Blackbird Bitcoin Arbitrage is a C++ trading system that does automatic long/short arbitrage between Bitcoin exchanges.
Bitcoin is still a new and inefficient market. Several Bitcoin exchanges exist around the world and the bid/ask prices they propose can be briefly different from an exchange to another. The purpose of Blackbird is to automatically profit from these temporary price differences while being market-neutral.
Here is a real example where an arbitrage opportunity exists between Bitstamp (long) and Bitfinex (short):
At the first vertical line, the spread between the exchanges is high so Blackbird buys Bitstamp and short sells Bitfinex. Then, when the spread closes (second vertical line), Blackbird exits the market by selling Bitstamp and buying Bitfinex back.
Unlike other Bitcoin arbitrage systems, Blackbird doesn't sell but actually short sells Bitcoin on the short exchange. This feature offers two important advantages:
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The strategy is always market-neutral: the Bitcoin market's moves (up or down) don't impact the strategy returns. This removes a huge risk from the strategy. The Bitcoin market could suddenly lose twice its value that this won't make any difference in the strategy returns.
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The strategy doesn't need to transfer funds (USD or BTC) between Bitcoin exchanges. The buy/sell and sell/buy trading activities are done in parallel on two different exchanges, independently. Advantage: no need to deal with transfer latency issues.
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.
The two parameters used to control the arbitrage are SpreadEntry and SpreadTarget.
SpreadEntry: the limit above which we want the long/short trades to be triggeredSpreadTarget: the spread we want to achieve as an arbitrage opportunity. It represents the net profit and takes the exchange fees into account.
If two exchanges have a 0.20% trading fee then we will have 0.80% fees in total for each arbitrage opportunity (entry: 0.20% long + 0.20% short, exit: 0.20% long + 0.20% short).
Let's say we have SpreadEntry at 1.00% and trades are generated at that level. If the targeted net profit (SpreadTarget) is 0.30%, then Blackbird will set the exit threshold at -0.10% (1.00% spread entry - 0.80% fees - 0.30% target = -0.10% exit threshold).
The trade results are stored in CSV files and the detailed activity is stored in log files. New files are created every time Blackbird is started.
It is possible to automatically stop Blackbird after the next trade has closed by creating, at any time, an empty file named stop_after_exit.
By setting SendEmail=true, Blackbird will send you an e-mail every time an arbitrage trade is completed, with information such as the names of the exchanges and the trade return.
By setting UseDatabase=true, Blackbird will store the bid/ask information of your exchanges to a MySQL database (one table per exchange).
Blackbird uses functions written by René Nyffenegger to encode and decode base64.
Please make sure that you understand the disclaimer above if you want to test Blackbird with real money, and start with a small amount of money.
IMPORTANT: all your BTC accounts must be empty before starting Blackbird. Make sure that you only have USD on your accounts and no BTC.
It is never entirely safe to just tell Blackbird to use, say, $25 per exchange (CashForTesting=25.00). You also need to only have $25 available on each of your trading accounts as well as 0 BTC. In this case you are sure that even with a bug with CashForTesting your maximum loss on an exchange won't be greater than $25 no matter what.
| Exchange | Long | Short | Implemented | Tested | Note |
|---|---|---|---|---|---|
| Bitfinex | ✓ | ✓ | ✓ | ✓ | |
| OKCoin | ✓ | ✓ | ✓ | their API now offers short selling: link here | |
| Bitstamp | ✓ | ✓ | ✓ | ||
| Gemini | ✓ | ✓ | ✓ | ||
| Kraken | ✓ | ✓ | Validation in progress | ||
| 796.com | ✓ | ✓ | Bitcoin futures. Troubleshooting in progress | ||
| Poloniex | ✓ | ✓ | |||
| BTC-e | ✓ | ||||
| itBit | ✓ |
For each of your exchange accounts you need to create the API authentication keys. This is usually done in the Settings section of your accounts.
Then, you need to add your API keys into the file blackbird.conf. You need at least two exchanges and one of them should allow short selling. Never share this file as it will contain your personal exchange credentials!
It is possible to run Blackbird without any credentials by setting the parameter DemoMode=true. Blackbird in demo mode will show you the bid/ask information, the spreads and the arbitrage opportunities but won't generate any trades.
Modify the strategy parameters to match your trading style:
SpreadEntry=0.0080
SpreadTarget=0.0020Small values will generate more trades but with lower return each.
If you set UseFullCash=true Blackbird will use the minimum cash on the two accounts of your trades, minus 1.00% as a small margin.
For example, if you have:
UseFullCash=true
CashForTesting=25.00
MaxExposure=25000.00And you have $1,000 on your first trading account and $1,100 on your second one, Blackbird will use $990 on each exchange, i.e. $1,000 - (1.00% * $1,000). So your total exposure will be $1,980.
Conversely, if you set UseFullCash=false Blackbird will use $25 per exchange (total exposure $50).
MaxExposure defines the maximum exposure on each exchange ($25,000 per exchange in the example above).
You need the following libraries: Crypto, Jansson, cURL, MySQL Client and sendEmail. Usually this is what you need to install:
libssl-dev
libjansson-dev
libcurl4-openssl-dev
libmysqlclient-dev
sendemail
Note: you need Jansson version 2.7 minimum otherwise you will get the following compilation error:
'json_boolean_value' was not declared in this scope
Build Blackbird by typing:
make
Then start it by typing:
./blackbird
Please check the issues page for the current tasks and issues. If you face any problems with Blackbird please open a new issue on that page.
- If you found a bug, please open a new issue with the label bug
- If you have a general question or have troubles running Blackbird, you can open a new issue with the label question or help wanted
- For anything else you can contact me at julien.hamilton@gmail.com or on LinkedIn.
- Here is the changelog
This is what the log file looks like when Blackbird is started:
Blackbird Bitcoin Arbitrage
DISCLAIMER: USE THE SOFTWARE AT YOUR OWN RISK.
[ Targets ]
Spread Entry: 0.80%
Spread Target: 0.30%
[ Current balances ]
Bitfinex: 1,857.79 USD 0.000000 BTC
OKCoin: 1,801.38 USD 0.000436 BTC
Bitstamp: 1,694.15 USD 0.000000 BTC
Gemini: 1,720.38 USD 0.000000 BTC
[ Cash exposure ]
FULL cash used!
[ 10/31/2015 08:32:45 ]
Bitfinex: 325.21 / 325.58
OKCoin: 326.04 / 326.10
Bitstamp: 325.37 / 325.82
Gemini: 325.50 / 328.74
----------------------------
OKCoin/Bitfinex: -0.27% [target 0.80%, min -0.27%, max -0.27%]
Bitstamp/Bitfinex: -0.19% [target 0.80%, min -0.19%, max -0.19%]
Gemini/Bitfinex: -1.07% [target 0.80%, min -1.07%, max -1.07%]
[ 10/31/2015 08:32:48 ]
Bitfinex: 325.21 / 325.58
OKCoin: 326.04 / 326.10
Bitstamp: 325.39 / 325.68
Gemini: 325.50 / 328.67
----------------------------
OKCoin/Bitfinex: -0.27% [target 0.80%, min -0.27%, max -0.27%]
Bitstamp/Bitfinex: -0.14% [target 0.80%, min -0.19%, max -0.14%]
Gemini/Bitfinex: -1.05% [target 0.80%, min -1.07%, max -1.05%]