Awesome

日本語はこちら

R2 Bitcoin Arbitrager

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

Web UI Mode

Web UI mode is for browser clients.

Console Mode

Console mode is for CUI-only environment like Linux boxes with no GUI.

Getting Started

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

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

3. Run npm install. (or yarn)

cd r2
npm install

4. Rename config_default.json in the folder to config.json
5. Replace key and secret fields with your API keys (tokens) and secrets. Set enabled to false for exchanges you do not use.
6. To run R2 in Web UI mode, set webGateway.enabled to true. By default, R2 starts in Console mode.
7. Start the application by npm start or yarn start.

npm start

8. Open http://127.0.0.1:8720 in Chrome.

or

1. Install Docker
2. Clone this repository.

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

3. 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

Web UI works on the latest version of Google Chrome.

Supported Exchanges

R2 supports the following exchanges.

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

How it works

1. Every 3 seconds, R2 downloads quotes from exchanges.
2. 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.
3. 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.
4. R2 concurrently sends a buy leg and a sell leg to each broker that offered the best price.
5. R2 checks whether the legs are filled or not for the configured period, say 30 seconds.
6. 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

webGateway config details

Default config:

  "webGateway": {
    "enabled": false,
    "host": "127.0.0.1",
    "openBrowser": true
  },

• enabled: true for Web UI mode, false for console mode.
• host: Web server IP that accepts HTTP client connections. By default, it's localhost.
• openBrowser: If true, the application opens a browser window. In non-GUI environment, this config needs to be false.

Web UI URL is http://127.0.0.1:8720 by default. TCP port 8720 and 8721 need to be opened.

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

Supported cashMarginType

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.

1. 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

2. If the positions are found, the arbitrager closes the oldest one.
3. 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

LINE notification

Log files

All log files are saved under logs directory.

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.