A simple strategy for crypto arbitrage
- Market data aggregator gather data from multiple exchanges and combine them into one single message based on time. To run the subscriber to receive market data from okx and huobi:
java -jar subscriber-simple-1.0.jar - Note that
java --versionshould be 11. Rabbitmq is required. - The source code of the of the jar is available at
https://github.com/Daniel-YH-Cai/cryptows
After the Market data aggregator is started, it will push data in the following format:
{
"huobi":{
"bids":[[31405.1,0.006487],[31405.0,0.003776],[31404.4,0.048004],[31403.9,0.186597],[31403.7,2.0E-4],[31402.1,9.55E-4],[31400.8,0.287189],[31400.5,0.017107],[31400.0,0.020921],[31399.9,1.371788],[31398.9,0.025],[31397.7,0.015857],[31397.1,0.04],[31396.1,0.445874],[31395.5,0.16],[31395.4,0.2],[31394.5,0.025],[31394.3,0.560915],[31394.0,0.005172],[31393.9,0.162]],
"asks":[[31405.2,2.841508],[31405.3,0.765607],[31405.8,6.008878],[31406.4,0.002268],[31406.6,4.505879],[31406.8,0.159556],[31407.1,0.003865],[31407.6,0.318739],[31407.7,0.010531],[31407.8,0.16],[31407.9,0.064],[31408.4,0.44],[31408.7,1.298485],[31408.9,0.05],[31409.1,0.05],[31409.4,0.235643],[31409.5,0.328256],[31409.7,0.162],[31409.9,0.002646],[31410.0,3.12811]],
"version":155918469134,
"ts":1654507662000
},
"okx":{
"asks":[[31403.7,0.33167356,0,1],[31406.3,0.18248061,0,5],[31408.4,0,0,0],[31416.7,0.1,0,1],[31426.7,0.72206269,0,1],[31444.9,0,0,0],[31449.2,0.3,0,1],[31633.7,0,0,0]],
"bids":[[31399,0.00007223,0,2],[31397.5,0,0,0],[31397.4,0.00802,0,1],[31397,0,0,0],[31396.9,0.06091,0,4],[31349.6,0.02057377,0,1],[31342.5,0,0,0],[31338.9,2.19031338,0,1],[31173.3,0.00133702,0,2],[31173.1,0,0,0]],
"ts":"1654507662520"
}
}
Here "ts" is the timestamp of the ticker in milliseconds (not the time when the message was received or sent by server).
In this example, the timestamp of huobi and okx differs by 500ms. Part of the reason is system latency. Moreover, huobi and okx push data at different rates which might also lead to timestamp misalignment.
- Simple strategy make trading decision based on every individual market data. Orders are placed if bids exceed asks for
self.thresholdamount.
def strategy(self,body):
self._parseInput(body)
huobi_ticks=self._huobi_ask_bid()
okx_ticks=self._okx_ask_bid()
try:
print("-------------------------------------------------------------------------------------------")
if huobi_ticks['bids'][0][PRICE]-okx_ticks['asks'][0][PRICE]>self.threshold:
logging.info("Huobi sell order at " +str(huobi_ticks['bids'][0][PRICE]))
logging.info("okx buy order at "+str(okx_ticks['asks'][0][PRICE]))
elif okx_ticks['bids'][0][PRICE]-huobi_ticks['asks'][0][PRICE]>self.threshold:
logging.info("Huobi buy order at "+str(huobi_ticks['asks'][0][PRICE]))
logging.info("okx sell order at "+str(okx_ticks['bids'][0][PRICE]))
else:
print("No arbitrage opportunity")
except IndexError:
logging.info("No asks or bids")
- Result: Sell and buy order are made per message. Note that no actual order is submitted to the exchanges. Ideally, a strategy should also monitor whether an order is excuted successfully yet this is not included in this demo (TODO).
-------------------------------------------------------------------------------------------
No arbitrage opportunity
-------------------------------------------------------------------------------------------
INFO:root:Huobi sell order at 30154.7
INFO:root:okx buy order at 30136.1
-------------------------------------------------------------------------------------------
INFO:root:Huobi buy order at 30133.5
INFO:root:okx sell order at 30143.1
-------------------------------------------------------------------------------------------
No arbitrage opportunity
-------------------------------------------------------------------------------------------
No arbitrage opportunity
-------------------------------------------------------------------------------------------
No arbitrage opportunity
INFO:root:Huobi sell order at 30138.8
INFO:root:okx buy order at 30130
-------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------
No arbitrage opportunity
-------------------------------------------------------------------------------------------
INFO:root:Huobi sell order at 30129.0
INFO:root:okx buy order at 30071.6
-------------------------------------------------------------------------------------------
INFO:root:Huobi sell order at 30078.0
INFO:root:okx buy order at 30059.3
-------------------------------------------------------------------------------------------
INFO:root:Huobi buy order at 30073.4
INFO:root:okx sell order at 30102.7
-------------------------------------------------------------------------------------------
INFO:root:Huobi buy order at 30088.4
INFO:root:okx sell order at 30102.4
-------------------------------------------------------------------------------------------
INFO:root:Huobi sell order at 30105.1
INFO:root:okx buy order at 30097.2
-------------------------------------------------------------------------------------------
INFO:root:Huobi buy order at 30100.6
INFO:root:okx sell order at 30110.8
You can monitor the quality of data by passing a monitor class to the strategy. The monitor can be used to record the spread, latency and misalignment of data. Here, spread is the difference between bids and asks. Latency is current time minus the timestamp of the ticker in miliseconds. Misalignments is the difference between the timestamp of okx and huobi.
Spread Latency Misalignment
-0.40 2327 569
2.30 2320 548
2.30 2323 566
8.80 2321 560
5.70 2321 548
2.60 2322 537
3.50 2321 541
0.50 2323 536
4.30 2337 532
-1.70 2324 523
1.20 2323 524
4.10 2321 517
0.50 2319 509
3.50 2328 617
0.80 2448 501
0.10 2388 612
2.60 2321 504