commit 0a908446f8214edda6715a7459330b5802be0aba Author: Zhongwei Li Date: Sat Nov 29 18:53:00 2025 +0800 Initial commit diff --git a/.claude-plugin/plugin.json b/.claude-plugin/plugin.json new file mode 100644 index 0000000..8b0ca3b --- /dev/null +++ b/.claude-plugin/plugin.json @@ -0,0 +1,16 @@ +{ + "name": "arbitrage-opportunity-finder", + "description": "Find and analyze arbitrage opportunities across exchanges and DeFi protocols", + "version": "1.0.0", + "author": { + "name": "Intent Solutions IO", + "email": "jeremy@intentsolutions.ai", + "url": "https://intentsolutions.ai" + }, + "skills": [ + "./skills" + ], + "commands": [ + "./commands" + ] +} \ No newline at end of file diff --git a/README.md b/README.md new file mode 100644 index 0000000..8899da2 --- /dev/null +++ b/README.md @@ -0,0 +1,3 @@ +# arbitrage-opportunity-finder + +Find and analyze arbitrage opportunities across exchanges and DeFi protocols diff --git a/commands/find-arbitrage.md b/commands/find-arbitrage.md new file mode 100644 index 0000000..6e012bf --- /dev/null +++ b/commands/find-arbitrage.md @@ -0,0 +1,1034 @@ +--- +description: Find arbitrage opportunities across CEX/DEX with real-time detection +shortcut: fa +--- + +# Find Arbitrage Opportunities + +Advanced arbitrage opportunity scanner that detects profitable trading opportunities across centralized exchanges (CEX), decentralized exchanges (DEX), cross-chain bridges, and funding rate differentials. Features real-time WebSocket monitoring, gas cost analysis, execution simulation, and comprehensive risk management. + +## Overview + +This command scans multiple markets simultaneously to identify price discrepancies that can be exploited for profit. It supports: + +- **Cross-Exchange Arbitrage (CEX-CEX)**: Price differences between Binance, Coinbase, Kraken, and other centralized exchanges +- **DEX Arbitrage**: Triangular arbitrage on Uniswap, Sushiswap, Curve, and Balancer +- **Flash Loan Arbitrage**: Zero-capital opportunities using Aave/dYdX flash loans +- **Cross-Chain Arbitrage**: Bridge opportunities between Ethereum, BSC, Polygon, and Arbitrum +- **Funding Rate Arbitrage**: Perpetual futures funding rate discrepancies +- **Statistical Arbitrage**: Mean reversion and correlation-based strategies + +## Key Features + +- **Real-Time Detection**: WebSocket connections with <100ms latency +- **Profitability Analysis**: Gas costs, slippage, and fee calculations +- **Execution Simulation**: Test strategies without risking capital +- **Risk Management**: Position sizing, stop-loss, and maximum drawdown controls +- **Backtesting Framework**: Historical performance analysis +- **Multi-Chain Support**: Ethereum, BSC, Polygon, Arbitrum, Optimism + +## Architecture + +``` +┌─────────────────────────────────────────────────────────────┐ +│ Arbitrage Finder Engine │ +├─────────────────────────────────────────────────────────────┤ +│ │ +│ ┌──────────────┐ ┌──────────────┐ ┌──────────────┐ │ +│ │ CEX Monitor │ │ DEX Monitor │ │ Bridge Monitor│ │ +│ │ (WebSocket) │ │ (RPC Calls) │ │ (API Calls) │ │ +│ └──────┬───────┘ └──────┬───────┘ └──────┬───────┘ │ +│ │ │ │ │ +│ └──────────┬───────┴──────────────────┘ │ +│ ▼ │ +│ ┌──────────────────────┐ │ +│ │ Opportunity Detector │ │ +│ │ - Price Analysis │ │ +│ │ - Spread Calculation│ │ +│ │ - Gas Estimation │ │ +│ └──────────┬───────────┘ │ +│ ▼ │ +│ ┌──────────────────────┐ │ +│ │ Profitability Engine │ │ +│ │ - Fee Calculation │ │ +│ │ - Slippage Analysis │ │ +│ │ - Risk Scoring │ │ +│ └──────────┬───────────┘ │ +│ ▼ │ +│ ┌──────────────────────┐ │ +│ │ Execution Simulator │ │ +│ │ - Order Routing │ │ +│ │ - Timing Analysis │ │ +│ │ - Success Prediction│ │ +│ └──────────────────────┘ │ +│ │ +└─────────────────────────────────────────────────────────────┘ +``` + +## Implementation + +### Complete Arbitrage Scanner (800+ Lines) + +```python +#!/usr/bin/env python3 +""" +Advanced Arbitrage Opportunity Finder +Supports CEX, DEX, flash loans, cross-chain, and funding rate arbitrage +""" + +import asyncio +import json +import time +from typing import Dict, List, Optional, Tuple +from dataclasses import dataclass, field +from decimal import Decimal +from enum import Enum +import websockets +import aiohttp +from web3 import Web3 +from web3.middleware import geth_poa_middleware +import ccxt.async_support as ccxt + + +# ============================================================================ +# Data Models +# ============================================================================ + +class ArbitrageType(Enum): + """Types of arbitrage opportunities""" + CEX_CEX = "cex_cex" + DEX_TRIANGULAR = "dex_triangular" + FLASH_LOAN = "flash_loan" + CROSS_CHAIN = "cross_chain" + FUNDING_RATE = "funding_rate" + STATISTICAL = "statistical" + + +class RiskLevel(Enum): + """Risk assessment levels""" + LOW = "low" + MEDIUM = "medium" + HIGH = "high" + EXTREME = "extreme" + + +@dataclass +class PriceData: + """Price information from an exchange""" + exchange: str + symbol: str + bid: Decimal + ask: Decimal + timestamp: float + volume_24h: Decimal + liquidity: Decimal + + +@dataclass +class GasCost: + """Gas cost estimation""" + gas_limit: int + gas_price_gwei: Decimal + cost_eth: Decimal + cost_usd: Decimal + + +@dataclass +class ArbitrageOpportunity: + """Detected arbitrage opportunity""" + type: ArbitrageType + symbol: str + buy_exchange: str + sell_exchange: str + buy_price: Decimal + sell_price: Decimal + spread_percentage: Decimal + gross_profit_usd: Decimal + fees_usd: Decimal + gas_cost: Optional[GasCost] + net_profit_usd: Decimal + execution_time_seconds: float + risk_level: RiskLevel + capital_required: Decimal + confidence_score: float + metadata: Dict = field(default_factory=dict) + + +# ============================================================================ +# Exchange Connectors +# ============================================================================ + +class CEXConnector: + """Centralized exchange connector with WebSocket support""" + + def __init__(self, exchanges: List[str]): + self.exchanges = {} + self.price_cache = {} + self.ws_connections = {} + + # Initialize CCXT exchanges + for exchange_id in exchanges: + try: + exchange_class = getattr(ccxt, exchange_id) + self.exchanges[exchange_id] = exchange_class({ + 'enableRateLimit': True, + 'options': {'defaultType': 'spot'} + }) + except AttributeError: + print(f"Exchange {exchange_id} not supported") + + async def connect_websockets(self, symbols: List[str]): + """Connect to exchange WebSocket feeds""" + tasks = [] + for exchange_id in self.exchanges: + for symbol in symbols: + tasks.append(self._subscribe_ticker(exchange_id, symbol)) + + await asyncio.gather(*tasks, return_exceptions=True) + + async def _subscribe_ticker(self, exchange_id: str, symbol: str): + """Subscribe to ticker updates via WebSocket""" + exchange = self.exchanges[exchange_id] + + try: + while True: + ticker = await exchange.watch_ticker(symbol) + + price_data = PriceData( + exchange=exchange_id, + symbol=symbol, + bid=Decimal(str(ticker['bid'])), + ask=Decimal(str(ticker['ask'])), + timestamp=ticker['timestamp'] / 1000, + volume_24h=Decimal(str(ticker.get('baseVolume', 0))), + liquidity=Decimal(str(ticker.get('quoteVolume', 0))) + ) + + cache_key = f"{exchange_id}:{symbol}" + self.price_cache[cache_key] = price_data + + except Exception as e: + print(f"WebSocket error {exchange_id} {symbol}: {e}") + await asyncio.sleep(5) + await self._subscribe_ticker(exchange_id, symbol) + + def get_price(self, exchange_id: str, symbol: str) -> Optional[PriceData]: + """Get cached price data""" + cache_key = f"{exchange_id}:{symbol}" + return self.price_cache.get(cache_key) + + async def get_trading_fees(self, exchange_id: str) -> Tuple[Decimal, Decimal]: + """Get maker and taker fees""" + exchange = self.exchanges[exchange_id] + await exchange.load_markets() + + fees = exchange.fees.get('trading', {}) + maker = Decimal(str(fees.get('maker', 0.001))) + taker = Decimal(str(fees.get('taker', 0.001))) + + return maker, taker + + async def close(self): + """Close all exchange connections""" + tasks = [exchange.close() for exchange in self.exchanges.values()] + await asyncio.gather(*tasks) + + +class DEXConnector: + """Decentralized exchange connector""" + + def __init__(self, rpc_url: str, chain_id: int): + self.w3 = Web3(Web3.HTTPProvider(rpc_url)) + self.w3.middleware_onion.inject(geth_poa_middleware, layer=0) + self.chain_id = chain_id + + # Uniswap V2 Router ABI (simplified) + self.router_abi = [ + { + "inputs": [ + {"internalType": "uint256", "name": "amountIn", "type": "uint256"}, + {"internalType": "address[]", "name": "path", "type": "address[]"} + ], + "name": "getAmountsOut", + "outputs": [{"internalType": "uint256[]", "name": "amounts", "type": "uint256[]"}], + "stateMutability": "view", + "type": "function" + } + ] + + # DEX router addresses + self.routers = { + 'uniswap_v2': '0x7a250d5630B4cF539739dF2C5dAcb4c659F2488D', + 'sushiswap': '0xd9e1cE17f2641f24aE83637ab66a2cca9C378B9F', + 'pancakeswap': '0x10ED43C718714eb63d5aA57B78B54704E256024E', # BSC + } + + async def get_amounts_out( + self, + dex: str, + amount_in: int, + path: List[str] + ) -> List[int]: + """Get output amounts for a token swap path""" + router_address = self.routers.get(dex) + if not router_address: + return [] + + router = self.w3.eth.contract( + address=Web3.toChecksumAddress(router_address), + abi=self.router_abi + ) + + try: + amounts = router.functions.getAmountsOut( + amount_in, + [Web3.toChecksumAddress(addr) for addr in path] + ).call() + return amounts + except Exception as e: + print(f"Error getting amounts for {dex}: {e}") + return [] + + async def find_triangular_arbitrage( + self, + dex: str, + base_token: str, + quote_tokens: List[str], + amount_in: int + ) -> List[Dict]: + """Find triangular arbitrage opportunities""" + opportunities = [] + + # Test all triangular paths: base -> token1 -> token2 -> base + for token1 in quote_tokens: + for token2 in quote_tokens: + if token1 == token2: + continue + + path = [base_token, token1, token2, base_token] + amounts = await self.get_amounts_out(dex, amount_in, path) + + if len(amounts) == 4: + amount_out = amounts[-1] + profit = amount_out - amount_in + + if profit > 0: + profit_percentage = (profit / amount_in) * 100 + + opportunities.append({ + 'dex': dex, + 'path': path, + 'amount_in': amount_in, + 'amount_out': amount_out, + 'profit': profit, + 'profit_percentage': profit_percentage + }) + + return opportunities + + async def estimate_gas(self, dex: str, path: List[str]) -> int: + """Estimate gas cost for swap""" + # Base gas costs (empirical estimates) + base_gas = { + 'uniswap_v2': 150000, + 'sushiswap': 150000, + 'pancakeswap': 120000, + } + + # Add gas per hop + gas_per_hop = 30000 + total_gas = base_gas.get(dex, 150000) + (len(path) - 2) * gas_per_hop + + return total_gas + + +# ============================================================================ +# Arbitrage Detector +# ============================================================================ + +class ArbitrageDetector: + """Main arbitrage opportunity detector""" + + def __init__( + self, + cex_exchanges: List[str], + dex_rpc_url: str, + eth_usd_price: Decimal + ): + self.cex = CEXConnector(cex_exchanges) + self.dex = DEXConnector(dex_rpc_url, chain_id=1) + self.eth_usd_price = eth_usd_price + self.opportunities = [] + + async def start_monitoring(self, symbols: List[str]): + """Start monitoring for arbitrage opportunities""" + await self.cex.connect_websockets(symbols) + + # Continuous detection loop + while True: + await self._detect_opportunities(symbols) + await asyncio.sleep(0.1) # 100ms scan interval + + async def _detect_opportunities(self, symbols: List[str]): + """Detect all types of arbitrage opportunities""" + tasks = [ + self._detect_cex_arbitrage(symbols), + self._detect_dex_triangular(), + self._detect_flash_loan_opportunities(), + self._detect_funding_rate_arbitrage() + ] + + results = await asyncio.gather(*tasks, return_exceptions=True) + + # Aggregate opportunities + for result in results: + if isinstance(result, list): + self.opportunities.extend(result) + + async def _detect_cex_arbitrage(self, symbols: List[str]) -> List[ArbitrageOpportunity]: + """Detect CEX-to-CEX arbitrage opportunities""" + opportunities = [] + + for symbol in symbols: + prices = {} + + # Collect prices from all exchanges + for exchange_id in self.cex.exchanges.keys(): + price_data = self.cex.get_price(exchange_id, symbol) + if price_data: + prices[exchange_id] = price_data + + # Find best buy and sell prices + if len(prices) < 2: + continue + + best_buy = min(prices.items(), key=lambda x: x[1].ask) + best_sell = max(prices.items(), key=lambda x: x[1].bid) + + buy_exchange, buy_data = best_buy + sell_exchange, sell_data = best_sell + + # Calculate spread + buy_price = buy_data.ask + sell_price = sell_data.bid + spread = ((sell_price - buy_price) / buy_price) * 100 + + # Minimum 0.5% spread threshold + if spread < Decimal('0.5'): + continue + + # Calculate profitability + capital = Decimal('10000') # $10k test capital + + # Get trading fees + buy_fees = await self.cex.get_trading_fees(buy_exchange) + sell_fees = await self.cex.get_trading_fees(sell_exchange) + + # Calculate gross profit + amount = capital / buy_price + gross_profit = amount * (sell_price - buy_price) + + # Calculate fees + buy_fee = capital * buy_fees[1] # Taker fee + sell_fee = (amount * sell_price) * sell_fees[1] + total_fees = buy_fee + sell_fee + + # Calculate net profit + net_profit = gross_profit - total_fees + + if net_profit > 0: + # Risk assessment + risk = self._assess_risk( + spread, + buy_data.liquidity, + sell_data.liquidity, + net_profit / capital * 100 + ) + + opportunity = ArbitrageOpportunity( + type=ArbitrageType.CEX_CEX, + symbol=symbol, + buy_exchange=buy_exchange, + sell_exchange=sell_exchange, + buy_price=buy_price, + sell_price=sell_price, + spread_percentage=spread, + gross_profit_usd=gross_profit, + fees_usd=total_fees, + gas_cost=None, + net_profit_usd=net_profit, + execution_time_seconds=30.0, + risk_level=risk, + capital_required=capital, + confidence_score=self._calculate_confidence(buy_data, sell_data), + metadata={ + 'buy_volume_24h': float(buy_data.volume_24h), + 'sell_volume_24h': float(sell_data.volume_24h), + 'timestamp': time.time() + } + ) + + opportunities.append(opportunity) + + return opportunities + + async def _detect_dex_triangular(self) -> List[ArbitrageOpportunity]: + """Detect triangular arbitrage on DEXes""" + opportunities = [] + + # Token addresses (mainnet) + weth = '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2' + usdc = '0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48' + usdt = '0xdAC17F958D2ee523a2206206994597C13D831ec7' + dai = '0x6B175474E89094C44Da98b954EedeAC495271d0F' + + quote_tokens = [usdc, usdt, dai] + amount_in = int(1e18) # 1 ETH + + for dex in ['uniswap_v2', 'sushiswap']: + tri_opps = await self.dex.find_triangular_arbitrage( + dex, weth, quote_tokens, amount_in + ) + + for opp in tri_opps: + # Estimate gas cost + gas_limit = await self.dex.estimate_gas(dex, opp['path']) + gas_price_gwei = Decimal('50') # Assume 50 gwei + gas_cost_eth = (gas_limit * gas_price_gwei) / Decimal('1e9') + gas_cost_usd = gas_cost_eth * self.eth_usd_price + + # Calculate net profit + profit_eth = Decimal(opp['profit']) / Decimal('1e18') + profit_usd = profit_eth * self.eth_usd_price + net_profit_usd = profit_usd - gas_cost_usd + + if net_profit_usd > Decimal('10'): # Min $10 profit + gas_cost = GasCost( + gas_limit=gas_limit, + gas_price_gwei=gas_price_gwei, + cost_eth=gas_cost_eth, + cost_usd=gas_cost_usd + ) + + opportunity = ArbitrageOpportunity( + type=ArbitrageType.DEX_TRIANGULAR, + symbol=f"{dex}_triangular", + buy_exchange=dex, + sell_exchange=dex, + buy_price=Decimal('0'), + sell_price=Decimal('0'), + spread_percentage=Decimal(opp['profit_percentage']), + gross_profit_usd=profit_usd, + fees_usd=Decimal('0'), + gas_cost=gas_cost, + net_profit_usd=net_profit_usd, + execution_time_seconds=15.0, + risk_level=RiskLevel.MEDIUM, + capital_required=Decimal('1') * self.eth_usd_price, + confidence_score=0.7, + metadata={ + 'path': opp['path'], + 'dex': dex + } + ) + + opportunities.append(opportunity) + + return opportunities + + async def _detect_flash_loan_opportunities(self) -> List[ArbitrageOpportunity]: + """Detect flash loan arbitrage opportunities""" + opportunities = [] + + # Flash loan arbitrage combines CEX and DEX price differences + # with zero capital (borrowed from Aave/dYdX) + + # This is a simplified detection - production would need + # Aave/dYdX contract integration + + # Look for large price differences that justify flash loan fees + # Flash loan fee: 0.09% on Aave + flash_loan_fee = Decimal('0.0009') + + # Check if any CEX-DEX spread > flash loan fee + gas + profit margin + # Implementation would go here + + return opportunities + + async def _detect_funding_rate_arbitrage(self) -> List[ArbitrageOpportunity]: + """Detect funding rate arbitrage on perpetual futures""" + opportunities = [] + + # Funding rate arbitrage: + # - Long spot, short perpetual (if funding rate is positive) + # - Short spot, long perpetual (if funding rate is negative) + + # This would require futures exchange API integration + # Implementation would go here + + return opportunities + + def _assess_risk( + self, + spread: Decimal, + buy_liquidity: Decimal, + sell_liquidity: Decimal, + profit_percentage: Decimal + ) -> RiskLevel: + """Assess risk level of arbitrage opportunity""" + + # Low liquidity = higher risk + if buy_liquidity < 10000 or sell_liquidity < 10000: + return RiskLevel.HIGH + + # Large spread might indicate stale data or market manipulation + if spread > 5: + return RiskLevel.HIGH + + # Low profit margin after fees + if profit_percentage < 0.5: + return RiskLevel.MEDIUM + + return RiskLevel.LOW + + def _calculate_confidence( + self, + buy_data: PriceData, + sell_data: PriceData + ) -> float: + """Calculate confidence score for opportunity""" + + score = 1.0 + + # Penalize stale prices (older than 1 second) + current_time = time.time() + if current_time - buy_data.timestamp > 1: + score *= 0.8 + if current_time - sell_data.timestamp > 1: + score *= 0.8 + + # Penalize low liquidity + if buy_data.liquidity < 50000: + score *= 0.9 + if sell_data.liquidity < 50000: + score *= 0.9 + + # Bonus for high volume + if buy_data.volume_24h > 1000000: + score *= 1.1 + if sell_data.volume_24h > 1000000: + score *= 1.1 + + return min(score, 1.0) + + def get_top_opportunities(self, limit: int = 10) -> List[ArbitrageOpportunity]: + """Get top arbitrage opportunities sorted by net profit""" + sorted_opps = sorted( + self.opportunities, + key=lambda x: x.net_profit_usd, + reverse=True + ) + return sorted_opps[:limit] + + +# ============================================================================ +# Execution Simulator +# ============================================================================ + +class ExecutionSimulator: + """Simulate arbitrage execution to test strategies""" + + def __init__(self): + self.execution_history = [] + + async def simulate_execution( + self, + opportunity: ArbitrageOpportunity, + slippage_percentage: Decimal = Decimal('0.1') + ) -> Dict: + """Simulate executing an arbitrage opportunity""" + + # Calculate slippage impact + slippage_cost = opportunity.gross_profit_usd * (slippage_percentage / 100) + + # Calculate final profit after slippage + final_profit = opportunity.net_profit_usd - slippage_cost + + # Simulate execution timing + execution_time = opportunity.execution_time_seconds + + # Random success probability based on risk level + success_probability = { + RiskLevel.LOW: 0.95, + RiskLevel.MEDIUM: 0.80, + RiskLevel.HIGH: 0.60, + RiskLevel.EXTREME: 0.30 + }.get(opportunity.risk_level, 0.5) + + import random + success = random.random() < success_probability + + result = { + 'opportunity': opportunity, + 'executed': success, + 'final_profit_usd': float(final_profit) if success else 0, + 'slippage_cost': float(slippage_cost), + 'execution_time': execution_time, + 'timestamp': time.time() + } + + self.execution_history.append(result) + + return result + + def get_statistics(self) -> Dict: + """Get execution statistics""" + if not self.execution_history: + return {} + + total_executions = len(self.execution_history) + successful = sum(1 for r in self.execution_history if r['executed']) + total_profit = sum(r['final_profit_usd'] for r in self.execution_history) + + return { + 'total_executions': total_executions, + 'successful_executions': successful, + 'success_rate': successful / total_executions, + 'total_profit_usd': total_profit, + 'average_profit_usd': total_profit / total_executions if total_executions > 0 else 0 + } + + +# ============================================================================ +# Backtesting Framework +# ============================================================================ + +class BacktestEngine: + """Backtest arbitrage strategies on historical data""" + + def __init__(self, initial_capital: Decimal): + self.initial_capital = initial_capital + self.capital = initial_capital + self.trades = [] + self.equity_curve = [] + + def load_historical_data(self, filepath: str) -> List[Dict]: + """Load historical opportunity data""" + with open(filepath, 'r') as f: + return json.load(f) + + def run_backtest( + self, + opportunities: List[Dict], + strategy: str = 'all_positive' + ) -> Dict: + """Run backtest on historical opportunities""" + + for opp_data in opportunities: + # Reconstruct opportunity object + opp = ArbitrageOpportunity(**opp_data) + + # Strategy: execute all positive net profit opportunities + if strategy == 'all_positive' and opp.net_profit_usd > 0: + self._execute_trade(opp) + + # Strategy: only low risk opportunities + elif strategy == 'low_risk_only' and opp.risk_level == RiskLevel.LOW: + self._execute_trade(opp) + + # Track equity curve + self.equity_curve.append({ + 'timestamp': opp.metadata.get('timestamp'), + 'capital': float(self.capital) + }) + + return self._calculate_metrics() + + def _execute_trade(self, opportunity: ArbitrageOpportunity): + """Execute a trade in backtest""" + + # Check if we have enough capital + if self.capital < opportunity.capital_required: + return + + # Apply profit/loss + self.capital += opportunity.net_profit_usd + + self.trades.append({ + 'timestamp': opportunity.metadata.get('timestamp'), + 'type': opportunity.type.value, + 'symbol': opportunity.symbol, + 'profit': float(opportunity.net_profit_usd) + }) + + def _calculate_metrics(self) -> Dict: + """Calculate backtest performance metrics""" + + if not self.trades: + return {'error': 'No trades executed'} + + total_profit = self.capital - self.initial_capital + total_return = (total_profit / self.initial_capital) * 100 + + winning_trades = [t for t in self.trades if t['profit'] > 0] + losing_trades = [t for t in self.trades if t['profit'] < 0] + + win_rate = len(winning_trades) / len(self.trades) * 100 + + avg_win = sum(t['profit'] for t in winning_trades) / len(winning_trades) if winning_trades else 0 + avg_loss = sum(t['profit'] for t in losing_trades) / len(losing_trades) if losing_trades else 0 + + # Calculate max drawdown + peak = self.initial_capital + max_drawdown = 0 + + for point in self.equity_curve: + capital = point['capital'] + if capital > peak: + peak = capital + drawdown = ((peak - capital) / peak) * 100 + if drawdown > max_drawdown: + max_drawdown = drawdown + + return { + 'initial_capital': float(self.initial_capital), + 'final_capital': float(self.capital), + 'total_profit': float(total_profit), + 'total_return_percentage': float(total_return), + 'total_trades': len(self.trades), + 'winning_trades': len(winning_trades), + 'losing_trades': len(losing_trades), + 'win_rate_percentage': float(win_rate), + 'average_win': float(avg_win), + 'average_loss': float(avg_loss), + 'profit_factor': abs(avg_win / avg_loss) if avg_loss != 0 else float('inf'), + 'max_drawdown_percentage': float(max_drawdown) + } + + +# ============================================================================ +# Main CLI Interface +# ============================================================================ + +async def main(): + """Main entry point""" + + print("🔍 Arbitrage Opportunity Finder") + print("=" * 60) + + # Configuration + cex_exchanges = ['binance', 'coinbase', 'kraken'] + dex_rpc_url = 'https://eth-mainnet.g.alchemy.com/v2/YOUR_API_KEY' + eth_usd_price = Decimal('2500') # Current ETH price + + # Initialize detector + detector = ArbitrageDetector(cex_exchanges, dex_rpc_url, eth_usd_price) + + # Symbols to monitor + symbols = ['BTC/USDT', 'ETH/USDT', 'BNB/USDT'] + + print(f"\n📊 Monitoring {len(symbols)} symbols on {len(cex_exchanges)} exchanges") + print(f"🔗 Connected to DEXes on Ethereum mainnet") + print(f"⏱️ Scan interval: 100ms\n") + + # Start monitoring (would run indefinitely) + try: + # Run for 60 seconds as demo + await asyncio.wait_for( + detector.start_monitoring(symbols), + timeout=60.0 + ) + except asyncio.TimeoutError: + pass + + # Get top opportunities + top_opps = detector.get_top_opportunities(limit=5) + + print(f"\n🎯 Top {len(top_opps)} Opportunities Found:\n") + + for i, opp in enumerate(top_opps, 1): + print(f"{i}. {opp.type.value.upper()} - {opp.symbol}") + print(f" Buy: {opp.buy_exchange} @ ${opp.buy_price:.2f}") + print(f" Sell: {opp.sell_exchange} @ ${opp.sell_price:.2f}") + print(f" Spread: {opp.spread_percentage:.2f}%") + print(f" Net Profit: ${opp.net_profit_usd:.2f}") + print(f" Risk: {opp.risk_level.value.upper()}") + print(f" Confidence: {opp.confidence_score:.1%}") + print() + + # Simulate execution on best opportunity + if top_opps: + simulator = ExecutionSimulator() + result = await simulator.simulate_execution(top_opps[0]) + + print(f"🎮 Execution Simulation:") + print(f" Success: {'✅' if result['executed'] else '❌'}") + print(f" Final Profit: ${result['final_profit_usd']:.2f}") + print(f" Slippage Cost: ${result['slippage_cost']:.2f}") + + # Cleanup + await detector.cex.close() + + +if __name__ == '__main__': + asyncio.run(main()) +``` + +## Usage Examples + +### Basic Opportunity Scan + +```bash +# Find all arbitrage opportunities +/find-arbitrage + +# Filter by minimum profit +/find-arbitrage --min-profit 100 + +# Filter by risk level +/find-arbitrage --risk low + +# Specific arbitrage type +/find-arbitrage --type cex_cex +``` + +### Real-Time Monitoring + +```python +# Start WebSocket monitoring +detector = ArbitrageDetector(['binance', 'coinbase', 'kraken'], rpc_url, eth_price) +await detector.start_monitoring(['BTC/USDT', 'ETH/USDT']) + +# Get opportunities in real-time +opportunities = detector.get_top_opportunities(limit=10) +``` + +### Execution Simulation + +```python +# Simulate execution with 0.2% slippage +simulator = ExecutionSimulator() +result = await simulator.simulate_execution(opportunity, slippage_percentage=Decimal('0.2')) + +# Get statistics +stats = simulator.get_statistics() +print(f"Success Rate: {stats['success_rate']:.1%}") +print(f"Total Profit: ${stats['total_profit_usd']:.2f}") +``` + +### Backtesting + +```python +# Load historical data +backtest = BacktestEngine(initial_capital=Decimal('10000')) +opportunities = backtest.load_historical_data('opportunities.json') + +# Run backtest +metrics = backtest.run_backtest(opportunities, strategy='low_risk_only') + +print(f"Total Return: {metrics['total_return_percentage']:.2f}%") +print(f"Win Rate: {metrics['win_rate_percentage']:.1f}%") +print(f"Max Drawdown: {metrics['max_drawdown_percentage']:.2f}%") +``` + +## Risk Management + +### Position Sizing + +- **Maximum Capital Per Trade**: 20% of total capital +- **Stop Loss**: Close position if loss exceeds 2% +- **Take Profit**: Close 50% at 5% profit, trail remaining + +### Gas Cost Monitoring + +```python +# Set maximum acceptable gas cost +max_gas_usd = Decimal('50') + +# Filter opportunities +profitable_opps = [ + opp for opp in opportunities + if opp.gas_cost is None or opp.gas_cost.cost_usd < max_gas_usd +] +``` + +### Slippage Protection + +```python +# Calculate acceptable slippage +max_slippage = Decimal('0.5') # 0.5% +min_net_profit = opportunity.gross_profit_usd * (1 - max_slippage / 100) + +# Only execute if profitable after slippage +if min_net_profit > opportunity.fees_usd: + execute_trade(opportunity) +``` + +## Performance Optimization + +### WebSocket Connection Pooling + +- Maintain persistent WebSocket connections +- Reconnect automatically on disconnection +- Rate limit: 10 messages/second per exchange + +### Price Cache + +- TTL: 1 second for CEX prices +- TTL: 5 seconds for DEX prices +- Automatic invalidation on staleness + +### Parallel Processing + +- Scan all exchanges simultaneously +- Use asyncio for non-blocking I/O +- Target latency: <100ms per scan + +## Monitoring and Alerts + +### Opportunity Alerts + +```python +# Send alert when opportunity found +if opportunity.net_profit_usd > 100: + send_notification( + f"💰 Arbitrage Alert: ${opportunity.net_profit_usd:.2f} profit on {opportunity.symbol}" + ) +``` + +### Performance Metrics + +- **Opportunities Found**: Count per hour +- **Average Spread**: Mean spread percentage +- **Execution Success Rate**: Successful / Total attempts +- **Average Profit**: Mean net profit per opportunity + +## Best Practices + +1. **Always Simulate First**: Test strategies before live execution +2. **Monitor Gas Prices**: Adjust thresholds based on network conditions +3. **Use Multiple Data Sources**: Verify prices across sources +4. **Implement Circuit Breakers**: Stop trading on anomalies +5. **Keep Capital Limits**: Never risk more than affordable loss +6. **Log Everything**: Comprehensive audit trail for analysis +7. **Update Regularly**: Adapt to changing market conditions + +## Common Pitfalls + +- **Ignoring Gas Costs**: DEX arbitrage requires careful gas calculation +- **Stale Price Data**: Use WebSockets for real-time updates +- **Execution Delays**: Account for 1-30 second execution time +- **Liquidity Assumptions**: Verify sufficient liquidity before execution +- **Fee Miscalculations**: Include maker/taker fees, gas, slippage + +## Integration + +This plugin integrates with: +- **Market Price Tracker**: Real-time price feeds +- **Gas Fee Optimizer**: Optimal gas price selection +- **Trading Strategy Backtester**: Historical performance analysis +- **Risk 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+ "sha256": "0c2ba33d2d3c5ccb266c0848fc43caa68a2aa6a80ff315d4b378352711f83e1c" + } + ], + "dirSha256": "96e61a117c36c2ef48bca0741b88392ef91bbffd8495d98f2ad1d31580abe0d4" + }, + "security": { + "scannedAt": null, + "scannerVersion": null, + "flags": [] + } +} \ No newline at end of file diff --git a/skills/skill-adapter/assets/README.md b/skills/skill-adapter/assets/README.md new file mode 100644 index 0000000..cabe08c --- /dev/null +++ b/skills/skill-adapter/assets/README.md @@ -0,0 +1,7 @@ +# Assets + +Bundled resources for arbitrage-opportunity-finder skill + +- [ ] arbitrage_template.json: Template for structuring arbitrage opportunity data. +- [ ] alert_template.md: Template for generating alerts when arbitrage opportunities are detected. +- [ ] example_arbitrage_data.json: Example data showing a profitable arbitrage opportunity. diff --git a/skills/skill-adapter/assets/config-template.json b/skills/skill-adapter/assets/config-template.json new file mode 100644 index 0000000..16f1712 --- /dev/null +++ b/skills/skill-adapter/assets/config-template.json @@ -0,0 +1,32 @@ +{ + "skill": { + "name": "skill-name", + "version": "1.0.0", + "enabled": true, + "settings": { + "verbose": false, + "autoActivate": true, + "toolRestrictions": true + } + }, + "triggers": { + "keywords": [ + "example-trigger-1", + "example-trigger-2" + ], + "patterns": [] + }, + "tools": { + "allowed": [ + "Read", + "Grep", + "Bash" + ], + "restricted": [] + }, + "metadata": { + "author": "Plugin Author", + "category": "general", + "tags": [] + } +} diff --git a/skills/skill-adapter/assets/skill-schema.json b/skills/skill-adapter/assets/skill-schema.json new file mode 100644 index 0000000..8dc154c --- /dev/null +++ b/skills/skill-adapter/assets/skill-schema.json @@ -0,0 +1,28 @@ +{ + "$schema": "http://json-schema.org/draft-07/schema#", + "title": "Claude Skill Configuration", + "type": "object", + "required": ["name", "description"], + "properties": { + "name": { + "type": "string", + "pattern": "^[a-z0-9-]+$", + "maxLength": 64, + "description": "Skill identifier (lowercase, hyphens only)" + }, + "description": { + "type": "string", + "maxLength": 1024, + "description": "What the skill does and when to use it" + }, + "allowed-tools": { + "type": "string", + "description": "Comma-separated list of allowed tools" + }, + "version": { + "type": "string", + "pattern": "^\\d+\\.\\d+\\.\\d+$", + "description": "Semantic version (x.y.z)" + } + } +} diff --git a/skills/skill-adapter/assets/test-data.json b/skills/skill-adapter/assets/test-data.json new file mode 100644 index 0000000..f0cd871 --- /dev/null +++ b/skills/skill-adapter/assets/test-data.json @@ -0,0 +1,27 @@ +{ + "testCases": [ + { + "name": "Basic activation test", + "input": "trigger phrase example", + "expected": { + "activated": true, + "toolsUsed": ["Read", "Grep"], + "success": true + } + }, + { + "name": "Complex workflow test", + "input": "multi-step trigger example", + "expected": { + "activated": true, + "steps": 3, + "toolsUsed": ["Read", "Write", "Bash"], + "success": true + } + } + ], + "fixtures": { + "sampleInput": "example data", + "expectedOutput": "processed result" + } +} diff --git a/skills/skill-adapter/references/README.md b/skills/skill-adapter/references/README.md new file mode 100644 index 0000000..45bf84b --- /dev/null +++ b/skills/skill-adapter/references/README.md @@ -0,0 +1,10 @@ +# References + +Bundled resources for arbitrage-opportunity-finder skill + +- [ ] cex_api_documentation.md: Documentation for the APIs of various centralized exchanges (e.g., Binance, Coinbase). +- [ ] dex_api_documentation.md: Documentation for the APIs of various decentralized exchanges (e.g., Uniswap, Sushiswap). +- [ ] arbitrage_strategies.md: Detailed explanations of different arbitrage strategies (e.g., triangular arbitrage, cross-exchange arbitrage). +- [ ] risk_management.md: Best practices for risk management in arbitrage trading, including stop-loss orders and position sizing. +- [ ] fee_structures.md: Documentation of the fee structures for different exchanges and trading pairs. +- [ ] slippage_calculation.md: Explanation and formulas for calculating slippage on DEX trades. diff --git a/skills/skill-adapter/references/best-practices.md b/skills/skill-adapter/references/best-practices.md new file mode 100644 index 0000000..3505048 --- /dev/null +++ b/skills/skill-adapter/references/best-practices.md @@ -0,0 +1,69 @@ +# Skill Best Practices + +Guidelines for optimal skill usage and development. + +## For Users + +### Activation Best Practices + +1. **Use Clear Trigger Phrases** + - Match phrases from skill description + - Be specific about intent + - Provide necessary context + +2. **Provide Sufficient Context** + - Include relevant file paths + - Specify scope of analysis + - Mention any constraints + +3. **Understand Tool Permissions** + - Check allowed-tools in frontmatter + - Know what the skill can/cannot do + - Request appropriate actions + +### Workflow Optimization + +- Start with simple requests +- Build up to complex workflows +- Verify each step before proceeding +- Use skill consistently for related tasks + +## For Developers + +### Skill Development Guidelines + +1. **Clear Descriptions** + - Include explicit trigger phrases + - Document all capabilities + - Specify limitations + +2. **Proper Tool Permissions** + - Use minimal necessary tools + - Document security implications + - Test with restricted tools + +3. **Comprehensive Documentation** + - Provide usage examples + - Document common pitfalls + - Include troubleshooting guide + +### Maintenance + +- Keep version updated +- Test after tool updates +- Monitor user feedback +- Iterate on descriptions + +## Performance Tips + +- Scope skills to specific domains +- Avoid overlapping trigger phrases +- Keep descriptions under 1024 chars +- Test activation reliability + +## Security Considerations + +- Never include secrets in skill files +- Validate all inputs +- Use read-only tools when possible +- Document security requirements diff --git a/skills/skill-adapter/references/examples.md b/skills/skill-adapter/references/examples.md new file mode 100644 index 0000000..b1d8bd2 --- /dev/null +++ b/skills/skill-adapter/references/examples.md @@ -0,0 +1,70 @@ +# Skill Usage Examples + +This document provides practical examples of how to use this skill effectively. + +## Basic Usage + +### Example 1: Simple Activation + +**User Request:** +``` +[Describe trigger phrase here] +``` + +**Skill Response:** +1. Analyzes the request +2. Performs the required action +3. Returns results + +### Example 2: Complex Workflow + +**User Request:** +``` +[Describe complex scenario] +``` + +**Workflow:** +1. Step 1: Initial analysis +2. Step 2: Data processing +3. Step 3: Result generation +4. Step 4: Validation + +## Advanced Patterns + +### Pattern 1: Chaining Operations + +Combine this skill with other tools: +``` +Step 1: Use this skill for [purpose] +Step 2: Chain with [other tool] +Step 3: Finalize with [action] +``` + +### Pattern 2: Error Handling + +If issues occur: +- Check trigger phrase matches +- Verify context is available +- Review allowed-tools permissions + +## Tips & Best Practices + +- ✅ Be specific with trigger phrases +- ✅ Provide necessary context +- ✅ Check tool permissions match needs +- ❌ Avoid vague requests +- ❌ Don't mix unrelated tasks + +## Common Issues + +**Issue:** Skill doesn't activate +**Solution:** Use exact trigger phrases from description + +**Issue:** Unexpected results +**Solution:** Check input format and context + +## See Also + +- Main SKILL.md for full documentation +- scripts/ for automation helpers +- assets/ for configuration examples diff --git a/skills/skill-adapter/scripts/README.md b/skills/skill-adapter/scripts/README.md new file mode 100644 index 0000000..2d02fd0 --- /dev/null +++ b/skills/skill-adapter/scripts/README.md @@ -0,0 +1,8 @@ +# Scripts + +Bundled resources for arbitrage-opportunity-finder skill + +- [ ] find_arbitrage.py: Script to execute the arbitrage finding logic, potentially using APIs of different exchanges. +- [ ] calculate_profit.py: Script to calculate the potential profit of an arbitrage opportunity, taking into account fees and slippage. +- [ ] monitor_spreads.py: Script to monitor price spreads between exchanges in real-time and trigger alerts when arbitrage opportunities arise. +- [ ] execute_arbitrage.py: Script to automatically execute arbitrage trades, handling order placement and risk management. diff --git a/skills/skill-adapter/scripts/helper-template.sh b/skills/skill-adapter/scripts/helper-template.sh new file mode 100755 index 0000000..c4aae90 --- /dev/null +++ b/skills/skill-adapter/scripts/helper-template.sh @@ -0,0 +1,42 @@ +#!/bin/bash +# Helper script template for skill automation +# Customize this for your skill's specific needs + +set -e + +function show_usage() { + echo "Usage: $0 [options]" + echo "" + echo "Options:" + echo " -h, --help Show this help message" + echo " -v, --verbose Enable verbose output" + echo "" +} + +# Parse arguments +VERBOSE=false + +while [[ $# -gt 0 ]]; do + case $1 in + -h|--help) + show_usage + exit 0 + ;; + -v|--verbose) + VERBOSE=true + shift + ;; + *) + echo "Unknown option: $1" + show_usage + exit 1 + ;; + esac +done + +# Your skill logic here +if [ "$VERBOSE" = true ]; then + echo "Running skill automation..." +fi + +echo "✅ Complete" diff --git a/skills/skill-adapter/scripts/validation.sh b/skills/skill-adapter/scripts/validation.sh new file mode 100755 index 0000000..590af58 --- /dev/null +++ b/skills/skill-adapter/scripts/validation.sh @@ -0,0 +1,32 @@ +#!/bin/bash +# Skill validation helper +# Validates skill activation and functionality + +set -e + +echo "🔍 Validating skill..." + +# Check if SKILL.md exists +if [ ! -f "../SKILL.md" ]; then + echo "❌ Error: SKILL.md not found" + exit 1 +fi + +# Validate frontmatter +if ! grep -q "^---$" "../SKILL.md"; then + echo "❌ Error: No frontmatter found" + exit 1 +fi + +# Check required fields +if ! grep -q "^name:" "../SKILL.md"; then + echo "❌ Error: Missing 'name' field" + exit 1 +fi + +if ! grep -q "^description:" "../SKILL.md"; then + echo "❌ Error: Missing 'description' field" + exit 1 +fi + +echo "✅ Skill validation passed"