintains status data in-memory
• Define arbitrage calculation logic
  • trigger calc in NON-BLOCKING mode
  • find how many ETH we need for an arbitrage calculation
  • find out profit from trade

Testing

• Simulate user's swap transactions (e.g. 100 DAI to ETH in Pool A)
  • Testing using GTest
• Benchmark non-blocking calculation
  • Benchmarking using Google Benchmark to run benchmark both synchronously and asynchronously

System Interfaces

Pool

status()

• shows current token quantities and k

add()

• adds token to pool

remove()

• removes token from pool

swap()

• swaps one token for another in a pool
• fee of 0.3% applied

Strategy

calculate_async()

• return ETH required & potential profit

Data Models

Token

type: TokenType -> ETH / DAI / LP