client/{mm, core}: Simple Arbitrage #2480

martonp · 2023-08-16T15:54:24Z

This implements the simple arbitrage strategy which only places orders
when there is an arbitrage opportunity.

A libxc package is added which contains a CEX interface used to
interact with a centralized exchange's API. It is implemented for
Binance.
The new strategy is implemented in mm_simple_arb.go and can be run by
creating a BotConfig with a non-nil ArbCfg.
A testbinance command line tool is added which starts a webserver that
responds to the requests that the Binance testnet does not support.
A VWAP function is added to the client orderbook.
client/comms/WSConn is updated with a SendRaw function which sends
arbitrary byte slices over the websocket connection.

client/mm/libxc/binance.go

client/mm/libxc/interface.go

JoeGruffins · 2023-08-24T08:01:30Z

client/mm/libxc/binance.go

+// Trade executes a trade on the CEX. updaterID takes an ID returned from
+// SubscribeTradeUpdates, and tradeID takes an ID returned from
+// GenerateTradeID.
+func (bnc *binance) Trade(baseSymbol, quoteSymbol string, sell bool, rate, qty uint64, updaterID int, orderID string) error {


Comment says tradeID but there is no argument by that name.

Should this check that orderID is a valid order ID? Or should the variable be called tradeID? Then should it check it is the correct length? Should it check that it is unique in the bnc.tradeToUpdater map?

client/mm/libxc/interface.go

JoeGruffins · 2023-08-24T08:46:12Z

client/orderbook/orderbook.go

+		return 0, 0, false, nil
+	}
+
+	return weightedSum / lots, extrema, true, nil


I remember seeing this code before and commenting that, if the book was sparse, would that allow an attacker to place some orders near the mid gap and then one order way far back, the bot buys them all up because the average looks good, the attacker then doesn't follow through with the extrema trades and just leaves the one at a bad rate. Was this a valid concern? I think my solution was to prevent orders that are too far from the extrema in these calculations.

The code here makes sure that each lot included in the arbitrage must be profitable, not just the average:

dcrdex/client/mm/mm_simple_arb.go

Lines 218 to 223 in 8f28450

var currLotProfitable bool

if sellOnDEX {

currLotProfitable = dexExtrema > cexExtrema

} else {

currLotProfitable = cexExtrema > dexExtrema

}

This would avoid the attack you are talking about right?

Oh that's right, the extrema is the worst rate for us, I was wording it as best. Unless both markets are sparse, then Yes this should do about the same thing as I suggested. Would this be even too restrictive? Orders will probably be further apart on dex... If I am understanding correctly.

I guess we could do something like buying 1/2 a lots worth on the CEX and a full lots worth on the DEX (since we can't buy any less), but maybe save that for a future iteration. This probably is a good idea, especially for markets with a large lot size, since it will be rare that a full lot can be arbitraged.

Unless it's someone who is running the CEX trying to manipulate someone running the arb bot, I don't think it's possible. If somehow they trick us into taking a really bad trade on the DEX, then they would've had to also trick us into taking a really good trade on the CEX. Unless they are running the CEX, they would not be able to back out of the CEX trade like they could on the DEX.

client/cmd/testbinance/main.go

client/mm/libxc/binance.go

client/mm/libxc/interface.go

client/mm/libxc/binance.go

client/mm/mm_simple_arb.go

client/mm/libxc/binance_live_test.go

client/mm/libxc/binance.go

buck54321 · 2023-09-07T00:21:03Z

client/mm/libxc/binance.go

+	bnc.tradeToUpdater[tradeID] = updaterID
+	bnc.tradeUpdaterMtx.Unlock()
+
+	return bnc.postAPI(ctx, "/api/v3/order", v, nil, true, true, &struct{}{})


Should we be adding the updaterID to the map if the request fails?

It should be added to the map beforehand, because an update may arrive before postAPI returns, but we should be removing it if it fails.

client/mm/libxc/binance.go

client/mm/libxc/interface.go

buck54321 · 2023-09-07T01:35:09Z

client/mm/mm_simple_arb.go

+		}
+	}
+
+	// keep retrying if failed to cancel?


Yeah. I guess so.

client/mm/mm_simple_arb_test.go

dex/bip-id.go

client/mm/libxc/binance.go

buck54321 · 2023-09-17T13:41:51Z

Looks ready to me. Looking for a rebase and a thumbs up from @JoeGruffins.

This implements the simple arbitrage opportunity which only places orders when there is an arbitrage opportunity. - A `libxc` package is added which contains a `CEX` interface used to interact with a centralized exchange's API. It is implemented for Binance. - The new strategy is implemented in `mm_simple_arb.go` and can be run by creating a `BotConfig` with a non-nil `ArbCfg`. - A testbinance command line tool is added which starts a webserver that responds to the requests that the Binance testnet does not support. - A `VWAP` function is added to the client orderbook. - `client/comms/WSConn` is updated with a `SendRaw` function which sends arbitrary byte slices over the websocket connection.

martonp mentioned this pull request Aug 16, 2023

multi: Arbitrage Bot #2005

Closed

martonp force-pushed the simpleArbStrat branch from 15ce252 to 80b6d42 Compare August 16, 2023 15:59

martonp force-pushed the simpleArbStrat branch from 80b6d42 to 8f28450 Compare August 23, 2023 16:04

JoeGruffins reviewed Aug 24, 2023

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martonp force-pushed the simpleArbStrat branch from 8f28450 to 3220ec2 Compare August 27, 2023 09:58

buck54321 requested changes Sep 1, 2023

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martonp force-pushed the simpleArbStrat branch from cd492e6 to 5cbe3ae Compare September 3, 2023 06:14

buck54321 mentioned this pull request Sep 6, 2023

server: add a WebSockets-based reverse tunnel #2493

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buck54321 reviewed Sep 6, 2023

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buck54321 requested changes Sep 7, 2023

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martonp force-pushed the simpleArbStrat branch 3 times, most recently from 6a6c0df to 42dce09 Compare September 12, 2023 04:18

martonp added 5 commits September 17, 2023 21:15

Joe review fixes

6f75014

Use MultiTrade instead of Trade

316c834

Buck review fixes

270be5e

Buck review updates

2868bdf

martonp force-pushed the simpleArbStrat branch from 42dce09 to 6f74e0c Compare September 18, 2023 01:15

More review fixes

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martonp force-pushed the simpleArbStrat branch from 6f74e0c to 35091e7 Compare September 18, 2023 01:46

JoeGruffins approved these changes Sep 18, 2023

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buck54321 merged commit 6a04997 into decred:master Sep 18, 2023
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client/{mm, core}: Simple Arbitrage #2480

client/{mm, core}: Simple Arbitrage #2480

martonp commented Aug 16, 2023 •

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JoeGruffins Aug 24, 2023

JoeGruffins Aug 24, 2023

martonp Aug 24, 2023 •

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JoeGruffins Aug 25, 2023

martonp Aug 25, 2023 •

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buck54321 Sep 7, 2023

martonp Sep 8, 2023

buck54321 Sep 7, 2023

buck54321 commented Sep 17, 2023

	var currLotProfitable bool
	if sellOnDEX {
	currLotProfitable = dexExtrema > cexExtrema
	} else {
	currLotProfitable = cexExtrema > dexExtrema
	}

client/{mm, core}: Simple Arbitrage #2480

client/{mm, core}: Simple Arbitrage #2480

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