Blackbird Bitcoin Arbitrage is a trading system that does automatic long/short arbitrage between Bitcoin exchanges. The software is written in C++ and runs on Linux.
Bitcoin is a new and inefficient market. Several Bitcoin exchanges exist and the proposed bid/ask can be different from an exchange to another. The purpose of this software is to automatically exploit the short-term bid/ask difference between two given Bitcoin exchanges.
Here is an example with real data. The software analyzes the bid/ask information from two Bitcoin exchanges, Bitfinex and Bitstamp, every five seconds. At some point the spread between Bitfinex and Bitstamp prices is higher than an ENTRY threshold (first vertical dark line): an arbitrage opportunity exists and the system will buy Bitsamp and short sell Bitfinex. Then about 4.5 hours later the spread decreases below an EXIT threshold (second vertical dark line) so the system exits the market by selling Bitstamp and buying Bitfinex back.
USE THE SOFTWARE AT YOUR OWN RISK. YOU ARE RESPONSIBLE FOR YOUR OWN MONEY. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE AUTHORS AND ALL AFFILIATES ASSUME NO RESPONSIBILITY FOR YOUR TRADING RESULTS.
As of today the program gets a 2% monthly return in average. It generates 8 trades per month on average and doesn't have any single losing trade thanks to the arbitrage mechanism. The trades usually last between 20 minutes and 7 days. The trade lengths are very variable since the system always wait for the spread to close. This can take minutes or days but that is the reason why it doesn't get any losing trades. There is a control parameter named MaxLength that will automatically close a trade after 60 days. This parameter can be adapted or removed if needed.
This is what Blackbird looks like when it is started:
Blackbird Bitcoin Arbitrage
Version 0.0.2
DISCLAIMER: USE THE SOFTWARE AT YOUR OWN RISK.
[ Targets ]
Spread to enter: 0.30%
Spread to exit: -0.40%
[ Current balances ]
Bitfinex: 1,304.13 USD 0.000000 BTC
OKCoin: 1,317.13 USD 0.000236 BTC
Bitstamp: 36.10 USD 0.000000 BTC
Kraken: 0.00 USD 0.000000 BTC
[ Cash exposure ]
TEST cash used
Value: $20.00
[ 05/31/2015 12:31:00 ]
Bitfinex: 231.30 / 231.38
OKCoin: 231.66 / 231.69
Bitstamp: 231.62 / 231.77
Kraken: 230.96 / 232.15
----------------------------
Bitfinex/Kraken: -0.18% [target 1.20%, min -0.18%, max -0.18%]
OKCoin/Bitfinex: -0.17% [target 1.10%, min -0.17%, max -0.17%]
OKCoin/Kraken: -0.32% [target 1.20%, min -0.32%, max -0.32%]
Bitstamp/Bitfinex: -0.20% [target 1.20%, min -0.20%, max -0.20%]
Bitstamp/Kraken: -0.35% [target 1.30%, min -0.35%, max -0.35%]
Kraken/Bitfinex: -0.36% [target 1.20%, min -0.36%, max -0.36%]
[ 05/31/2015 12:31:05 ]
Bitfinex: 231.24 / 231.38
OKCoin: 231.66 / 231.69
Bitstamp: 231.62 / 231.77
Kraken: 230.96 / 232.15
----------------------------
Bitfinex/Kraken: -0.18% [target 1.20%, min -0.18%, max -0.18%]
OKCoin/Bitfinex: -0.19% [target 1.10%, min -0.19%, max -0.17%]
OKCoin/Kraken: -0.32% [target 1.20%, min -0.32%, max -0.32%]
Bitstamp/Bitfinex: -0.23% [target 1.20%, min -0.23%, max -0.20%]
Bitstamp/Kraken: -0.35% [target 1.30%, min -0.35%, max -0.35%]
Kraken/Bitfinex: -0.39% [target 1.20%, min -0.39%, max -0.36%]
The two parameters used to control the arbitrage are SpreadEntry and SpreadExit.
SpreadEntryis the limit above which a long/short trade is triggeredSpreadExitis the limit below which the long/short trade is closed
SpreadEntry is actually the limit after the exchange fees which means that SpreadEntry represents the net profit. If two exchanges have a 0.20% fees for every trade it means that for a full trade cycle we will have:
- 0.20% entry long + 0.20% entry short + 0.20% exit long + 0.20% exit short
In total we have 0.80% fees. The actual value is slightly different since it is a percentage of each actual trade but in our case it is close enough. Now if the profit we target is 0.30% ("SpreadEntry": 0.0030) then Blackbird will set the entry threshold at 1.10% (0.80% total fees + 0.30% target).
A smaller spread means more trades will be generated but with less profit each.
I am not a professional developer so there are parts that are not perfectly coded and you are welcome to help me out. However the arbitrage mechanism works and the system can generate profits.
Blackbird uses the base64 functions written by René Nyffenegger to encode and decode base64 in C++. Thank you René your code works well with Blackbird.
The results are stored in CSV files (e.g. result_20150307_204649.csv). A new CSV file is created every time Blackbird is started.
It is possible to properly stop Blackbird after the next trade has closed. While Blackbird is running just create an empty file called stop_after_exit in the working directory. This will make Blackbird automatically stop after the next trade closes.
Please make sure you understand the disclaimer above if you are going to test the program with real money. You can start by testing with a limited amount of money like $20 per exchange. Note that it is never entirely safe to just tell the system to use only $20 per exchange (parameter CashForTesting). You also need to only have $20 available on each of your trading accounts so you will be sure than even with a bug with the CashForTesting parameter your maximum loss on an exchange won't be greater than $20 no matter what.
You need to have accounts on Bitfinex, OKCoin and Bitstamp. Then with each account you need to create API authentication keys. This is usually in the Settings section of your exchange accounts. In v0.0.2 the Kraken bid/ask information are displayed but the functions to send orders haven't been implemented yet.
The file that contains all the parameters is config.json. Never share this file as it will contain your exchange credentials!
First add your credentials to config.json:
"BitfinexApiKey"
"BitfinexSecretKey"
"OKCoinApiKey"
"OKCoinSecretKey"
"BitstampClientId"
"BitstampApiKey"
"BitstampSecretKey"Modify the stategy parameters if needed. These are the ones by default:
"SpreadEntry": 0.0030,
"SpreadExit": -0.0040,If you set UseFullCash at true then Blackbird will use the minimum cash on the accounts of your two trades, minus a small percentage defined by UntouchedCash.
For example, if you have:
"UseFullCash": true,
"UntouchedCash": 0.01,
"CashForTesting": 20.00,And let's say you have $1,000 on your Bitfinex trading account and $1,100 on your OKCoin trading account. The system will then use $990 on each exchange (i.e. $1,000 - 1%). So in this example your total exposure will be $1,980. Now if you change UseFullCash to false then the system will use $20 per exchange (total exposure $40).
Blackbird can send you an automatic e-mail every time an arbitrage trade is done. The e-mails contain information like the trade performance. Here are the parameters:
"SendEmail": false,
"SenderAddress": "john@example.com",
"SenderUsername": "john",
"SenderPassword": "pa33w0rd",
"SmtpServerAddress": "smtp.example.com:587",
"ReceiverAddress": "mark@example.com"This feature is optional. If you let SendEmail to false you don't need to fill the other e-mail parameters.
You need the following libraries: Crypto, Jansson (v2.7 minimum), cURL and sendEmail.
For instance on Ubuntu you need to install the following libaries:
libssl-dev
libjansson-dev
libcurl4-openssl-dev
sendemail
Build the software by typing:
make
Then start the software:
./blackbird
Alternatively, you may want to start it in the background:
./blackbird > output.txt &
Please check the issues page for the current tasks and issues.
- First release
- Bitstamp exchange added
- Kraken exchange added (bid/ask information only, other functions to be implemented)
- Improved JSON and cURL exceptions management
- Added the milliseconds to the nonce used for exchange authentification
- JSON memory leak fixed
- Several minor fixes and improvements
MIT