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arbitrage.py
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arbitrage.py
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import requests
import json
import os
from datetime import datetime, timedelta
import pandas as pd
import time
import logging
# Constants
TAKER_FEE = 0.001 # 0.10%
MAKER_FEE = 0.0 # 0.00%
MIN_TRADE_AMOUNT = 5.0
TRADE_SIZE_FACTOR = 500000.0
# Configure logging
logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s')
# Fetch crypto price from MEXC
def fetch_crypto_price_mexc(symbol):
try:
url = f"https://api.mexc.com/api/v3/ticker/price?symbol={symbol}"
response = requests.get(url)
response.raise_for_status()
price = float(response.json()['price'])
save_price_history(symbol, price)
return price
except Exception as e:
logging.error(f"Error fetching price from MEXC for {symbol}: {e}")
return None
# Fetch crypto price from Coinbase
def fetch_crypto_price_coinbase(symbol):
try:
symbol = symbol.replace("USDT", "-USD")
url = f"https://api.coinbase.com/v2/prices/{symbol}/spot"
response = requests.get(url)
response.raise_for_status()
price = float(response.json()['data']['amount'])
save_price_history(symbol.replace('-USD', 'USDT'), price)
return price
except Exception as e:
logging.error(f"Error fetching price from Coinbase for {symbol}: {e}")
return None
# Save price history
def save_price_history(symbol, price):
file_path = f"{symbol}_price_history.txt"
with open(file_path, 'a') as file:
file.write(f"{datetime.utcnow().isoformat()},{price}\n")
# Initialize price history
def initialize_price_history(symbol, exchange):
file_path = f"{symbol}_price_history.txt"
if not os.path.exists(file_path):
logging.info(f"Initializing price history for {symbol} on {exchange}")
for _ in range(15):
if exchange == "mexc":
fetch_crypto_price_mexc(symbol)
elif exchange == "coinbase":
fetch_crypto_price_coinbase(symbol)
time.sleep(1)
# Read balances from file
def read_balances_from_file():
balances = {"mexc": {}, "coinbase": {}}
usd_balance = {"mexc": 2000.0, "coinbase": 2000.0}
if os.path.exists("balances.txt"):
with open("balances.txt", 'r') as file:
for line in file:
parts = line.strip().split(',')
if len(parts) != 3:
logging.error(f"Skipping malformed line: {line.strip()}")
continue
exchange, currency, amount = parts
if currency == "USD":
usd_balance[exchange] = float(amount)
else:
balances[exchange][currency] = float(amount)
else:
with open("balances.txt", 'w') as file:
for exchange in ["mexc", "coinbase"]:
file.write(f"{exchange},USD,{usd_balance[exchange]}\n")
for crypto in ["XTZ", "BTC", "LTC", "BONK", "DOT", "ADA"]:
balances[exchange][crypto] = 0.0
file.write(f"{exchange},{crypto},{balances[exchange][crypto]}\n")
return usd_balance, balances
# Write balances to file
def write_balances_to_file(usd_balance, balances):
with open("balances.txt", 'w') as file:
for exchange in ["mexc", "coinbase"]:
file.write(f"{exchange},USD,{usd_balance[exchange]}\n")
for currency, amount in balances[exchange].items():
file.write(f"{exchange},{currency},{amount}\n")
# Record trade history
def record_trade_history(symbol, amount, price, trade_type, exchange):
file_path = f"{symbol}_trade_history.txt"
with open(file_path, 'a') as file:
file.write(f"{datetime.utcnow().isoformat()},{trade_type},{amount},{price},{amount * price},{exchange}\n")
# Calculate ATR
def calculate_atr(symbol, period):
file_path = f"{symbol}_price_history.txt"
if not os.path.exists(file_path):
raise FileNotFoundError("Price history file not found")
prices = pd.read_csv(file_path, header=None, names=['timestamp', 'price'])
if len(prices) < period + 1:
raise ValueError("Not enough data to calculate ATR")
prices['price'] = prices['price'].astype(float)
prices['prev_close'] = prices['price'].shift(1)
prices['tr'] = prices.apply(lambda row: max(row['price'] - row['price'], abs(row['price'] - row['prev_close']),
abs(row['price'] - row['prev_close'])), axis=1)
atr = prices['tr'].rolling(window=period).mean().iloc[-1]
return atr
# Trade and hedge
def trade_and_hedge(cryptos, usd_balance, balances):
prices_mexc = {crypto: fetch_crypto_price_mexc(crypto) for crypto in cryptos}
prices_coinbase = {crypto: fetch_crypto_price_coinbase(crypto) for crypto in cryptos}
for crypto in cryptos:
crypto_name = crypto.replace("USDT", "")
last_price = balances["mexc"].get(crypto_name, prices_mexc[crypto])
try:
atr = calculate_atr(crypto, 14)
except (ValueError, FileNotFoundError) as e:
logging.error(f"Error calculating ATR for {crypto}: {e}")
atr = 0
trade_size_factor = max(MIN_TRADE_AMOUNT / TRADE_SIZE_FACTOR, atr / prices_mexc[crypto])
trade_amount_usd = TRADE_SIZE_FACTOR * trade_size_factor
if trade_amount_usd < MIN_TRADE_AMOUNT:
continue
if prices_mexc[crypto] and prices_coinbase[crypto]:
if prices_mexc[crypto] < prices_coinbase[crypto]:
if usd_balance["mexc"] >= trade_amount_usd:
crypto_amount = trade_amount_usd / prices_mexc[crypto]
fee = trade_amount_usd * TAKER_FEE
net_trade_amount_usd = trade_amount_usd - fee
balances["mexc"][crypto_name] = balances["mexc"].get(crypto_name, 0.0) + crypto_amount
usd_balance["mexc"] -= net_trade_amount_usd
logging.info(f"Arbitrage: Bought {crypto_amount:.10f} of {crypto} on MEXC for ${net_trade_amount_usd:.2f} (Fee: ${fee:.2f})")
record_trade_history(crypto, crypto_amount, prices_mexc[crypto], "buy", "mexc")
usd_balance["coinbase"] += crypto_amount * prices_coinbase[crypto]
logging.info(f"Arbitrage: Sold {crypto_amount:.10f} of {crypto} on Coinbase for ${crypto_amount * prices_coinbase[crypto]:.2f}")
record_trade_history(crypto, -crypto_amount, prices_coinbase[crypto], "sell", "coinbase")
else:
if usd_balance["coinbase"] >= trade_amount_usd:
crypto_amount = trade_amount_usd / prices_coinbase[crypto]
fee = trade_amount_usd * TAKER_FEE
net_trade_amount_usd = trade_amount_usd - fee
balances["coinbase"][crypto_name] = balances["coinbase"].get(crypto_name, 0.0) + crypto_amount
usd_balance["coinbase"] -= net_trade_amount_usd
logging.info(f"Arbitrage: Bought {crypto_amount:.10f} of {crypto} on Coinbase for ${net_trade_amount_usd:.2f} (Fee: ${fee:.2f})")
record_trade_history(crypto, crypto_amount, prices_coinbase[crypto], "buy", "coinbase")
usd_balance["mexc"] += crypto_amount * prices_mexc[crypto]
logging.info(f"Arbitrage: Sold {crypto_amount:.10f} of {crypto} on MEXC for ${crypto_amount * prices_mexc[crypto]:.2f}")
record_trade_history(crypto, -crypto_amount, prices_mexc[crypto], "sell", "mexc")
return usd_balance, balances
# Main function
def main():
usd_balance, balances = read_balances_from_file()
cryptos = ["XTZUSDT","BONKUSDT","DOTUSDT"]
for crypto in cryptos:
try:
initialize_price_history(crypto, "mexc")
initialize_price_history(crypto, "coinbase")
except Exception as e:
logging.error(f"Error initializing price history for {crypto}: {e}")
while True:
usd_balance, balances = trade_and_hedge(cryptos, usd_balance, balances)
write_balances_to_file(usd_balance, balances)
current_portfolio_value = sum(usd_balance.values())
for exchange in ["mexc", "coinbase"]:
for crypto, amount in balances[exchange].items():
try:
price_mexc = fetch_crypto_price_mexc(f"{crypto}USDT")
price_coinbase = fetch_crypto_price_coinbase(f"{crypto}-USD")
current_portfolio_value += amount * max(price_mexc, price_coinbase)
except Exception as e:
logging.error(f"Error fetching price for {crypto}: {e}")
logging.info(f"Total Portfolio Value in USD: {current_portfolio_value:.2f}")
time.sleep(15)
if __name__ == "__main__":
main()