Blackbird Bitcoin Arbitrage is a C++ trading system that does automatic long/short arbitrage between Bitcoin exchanges.

Bitcoin is still a new and inefficient market. Several Bitcoin exchanges exist around the world and the proposed prices (bid and ask) can be briefly different from an exchange to another. The purpose of Blackbird is to automatically profit from these temporary price differences.

Here is an example with real data. Blackbird analyzes the bid/ask information from two Bitcoin exchanges, Bitfinex and Bitstamp, every few seconds. At some point the spread between Bitfinex and Bitstamp prices is higher than an ENTRY threshold (first vertical line): an arbitrage opportunity exists and Blackbird buys Bitstamp and short sells Bitfinex.

Then, about 4.5 hours later the spread decreases below an EXIT threshold (second vertical line) so Blackbird exits the market by selling Bitstamp and buying Bitfinex back.

USE THE SOFTWARE AT YOUR OWN RISK. YOU ARE RESPONSIBLE FOR YOUR OWN MONEY. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE AUTHORS AND ALL AFFILIATES ASSUME NO RESPONSIBILITY FOR YOUR TRADING RESULTS.

The two parameters used to control the arbitrage are SpreadEntry and SpreadTarget.

• SpreadEntry: the limit above which we want the long/short trades to be triggered
• SpreadTarget: the spread we want to achieve as an arbitrage opportunity. It represents the net profit

SpreadTarget is used to define at what threshold we want to exit the trades. It takes the exchange fees into account.

If two exchanges have a 0.20% fees for every trade then we will have for each arbitrage opportunity:

• 0.20% entry long + 0.20% entry short + 0.20% exit long + 0.20% exit short = 0.80% total fees

Now let's say we have SpreadEntry at 1.00% and trades are generated at that level. If the net profit we target (SpreadTarget) is 0.30%, then Blackbird will set the exit threshold for these trades at -0.10% (1.00% spread entry - 0.80% total fees - 0.30% target = -0.10% exit threshold).

Defining smaller spreads will generates more trades but with less profit each.

Blackbird uses the base64 functions written by René Nyffenegger (thanks to him) to encode and decode base64.

The trade results are stored in CSV files. A new CSV file and a new log file are created every time Blackbird is started.

It is possible to properly stop Blackbird after the next trade has closed. While Blackbird is running just create an empty file named stop_after_exit in the working directory. This will make Blackbird automatically stop after the next trade closes.

Please make sure that you understand the disclaimer above if you want to test Blackbird with real money. You can start by testing with a limited amount of money, like $25 per exchange.

IMPORTANT: all your BTC accounts must be empty before starting Blackbird. Make sure that you only have USD on your accounts and no BTC.

Note that it is never entirely safe to just tell Blackbird to use only $25 per exchange (parameter CashForTesting). You also need to only have $25 available on each of your trading accounts as well as 0 BTC. In this case you are sure than even if a bug with CashForTesting exists your maximum loss on an exchange won't be greater than $25 no matter what.

As of today the exchanges fully implemented are Bitfinex, OKCoin, Bitstamp, Gemini and Kraken. For each of your exchange accounts you need to create API authentication keys. This is usually done in the Settings section of your accounts.

Then, you need to add your API keys in the file config.json. Never share this file as it will contain your personal exchange credentials! If you don't have an account for one of the exchanges just leave it blank. But you need at least two exchanges and as of today one of them has to be Bitfinex.

It is possible to run Blackbird without any credentials. Just change the parameter InfoOnly to true and then you won't need to add any credentials to the config file. Blackbird in demo mode will simply shows you the bid/ask information, the spreads and the arbitrage opportunities but no actual trades will be generated.

Modify the stategy parameters to match your trading style (few trades with high spreads or many trades with low spreads):

"SpreadEntry": 0.0080,
"SpreadTarget": 0.0020,

If you set UseFullCash at true then Blackbird will use the minimum cash on the accounts of your two trades, minus a small percentage defined by UntouchedCash. For example, if you have:

"UseFullCash": true,
"UntouchedCash": 0.01,
"CashForTesting": 25.00,
"MaxExposure": 25000.00,

And let's say you have $1,000 on your Bitfinex trading account and $1,100 on your OKCoin trading account. Blackbird will then use $990 on each exchange (i.e. $1,000 - 1%) so your total exposure will be $1,980. Now if you change UseFullCash to false then Blackbird will use $25 per exchange (total exposure $50).

MaxExposure defines the maximum cash exposure on each exchange. In the example above the maximum size of a trade will be $25,000 per exchange.

Blackbird can send you an automatic e-mail every time an arbitrage trade is completed. The e-mail contains information like the names of the traded exchanges and the trade performance.

This feature is optional. If you let the parameter SendEmail to false then you don't need to fill the other e-mail parameters.

You need the following libraries: Crypto, Jansson v2.7, cURL and sendEmail.

Note: you need Jansson version 2.7 minimum otherwise you will get the following compilation error: 'json_boolean_value' was not declared in this scope

For instance on Ubuntu you need to install the following libaries: libssl-dev, libjansson-dev, libcurl4-openssl-dev and sendemail.

Build the software by typing: make, then start the software with the command: ./blackbird. A log file will be generated.

Please check the issues page for the current tasks and issues. If you face any problems with Blackbird please open a new issue on that page.

• First release

• Bitstamp exchange added
• Kraken exchange added (bid/ask information only, other functions to be implemented)
• Improved JSON and cURL exceptions management
• Added the milliseconds to the nonce used for exchange authentification
• JSON memory leak fixed
• Minor fixes and improvements

• General performance and stability improvements (merge from julianmi:performance_improvements)
• ItBit exchange added (bid/ask information only, other functions to be implemented)
• Minor fixes and improvements

• Gemini exchange added and fully implemented
• No need to have accounts on all the exchanges anymore
• Bug #16 (nonce too small) fixed
• Bug #19 (process hangs) fixed
• Minor fixes and improvements

• Trailing spread implemented
• Replaced SpreadExit by SpreadTarget
• Demo mode implemented
• Blackbird output is now sent to a log file
• Kraken fully implemented (to be tested)
• BTC-e (info only) added
• Safety measure: Blackbird won't start if one of the BTC accounts is not empty
• More verbosity when limit prices are calculated
• Minor fixes and improvements

• Discussion about Blackbird on BitcoinTalk

• MIT

• If you found a bug, please open a new issue with the label bug
• If you have a general question or have troubles running Blackbird, you can open a new issue with the label question or help wanted
• For anything else you can directly contact me by email: julien.hamilton@gmail.com

This is what Blackbird looks like when it is started:

Blackbird Bitcoin Arbitrage
DISCLAIMER: USE THE SOFTWARE AT YOUR OWN RISK.

[ Targets ]
   Spread Entry:  0.80%
   Spread Target: 0.30%

[ Current balances ]
   Bitfinex:    1,857.79 USD    0.000000 BTC
   OKCoin:      1,801.38 USD    0.000436 BTC
   Bitstamp:    1,694.15 USD    0.000000 BTC
   Gemini:      1,720.38 USD    0.000000 BTC

[ Cash exposure ]
   FULL cash used!

[ 10/31/2015 08:32:45 ]
   Bitfinex:    325.21 / 325.58
   OKCoin:      326.04 / 326.10
   Bitstamp:    325.37 / 325.82
   Gemini:      325.50 / 328.74
   ----------------------------
   OKCoin/Bitfinex:     -0.27% [target  0.80%, min -0.27%, max -0.27%]
   Bitstamp/Bitfinex:   -0.19% [target  0.80%, min -0.19%, max -0.19%]
   Gemini/Bitfinex:     -1.07% [target  0.80%, min -1.07%, max -1.07%]

[ 10/31/2015 08:32:48 ]
   Bitfinex:    325.21 / 325.58
   OKCoin:      326.04 / 326.10
   Bitstamp:    325.39 / 325.68
   Gemini:      325.50 / 328.67
   ----------------------------
   OKCoin/Bitfinex:     -0.27% [target  0.80%, min -0.27%, max -0.27%]
   Bitstamp/Bitfinex:   -0.14% [target  0.80%, min -0.19%, max -0.14%]
   Gemini/Bitfinex:     -1.05% [target  0.80%, min -1.07%, max -1.05%]