def test_find_profitable_arbitrage_orders(self):
self.market_2_data.order_book.apply_diffs(
[OrderBookRow(1.1, 30, 2)], [], 2)
"""
market_1 Ask
price amount update_id
0 1.005 10.0 1.0
1 1.015 20.0 1.0
2 1.025 30.0 1.0
3 1.035 40.0 1.0
4 1.045 50.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(Decimal("0"),
self.market_trading_pair_tuple_1,
self.market_trading_pair_tuple_2,
Decimal("1"),
Decimal("0.95"))
self.assertEqual(profitable_orders, [
(Decimal("1.045"), Decimal("1.005"), Decimal("1.1"), Decimal("1.005"), Decimal("10.0")),
(Decimal("1.045"), Decimal("1.015"), Decimal("1.1"), Decimal("1.015"), Decimal("20.0"))
])
"""
price amount update_id
0 0.900 5.0 2.0
1 0.950 15.0 2.0
2 1.005 10.0 1.0
3 1.015 20.0 1.0
4 1.025 30.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
self.market_1_data.order_book.apply_diffs(
[],
[OrderBookRow(0.9, 5, 2), OrderBookRow(0.95, 15, 2)],
2
)
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(Decimal("0"),
self.market_trading_pair_tuple_1,
self.market_trading_pair_tuple_2,
Decimal("1"),
Decimal("0.95"))
self.assertEqual(profitable_orders, [
(Decimal("1.045"), Decimal("0.9"), Decimal("1.1"), Decimal("0.9"), Decimal("5.0")),
(Decimal("1.045"), Decimal("0.95"), Decimal("1.1"), Decimal("0.95"), Decimal("15.0")),
(Decimal("1.045"), Decimal("1.005"), Decimal("1.1"), Decimal("1.005"), Decimal("10.0"))
])
def test_find_profitable_arbitrage_orders(self):
self.market_2_data.order_book.apply_diffs([OrderBookRow(1.1, 30, 2)],
[], 2)
"""
market_1 Ask
price amount update_id
0 1.005 10.0 1.0
1 1.015 20.0 1.0
2 1.025 30.0 1.0
3 1.035 40.0 1.0
4 1.045 50.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(
0.0, self.market_1_data.order_book, self.market_2_data.order_book,
self.market_1_symbols[2], self.market_2_symbols[2])
self.assertEqual(profitable_orders, [(1.045, 1.005, 1.1, 1.005, 10.0),
(1.045, 1.015, 1.1, 1.015, 20.0)])
"""
price amount update_id
0 0.900 5.0 2.0
1 0.950 15.0 2.0
2 1.005 10.0 1.0
3 1.015 20.0 1.0
4 1.025 30.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
self.market_1_data.order_book.apply_diffs(
[], [OrderBookRow(0.9, 5, 2),
OrderBookRow(0.95, 15, 2)], 2)
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(
0.0, self.market_1_data.order_book, self.market_2_data.order_book,
self.market_1_symbols[2], self.market_2_symbols[2])
self.assertEqual(profitable_orders, [(1.045, 0.9, 1.1, 0.9, 5.0),
(1.045, 0.95, 1.1, 0.95, 15.0),
(1.045, 1.005, 1.1, 1.005, 10.0)])
def setUp(self):
self.maxDiff = None
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0, self.start_timestamp, self.end_timestamp)
self.market_1: BacktestMarket = BacktestMarket()
self.market_2: BacktestMarket = BacktestMarket()
self.market_1_data: MockOrderBookLoader = MockOrderBookLoader(*self.market_1_trading_pairs)
self.market_2_data: MockOrderBookLoader = MockOrderBookLoader(*self.market_2_trading_pairs)
self.market_1_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.01, 10)
self.market_2_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.005, 5)
self.market_1.add_data(self.market_1_data)
self.market_2.add_data(self.market_2_data)
self.market_1.set_balance("COINALPHA", 500)
self.market_1.set_balance("WETH", 500)
self.market_2.set_balance("COINALPHA", 500)
self.market_2.set_balance("ETH", 500)
self.market_1.set_quantization_param(
QuantizationParams(
self.market_1_trading_pairs[0], 5, 5, 5, 5
)
)
self.market_2.set_quantization_param(
QuantizationParams(
self.market_2_trading_pairs[0], 5, 5, 5, 5
)
)
self.market_trading_pair_tuple_1 = MarketTradingPairTuple(*([self.market_1] + self.market_1_trading_pairs))
self.market_trading_pair_tuple_2 = MarketTradingPairTuple(*([self.market_2] + self.market_2_trading_pairs))
self.market_pair: ArbitrageMarketPair = ArbitrageMarketPair(
self.market_trading_pair_tuple_1, self.market_trading_pair_tuple_2
)
self.logging_options: int = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=Decimal("0.03"),
logging_options=self.logging_options,
secondary_to_primary_quote_conversion_rate=Decimal("0.95")
)
self.clock.add_iterator(self.market_1)
self.clock.add_iterator(self.market_2)
self.clock.add_iterator(self.strategy)
self.market_1_order_fill_logger: EventLogger = EventLogger()
self.market_2_order_fill_logger: EventLogger = EventLogger()
self.market_1.add_listener(MarketEvent.OrderFilled, self.market_1_order_fill_logger)
self.market_2.add_listener(MarketEvent.OrderFilled, self.market_2_order_fill_logger)
def setUp(self):
self.clock: Clock = Clock(ClockMode.BACKTEST, 1.0,
self.start_timestamp, self.end_timestamp)
self.market_1: BacktestMarket = BacktestMarket()
self.market_2: BacktestMarket = BacktestMarket()
self.market_1_data: MockOrderBookLoader = MockOrderBookLoader(
*self.market_1_symbols)
self.market_2_data: MockOrderBookLoader = MockOrderBookLoader(
*self.market_2_symbols)
self.market_1_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.01, 10)
self.market_2_data.set_balanced_order_book(1.0, 0.5, 1.5, 0.005, 5)
self.market_1.add_data(self.market_1_data)
self.market_2.add_data(self.market_2_data)
self.market_1.set_balance("COINALPHA", 500)
self.market_1.set_balance("WETH", 500)
self.market_2.set_balance("COINALPHA", 500)
self.market_2.set_balance("ETH", 500)
self.market_1.set_quantization_param(
QuantizationParams(self.market_1_symbols[0], 5, 5, 5, 5))
self.market_2.set_quantization_param(
QuantizationParams(self.market_2_symbols[0], 5, 5, 5, 5))
self.market_symbol_pair_1 = MarketSymbolPair(*([self.market_1] +
self.market_1_symbols))
self.market_symbol_pair_2 = MarketSymbolPair(*([self.market_2] +
self.market_2_symbols))
self.market_pair: ArbitrageMarketPair = ArbitrageMarketPair(
*(self.market_symbol_pair_1 + self.market_symbol_pair_2))
self.logging_options: int = ArbitrageStrategy.OPTION_LOG_ALL
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=0.03,
logging_options=self.logging_options)
self.clock.add_iterator(self.market_1)
self.clock.add_iterator(self.market_2)
self.clock.add_iterator(self.strategy)
self.market_1_order_fill_logger: EventLogger = EventLogger()
self.market_2_order_fill_logger: EventLogger = EventLogger()
self.market_1.add_listener(MarketEvent.OrderFilled,
self.market_1_order_fill_logger)
self.market_2.add_listener(MarketEvent.OrderFilled,
self.market_2_order_fill_logger)
def test_min_profitability_limit_1(self):
self.strategy: ArbitrageStrategy = ArbitrageStrategy()
self.strategy.init_params(
[self.market_pair],
min_profitability=Decimal("0.04"),
logging_options=self.logging_options,
secondary_to_primary_quote_conversion_rate=Decimal("0.95")
)
self.market_1.order_books[self.market_1_trading_pairs[0]].apply_diffs(
[],
[OrderBookRow(1.0, 30, 2)],
2
)
self.market_2.order_books[self.market_2_trading_pairs[0]].apply_diffs(
[OrderBookRow(1.1, 30, 2), OrderBookRow(1.08, 30, 2)],
[],
2
)
"""" market_1_data
price amount update_id
0 0.995 10 1
1 0.985 20 1
2 0.975 30 1
3 0.965 40 1
4 0.955 50 1
price amount update_id
0 1 30 2
1 1.005 10 1
2 1.015 20 1
3 1.025 30 1
4 1.035 40 1
market_2_data
price amount update_id
0 1.1 30 2 = 1.045
1 1.08 30 2 = 1.026
2 0.9975 5 1
3 0.9925 10 1
4 0.9875 15 1
price amount update_id
0 1.1025 105 1
1 1.1075 110 1
2 1.1125 115 1
3 1.1175 120 1
4 1.1225 125 1
"""
amount, profitability, bid_price, ask_price = self.strategy.find_best_profitable_amount(self.market_trading_pair_tuple_1,
self.market_trading_pair_tuple_2)
self.assertEqual(Decimal(30.0), amount)
self.assertAlmostEqual(Decimal(1.045), profitability)
def test_min_profitability_limit_2(self):
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=0.02,
logging_options=self.logging_options)
self.market_1_data.order_book.apply_diffs([],
[OrderBookRow(1.0, 30, 2)],
2)
self.market_2_data.order_book.apply_diffs(
[OrderBookRow(1.1, 30, 2),
OrderBookRow(1.08, 30, 2)], [], 2)
amount, profitability = self.strategy.find_best_profitable_amount(
self.market_symbol_pair_1, self.market_symbol_pair_2)
self.assertEqual(60.0, amount)
self.assertAlmostEqual(1.0294946147473074, profitability)
def test_min_profitability_limit_1(self):
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=Decimal("0.04"),
logging_options=self.logging_options)
self.market_1_data.order_book.apply_diffs([],
[OrderBookRow(1.0, 30, 2)],
2)
self.market_2_data.order_book.apply_diffs(
[OrderBookRow(1.1, 30, 2),
OrderBookRow(1.08, 30, 2)], [], 2)
amount, profitability = self.strategy.find_best_profitable_amount(
self.market_trading_pair_tuple_1, self.market_trading_pair_tuple_2)
self.assertEqual(Decimal(30.0), amount)
self.assertAlmostEqual(Decimal(1.045), profitability)
def test_min_profitability_limit_2(self):
self.strategy: ArbitrageStrategy = ArbitrageStrategy(
[self.market_pair],
min_profitability=Decimal("0.02"),
logging_options=self.logging_options,
secondary_to_primary_quote_conversion_rate=Decimal("0.95"))
self.market_1_data.order_book.apply_diffs([],
[OrderBookRow(1.0, 30, 2)],
2)
self.market_2_data.order_book.apply_diffs(
[OrderBookRow(1.1, 30, 2),
OrderBookRow(1.08, 30, 2)], [], 2)
amount, profitability, bid_price, ask_price = self.strategy.find_best_profitable_amount(
self.market_trading_pair_tuple_1, self.market_trading_pair_tuple_2)
self.assertEqual(Decimal(60.0), amount)
self.assertAlmostEqual(Decimal(1.0294946147473074), profitability)
