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_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_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_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 tick(self, open_orders):
eth_crosses = arb.detect_crosses_between_many_orderbooks([
self.harness.bitstamp_eth_eur.get_orderbook(),
#self.harness.bitstamp_eth_btc.get_orderbook(),
self.harness.bitstamp_eth_usd.get_orderbook(),
])
for cross in eth_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 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)