arbitragepy 3.0.0

Arbitrage utilities. Has functions that make it easy to work with arbitrage mathematics.

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"),
)