def test_profit_is_zero_when_no_available_sell_to_buy_quote_rate(self):
buy_market_info = MarketTradingPairTuple(self.buy_market, "BTC-USDT", "BTC", "USDT")
sell_market_info = MarketTradingPairTuple(self.sell_market, "BTC-DAI", "BTC", "DAI")
buy_side = ArbProposalSide(
buy_market_info,
True,
Decimal(30000),
Decimal(30000),
Decimal(10),
[]
)
sell_side = ArbProposalSide(
sell_market_info,
False,
Decimal(32000),
Decimal(32000),
Decimal(10),
[]
)
proposal = ArbProposal(buy_side, sell_side)
proposal.logger().setLevel(1)
proposal.logger().addHandler(self)
self.assertEqual(proposal.profit_pct(), Decimal(0))
self.assertTrue(self._is_logged('WARNING',
("The arbitrage proposal profitability could not be calculated due to"
" a missing rate (BTC-BTC=1, DAI-USDT=None)")))
def test_format_status(self):
self.amm_1.set_prices(trading_pair, True, 101)
self.amm_1.set_prices(trading_pair, False, 100)
self.amm_2.set_prices(trading_pair, True, 105)
self.amm_2.set_prices(trading_pair, False, 104)
first_side = ArbProposalSide(self.market_info_1, True, Decimal(101),
Decimal(100), Decimal(50))
second_side = ArbProposalSide(self.market_info_2, False, Decimal(105),
Decimal(104), Decimal(50))
self.strategy._arb_proposals = [ArbProposal(first_side, second_side)]
expected_status = (
" Markets:\n"
" Exchange Market Sell Price Buy Price Mid Price\n"
" onion HBOT-USDT 100.00000000 101.00000000 100.50000000\n"
" garlic HBOT-USDT 104.00000000 105.00000000 104.50000000\n\n"
" Assets:\n"
" Exchange Asset Total Balance Available Balance\n"
" 0 onion HBOT 500 500\n"
" 1 onion USDT 500 500\n"
" 2 garlic HBOT 500 500\n"
" 3 garlic USDT 500 500\n\n"
" Profitability:\n"
" buy at onion, sell at garlic: 3.96%\n\n"
" Quotes Rates (fixed rates)\n"
" Quotes pair Rate\n"
" 0 USDT-USDT 1")
current_status = self.ev_loop.run_until_complete(
self.strategy.format_status())
self.assertTrue(expected_status in current_status)
def test_profit_without_fees_for_different_quotes_trading_pairs(self):
buy_market = MagicMock()
buy_market_info = MarketTradingPairTuple(buy_market, "BTC-USDT", "BTC",
"USDT")
sell_market = MagicMock()
sell_market_info = MarketTradingPairTuple(sell_market, "BTC-ETH",
"BTC", "ETH")
buy_side = ArbProposalSide(buy_market_info, True, Decimal(30000),
Decimal(30000), Decimal(10))
sell_side = ArbProposalSide(sell_market_info, False, Decimal(10),
Decimal(10), Decimal(10))
proposal = ArbProposal(buy_side, sell_side)
rate_source = FixedRateSource()
rate_source.add_rate("BTC-USDT", Decimal(30000))
rate_source.add_rate("BTC-ETH", Decimal(10))
rate_source.add_rate("ETH-USDT", Decimal(3000))
expected_sell_result = sell_side.amount * sell_side.quote_price
sell_quote_to_buy_quote_rate = rate_source.rate("ETH-USDT")
adjusted_sell_result = expected_sell_result * sell_quote_to_buy_quote_rate
expected_buy_result = buy_side.amount * buy_side.quote_price
expected_profit_pct = (adjusted_sell_result -
expected_buy_result) / expected_buy_result
profit = proposal.profit_pct(account_for_fee=False,
rate_source=rate_source)
self.assertEqual(profit, expected_profit_pct)
async def test_format_status(self):
first_side = ArbProposalSide(self.market_info_1, True, Decimal(101),
Decimal(100), Decimal(50), [])
second_side = ArbProposalSide(self.market_info_2, False, Decimal(105),
Decimal(104), Decimal(50), [])
self.strategy._all_arb_proposals = [
ArbProposal(first_side, second_side)
]
expected_status = """ Markets:
Exchange Market Sell Price Buy Price Mid Price
onion HBOT-USDT 100.00000000 101.00000000 100.50000000
garlic HBOT-USDT 104.00000000 105.00000000 104.50000000
Network Fees:
Exchange Gas Fees
onion 0 ETH
garlic 0 ETH
Assets:
Exchange Asset Total Balance Available Balance
0 onion HBOT 500 500
1 onion USDT 500 500
2 garlic HBOT 500 500
3 garlic USDT 500 500
Profitability:
buy at onion, sell at garlic: 3.96%
Quotes Rates (fixed rates)
Quotes pair Rate
0 USDT-USDT 1"""
current_status = await self.strategy.format_status()
self.assertTrue(expected_status in current_status)
def test_profit_without_fees_for_same_trading_pair(self):
buy_market = MagicMock()
buy_market_info = MarketTradingPairTuple(buy_market, "BTC-USDT", "BTC",
"USDT")
sell_market = MagicMock()
sell_market_info = MarketTradingPairTuple(sell_market, "BTC-USDT",
"BTC", "USDT")
buy_side = ArbProposalSide(buy_market_info, True, Decimal(30000),
Decimal(30000), Decimal(10))
sell_side = ArbProposalSide(sell_market_info, False, Decimal(32000),
Decimal(32000), Decimal(10))
proposal = ArbProposal(buy_side, sell_side)
self.assertEqual(proposal.profit_pct(),
Decimal(2000) / buy_side.quote_price)
def test_profit_without_fees_for_different_base_trading_pairs_and_different_amount_on_sides(self):
"""
If the amount is different on both sides and the base tokens are different, then
the profit calculation should not apply the conversion rate for the base tokens because
the different orders of magnitude for the tokens might have been considered when configuring
the arbitrage sides.
"""
buy_market_info = MarketTradingPairTuple(self.buy_market, "BTC-USDT", "BTC", "USDT")
sell_market_info = MarketTradingPairTuple(self.sell_market, "XRP-USDT", "XRP", "USDT")
buy_side = ArbProposalSide(
buy_market_info,
True,
Decimal(30000),
Decimal(30000),
Decimal(10),
[]
)
sell_side = ArbProposalSide(
sell_market_info,
False,
Decimal(1.1),
Decimal(1.1),
Decimal(27000),
[]
)
proposal = ArbProposal(buy_side, sell_side)
rate_source = FixedRateSource()
rate_source.add_rate("BTC-USDT", Decimal(30000))
rate_source.add_rate("BTC-XRP", Decimal(27000))
expected_sell_result = sell_side.amount * sell_side.quote_price
expected_buy_result = buy_side.amount * buy_side.quote_price
expected_profit_pct = (expected_sell_result - expected_buy_result) / expected_buy_result
profit = proposal.profit_pct(account_for_fee=False,
rate_source=rate_source)
self.assertEqual(profit, expected_profit_pct)
def test_profit_with_network_fees(self, _):
buy_market_info = MarketTradingPairTuple(self.buy_market, "WETH-DAI", "WETH", "DAI")
sell_market_info = MarketTradingPairTuple(self.sell_market, "ETH-USDT", "ETH", "USDT")
buy_side = ArbProposalSide(
buy_market_info,
True,
Decimal("3300"),
Decimal("3300"),
Decimal("1"),
[TokenAmount("ETH", Decimal("0.003"))]
)
sell_side = ArbProposalSide(
sell_market_info,
False,
Decimal("3350"),
Decimal("3350"),
Decimal("1"),
[TokenAmount("ETH", Decimal("0.001"))]
)
proposal = ArbProposal(buy_side, sell_side)
rate_source = FixedRateSource()
rate_source.add_rate("WETH-DAI", Decimal(3300))
rate_source.add_rate("ETH-USDT", Decimal(3350))
rate_source.add_rate("WETH-ETH", Decimal(1))
rate_source.add_rate("USDT-DAI", Decimal(1))
expected_sell_result: Decimal = (sell_side.amount * sell_side.quote_price -
sell_side.extra_flat_fees[0].amount * sell_side.quote_price)
expected_buy_result: Decimal = (buy_side.amount * buy_side.quote_price +
(buy_side.extra_flat_fees[0].amount * buy_side.quote_price))
expected_profit_pct: Decimal = (expected_sell_result - expected_buy_result) / expected_buy_result
calculated_profit: Decimal = proposal.profit_pct(account_for_fee=True, rate_source=rate_source)
self.assertEqual(expected_profit_pct, calculated_profit)
