CryptoArb is a C++ trading system that executes automatic long/short arbitrage between multiple exchanges, targeting on a range of cryptocurrencies including Bitcoin, Ethereum.
Cyrptocurrencies markets are still new and inefficient. Multiple exchanges exist in the world and the prices fluctuate - that is, some specific bid/ask prices of a specific trading pair can be briefly different from one exchange to another.
CryptoArb is built to exploit these opportunities to automatically profit from the temporary price difference while maintaining market-neutral, to mitigate risks.
Dependencies: OpenSSL, CURL, SQLite3, CMake
Based on ubuntu:22.04.
- C++ 20
- Compilers:
- Buildtools: cmake
- Other tools:
This setup bind-mounts the project file from host to the container. Any changes inside the container will be reflected to the files on the host.
- Clone the project
git clone https://github.com/ethanh6/CryptoArb.git- Build the image and start container
# inside the project
docker compose up --detach- Attach to container
# method 1: use vs code remote explorer, dev containers
# method 2: attach via terminal
docker exec -it cryptoarb-app /bin/bash- Build and run the project
rm -rf build && cmake -S . -B build && cmake --build build && ./build/CryptoArb#Bellman-Ford Algorithm, #Negative Cycle Detection and #Graph Theory.
Suppose we are trading on cryptoc urrencies A, B, C, D, E, and there are exchanges W, X, Y, Z.
For a single exchange W:
Notation: AB_w means the rate that converts A -> B at exchange W
| A | B | C | D | |
|---|---|---|---|---|
| A | 1 | AB_w | AC_w | AD_w |
| B | BA_w | 1 | BC_w | BD_w |
| C | CA_w | CB_w | 1 | CD_w |
| D | DA_w | DB_w | DC_w | 1 |
The goal is to determine if there is any arbitrage opportunity.
Specifically speaking, profitability exists if it started from x units of a cryptocurrency initially and resulted in having more than x units of that cryptocurrency, after performing a series of trades.
This assumes zero transaction costs and sufficient amount of cryptocurrency in each exchange.
The relationship of the cryptos exchanging rate can be interpreted as a graph, where currencies can be represented as vertices of a graph, and edges are trading pair of the traing pair.
It is possible that there exists multiple edges between two vertices, where a single edge represents different rates of the trading pair.
The goal of the arbitrage program is to find a cycle from an arbitrary vertices that form a profitable scheme.
The trading results and activity is logged at ./output/log/CryptoArb_log_*, and stored at CryptoArb.db using SQLite.
Use this software at your own risk. You are responsible for your own assets. Past performance does not necessarily indicate future profits. The author assumes no responsibility for the trading results.