R2 Bitcoin Arbitrager

R2 Bitcoin Arbitrager is an automatic arbitrage trading application targeting Bitcoin exchanges.

Getting Started

Install Node.js 8.5 or newer.
Clone this repository.

git clone https://github.com/bitrinjani/r2.git

Run npm install. (or yarn)

cd r2
npm install

Rename config_default.json in the folder to config.json
Replace key and secret fields with your API keys (tokens) and secrets. Set enabled to false for exchanges you do not use.
Start the application by npm start or yarn start.

npm start

Install Docker
Clone this repository.

git clone https://github.com/bitrinjani/r2.git

Run docker build and docker run.

cd r2
docker build -t r2:latest .
docker run --rm -it r2:latest

Prerequisites

R2 works on any OS that supports Node.js, such as:

Windows
Mac OS
Linux

Supported Exchanges

R2 supports the following exchanges.

Exchange	Cash	Margin
bitFlyer	✔️	✔️*
Quoine	✔️	✔️
Coincheck	✔️	✔️
bitbank.cc	️️️✔️
BTCBox	✔️

*bitFlyer margin trading (BTC-FX/JPY) is available as a broker plugin.

How it works

Every 3 seconds, R2 downloads quotes from exchanges.
Filters out quotes that are not usable for arbitrage. For example, if maxShortPosition config is 0 and the current position is 0 for a broker, the ask quotes for the broker will be filtered out.
Calculates the best ask and the best bid from the filtered quotes and checks if the expected profit is larger than the configured minimum value, minTargetProfitPercent. If there is no arbitrage opportunity, R2 waits for the next iteration.
R2 concurrently sends a buy leg and a sell leg to each broker that offered the best price.
R2 checks whether the legs are filled or not for the configured period, say 30 seconds.
If the both legs are filled, shows the profit. If one of the legs are not fully filled, R2 tries to send a cover order in order to balance the position. The covering behavior is configurable in onSingleLeg config.

After the spread has became smaller than the configured value, exitNetProfitRatio, R2 tries to close the pair.

Architecture Overview

Pluggable architecture: User can add new exchanges/brokers as an npm package like bitflyer-fx plugin
Concurrency: All API calls to exchanges are concurrently sent/handled.
️Dynamic configuration: User can dynamically update the configuration based on spread statistics by a simple js script, like setting minTargetProfitPercent to μ + σ every few seconds.

Configuration

All configurations are stored in config.json.

Global Config

Name	Values	Description
language	"ja" or "en"	UI language. Japanese or English.
demoMode	true or false	If it's true, the arbitrager analyzes spreads but doesn't send any real trade.
priceMergeSize	number	Merges small quotes into the specified price ladder before analyzing arbitrage opportunity.
maxSize	number	Maximum BTC size to be sent to brokers.
minSize	number	Minimum BTC size to be sent to brokers.
minTargetProfitPercent	number	Minimum target profit in percent against notional (= inverted spread %). Profit percentage against notional is calculated by `100 * expected profit / (MID price * volume)`.
maxTargetProfit	number	[Optional] Max target profit. This is a safe-guard for abnormal quotes. If the expected profit is larger than this, R2 won't attempt arbitrage.
maxTargetProfitPercent	number	[Optional] Max target profit in percent.
exitNetProfitRatio	number	R2 attempts to close open pairs when the spread has decreased by this percentage. For example, when the open profit of an open pair is 200 JPY and exitNetProfitRatio is 20(%), R2 closes the pair once the closing cost has became 160.
maxTargetVolumePercent	number	[Optional] In order to execute orders as fast as possible and avoid slippage, R2 checks the volume of the quotes from the exchanges and makes sure the target volume consumes less than this percentage of the volume of the target quote before executing the order
iterationInterval	Millisecond	Time lapse in milliseconds of an iteration. When it's set to 3000, the quotes fetch and the spreads analysis for all the brokers are done every 3 seconds
positionRefreshInterval	Millisecond	Time lapse in milliseconds of position data refresh. Position data is used to check max exposure and long/short availability for each broker.
sleepAfterSend	Millisecond	Time lapse in milliseconds after one arbitrage is done.
maxNetExposure	number	Maximum total net exposure. If net exposure qty is larger than this value, Arbitrager stops.
maxRetryCount	number	Maximum retry count to check if arbitrage orders are filled or not. If the orders are not filled after the retries, Arbitrager tries to cancel the orders and continues.
orderStatusCheckInterval	Millisecond	Time lapse in milliseconds to check if arbitrage orders are filled or not.
stabilityTracker	-	See stabilityTracker config below
onSingleLeg	-	See onSingleLeg config below
analytics	-	See ANALYTICS_PLUGIN.md

stabilityTracker config details

R2 automatically disables trading activities on unstable brokers.

Each broker has its stability index on a scale of one to ten.
The initial stability index is 10.
The stability index is decremented each time a broker API call fails.
The stability index is incremented every time recoveryInterval milliseconds has passed.
R2 disables brokers which has smaller stability index than threshold value.

By default, a broker which has failed three API calls within 5 minutes would be disabled for trading for at most 5 minutes.

Default configuration:

...
  "stabilityTracker": {
    "threshold": 8,
    "recoveryInterval": 300000 
  },
...

onSingleLeg config details

The onSingleLeg config specifies what action should be taken when only one leg is filled.

...
  "onSingleLeg": {
    "action": "Reverse",
    "actionOnExit": "Proceed",
    "options": {
      "limitMovePercent": 5,
      "ttl": 3000
    }
  },
...

action: Action to be taken when only one leg is opened.
- Cancel: Cancel the unfilled order.
- Reverse: After canceling the unfilled order, R2 sends a limit order to the opposite side of the filled order. The limit price depends on limitMovePercent config.
- Proceed: After canceling the unfilled order, R2 sends another order to the same side of the unfilled order. The limit price depends on limitMovePercent config.
actionOnExit: Action to be taken when only one leg is closed. Cancel, Reverse, or Proceed.
options
- limitMovePercent: Set the limit price created by the action to the price worse than the original order by limitMovePercent %.
- ttl: Time to Live of the limit order created by the action。

Broker config

Name	Values	Description
broker	Bitflyer, Quoine or Coincheck	Broker name
npmPath	string	npm package name for the broker plugin.
enabled	true or false	Enable the broker for arbitrage
key	string	Broker API Key
secret	string	BrokerAPI Secret
maxLongPosition	number	Maximum long position allowed for the broker. R2 won't send orders to the broker if current long position is larger than this value.
maxShortPosition	number	Maximum short position allowed for the broker. R2 won't send orders to the broker if current short position is larger than this value.
cashMarginType	Cash, MarginOpen, NetOut	Arbitrage order type. Not all options are supported for each exchange. See the table below.
commissionPercent	number	Comission percentage for each trade. Commission JPY amount is calculated by `target price * target volume * (commissionPercent / 100)`. Arbitrager calculates expected profit by `inversed spread * volume - commission JPY amount`.
noTradePeriods	list of ["starttime", "endtime"]	See noTradePeriods section below

Supported cashMarginType

Exchange	Supported option
Bitflyer	Cash
Quoine	Cash, NetOut
Coincheck	Cash, MarginOpen, NetOut
Bitbankcc	Cash
Btcbox	Cash

Quoine's NetOut is natively handled by Exchange API. Quoine can close multiple positions by one order. Coincheck's NetOut is artificially handled by R2 because the exchange doesn't support netout operation. Coincheck's NetOut works as below.

The arbitrager finds leverage positions with the following conditions.

The opposite side of the sending order
Almost same amount as the sending order. 'Almost same' here means within 1% difference

If the positions are found, the arbitrager closes the oldest one.
If not found, the arbitrager opens a new position.

Please note this implementation doesn't close multiple positions by one order.

noTradePeriods config

The noTradePeriods config specifies the periods when the quotes from the exchange must be ignored. The config is useful for scheduled maintenance periods, e.g. 4:00-4:15 in bitFlyer.

Example: Exclude bitFlyer from trading activities between 4:00 am to 4:15 am.

    {
      "broker": "Bitflyer",
...
      "noTradePeriods": [["04:00", "04:15"]]
    },

Example: Excludes multiple periods

    {
      "broker": "Bitflyer",
...
      "noTradePeriods": [["04:00", "04:15"], ["9:00", "9:30"]]
    },

Log notification config (Slack, LINE)

R2 can send notification messages to Slack and LINE when it detects the configured keywords in the output logs.

Example

// config.json
{
...
  "logging": {
    "slack": {
      "enabled": false,
      "url": "https://hooks.slack.com/services/xxxxxx",
      "channel": "#ch1",
      "username": "abc",
      "keywords": ["error", "profit"]
    },
    "line": {
      "enabled": false,
      "token": "TOKEN",
      "keywords": ["error", "profit"]
    }
  }
}

Slack notification

Name	Values	Description
enabled	true or false	Enable notification
url	string	Slack Incoming Webhook URL
channel	string	Slack channel name
username	string	Slack user name
keywords	string[]	Keyword list

LINE notification

Name	Values	Description
enabled	true or false	Enable notification
token	string	LINE Notify token
keywords	string[]	Keyword list

Log files

All log files are saved under logs directory.

File name	Description
info.log	Standard log file
debug.log	Verbose logging, including all REST HTTP requests and responses in JSON format

Utility scripts

Several utility scripts are available to close positions, show balances and clear cache.

See TOOLS.md

Running the tests

test script runs ts-jest.

npm test

License

This project is licensed under the MIT License - see the LICENSE file for details

Disclaimer

USE THE SOFTWARE AT YOUR OWN RISK. YOU ARE RESPONSIBLE FOR YOUR OWN MONEY. THE AUTHOR HAS NO RESPONSIBILITY FOR YOUR TRADING RESULTS.

Inspirations

Blackbird, which targets US exchanges.

tejitak/r2