Algo Trader

Algo Trades maintains a local order book for select instrument pairs (eg. BTC-USD) by subscribing to the web socket market feed provided by Binance US and Coinbase. The local order book is then used in conjunction with various trading algorithmns to execute mock trades. Requires API key/secrets to execute real trades (the default ones are not valid).

• Arbritrage trades between exchanges. Latency was kept in mind so trade orders can be submitted with minimal latency once a profitable trade is found.
• Momentum trading [WIP]

Example

Running test_trader logs the profitable arbritrage trades for a provided instrument pair (eg. ETH-USD shown here):

Maximum profit bid: $ 0.576033, (Coinbase -> Binance) 1746.080000 @ 4.60826e-01 [$804.64]-> 1747.330000 @ 2.23000e+00 [$3896.55]
Maximum profit ask: $ 1.170000, (Coinbase -> Binance) 1746.170000 @ 7.36246e+00 [$12856.10] -> 1747.340000 @ 1.00000e+00 [$1747.34]
Maximum profit ask: $ 0.314400, (Coinbase -> Binance) 1746.110000 @ 3.26696e-01 [$570.45] -> 1747.420000 @ 2.40000e-01 [$419.38]
Maximum profit ask: $ 0.314400, (Coinbase -> Binance) 1746.110000 @ 3.26696e-01 [$570.45] -> 1747.420000 @ 2.40000e-01 [$419.38]
Maximum profit bid: $ 0.034320, (Coinbase -> Binance) 1746.100000 @ 2.60000e-02 [$45.40]-> 1747.420000 @ 2.40000e-01 [$419.38]
Maximum profit ask: $ 0.314400, (Coinbase -> Binance) 1746.110000 @ 3.26696e-01 [$570.45] -> 1747.420000 @ 2.40000e-01 [$419.38]
Maximum profit ask: $ 0.314400, (Coinbase -> Binance) 1746.110000 @ 3.26696e-01 [$570.45] -> 1747.420000 @ 2.40000e-01 [$419.38]
Maximum profit bid: $ 0.964442, (Coinbase -> Binance) 1746.110000 @ 7.41879e-01 [$1295.40]-> 1747.410000 @ 3.63160e+00 [$6345.89]
Maximum profit ask: $ 0.314400, (Coinbase -> Binance) 1746.110000 @ 7.41879e-01 [$1295.40] -> 1747.420000 @ 2.40000e-01 [$419.38]
Maximum profit bid: $ 0.647477, (Coinbase -> Binance) 1746.080000 @ 4.86825e-01 [$850.04]-> 1747.410000 @ 3.63160e+00 [$6345.89]
Maximum profit ask: $ 0.321600, (Coinbase -> Binance) 1746.080000 @ 4.86825e-01 [$850.04] -> 1747.420000 @ 2.40000e-01 [$419.38]
Maximum profit bid: $ 0.647477, (Coinbase -> Binance) 1746.080000 @ 4.86825e-01 [$850.04]-> 1747.410000 @ 3.63160e+00 [$6345.89]
Maximum profit bid: $ 0.425250, (Coinbase -> Binance) 1746.060000 @ 3.15000e-01 [$550.01]-> 1747.410000 @ 3.63160e+00 [$6345.89]
...

The first line states based on the state of the order book at that time, simultaneously submitting a bid order {quantity: 0.460826, price: 1746.08} to Coinbase and an ask order {quantity: 0.460826, price: 1747.33} to Binance US nets $0.57 in profit.

TUI Application

A toy TUI application in python is avaiable under python/monitor_book.py to monitor the order book of the exchanges for a paricular instrument pair.

mkdir -p logs && python monitor_book.py --coinbase ETH-USD --binance ETHUSD

Building

Requires the following:

• libcurl
• libopenssl (with libcrypto)
• C++20 complaint toolchain (Uses libstdc++ from [email protected] under OSX, libc++ from [email protected] does not seem to support jthread)

Locally clone the repository and initialize the submodules.

git clone https://github.com/b63/algotrader-cpp
git submodule init && git submodule update

Build using cmake,

cmake -DCMAKE_BUILD_TYPE=Debug -Bbuild
cmake --build build

Example binaries will be under bin/.