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BinanceArb.py
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BinanceArb.py
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'''
@Description: Binance Arbitrage Bot
@Author: Yang Boyu
@Email: [email protected]
'''
import ccxt
import time
import traceback
from Logger import get_logger
class BinanceArbBot:
def __init__(self, exchange: ccxt.binance, coin: str, future_date: str, coin_precision: float,
slippage: float, spot_fee_rate: float, contract_fee_rate: float, multiplier: dict,
amount: float, num_maximum: int, threshold: float, max_trial: int):
self.exchange = exchange
self.coin = coin
self.future_date = future_date
self.coin_precision = coin_precision
self.slippage = slippage
self.spot_fee_rate = spot_fee_rate
self.contract_fee_rate = contract_fee_rate
self.multipler = multiplier
self.amount = amount
self.num_maximum = num_maximum
self.threshold = threshold
self.max_trial = max_trial
self.logger = get_logger("Basis-Trading Starts")
self.spot_symbol = {'type1': coin + 'USDT', 'type2': coin + '/USDT'}
self.future_symbol = {'type1': coin + 'USD_' + future_date}
def retry_wrapper(self, func, params=dict(), act_name='', sleep_seconds=1, is_exit=True):
for _ in range(self.max_trial):
try:
# NOTE: reset the local timestamp when requesting again，otherwise requests may be declined
if isinstance(params, dict) and 'timestamp' in list(params.keys()):
params['timestamp'] = int(time.time()) * 1000
result = func(**params)
return result
except Exception as e:
print('Function parameters:', params)
self.logger.warning(f"{act_name} ({self.exchange.id}) FAIL | Retry after {sleep_seconds} seconds...")
self.logger.warning(traceback.format_exc())
time.sleep(sleep_seconds)
else:
self.logger.critical(f"{act_name} FAIL too many times... Arbitrage STOPs!")
if is_exit: exit()
def binance_spot_place_order(self, symbol: str, direction: str, price: float, amount: float):
if direction == 'long':
order_info = self.exchange.create_limit_buy_order(symbol, amount, price)
elif direction == 'short':
order_info = self.exchange.create_limit_sell_order(symbol, amount, price)
else:
raise ValueError('Parameter `direction` supports `long` or `short` only')
self.logger.debug(f'spot orders ({self.exchange.id}) SUCCESS: {direction} > {symbol} > {amount} > {price}')
self.logger.debug(f'Order info: {str(order_info)}')
return order_info
def binance_future_place_order(self, symbol: str, direction: str, price: float, amount: int):
if direction == 'open_short':
side = 'SELL'
elif direction == 'close_short':
side = 'BUY'
else:
raise NotImplemented('Parameter `direction` only supports `open_short` and `close_short` currently')
params = {
'side': side,
'positionSide': 'SHORT',
'symbol': symbol,
'type': 'LIMIT',
'price': price,
'quantity': amount,
'timeInForce': 'GTC',
}
params['timestamp'] = int(time.time() * 1000)
order_info = self.exchange.dapiPrivatePostOrder(params)
self.logger.debug(f'({self.exchange.id}) Future orders SUCCESS: {direction} > {symbol} > {amount} > {price}')
self.logger.debug(f'Order info: {str(order_info)}')
return order_info
def binance_account_transfer(self, currency: str, amount, from_account='spot', to_account='coin-margin'):
"""
POST /sapi/v1/asset/transfer (HMAC SHA256)
"""
if from_account == 'spot' and to_account == 'coin-margin':
transfer_type = 'MAIN_CMFUTURE'
elif from_account == 'coin-margin' and to_account == 'spot':
transfer_type = 'CMFUTURE_MAIN'
else:
raise ValueError('Cannot recognize parameters for User Universal Transfer')
params = {
'type': transfer_type,
'asset': currency,
'amount': amount,
}
params['timestamp'] = int(time.time() * 1000)
transfer_info = self.exchange.sapiPostAssetTransfer(params=params)
self.logger.debug(f"({self.exchange.id}) Transfer SUCCESS: {from_account} --> {to_account} > amount: {amount}")
self.logger.debug(f'Transfer info: {str(transfer_info)}')
return transfer_info
def open_position(self):
execute_num = 0
while True:
spot_ask1 = self.exchange.publicGetTickerBookTicker(params={'symbol': self.spot_symbol['type1']})['askPrice']
coin_bid1 = self.exchange.dapiPublicGetTickerBookTicker(params={'symbol': self.future_symbol['type1']})[0]['bidPrice']
r = float(coin_bid1) / float(spot_ask1) - 1
operator = '>' if spot_ask1 > coin_bid1 else '<'
self.logger.info('Spot %.4f %s COIN-M %.4f -> Price Difference: %.4f%%' % (float(spot_ask1), operator, float(coin_bid1), r * 100))
if r < self.threshold:
self.logger.info('Price difference SMALLER than threshold >>> Retrying...')
else:
self.logger.debug('Price difference LARGER than threshold >>> Starting arbitrage...')
contract_num = int(self.amount / self.multipler[self.coin])
contract_coin_num = contract_num * self.multipler[self.coin] / float(coin_bid1)
contract_fee = contract_coin_num * self.contract_fee_rate
spot_amount = contract_coin_num / (1 - self.spot_fee_rate) + contract_fee
self.logger.debug(f'Arbitrage starts >>> future cotract num {contract_num} > coin-margin num {contract_coin_num} > fee {contract_fee} > spot amount {spot_amount}')
price = float(spot_ask1) * (1 + self.slippage)
params = {
'symbol': self.spot_symbol['type2'],
'direction': 'long',
'price': price,
'amount': spot_amount,
}
spot_order_info = self.retry_wrapper(func=self.binance_spot_place_order, params=params, act_name='Long spot orders')
price = float(coin_bid1) * (1 - self.slippage)
price = round(price, self.coin_precision)
params = {
'symbol': self.future_symbol['type1'],
'direction': 'open_short',
'price': price,
'amount': contract_num,
}
future_order_info = self.retry_wrapper(func=self.binance_future_place_order, params=params, act_name='Short coin-margin orders')
time.sleep(2)
balance = self.exchange.fetch_balance()
num = balance[self.coin]['free']
self.logger.debug(f'Amount to be transfered > {num}')
params = {
'currency': self.coin,
'amount': num,
'from_account': 'spot',
'to_account': 'coin-margin',
}
self.retry_wrapper(func=self.binance_account_transfer, params=params, act_name='Transfer (SPOT --> COIN-M)')
execute_num += 1
self.logger.info(f"Number of opening executions: {execute_num}")
print(spot_order_info['average'])
print(future_order_info)
time.sleep(2)
if execute_num >= self.num_maximum:
self.logger.info('Maximum execution number reached >>> Position opening stops.')
break
def close_position_utils(self):
"""close positions for basis trading"""
balance = self.exchange.fetch_balance()
num = balance['USDT']['free']
self.logger.info(f'Amount of USDT in spot account：{num}')
balance = self.exchange.fetch_balance()
num = balance[self.coin]['free']
self.logger.info(f'Amount of {self.coin} in coin-margin account：{num}')
if num < self.amount:
self.logger.error('Please ensure the coin-margin remaining balance is enough!')
now_execute_num = 0
while True:
spot_ask1 = self.exchange.publicGetTickerBookTicker(params={'symbol': self.spot_symbol['type1']})['bidPrice']
spot_ask1 = float(spot_ask1)
coin_bid1 = self.exchange.dapiPublicGetTickerBookTicker(params={'symbol': self.future_symbol['type1']})[0]['askPrice']
coin_bid1 = float(coin_bid1)
r = coin_bid1 / spot_ask1 - 1
operator = '>' if spot_ask1 > coin_bid1 else '<'
self.logger.info('Spot %.4f %s COIN-M %.4f -> Price Difference: %.4f%%' % (float(spot_ask1), operator, float(coin_bid1), r * 100))
if r > self.threshold:
self.logger.info('Price difference LARGER than threshold >>> Retrying...')
else:
self.logger.debug('Price difference SMALLER than threshold >>> Stopping arbitrage...')
contract_num = int(coin_bid1 * self.amount / self.multipler[self.coin])
contract_coin_num = contract_num * self.multipler[self.coin] / coin_bid1
contract_fee = contract_coin_num * self.contract_fee_rate
spot_amount = contract_coin_num - contract_fee
self.logger.debug(f'Closing contract num {contract_num} > equivalent coin num {contract_coin_num} > contract fee {contract_fee} > spot selling amount {spot_amount}')
price = coin_bid1 * (1 + self.slippage)
price = round(price, self.coin_precision)
params = {
'symbol': self.future_symbol['type1'],
'direction': 'close_short',
'price': price,
'amount': contract_num,
}
future_order_info = self.retry_wrapper(func=self.binance_future_place_order, params=params, act_name='Close short coin-margin orders')
price = spot_ask1 * (1 - self.slippage)
params = {
'symbol': self.spot_symbol['type2'],
'direction': 'short',
'price': price,
'amount': spot_amount,
}
spot_order_info = self.retry_wrapper(func=self.binance_spot_place_order, params=params, act_name='Long spot orders')
time.sleep(2)
params = {
'currency': self.coin,
# 'amount': self.amount,
'amount': num,
'from_account': 'coin-margin',
'to_account': 'spot',
}
self.retry_wrapper(func=self.binance_account_transfer, params=params, act_name='Transfer (COIN-M --> SPOT)')
now_execute_num = now_execute_num + 1
print(spot_order_info['average'])
print(future_order_info)
self.logger.info(f"Number of closing executions: {now_execute_num}")
time.sleep(2)
if now_execute_num >= self.num_maximum:
self.logger.info('Maximum execution number reached >>> Position closing stops.')
exit()
def close_position(self):
while True:
try:
self.close_position_utils()
except Exception as e:
self.logger.critical(f'Closing positions FAILED >>> Retrying...')
self.logger.warning(traceback.format_exc())
time.sleep(2)