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91 lines
2.7 KiB
Go
91 lines
2.7 KiB
Go
// Copyright 2024 Lux Partners Limited. All rights reserved.
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// Use of this source code is governed by a BSD-style
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// license that can be found in the LICENSE file.
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/*
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Package arbitrage provides unified liquidity arbitrage capabilities.
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This package implements cross-venue arbitrage detection and execution
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using the unified trading SDK. The core strategy is "LX First" - since
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LX DEX has the fastest price updates (nanosecond updates, 200ms blocks),
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it serves as the price oracle while other venues are inherently stale.
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# Architecture
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The arbitrage system consists of three main components:
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1. Scanner: Continuously monitors orderbooks across all connected venues
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2. Opportunity Detector: Identifies profitable cross-venue spreads
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3. Executor: Simultaneously executes buy and sell legs
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# Quick Start
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// Create trading client (see trading package documentation)
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client := trading.NewClient(config)
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client.Connect(ctx)
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// Create adapter for arbitrage system
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arbClient := &ClientAdapter{Client: client}
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// Configure arbitrage
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arbConfig := arbitrage.UnifiedArbConfig{
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MinSpreadBps: decimal.NewFromInt(10), // 10 bps minimum
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MinProfit: decimal.NewFromInt(5), // $5 minimum profit
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MaxPositionSize: decimal.NewFromInt(10000),
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Symbols: []string{"BTC-USDC", "ETH-USDC"},
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VenuePriority: []string{"lx_dex", "binance"},
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ScanInterval: 100 * time.Millisecond,
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ExecuteTimeout: 5 * time.Second,
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}
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arb := arbitrage.NewUnifiedArbitrage(arbClient, arbConfig)
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arb.Start()
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defer arb.Stop()
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# Opportunity Detection
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An opportunity is detected when:
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- Best bid on venue A > Best ask on venue B
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- Spread exceeds MinSpreadBps threshold
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- Net profit (after fees) exceeds MinProfit threshold
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- Position size is within risk limits
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# Execution Strategy
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When an opportunity is found, the system:
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1. Validates the opportunity hasn't expired
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2. Executes buy and sell orders simultaneously
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3. Tracks fill rates and actual profit
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4. Updates position and PnL tracking
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# Risk Management
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Built-in risk controls include:
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- Maximum position size per asset
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- Maximum total exposure across all assets
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- Maximum daily loss limit
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- Maximum trades per day
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- Per-trade profit threshold
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# Statistics
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Monitor arbitrage performance:
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stats := arb.GetStats()
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fmt.Printf("Executions: %d, Win Rate: %.1f%%, PnL: $%s\n",
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stats.TotalExecutions,
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stats.WinRate * 100,
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stats.TotalPnL.StringFixed(2))
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# Implementing TradingClient
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To use the arbitrage system, implement the TradingClient interface:
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type TradingClient interface {
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AggregatedOrderbook(ctx context.Context, symbol string) (*AggregatedBook, error)
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PlaceOrder(ctx context.Context, req OrderRequest) (*Order, error)
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GetConnectedVenues() []VenueInfo
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}
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*/
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package arbitrage
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