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R2 Bitcoin Arbitrager

R2 Bitcoin Arbitrager is an automatic arbitrage trading application targeting Bitcoin exchanges operated in Japan.

Getting Started

1. Install Node.js 8.5 or newer.
2. Clone this repository.

git clone https://github.com/bitrinjani/r2.git

3. Run npm install. (or yarn)

cd r2
npm install

4. Rename config_default.json in src folder to config.json
5. Replace key and secret fields with your API keys (tokens) and secrets.
6. Start the application by npm start or yarn start.

npm start

or

1. Install Docker
2. Clone this repository.

git clone https://github.com/bitrinjani/r2.git

3. Run docker build and docker run.

cd r2
docker build -t r2:latest .
docker run --rm -it r2:latest

Prerequisites

R2 works on any OS that supports Node.js, such as:

• Windows
• Mac OS
• Linux

Supported Exchanges

R2 supports three exchanges operated in Japan.

Exchange	Cash	Margin
bitFlyer	✔️
Quoine	✔️	✔️
Coincheck	✔️	✔️

How it works

1. Every 3 seconds, R2 concurrently fetches quotes from exchanges.
2. Verifies if the max net exposure (maxNetExposure config) is not breached.
3. Filters out quotes that are not usable for arbitrage. For example, if maxShortPosition config is 0 and the current position is 0 for a broker, the ask quotes for the broker will be filtered out.
4. Calculates the best ask and the best bid from the filtered quotes. If there is no arbitrage opportunity, R2 waits for the next iteration.
5. Verifies if there is enough expected profit. If the expected profit is smaller than minTargetProfit config, R2 waits for the next iteration.
6. R2 concurrently sends a buy leg and a sell leg to each broker that offered the best bid or the best ask.
7. R2 checks whether the legs are filled or not for the configured period, say 30 seconds.
8. If the both legs are filled, shows the profit.

Architecture Overview

Configuration

All configurations are stored in config.json.

Global Config

Name	Values	Description
language	"ja" or "en"	UI language. Japanese or English.
demoMode	true or false	If it's True, the arbitrager analyzes spreads but doesn't send any trade.
priceMergeSize	number	Merges small quotes into the specified price ladder before analyzing arbitrage opportunity.
maxSize	number	Maximum BTC size to be sent to a broker.
minSize	number	Minimum BTC size to be sent to a broker.
minTargetProfit	number	Minimum target profit in JPY. R2 attempts arbitrage if the expected profit calculated from current quotes is larger than minTargetProfit.
minTargetProfitPercent	number	Minimum target profit in percent against notional. Profit percentage against notional is calculated by 100 * profit / (MID price * volume). When both minTargetProfit and minTargetProfitPercent is greater than zero, the larger one is effective.
maxTargetProfit	number	[Optional] Max target profit. This is a safe-guard for abnormal quotes. If the expected profit is larger than this, R2 won't attempt arbitrage.
maxTargetProfitPercent	number	[Optional] Max target profit in percent.
minExitTargetProfit	number	Min target profit for closing order pairs. If the expected profit of closing existing pairs is larger than minExitTargetProfit, R2 attempts to close the pair.
minExitTargetProfitPercent	number	[Optional] Min target profit in percent for closing order pairs.
exitNetProfitRatio	number	[Optional] R2 attempts to close open pairs when the spread has decreased by this percentage. For example, when the open profit of an open pair is 200 JPY and exitNetProfitRatio is 20(%), R2 closes the pair once the closing cost has became 160.
maxTargetVolumePercent	number	In order to avoid a situation that is not promised due to insufficient quantity, limit is set by the ratio of the order quantity to the contractible quantity. Do not trade unless it exceeds this percentage.
iterationInterval	Millisecond	Time lapse in milliseconds of an iteration. When it's set to 3000, the quotes fetch and the spreads analysis for all the brokers are done every 3 seconds
positionRefreshInterval	Millisecond	Time lapse in milliseconds of position data refresh. Position data is used to check max exposure and long/short availability for each broker.
sleepAfterSend	Millisecond	Time lapse in milliseconds after one arbitrage is done.
maxNetExposure	number	Maximum total net exposure. If net exposure qty is larger than this value, Arbitrager stops.
maxRetryCount	number	Maximum retry count to check if arbitrage orders are filled or not. If the orders are not filled after the retries, Arbitrager tries to cancel the orders and continues.
orderStatusCheckInterval	Millisecond	Time lapse in milliseconds to check if arbitrage orders are filled or not.
onSingleLeg	-	See onSingleLeg config

onSingleLeg config details

The onSingleLeg config specifies what action should be taken when only one leg is filled.

...
  "onSingleLeg": {
    "action": "Reverse",
    "actionOnExit": "Proceed",
    "options": {
      "limitMovePercent": 5,
      "ttl": 3000
    }
  },
...

• action: Action to be taken when only one leg is opened.
  • Cancel: Cancel the unfilled order.
  • Reverse: After canceling the unfilled order, R2 sends a limit order to the opposite side of the filled order. The limit price depends on limitMovePercent config.
  • Proceed: After canceling the unfilled order, R2 sends another order to the same side of the unfilled order. The limit price depends on limitMovePercent config.
• actionOnExit: Action to be taken when only one leg is closed. Cancel, Reverse, or Proceed.
• options
  • limitMovePercent: Set the limit price created by the action to the price worse than the original order by limitMovePercent %.
  • ttl: Time to Live of the limit order created by the action。

Broker config

Name	Values	Description
broker	Bitflyer, Quoine or Coincheck	Broker enum
enabled	true or false	Enable the broker for arbitrage
key	string	Broker API Key or Token
secret	string	BrokerAPI Secret
maxLongPosition	number	Maximum long position allowed for the broker.
maxShortPosition	number	Maximum short position allowed for the broker
cashMarginType	Cash, MarginOpen, MarginClose, NetOut	Arbitrage order type. Not all options are supported for each exchange. See the table below.
commissionPercent	number	Comission percentage for each trade. Commission JPY amount is calculated by target price * target volume * (commissionPercent / 100). Arbitrager calculates expected profit by inversed spread * volume - commission JPY amount.

Supported cashMarginType

Exchange	Supported option
Bitflyer	Cash
Quoine	Cash, NetOut
Coincheck	Cash, MarginOpen, NetOut

Quoine's NetOut is natively handled by Exchange API. Quoine can close multiple positions by one order. Coincheck's NetOut is artificially handled by R2 because the exchange doesn't support netout operation. Coincheck's NetOut works as below.

1. The arbitrager finds leverage positions with the following conditions.

• The opposite side of the sending order
• Almost same amount as the sending order. 'Almost same' here means within 1% difference

2. If the positions are found, the arbitrager closes the oldest one.
3. If not found, the arbitrager opens a new position.

Please note this implementation doesn't close multiple positions by one order.

Log files

All log files are saved under logs directory.

File name	Description
info.log	Standard log file
debug.log	Verbose logging, including all REST HTTP requests and responses in JSON format

Running the tests

test script runs ts-jest.

npm test

License

This project is licensed under the MIT License - see the LICENSE file for details

Disclaimer

USE THE SOFTWARE AT YOUR OWN RISK. YOU ARE RESPONSIBLE FOR YOUR OWN MONEY. THE AUTHOR HAS NO RESPONSIBILITY FOR YOUR TRADING RESULTS.

Inspirations

Blackbird, which targets US exchanges.