def test_bigger_commutative(self):
"""
Same as bigger, testing commutivity again.
"""
result = arbitrage.detect_cross(self.more_ob_2(), self.more_ob_1())
result.volume.should.equal(Money('1', 'BTC'))
result.revenue.should.equal(Money('0.75', 'USD'))
def test_bigger(self):
"""
OB1 has a bit at 600 which should cross at 599 for 0.5btc and 599.5 for 0.5 btc
for a volume of 2btc and a profit of $0.75.
"""
result = arbitrage.detect_cross(self.more_ob_1(), self.more_ob_2())
result.volume.should.equal(Money('1', 'BTC'))
result.revenue.should.equal(Money('0.75', 'USD'))
def test_commutative(self):
"""
Same orderbooks as test_basic, double check it doesn't matter which order we
give this function the orderbooks.
"""
result = arbitrage.detect_cross(self.basic_ob_1(), self.basic_ob_2())
result.volume.should.equal(Money('1', 'BTC'))
result.revenue.should.equal(Money('1', 'USD'))
def test_basic(self):
"""
OB1 has a bid at 600 and OB2 has an ask at 599, both at 1btc. These should cross
for a volume of 2btc and a profit of $1 USD.
"""
result = arbitrage.detect_cross(self.basic_ob_2(), self.basic_ob_1())
result.volume.should.equal(Money('1', 'BTC'))
result.revenue.should.equal(Money('1', 'USD'))
def test_get_executable_no_sell_balance_b(self):
cross = arbitrage.detect_cross(self.basic_ob_2(), self.basic_ob_1())
cross.volume.should.equal(Money('1', 'BTC'))
cross.revenue.should.equal(Money('1', 'USD'))
buy_balance = {'USD': Money('599', 'USD'), 'BTC': Money('1000000', 'BTC')}
sell_balance = {'USD': Money('0', 'USD'), 'BTC': Money('0', 'BTC')}
result = arbitrage.get_executable_volume(cross, buy_balance, sell_balance)
result.should.equal(Money('0', 'BTC'))
def test_get_executable_restriction(self):
cross = arbitrage.detect_cross(self.more_ob_1(), self.more_ob_2())
cross.volume.should.equal(Money('1', 'BTC'))
cross.revenue.should.equal(Money('0.75', 'USD'))
buy_balance = {'USD': Money('299.5', 'USD'), 'BTC': Money('0', 'BTC')}
sell_balance = {'USD': Money('0', 'USD'), 'BTC': Money('1', 'BTC')}
result = arbitrage.get_executable_volume(cross, buy_balance, sell_balance)
result.should.equal(Money('0.5', 'BTC'))
def test_get_executable_partial_second_order(self):
cross = arbitrage.detect_cross(self.more_ob_1(), self.more_ob_2())
cross.volume.should.equal(Money('1', 'BTC'))
cross.revenue.should.equal(Money('0.75', 'USD'))
buy_balance = {'USD': Money('449.375', 'USD'), 'BTC': Money('0', 'BTC')}
sell_balance = {'USD': Money('0', 'USD'), 'BTC': Money('1', 'BTC')}
result = arbitrage.get_executable_volume(cross, buy_balance, sell_balance)
result.should.equal(Money('0.75', 'BTC'))
def test_real_data_crypto_crypto(self):
"""
Test based on real data taken from itbit and bitstamp at about 4:30 on
September 26 2016 against math done by hand.
"""
result = arbitrage.detect_cross(
self.real_orderbook_1(price_currency='BTC', vol_currency='ETH'),
self.real_orderbook_2(price_currency='BTC', vol_currency='ETH'),
)
result.volume.should.equal(Money('12.9087178', 'ETH'))
result.revenue.should.equal(Money('5.2679425048', 'BTC'))
def test_bigger_crypto_crypto(self):
"""
OB1 has a bit at 600 which should cross at 599 for 0.5btc and 599.5 for 0.5 btc
for a volume of 2btc and a profit of $0.75.
"""
result = arbitrage.detect_cross(
self.more_ob_1(price_currency='BTC', vol_currency='ETH'),
self.more_ob_2(price_currency='BTC', vol_currency='ETH'),
)
result.volume.should.equal(Money('1', 'ETH'))
result.revenue.should.equal(Money('0.75', 'BTC'))
def test_basic_crypto_crypto(self):
"""
OB1 has a bid at 600 and OB2 has an ask at 599, both at 1btc. These should cross
for a volume of 2btc and a profit of $1 USD.
"""
result = arbitrage.detect_cross(
self.basic_ob_2(price_currency='BTC', vol_currency='ETH'),
self.basic_ob_1(price_currency='BTC', vol_currency='ETH'),
)
result.volume.should.equal(Money('1', 'ETH'))
result.revenue.should.equal(Money('1', 'BTC'))
def test_real_data_unprofitable(self):
"""
Test based on real data taken from itbit and bitstamp at about 4:30 on
September 26 2016 against math done by hand.
"""
self.itbit.market_order_fee = Decimal('0.01')
self.bitstamp.market_order_fee = Decimal('0.01')
result = arbitrage.detect_cross(
self.real_orderbook_1(),
self.real_orderbook_2(),
)
result.should.equal(None)
def test_basic_crypto_crypto_unprofitable(self):
"""
OB1 has a bid at 600 and OB2 has an ask at 599, both at 1btc. These should cross
for a volume of 2btc and a profit of $1 USD.
"""
self.itbit.market_order_fee = Decimal('0.1')
self.bitstamp.market_order_fee = Decimal('0.1')
result = arbitrage.detect_cross(
self.basic_ob_2(price_currency='BTC', vol_currency='ETH'),
self.basic_ob_1(price_currency='BTC', vol_currency='ETH'),
)
result.should.equal(None)
def test_get_executable_half(self):
cross = arbitrage.detect_cross(
self.basic_ob_2(price_currency='BTC', vol_currency='ETH'),
self.basic_ob_1(price_currency='BTC', vol_currency='ETH'),
)
cross.volume.should.equal(Money('1', 'ETH'))
cross.revenue.should.equal(Money('1', 'BTC'))
buy_balance = {'BTC': Money('299.5', 'BTC'), 'ETH': Money('1000000', 'ETH')}
sell_balance = {'BTC': Money('0', 'BTC'), 'ETH': Money('1', 'ETH')}
result = arbitrage.get_executable_volume(cross, buy_balance, sell_balance)
result.should.equal(Money('0.5', 'ETH'))
def test_get_executable_fee_complex(self):
self.itbit.market_order_fee = Decimal('0.0001')
self.bitstamp.market_order_fee = Decimal('0.0001')
cross = arbitrage.detect_cross(self.more_ob_1(), self.more_ob_2())
cross.volume.should.equal(Money('1', 'BTC'))
cross.revenue.should.equal(Money('0.75', 'USD'))
buy_balance = {'USD': Money('599.25', 'USD'), 'BTC': Money('0', 'BTC')}
sell_balance = {'USD': Money('0', 'USD'), 'BTC': Money('1', 'BTC')}
result = arbitrage.get_executable_volume(cross, buy_balance, sell_balance)
result.round_to_decimal_places(8, ROUND_TRUNC)\
.should.equal(Money('0.99990005', 'BTC'))
def test_basic_crypto_crypto_minimally_profitable(self):
"""
OB1 has a bid at 600 and OB2 has an ask at 599, both at 1btc. These should cross
for a volume of 2btc and a profit of $1 USD.
"""
self.itbit.market_order_fee = Decimal('0.0008')
self.bitstamp.market_order_fee = Decimal('0.0008')
result = arbitrage.detect_cross(
self.basic_ob_2(price_currency='BTC', vol_currency='ETH'),
self.basic_ob_1(price_currency='BTC', vol_currency='ETH'),
)
result.volume.should.equal(Money('1', 'ETH'))
result.revenue.should.equal(Money('1', 'BTC'))
result.fees.should.equal(Money('0.9592', 'BTC'))
result.profit.should.equal(Money('0.0408', 'BTC'))
def test_real_data_unprofitable_flag_off(self):
"""
Test based on real data taken from itbit and bitstamp at about 4:30 on
September 26 2016 against math done by hand.
"""
self.itbit.market_order_fee = Decimal('0.10')
self.bitstamp.market_order_fee = Decimal('0.10')
result = arbitrage.detect_cross(
self.real_orderbook_1(),
self.real_orderbook_2(),
ignore_unprofitable=False,
)
result.volume.should.equal(Money('12.9087178', 'BTC'))
result.revenue.should.equal(Money('5.2679425048', 'USD'))
assert result.profit < Money('0', 'USD')
def test_basic_crypto_crypto_unprofitable_with_ignore_flag_off(self):
"""
OB1 has a bid at 600 and OB2 has an ask at 599, both at 1btc. These should cross
for a volume of 2btc and a profit of $1 USD.
"""
self.itbit.market_order_fee = Decimal('0.1')
self.bitstamp.market_order_fee = Decimal('0.1')
result = arbitrage.detect_cross(
self.basic_ob_2(price_currency='BTC', vol_currency='ETH'),
self.basic_ob_1(price_currency='BTC', vol_currency='ETH'),
ignore_unprofitable=False,
)
result.volume.should.equal(Money('1', 'ETH'))
result.revenue.should.equal(Money('1', 'BTC'))
result.fees.should.equal(Money('119.9', 'BTC'))
def get_test_executable_realistic_fee(self):
self.itbit.market_order_fee = Decimal('0.0001')
self.bitstamp.market_order_fee = Decimal('0.0001')
cross = arbitrage.detect_cross(
self.basic_ob_2(),
self.basic_ob_1(),
ignore_unprofitable=False,
)
cross.volume.should.equal(Money('1', 'BTC'))
cross.revenue.should.equal(Money('1', 'USD'))
buy_balance = {'USD': Money('599', 'USD'), 'BTC': Money('0', 'BTC')}
sell_balance = {'USD': Money('0', 'USD'), 'BTC': Money('1', 'BTC')}
result = arbitrage.get_executable_volume(cross, buy_balance, sell_balance)
result.round_to_decimal_places(8).should.equal(Money('0.99990001', 'BTC'))
def test_get_executable_simple_fee(self):
self.itbit.market_order_fee = 1
self.bitstamp.market_order_fee = 1
cross = arbitrage.detect_cross(
self.basic_ob_2(),
self.basic_ob_1(),
ignore_unprofitable=False,
)
cross.volume.should.equal(Money('1', 'BTC'))
cross.revenue.should.equal(Money('1', 'USD'))
buy_balance = {'USD': Money('599', 'USD'), 'BTC': Money('0', 'BTC')}
sell_balance = {'USD': Money('0', 'USD'), 'BTC': Money('1', 'BTC')}
result = arbitrage.get_executable_volume(cross, buy_balance, sell_balance)
result.should.equal(Money('0.5', 'BTC'))
def tick(self, open_orders):
self.logger.debug("--Strategy Tick--")
self.logger.info("Current Orders: " + str(open_orders))
btc_crosses = arb.detect_cross(
self.harness.bitstamp_btc_usd.get_orderbook(),
self.harness.bitstamp_btc_eur.get_orderbook())
for cross in btc_crosses:
print("Cross: " + str(cross))
executable_volume = arb.get_executable_volume(
cross,
cross.buy_exchange.get_balance(),
cross.sell_exchange.get_balance(),
)
print("Executable Volume:" + str(executable_volume))
if executable_volume:
cross.buy_exchange.market_order(executable_volume, Consts.BID)
cross.sell_exchange.market_order(executable_volume, Consts.ASK)
def test_trivial(self):
result = arbitrage.detect_cross(self.trivial, self.trivial)
result.should.equal(None)
