Arbitrage utilities. Has functions that make it easy to work with arbitrage mathematics.
Project description
arbitragepy - the simple arbitrage calculations package
You can easily calculate arbitrage situation between 2 exchanges.
Doesn't use float
in calculations, only Decimal
from decimal
python standard library package, which guarantees accurate calculations with high precision.
Installation
poetry add arbitragepy
or
pip install arbitragepy
Documentation
Quick Start
from decimal import Decimal
from arbitragepy import (
arbitrage,
SymbolInfo,
OrderInfo,
OrderPayload,
ArbitragePayload,
ArbitrageResult,
)
ask_payload = ArbitragePayload(
symbol=SymbolInfo(quantity_increment=Decimal("0.01")),
order=OrderInfo(price=Decimal("10.5"), quantity=Decimal("100.15")),
balance=Decimal("200"),
fee=Decimal("0.1")
)
bid_payload = ArbitragePayload(
symbol=SymbolInfo(quantity_increment=Decimal("0.01")),
order=OrderInfo(price=Decimal("11.5"), quantity=Decimal("50.3")),
balance=Decimal("65"),
fee=Decimal("0.1")
)
result = arbitrage(ask=ask_payload, bid=bid_payload)
assert result == ArbitrageResult(
ask_order=OrderPayload(
price=Decimal("10.5"),
quantity=Decimal("19.02"),
notional_value=Decimal("199.90971"),
taken_fee=Decimal("0.19971"),
fee_in_base_currency=False,
),
bid_order=OrderPayload(
price=Decimal("11.5"),
quantity=Decimal("19.02"),
notional_value=Decimal("218.51127"),
taken_fee=Decimal("0.21873"),
fee_in_base_currency=False,
),
spread=Decimal("9.304980733552162123590695000"),
profit=Decimal("18.60156"),
)
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