Automated bitcoin arbitrage

[maxme]

Hi guys,

I wanted to share my code. It's a bitcoin arbitrage watcher and automated trade software. Written in Python:

https://github.com/maxme/bitcoin-arbitrage

Feedback and pull-requests are welcome

[Fireball]

If you'd like to add ICBIT support, I will be glad to help.

[whizter]

I'm running this in test-mode atm. Is it supposed to do this?

2013-03-18 20:46:12,680 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.68486008}}
2013-03-18 20:46:12,680 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.321795}}
2013-03-18 20:46:12,700 [INFO] profit: 0.138720 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:46:42,700 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.68486008}}
2013-03-18 20:46:42,700 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.321795}}
2013-03-18 20:46:42,720 [INFO] profit: 0.138720 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:47:15,361 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.68486008}}
2013-03-18 20:47:15,361 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.321795}}
2013-03-18 20:47:15,381 [INFO] profit: 0.138720 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:47:45,381 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.68486008}}
2013-03-18 20:47:45,381 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.321795}}
2013-03-18 20:47:45,401 [INFO] profit: 0.138720 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:48:17,581 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.58486008}}
2013-03-18 20:48:17,581 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:48:17,601 [INFO] profit: 0.138719 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:48:47,601 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.58486008}}
2013-03-18 20:48:47,601 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:48:47,621 [INFO] profit: 0.138719 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:49:19,020 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.58486008}}
2013-03-18 20:49:19,020 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:49:19,040 [INFO] profit: 0.138719 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:49:49,051 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.58486008}}
2013-03-18 20:49:49,051 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:49:49,061 [INFO] profit: 0.138719 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:50:20,631 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.974, 'amount': 2.0}, 'bid': {'price': 36.97115, 'amount': 15.8547}}
2013-03-18 20:50:20,631 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:50:20,651 [INFO] profit: 0.126012 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:50:50,651 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.974, 'amount': 2.0}, 'bid': {'price': 36.97115, 'amount': 15.8547}}
2013-03-18 20:50:50,651 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:50:50,671 [INFO] profit: 0.126012 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:51:22,151 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.974, 'amount': 2.0}, 'bid': {'price': 36.97115, 'amount': 15.8547}}
2013-03-18 20:51:22,151 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:51:22,161 [INFO] profit: 0.126012 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:51:52,161 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.974, 'amount': 2.0}, 'bid': {'price': 36.97115, 'amount': 15.8547}}
2013-03-18 20:51:52,161 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:51:52,171 [INFO] profit: 0.126012 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%
2013-03-18 20:52:23,512 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.974, 'amount': 2.0}, 'bid': {'price': 36.97115, 'amount': 15.8547}}
2013-03-18 20:52:23,512 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.29454495}}
2013-03-18 20:52:23,532 [INFO] profit: 0.126012 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%

[DobZombie]

been getting this non stop all day

Code:

2013-03-19 21:19:57,178 [ERROR] HTTPError, can't update market: MtGoxUSD
2013-03-19 21:19:57,178 [WARNING] Market: MtGoxUSD order book is expired
2013-03-19 21:19:58,427 [ERROR] HTTPError, can't update market: MtGoxUSD
2013-03-19 21:19:58,428 [WARNING] Market: MtGoxUSD order book is expired

[DobZombie]

oops, just realised.

"MtGox API url changed"

Redownloaded package from github and boom, back in business!

I wonder why they changed it?

[maxme]

I'm running this in test-mode atm. Is it supposed to do this?

2013-03-18 20:46:12,680 [DEBUG] ticker: MtGoxEUR - {'ask': {'price': 36.97115, 'amount': 3.055}, 'bid': {'price': 36.95, 'amount': 7.68486008}}
2013-03-18 20:46:12,680 [DEBUG] ticker: BitcoinCentralEUR - {'ask': {'price': 37.05425, 'amount': 5.0}, 'bid': {'price': 37.00004, 'amount': 0.321795}}
2013-03-18 20:46:12,700 [INFO] profit: 0.138720 EUR with volume: 5.000000 BTC -buy at 37.0000 (MtGoxEUR) sell at 37.0000 (BitcoinCentralEUR) ~0.07%

Yes, but the verbose mode, is too verbose

[maxme]

If you'd like to add ICBIT support, I will be glad to help.

Do you have an HTTP API to get the market depth (order book) ?

[Cyrus]

I actually found it on github first and now came here searching for the announcement thread.

Is the current version working?
I want to start testing today

And also... would like to see btc-e support soon! Great job .

[Spaceman_Spiff]

Hi guys,

I wanted to share my code. It's a bitcoin arbitrage watcher and automated trade software. Written in Python:

https://github.com/maxme/bitcoin-arbitrage

Feedback and pull-requests are welcome

Aw man, you mean I spent my time building my own arbi-bot (probably a whole lot crappier than yours) for nothing?
Care to explain why you are giving this away for free?  By facilitating the effort required to start arbitraging, you are diminishing your own profits... (and mine   )

[Fireball]

Aw man, you mean I spent my time building my own arbi-bot (probably a whole lot crappier than yours) for nothing?
Care to explain why you are giving this away for free?  By facilitating the effort required to start arbitraging, you are diminishing your own profits... (and mine   )

Good arbitrage helps bitcoin economy and helps decentralize markets (e.g. helps other exchanges grow).

[whizter]

What exactly do I have to do to make it trade? It just does this all the time but no trades are happening, the same stuff as in my first post above. I'm using the newest version from github.

2013-03-20 08:27:17,214 [INFO] profit: 0.346785 EUR with volume: 3.428300 BTC - buy at 46.4201 (MtGoxEUR) sell at 46.5000 (BitcoinCentralEUR) ~0.22%
2013-03-20 08:27:47,570 [INFO] profit: 0.346785 EUR with volume: 3.428300 BTC - buy at 46.4201 (MtGoxEUR) sell at 46.5000 (BitcoinCentralEUR) ~0.22%
2013-03-20 08:28:19,206 [INFO] profit: 0.346785 EUR with volume: 3.428300 BTC - buy at 46.4201 (MtGoxEUR) sell at 46.5000 (BitcoinCentralEUR) ~0.22%

Of course I set my gox api keys and the bitcoincentral credentials. This is my conf:

markets = ["MtGoxEUR", "BitcoinCentralEUR"]
observers = ["Logger", "TraderBot", "HistoryDumper"]
market_expiration_time = 120 # in seconds: 2 minutes

...

[maxme]

Of course I set my gox api keys and the bitcoincentral credentials. This is my conf:

markets = ["MtGoxEUR", "BitcoinCentralEUR"]
observers = ["Logger", "TraderBot", "HistoryDumper"]
market_expiration_time = 120 # in seconds: 2 minutes

...

I think you're crazy to do that... Did you read the code first ? Are you sure that it will not just steal your coins ?

First, in TraderBot.py, you'll see some safeguards, for instance if the expected profit is lower than X and the expected profit percentage is lower than Y then it will not execute transactions. One of these safeguards should block current transaction.

But seriously, it's not a "packaged product", it's more a in-development project released for other developers. If you just run it like this, I guarantee you'll lose money.

If you really want to run it on real exchanges, then help me to write automated tests.

[Khertan]

Now i understand why you didn't put the perc_threshold and profit_threshold in the config file :p

[maxme]

Now i understand why you didn't put the perc_threshold and profit_threshold in the config file :p

Haha

I would like people to write their own "TraderBot" class and not use the default. I should rename it to SampleTraderBot.

[Khertan]

Indeed but we can also write a good default one ... i'm a beginner in arbitrage domain ...

[Khertan]

There is something strange :

2013-03-20 16:31:32,985 [INFO] profit: 0.007277 EUR with volume: 0.010000 BTC - buy at 48.0000 (MtGoxEUR) sell at 48.0000 (BitcoinCentralEUR) ~1.52%

1.52 % with bought at 48 and sell at 48 ... due to rounding ?

[maxme]

Nope, it's not a rounding problem and it's not an issue.

The "buy price" given by the program is the maximum price you should buy BTC at.
The "sell price" given by the program is the minimum price you should sell BTC at.

Example with this order book:

Code:

books = {
    'MtGoxEUR':
    {'asks': [{'amount': 1, 'price': 47.0},
              {'amount': 2, 'price': 47.3},
              {'amount': 1, 'price': 48.0},
              {'amount': 3, 'price': 49.0}]},
    'BitcoinCentralEUR':
    {'bids': [{'amount': 1, 'price': 48.2},
              {'amount': 2, 'price': 48.1},
              {'amount': 1, 'price': 48.0},
              {'amount': 5, 'price': 47.9}]}}

Output will be :

Code:

volume: 3.0 BTC buy at 48.0 (MtGoxEUR) sell at 48.0 (BitcoinCentralEUR) 

Note: volume is 3.0 btc, not 4.0 btc (that includes 48.0 price)

[DobZombie]

I don't intend this to be a dumb question but I fear it will be...

Does this bot require 2 exchanges for trading to happen? If yes is it possible to do trades with only 1?

[maxme]

Does this bot require 2 exchanges for trading to happen? If yes is it possible to do trades with only 1?

Yes it requires 2 exchanges. Arbitrage means "buy at X on a market and sell at X+y on another market at the same time".

http://en.wikipedia.org/wiki/Arbitrage

[Sukrim]

Well, I could trade on MtGox in BTCUSD and BTCEUR if I know EURUSD (or assume EURUSD as static - compared to BTC that might even be true)...

If there's a plugin for other "real" Forex brokers that might even work quite well! Still it might be enough to do fiat trades in bulk after some time, as the volatility is quite different there. Hence it might be possible to trade two currency pairs on the same "market".