Binance Triangular Arbitrage

Triangular-Arbitrage.py

import requests
import datetime
import operator

host = 'https://api.binance.com'
priceURL = host + '/api/v3/ticker/price'
priceResponse = requests.get(priceURL)
priceResponseJSON = priceResponse.json()
 
# {'symbol': 'ETHBTC', 'price': '0.07608700'}: 1 ETH = 0.0760 BTC
# It's a BTC pair. ETH = price * BTC
# Buy: BTC -> ETH

BTC_Pairs = dict() # 1 AC = x BTC
ETH_Pairs = dict() # 1 AC = y ETH

for pair in priceResponseJSON:
    coin_name = pair['symbol'][:-3]
    quote_name = pair['symbol'][-3:]
    if quote_name == 'BTC':
        BTC_Pairs[coin_name] = pair
    elif quote_name == 'ETH':
        ETH_Pairs[coin_name] = pair

ETH_price = float(BTC_Pairs["ETH"]["price"])

print("Binance: Triangular-Arbitrage")
print (datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S'))

# Buy  ETH/BTC  (BTC -> ETH, 1 * ETH = price * BTC)
# Buy   AC/ETH  (ETH -> AC, 1 * AC = price * ETH)
# Sell  AC/BTC  (AC -> BTC, 1 * AC = price * BTC)
result = dict()
for k, v in BTC_Pairs.items():
    if k in ETH_Pairs:
    
        coin2btc = 1 / (float(ETH_price) * float(ETH_Pairs[k]["price"]))
        btcbuy  = 1 / float(BTC_Pairs[k]["price"]) #BTC买一
        profit = round((coin2btc - btcbuy) * 1000 / coin2btc, 2)
        result[k] = profit

result = sorted(result.items(), key=operator.itemgetter(1), reverse=True)

formatted_result = dict()
for i in result:
    formatted_result[i[0]] = i[1]

count = 10
for i, v in BTC_Pairs.items():
    if not i in ETH_Pairs:
        continue
    name = i
    # print("%s\t%10.8f\t%10.8f\t%10.8f\t%10.8f\t"%(name,formatted_result[name], ETH_price, float(ETH_Pairs[name]["price"]), float(BTC_Pairs[name]["price"])))
    if formatted_result[name] < 0:
        continue

    depth_url = host + "/api/v1/depth?symbol=" + name + "ETH"
    # Buy
    buy_depth = requests.get(depth_url).json()
    buy_price = buy_depth["asks"][0][0]

    depth_url_btc = host + "/api/v1/depth?symbol=" + name + "BTC"
    # Buy
    sell_depth = requests.get(depth_url_btc).json()
    sell_price = sell_depth["bids"][0][0]

    coin2btc = 1 / (float(ETH_price) * float(buy_price))
    btcbuy  = 1 / float(sell_price)
    profit = round((coin2btc - btcbuy) * 1000 / coin2btc, 2)

    btc_amount_after_ta = coin2btc*float(sell_price)
    if btc_amount_after_ta >= 1.0015:
        print('1 BTC = %10.8f ETH = %10.8f %s = %s BTC, %10.2f'%(1 / float(ETH_price), coin2btc, name, btc_amount_after_ta, (btc_amount_after_ta-1) * 100))