int main(int argc, char **argv) {
// header information
std::cout << "Blackbird Bitcoin Arbitrage\nVersion 0.0.2" << std::endl;
std::cout << "DISCLAIMER: USE THE SOFTWARE AT YOUR OWN RISK.\n" << std::endl;
// read the config file (config.json)
json_error_t error;
json_t *root = json_load_file("config.json", 0, &error);
if (!root) {
std::cout << "ERROR: config.json incorrect (" << error.text << ")\n" << std::endl;
return 1;
}
// get config variables
int gapSec = json_integer_value(json_object_get(root, "GapSec"));
unsigned debugMaxIteration = json_integer_value(json_object_get(root, "DebugMaxIteration"));
bool useFullCash = json_boolean_value(json_object_get(root, "UseFullCash"));
double untouchedCash = json_real_value(json_object_get(root, "UntouchedCash"));
double cashForTesting = json_real_value(json_object_get(root, "CashForTesting"));
if (!useFullCash && cashForTesting < 15.0) {
std::cout << "ERROR: Minimum test cash is $15.00.\n" << std::endl;
return 1;
}
// function arrays
getQuoteType getQuote[] = {Bitfinex::getQuote, OkCoin::getQuote, Bitstamp::getQuote, Kraken::getQuote};
getAvailType getAvail[] = {Bitfinex::getAvail, OkCoin::getAvail, Bitstamp::getAvail, Kraken::getAvail};
sendOrderType sendOrder[] = {Bitfinex::sendOrder, OkCoin::sendOrder, Bitstamp::sendOrder};
isOrderCompleteType isOrderComplete[] = {Bitfinex::isOrderComplete, OkCoin::isOrderComplete, Bitstamp::isOrderComplete};
getActivePosType getActivePos[] = {Bitfinex::getActivePos, OkCoin::getActivePos, Bitstamp::getActivePos, Kraken::getActivePos};
getLimitPriceType getLimitPrice[] = {Bitfinex::getLimitPrice, OkCoin::getLimitPrice, Bitstamp::getLimitPrice, Kraken::getLimitPrice};
// thousand separator
std::locale mylocale("");
std::cout.imbue(mylocale);
// print precision of two digits
std::cout.precision(2);
std::cout << std::fixed;
// create a parameters structure
Parameters params(root);
params.addExchange("Bitfinex", 0.0020, true);
params.addExchange("OKCoin", 0.0020, false);
params.addExchange("Bitstamp", 0.0025, false);
params.addExchange("Kraken", 0.0025, true);
// CSV file
std::string csvFileName;
csvFileName = "result_" + printDateTimeFileName() + ".csv";
std::ofstream csvFile;
csvFile.open(csvFileName.c_str(), std::ofstream::trunc);
// CSV header
csvFile << "TRADE_ID,EXCHANGE_LONG,EXHANGE_SHORT,ENTRY_TIME,EXIT_TIME,DURATION,TOTAL_EXPOSURE,BALANCE_BEFORE,BALANCE_AFTER,RETURN\n";
csvFile.flush();
// time structure
time_t rawtime;
rawtime = time(NULL);
struct tm * timeinfo;
timeinfo = localtime(&rawtime);
bool inMarket = false;
int resultId = 0;
Result res;
res.clear();
// Vector of Bitcoin
std::vector<Bitcoin*> btcVec;
// create Bitcoin objects
for (unsigned i = 0; i < params.nbExch(); ++i) {
btcVec.push_back(new Bitcoin(i, params.exchName[i], params.fees[i], params.hasShort[i]));
}
// cURL
CURL* curl;
curl_global_init(CURL_GLOBAL_ALL);
curl = curl_easy_init();
std::cout << "[ Targets ]" << std::endl;
std::cout << " Spread to enter: " << params.spreadEntry * 100.0 << "%" << std::endl;
std::cout << " Spread to exit: " << params.spreadExit * 100.0 << "%" << std::endl;
std::cout << std::endl;
// store current balances
std::cout << "[ Current balances ]" << std::endl;
std::vector<double> balanceUsd;
std::vector<double> balanceBtc;
for (unsigned i = 0; i < params.nbExch(); ++i) {
balanceUsd.push_back(getAvail[i](curl, params, "usd"));
balanceBtc.push_back(getAvail[i](curl, params, "btc"));
}
// vectors that contains balances after a completed trade
std::vector<double> newBalUsd(params.nbExch(), 0.0);
std::vector<double> newBalBtc(params.nbExch(), 0.0);
for (unsigned i = 0; i < params.nbExch(); ++i) {
std::cout << " " << params.exchName[i] << ":\t";
std::cout << balanceUsd[i] << " USD\t" << std::setprecision(6) << balanceBtc[i] << std::setprecision(2) << " BTC" << std::endl;
}
std::cout << std::endl;
std::cout << "[ Cash exposure ]" << std::endl;
if (useFullCash) {
std::cout << " FULL cash used!" << std::endl;
} else {
std::cout << " TEST cash used\n Value: $" << cashForTesting << std::endl;
}
std::cout << std::endl;
// wait the next gapSec seconds before starting
time(&rawtime);
timeinfo = localtime(&rawtime);
while ((int)timeinfo->tm_sec % gapSec != 0) {
sleep(0.01);
time(&rawtime);
timeinfo = localtime(&rawtime);
}
// main loop
if (!params.verbose) {
std::cout << "Running..." << std::endl;
}
unsigned currIteration = 0;
bool stillRunning = true;
while (stillRunning) {
time_t currTime = mktime(timeinfo);
time(&rawtime);
// check if we are already too late
if (difftime(rawtime, currTime) > 0) {
std::cout << "WARNING: " << difftime(rawtime, currTime) << " second(s) too late at " << printDateTime(currTime) << std::endl;
unsigned skip = (unsigned)ceil(difftime(rawtime, currTime) / gapSec);
for (unsigned i = 0; i < skip; ++i) {
// std::cout << " Skipped iteration " << printDateTime(currTime) << std::endl;
for (unsigned e = 0; e < params.nbExch(); ++e) {
btcVec[e]->addData(currTime, btcVec[e]->getLastBid(), btcVec[e]->getLastAsk(), 0.0);
}
// go to next iteration
timeinfo->tm_sec = timeinfo->tm_sec + gapSec;
currTime = mktime(timeinfo);
}
std::cout << std::endl;
}
// wait for the next iteration
while (difftime(rawtime, currTime) != 0) {
sleep(0.01);
time(&rawtime);
}
if (params.verbose) {
if (!inMarket) {
std::cout << "[ " << printDateTime(currTime) << " ]" << std::endl;
}
else {
std::cout << "[ " << printDateTime(currTime) << " IN MARKET: Long " << res.exchNameLong << " / Short " << res.exchNameShort << " ]" << std::endl;
}
}
// download the exchanges prices
for (unsigned e = 0; e < params.nbExch(); ++e) {
double bid = getQuote[e](curl, true);
double ask = getQuote[e](curl, false);
// add previous price if bid or ask is 0.0
if (bid == 0.0) {
bid = btcVec[e]->getLastBid();
std::cout << " WARNING: " << params.exchName[e] << " bid is null, use previous one" << std::endl;
}
if (ask == 0.0) {
ask = btcVec[e]->getLastAsk();
std::cout << " WARNING: " << params.exchName[e] << " ask is null, use previous one" << std::endl;
}
if (params.verbose) {
std::cout << " " << params.exchName[e] << ": \t" << bid << " / " << ask << std::endl;
}
btcVec[e]->addData(currTime, bid, ask, 0.0);
curl_easy_reset(curl);
}
// load data terminated
if (params.verbose) {
std::cout << " ----------------------------" << std::endl;
}
// compute entry point
if (!inMarket) {
for (unsigned i = 0; i < params.nbExch(); ++i) {
for (unsigned j = 0; j < params.nbExch(); ++j) {
if (i != j) {
if (checkEntry(btcVec[i], btcVec[j], res, params)) {
// entry opportunity found
// compute exposure
res.exposure = std::min(balanceUsd[res.idExchLong], balanceUsd[res.idExchShort]);
if (res.exposure == 0.0) {
std::cout << " WARNING: Opportunity found but no cash available. Trade canceled." << std::endl;
break;
}
if (useFullCash == false && res.exposure <= cashForTesting) {
std::cout << " WARNING: Opportunity found but no enough cash. Need more than TEST cash (min. $" << cashForTesting << "). Trade canceled." << std::endl;
break;
}
if (useFullCash) {
// leave untouchedCash
res.exposure -= untouchedCash * res.exposure;
}
else {
// use test money
res.exposure = cashForTesting;
}
// check volumes
double volumeLong = res.exposure / btcVec[res.idExchLong]->getLastAsk();
double volumeShort = res.exposure / btcVec[res.idExchShort]->getLastBid();
double limPriceLong = getLimitPrice[res.idExchLong](curl, volumeLong, false);
double limPriceShort = getLimitPrice[res.idExchShort](curl, volumeShort, true);
if (limPriceLong - res.priceLongIn > 0.30 || res.priceShortIn - limPriceShort > 0.30) {
std::cout << " WARNING: Opportunity found but not enough volume. Trade canceled." << std::endl;
break;
}
inMarket = true;
resultId++;
// update result
res.id = resultId;
res.entryTime = currTime;
res.printEntry();
res.maxSpread[res.idExchLong][res.idExchShort] = -1.0;
res.minSpread[res.idExchLong][res.idExchShort] = 1.0;
int longOrderId = 0;
int shortOrderId = 0;
// send Long order
longOrderId = sendOrder[res.idExchLong](curl, params, "buy", volumeLong, btcVec[res.idExchLong]->getLastAsk());
// send Short order
shortOrderId = sendOrder[res.idExchShort](curl, params, "sell", volumeShort, btcVec[res.idExchShort]->getLastBid());
// wait for the orders to be filled
sleep(3.0);
std::cout << "Waiting for the two orders to be filled..." << std::endl;
while (!isOrderComplete[res.idExchLong](curl, params, longOrderId) || !isOrderComplete[res.idExchShort](curl, params, shortOrderId)) {
sleep(3.0);
}
std::cout << "Done" << std::endl;
longOrderId = 0;
shortOrderId = 0;
break;
}
}
}
if (inMarket) {
break;
}
}
if (params.verbose) {
std::cout << std::endl;
}
}
// in market, looking to exit
else if (inMarket) {
if (checkExit(btcVec[res.idExchLong], btcVec[res.idExchShort], res, params, currTime)) {
// exit opportunity found
// check current exposure
std::vector<double> btcUsed;
for (unsigned i = 0; i < params.nbExch(); ++i) {
btcUsed.push_back(getActivePos[i](curl, params));
}
// check volumes
double volumeLong = btcUsed[res.idExchLong];
double volumeShort = btcUsed[res.idExchShort];
double limPriceLong = getLimitPrice[res.idExchLong](curl, volumeLong, true);
double limPriceShort = getLimitPrice[res.idExchShort](curl, volumeShort, false);
if (res.priceLongOut - limPriceLong > 0.30 || limPriceShort - res.priceShortOut > 0.30) {
std::cout << " WARNING: Opportunity found but not enough volume. Trade canceled." << std::endl;
} else {
res.exitTime = currTime;
res.printExit();
// send orders
int longOrderId = 0;
int shortOrderId = 0;
std::cout << std::setprecision(6) << "BTC exposure on " << params.exchName[res.idExchLong] << ": " << volumeLong << std::setprecision(2) << std::endl;
std::cout << std::setprecision(6) << "BTC exposure on " << params.exchName[res.idExchShort] << ": " << volumeShort << std::setprecision(2) << std::endl;
std::cout << std::endl;
// Close Long
longOrderId = sendOrder[res.idExchLong](curl, params, "sell", fabs(btcUsed[res.idExchLong]), btcVec[res.idExchLong]->getLastBid());
// Close Short
shortOrderId = sendOrder[res.idExchShort](curl, params, "buy", fabs(btcUsed[res.idExchShort]), btcVec[res.idExchShort]->getLastAsk());
// wait for the orders to be filled
sleep(3.0);
std::cout << "Waiting for the two orders to be filled..." << std::endl;
while (!isOrderComplete[res.idExchLong](curl, params, longOrderId) || !isOrderComplete[res.idExchShort](curl, params, shortOrderId)) {
sleep(3.0);
}
std::cout << "Done\n" << std::endl;
longOrderId = 0;
shortOrderId = 0;
// market exited
inMarket = false;
// new balances
for (unsigned i = 0; i < params.nbExch(); ++i) {
newBalUsd[i] = getAvail[i](curl, params, "usd");
newBalBtc[i] = getAvail[i](curl, params, "btc");
}
for (unsigned i = 0; i < params.nbExch(); ++i) {
std::cout << "New balance on " << params.exchName[i] << ": \t";
std::cout << newBalUsd[i] << " USD (perf $" << newBalUsd[i] - balanceUsd[i] << "), ";
std::cout << std::setprecision(6) << newBalBtc[i] << std::setprecision(2) << " BTC" << std::endl;
}
std::cout << std::endl;
// update res with total balance
res.befBalUsd = std::accumulate(balanceUsd.begin(), balanceUsd.end(), 0.0);
res.aftBalUsd = std::accumulate(newBalUsd.begin(), newBalUsd.end(), 0.0);
// update current balances with new values
for (unsigned i = 0; i < params.nbExch(); ++i) {
balanceUsd[i] = newBalUsd[i];
balanceBtc[i] = newBalBtc[i];
}
// display performance
std::cout << "ACTUAL PERFORMANCE: " << "$" << res.aftBalUsd - res.befBalUsd << " (" << res.totPerf() * 100.0 << "%)\n" << std::endl;
// new csv line with result
csvFile << res.id << "," << res.exchNameLong << "," << res.exchNameShort << "," << printDateTimeCsv(res.entryTime) << "," << printDateTimeCsv(res.exitTime);
csvFile << "," << res.getLength() << "," << res.exposure * 2.0 << "," << res.befBalUsd << "," << res.aftBalUsd << "," << res.totPerf() << "\n";
csvFile.flush();
// send email
if (params.sendEmail) {
sendEmail(res, params);
std::cout << "Email sent" << std::endl;
}
// delete result information
res.clear();
// if "stop_after_exit" file exists then return
std::ifstream infile("stop_after_exit");
if (infile.good()) {
std::cout << "Exit after last trade (file stop_after_exit found)" << std::endl;
stillRunning = false;
}
}
}
if (params.verbose) {
std::cout << std::endl;
}
}
// activities for this iteration terminated
timeinfo->tm_sec = timeinfo->tm_sec + gapSec;
currIteration++;
if (currIteration >= debugMaxIteration) {
std::cout << "Max iteration reached (" << debugMaxIteration << ")" <<std::endl;
stillRunning = false;
}
}
// delete Bitcoin objects
for (unsigned i = 0; i < params.nbExch(); ++i) {
delete(btcVec[i]);
}
json_decref(root);
// close cURL
curl_easy_cleanup(curl);
curl_global_cleanup();
// close csv file
csvFile.close();
return 0;
}
int main(int argc, char** argv) {
std::cout << "Blackbird Bitcoin Arbitrage" << std::endl;
std::cout << "DISCLAIMER: USE THE SOFTWARE AT YOUR OWN RISK\n" << std::endl;
std::locale mylocale("");
Parameters params("blackbird.conf");
if (!params.demoMode) {
if (!params.useFullCash) {
if (params.cashForTesting < 10.0) {
std::cout << "WARNING: Minimum test cash recommended: $10.00\n" << std::endl;
}
if (params.cashForTesting > params.maxExposure) {
std::cout << "ERROR: Test cash ($" << params.cashForTesting << ") is above max exposure ($" << params.maxExposure << ")\n" << std::endl;
return -1;
}
}
}
getQuoteType getQuote[10];
getAvailType getAvail[10];
sendOrderType sendOrder[10];
isOrderCompleteType isOrderComplete[10];
getActivePosType getActivePos[10];
getLimitPriceType getLimitPrice[10];
int index = 0;
if (params.bitfinexApi.empty() == false || params.demoMode == true) {
params.addExchange("Bitfinex", params.bitfinexFees, params.bitfinexCanShort, true);
getQuote[index] = Bitfinex::getQuote;
getAvail[index] = Bitfinex::getAvail;
sendOrder[index] = Bitfinex::sendOrder;
isOrderComplete[index] = Bitfinex::isOrderComplete;
getActivePos[index] = Bitfinex::getActivePos;
getLimitPrice[index] = Bitfinex::getLimitPrice;
index++;
}
if (params.okcoinApi.empty() == false || params.demoMode == true) {
params.addExchange("OKCoin", params.okcoinFees, params.okcoinCanShort, true);
getQuote[index] = OkCoin::getQuote;
getAvail[index] = OkCoin::getAvail;
sendOrder[index] = OkCoin::sendOrder;
isOrderComplete[index] = OkCoin::isOrderComplete;
getActivePos[index] = OkCoin::getActivePos;
getLimitPrice[index] = OkCoin::getLimitPrice;
index++;
}
if (params.bitstampClientId.empty() == false || params.demoMode == true) {
params.addExchange("Bitstamp", params.bitstampFees, params.bitstampCanShort, true);
getQuote[index] = Bitstamp::getQuote;
getAvail[index] = Bitstamp::getAvail;
sendOrder[index] = Bitstamp::sendOrder;
isOrderComplete[index] = Bitstamp::isOrderComplete;
getActivePos[index] = Bitstamp::getActivePos;
getLimitPrice[index] = Bitstamp::getLimitPrice;
index++;
}
if (params.geminiApi.empty() == false || params.demoMode == true) {
params.addExchange("Gemini", params.geminiFees, params.geminiCanShort, true);
getQuote[index] = Gemini::getQuote;
getAvail[index] = Gemini::getAvail;
sendOrder[index] = Gemini::sendOrder;
isOrderComplete[index] = Gemini::isOrderComplete;
getActivePos[index] = Gemini::getActivePos;
getLimitPrice[index] = Gemini::getLimitPrice;
index++;
}
if (params.krakenApi.empty() == false || params.demoMode == true) {
params.addExchange("Kraken", params.krakenFees, params.krakenCanShort, true);
getQuote[index] = Kraken::getQuote;
getAvail[index] = Kraken::getAvail;
sendOrder[index] = Kraken::sendOrder;
isOrderComplete[index] = Kraken::isOrderComplete;
getActivePos[index] = Kraken::getActivePos;
getLimitPrice[index] = Kraken::getLimitPrice;
index++;
}
if (params.itbitApi.empty() == false || params.demoMode == true) {
params.addExchange("ItBit", params.itbitFees, params.itbitCanShort, false);
getQuote[index] = ItBit::getQuote;
getAvail[index] = ItBit::getAvail;
// sendOrder[index] = ItBit::sendOrder;
// isOrderComplete[index] = ItBit::isOrderComplete;
getActivePos[index] = ItBit::getActivePos;
getLimitPrice[index] = ItBit::getLimitPrice;
index++;
}
if (params.btceApi.empty() == false || params.demoMode == true) {
params.addExchange("BTC-e", params.btceFees, params.btceCanShort, false);
getQuote[index] = BTCe::getQuote;
getAvail[index] = BTCe::getAvail;
// sendOrder[index] = BTCe::sendOrder;
// isOrderComplete[index] = BTCe::isOrderComplete;
getActivePos[index] = BTCe::getActivePos;
getLimitPrice[index] = BTCe::getLimitPrice;
index++;
}
if (params.sevennintysixApi.empty() == false || params.demoMode == true) {
params.addExchange("796.com", params.sevennintysixFees, params.sevennintysixCanShort, true);
getQuote[index] = SevenNintySix::getQuote;
getAvail[index] = SevenNintySix::getAvail;
sendOrder[index] = SevenNintySix::sendOrder;
isOrderComplete[index] = SevenNintySix::isOrderComplete;
getActivePos[index] = SevenNintySix::getActivePos;
getLimitPrice[index] = SevenNintySix::getLimitPrice;
index++;
}
if (index < 2) {
std::cout << "ERROR: Blackbird needs at least two Bitcoin exchanges. Please edit the config.json file to add new exchanges\n" << std::endl;
return -1;
}
std::string currDateTime = printDateTimeFileName();
std::string csvFileName = "blackbird_result_" + currDateTime + ".csv";
std::ofstream csvFile;
csvFile.open(csvFileName.c_str(), std::ofstream::trunc);
csvFile << "TRADE_ID,EXCHANGE_LONG,EXHANGE_SHORT,ENTRY_TIME,EXIT_TIME,DURATION,TOTAL_EXPOSURE,BALANCE_BEFORE,BALANCE_AFTER,RETURN\n";
csvFile.flush();
std::string logFileName = "blackbird_log_" + currDateTime + ".log";
std::ofstream logFile;
logFile.open(logFileName.c_str(), std::ofstream::trunc);
logFile.imbue(mylocale);
logFile.precision(2);
logFile << std::fixed;
params.logFile = &logFile;
logFile << "--------------------------------------------" << std::endl;
logFile << "| Blackbird Bitcoin Arbitrage Log File |" << std::endl;
logFile << "--------------------------------------------\n" << std::endl;
logFile << "Blackbird started on " << printDateTime() << "\n" << std::endl;
if (params.demoMode) {
logFile << "Demo mode: trades won't be generated\n" << std::endl;
}
std::cout << "Log file generated: " << logFileName << "\nBlackbird is running... (pid " << getpid() << ")\n" << std::endl;
// Vector of Bitcoin objects
std::vector<Bitcoin*> btcVec;
int num_exchange = params.nbExch();
// create Bitcoin objects
for (int i = 0; i < num_exchange; ++i) {
btcVec.push_back(new Bitcoin(i, params.exchName[i], params.fees[i], params.canShort[i], params.isImplemented[i]));
}
curl_global_init(CURL_GLOBAL_ALL);
params.curl = curl_easy_init();
logFile << "[ Targets ]" << std::endl;
logFile << " Spread Entry: " << params.spreadEntry * 100.0 << "%" << std::endl;
logFile << " Spread Target: " << params.spreadTarget * 100.0 << "%" << std::endl;
if (params.spreadEntry <= 0.0) {
logFile << " WARNING: Spread Entry should be positive" << std::endl;
}
if (params.spreadTarget <= 0.0) {
logFile << " WARNING: Spread Target should be positive" << std::endl;
}
logFile << std::endl;
// store current balances
logFile << "[ Current balances ]" << std::endl;
double* balanceUsd = (double*)malloc(sizeof(double) * num_exchange);
double* balanceBtc = (double*)malloc(sizeof(double) * num_exchange);
for (int i = 0; i < num_exchange; ++i) {
if (params.demoMode) {
balanceUsd[i] = 0.0;
balanceBtc[i] = 0.0;
} else {
balanceUsd[i] = getAvail[i](params, "usd");
balanceBtc[i] = getAvail[i](params, "btc");
}
}
// contains balances after a completed trade
double* newBalUsd = (double*)malloc(sizeof(double) * num_exchange);
double* newBalBtc = (double*)malloc(sizeof(double) * num_exchange);
memset(newBalUsd, 0.0, sizeof(double) * num_exchange);
memset(newBalBtc, 0.0, sizeof(double) * num_exchange);
for (int i = 0; i < num_exchange; ++i) {
logFile << " " << params.exchName[i] << ":\t";
logFile << balanceUsd[i] << " USD\t" << std::setprecision(6) << balanceBtc[i] << std::setprecision(2) << " BTC" << std::endl;
if (balanceBtc[i] > 0.0300) {
logFile << "ERROR: All BTC accounts must be empty before starting Blackbird" << std::endl;
return -1;
}
}
logFile << std::endl;
logFile << "[ Cash exposure ]" << std::endl;
if (params.demoMode) {
logFile << " No cash - Demo mode" << std::endl;
} else {
if (params.useFullCash) {
logFile << " FULL cash used!" << std::endl;
} else {
logFile << " TEST cash used\n Value: $" << params.cashForTesting << std::endl;
}
}
logFile << std::endl;
time_t rawtime;
rawtime = time(NULL);
struct tm* timeinfo;
timeinfo = localtime(&rawtime);
// wait the next gapSec seconds before starting
time(&rawtime);
timeinfo = localtime(&rawtime);
while ((int)timeinfo->tm_sec % params.gapSec != 0) {
sleep(0.01);
time(&rawtime);
timeinfo = localtime(&rawtime);
}
// main loop
if (!params.verbose) {
logFile << "Running..." << std::endl;
}
bool inMarket = false;
int resultId = 0;
Result res;
res.clear();
unsigned currIteration = 0;
bool stillRunning = true;
time_t currTime;
time_t diffTime;
while (stillRunning) {
currTime = mktime(timeinfo);
time(&rawtime);
diffTime = difftime(rawtime, currTime);
// check if we are already too late
if (diffTime > 0) {
logFile << "WARNING: " << diffTime << " second(s) too late at " << printDateTime(currTime) << std::endl;
// unsigned skip = (unsigned)ceil(diffTime / gapSec);
// go to next iteration
timeinfo->tm_sec = timeinfo->tm_sec + (ceil(diffTime / params.gapSec) + 1) * params.gapSec;
currTime = mktime(timeinfo);
sleep(params.gapSec - (diffTime % params.gapSec));
logFile << std::endl;
}
else if (diffTime < 0) {
sleep(-difftime(rawtime, currTime)); // sleep until the next iteration
}
if (params.verbose) {
if (!inMarket) {
logFile << "[ " << printDateTime(currTime) << " ]" << std::endl;
} else {
logFile << "[ " << printDateTime(currTime) << " IN MARKET: Long " << res.exchNameLong << " / Short " << res.exchNameShort << " ]" << std::endl;
}
}
for (int e = 0; e < num_exchange; ++e) {
double bid = getQuote[e](params, true);
double ask = getQuote[e](params, false);
if (bid == 0.0) {
logFile << " WARNING: " << params.exchName[e] << " bid is null, use previous one" << std::endl;
}
if (ask == 0.0) {
logFile << " WARNING: " << params.exchName[e] << " ask is null, use previous one" << std::endl;
}
if (params.verbose) {
logFile << " " << params.exchName[e] << ": \t" << bid << " / " << ask << std::endl;
}
btcVec[e]->updateData(bid, ask, 0.0);
curl_easy_reset(params.curl);
}
if (params.verbose) {
logFile << " ----------------------------" << std::endl;
}
// compute entry point
if (!inMarket) {
for (int i = 0; i < num_exchange; ++i) {
for (int j = 0; j < num_exchange; ++j) {
if (i != j) {
if (checkEntry(btcVec[i], btcVec[j], res, params)) {
// entry opportunity found
res.exposure = std::min(balanceUsd[res.idExchLong], balanceUsd[res.idExchShort]);
if (params.demoMode) {
logFile << "INFO: Opportunity found but no trade will be generated (Demo mode)" << std::endl;
break;
}
if (res.exposure == 0.0) {
logFile << "WARNING: Opportunity found but no cash available. Trade canceled" << std::endl;
break;
}
if (params.useFullCash == false && res.exposure <= params.cashForTesting) {
logFile << "WARNING: Opportunity found but no enough cash. Need more than TEST cash (min. $" << params.cashForTesting << "). Trade canceled" << std::endl;
break;
}
if (params.useFullCash) {
res.exposure -= params.untouchedCash * res.exposure; // leave untouchedCash
if (res.exposure > params.maxExposure) {
logFile << "WARNING: Opportunity found but exposure ($" << res.exposure << ") above the limit" << std::endl;
logFile << " Max exposure will be used instead ($" << params.maxExposure << ")" << std::endl;
res.exposure = params.maxExposure;
}
} else {
res.exposure = params.cashForTesting; // use test money
}
double volumeLong = res.exposure / btcVec[res.idExchLong]->getAsk();
double volumeShort = res.exposure / btcVec[res.idExchShort]->getBid();
double limPriceLong = getLimitPrice[res.idExchLong](params, volumeLong, false);
double limPriceShort = getLimitPrice[res.idExchShort](params, volumeShort, true);
if (limPriceLong - res.priceLongIn > params.priceDeltaLim || res.priceShortIn - limPriceShort > params.priceDeltaLim) {
logFile << "WARNING: Opportunity found but not enough liquidity. Trade canceled" << std::endl;
logFile << " Target long price: " << res.priceLongIn << ", Real long price: " << limPriceLong << std::endl;
logFile << " Target short price: " << res.priceShortIn << ", Real short price: " << limPriceShort << std::endl;
res.trailing[res.idExchLong][res.idExchShort] = -1.0;
break;
}
inMarket = true;
resultId++;
// update result
res.id = resultId;
res.entryTime = currTime;
res.printEntry(*params.logFile);
res.maxSpread[res.idExchLong][res.idExchShort] = -1.0;
res.minSpread[res.idExchLong][res.idExchShort] = 1.0;
res.trailing[res.idExchLong][res.idExchShort] = 1.0;
int longOrderId = 0;
int shortOrderId = 0;
// send orders
longOrderId = sendOrder[res.idExchLong](params, "buy", volumeLong, btcVec[res.idExchLong]->getAsk());
shortOrderId = sendOrder[res.idExchShort](params, "sell", volumeShort, btcVec[res.idExchShort]->getBid());
// wait for the orders to be filled
logFile << "Waiting for the two orders to be filled..." << std::endl;
sleep(3.0);
while (!isOrderComplete[res.idExchLong](params, longOrderId) || !isOrderComplete[res.idExchShort](params, shortOrderId)) {
sleep(3.0);
}
logFile << "Done" << std::endl;
longOrderId = 0;
shortOrderId = 0;
break;
}
}
}
if (inMarket) {
break;
}
}
if (params.verbose) {
logFile << std::endl;
}
}
// in market, looking to exit
else if (inMarket) {
if (checkExit(btcVec[res.idExchLong], btcVec[res.idExchShort], res, params, currTime)) {
// exit opportunity found
// check current exposure
double* btcUsed = (double*)malloc(sizeof(double) * num_exchange);
for (int i = 0; i < num_exchange; ++i) {
btcUsed[i] = getActivePos[i](params);
}
double volumeLong = btcUsed[res.idExchLong];
double volumeShort = btcUsed[res.idExchShort];
double limPriceLong = getLimitPrice[res.idExchLong](params, volumeLong, true);
double limPriceShort = getLimitPrice[res.idExchShort](params, volumeShort, false);
if (res.priceLongOut - limPriceLong > params.priceDeltaLim || limPriceShort - res.priceShortOut > params.priceDeltaLim) {
logFile << "WARNING: Opportunity found but not enough liquidity. Trade canceled" << std::endl;
logFile << " Target long price: " << res.priceLongOut << ", Real long price: " << limPriceLong << std::endl;
logFile << " Target short price: " << res.priceShortOut << ", Real short price: " << limPriceShort << std::endl;
res.trailing[res.idExchLong][res.idExchShort] = 1.0;
} else {
res.exitTime = currTime;
res.printExit(*params.logFile);
int longOrderId = 0;
int shortOrderId = 0;
logFile << std::setprecision(6) << "BTC exposure on " << params.exchName[res.idExchLong] << ": " << volumeLong << std::setprecision(2) << std::endl;
logFile << std::setprecision(6) << "BTC exposure on " << params.exchName[res.idExchShort] << ": " << volumeShort << std::setprecision(2) << std::endl;
logFile << std::endl;
// send orders
longOrderId = sendOrder[res.idExchLong](params, "sell", fabs(btcUsed[res.idExchLong]), btcVec[res.idExchLong]->getBid());
shortOrderId = sendOrder[res.idExchShort](params, "buy", fabs(btcUsed[res.idExchShort]), btcVec[res.idExchShort]->getAsk());
// wait for the orders to be filled
logFile << "Waiting for the two orders to be filled..." << std::endl;
sleep(3.0);
while (!isOrderComplete[res.idExchLong](params, longOrderId) || !isOrderComplete[res.idExchShort](params, shortOrderId)) {
sleep(3.0);
}
logFile << "Done\n" << std::endl;
longOrderId = 0;
shortOrderId = 0;
inMarket = false;
// new balances
for (int i = 0; i < num_exchange; ++i) {
newBalUsd[i] = getAvail[i](params, "usd");
newBalBtc[i] = getAvail[i](params, "btc");
}
for (int i = 0; i < num_exchange; ++i) {
logFile << "New balance on " << params.exchName[i] << ": \t";
logFile << newBalUsd[i] << " USD (perf $" << newBalUsd[i] - balanceUsd[i] << "), ";
logFile << std::setprecision(6) << newBalBtc[i] << std::setprecision(2) << " BTC" << std::endl;
}
logFile << std::endl;
// update res with total balance
for (int i = 0; i < num_exchange; ++i) {
res.befBalUsd += balanceUsd[i];
res.aftBalUsd += newBalUsd[i];
}
// update current balances with new values
for (int i = 0; i < num_exchange; ++i) {
balanceUsd[i] = newBalUsd[i];
balanceBtc[i] = newBalBtc[i];
}
logFile << "ACTUAL PERFORMANCE: " << "$" << res.aftBalUsd - res.befBalUsd << " (" << res.totPerf() * 100.0 << "%)\n" << std::endl;
csvFile << res.id << "," << res.exchNameLong << "," << res.exchNameShort << "," << printDateTimeCsv(res.entryTime) << "," << printDateTimeCsv(res.exitTime);
csvFile << "," << res.getLength() << "," << res.exposure * 2.0 << "," << res.befBalUsd << "," << res.aftBalUsd << "," << res.totPerf() << "\n";
csvFile.flush();
if (params.sendEmail) {
sendEmail(res, params);
logFile << "Email sent" << std::endl;
}
res.clear();
std::ifstream infile("stop_after_exit");
if (infile.good()) {
logFile << "Exit after last trade (file stop_after_exit found)" << std::endl;
stillRunning = false;
}
}
}
if (params.verbose) {
logFile << std::endl;
}
}
timeinfo->tm_sec = timeinfo->tm_sec + params.gapSec;
currIteration++;
if (currIteration >= params.debugMaxIteration) {
logFile << "Max iteration reached (" << params.debugMaxIteration << ")" <<std::endl;
stillRunning = false;
}
}
for (int i = 0; i < num_exchange; ++i) {
delete(btcVec[i]);
}
curl_easy_cleanup(params.curl);
curl_global_cleanup();
csvFile.close();
logFile.close();
return 0;
}
