arb.py

'''THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS
OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE, TITLE AND
NON-INFRINGEMENT. IN NO EVENT SHALL THE COPYRIGHT HOLDERS OR ANYONE
DISTRIBUTING THE SOFTWARE BE LIABLE FOR ANY DAMAGES OR OTHER LIABILITY,
WHETHER IN CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
SOFTWARE.'''

# Bitcoin Cash (BCH)   qpz32c4lg7x7lnk9jg6qg7s4uavdce89myax5v5nuk
# Ether (ETH) -        0x843d3DEC2A4705BD4f45F674F641cE2D0022c9FB
# Litecoin (LTC) -     Lfk5y4F7KZa9oRxpazETwjQnHszEPvqPvu
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# contact :- github@jamessawyer.co.uk



# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS
# OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
# MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE, TITLE AND
# NON-INFRINGEMENT. IN NO EVENT SHALL THE COPYRIGHT HOLDERS OR ANYONE
# DISTRIBUTING THE SOFTWARE BE LIABLE FOR ANY DAMAGES OR OTHER LIABILITY,
# WHETHER IN CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
# CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
# SOFTWARE.

# Bitcoin Cash (BCH)   qpz32c4lg7x7lnk9jg6qg7s4uavdce89myax5v5nuk
# Ether (ETH) -        0x843d3DEC2A4705BD4f45F674F641cE2D0022c9FB
# Litecoin (LTC) -     Lfk5y4F7KZa9oRxpazETwjQnHszEPvqPvu
# Bitcoin (BTC) -      34L8qWiQyKr8k4TnHDacfjbaSqQASbBtTd

from __future__ import division
import requests
import json
import time
import datetime
from itertools import permutations
from math import log


#CREDS###################################################################
LIVE_API_KEY = ''
LIVE_USERNAME = ""
LIVE_PASSWORD = ""
LIVE_ACC_ID = ""
##########################################################################
DEMO_API_KEY = ''
DEMO_USERNAME = ""
DEMO_PASSWORD = ""
DEMO_ACC_ID = ""
###########################################################################

b_REAL = False

if b_REAL:
    REAL_OR_NO_REAL = 'https://api.ig.com/gateway/deal'
    API_ENDPOINT = "https://api.ig.com/gateway/deal/session"
    API_KEY = LIVE_API_KEY
    data = {"identifier": LIVE_USERNAME, "password": LIVE_PASSWORD}
else:
    REAL_OR_NO_REAL = 'https://demo-api.ig.com/gateway/deal'
    API_ENDPOINT = "https://demo-api.ig.com/gateway/deal/session"
    API_KEY = DEMO_API_KEY
    data = {"identifier": DEMO_USERNAME, "password": DEMO_PASSWORD}

headers = {'Content-Type': 'application/json; charset=utf-8',
           'Accept': 'application/json; charset=utf-8',
           'X-IG-API-KEY': API_KEY,
           'Version': '2'
           }

r = requests.post(API_ENDPOINT, data=json.dumps(data), headers=headers)

headers_json = dict(r.headers)
CST_token = headers_json["CST"]
print(R"CST : " + CST_token)
x_sec_token = headers_json["X-SECURITY-TOKEN"]
print(R"X-SECURITY-TOKEN : " + x_sec_token)

# GET ACCOUNTS
base_url = REAL_OR_NO_REAL + '/accounts'
authenticated_headers = {'Content-Type': 'application/json; charset=utf-8',
                         'Accept': 'application/json; charset=utf-8',
                         'X-IG-API-KEY': API_KEY,
                         'CST': CST_token,
                         'X-SECURITY-TOKEN': x_sec_token}

auth_r = requests.get(base_url, headers=authenticated_headers)
d = json.loads(auth_r.text)

base_url = REAL_OR_NO_REAL + '/session'

if b_REAL:
    data = {
        "accountId": LIVE_ACC_ID,
        "defaultAccount": "True"}  # Main Live acc
else:
    data = {
        "accountId": DEMO_ACC_ID,
        "defaultAccount": "True"}  # Main Demo acc

auth_r = requests.put(
    base_url,
    data=json.dumps(data),
    headers=authenticated_headers)

# print("-----------------DEBUG-----------------")
# print("#################DEBUG#################")
# print(auth_r.status_code)
# print(auth_r.reason)
# print(auth_r.text)
# print("-----------------DEBUG-----------------")
# print("#################DEBUG#################")


epic_ids = [
    'CS.D.AUDUSD.TODAY.IP',
    'CS.D.EURCHF.TODAY.IP',
    'CS.D.EURGBP.TODAY.IP',
    'CS.D.EURJPY.TODAY.IP',
    'CS.D.EURUSD.TODAY.IP',
    'CS.D.GBPEUR.TODAY.IP',
    'CS.D.GBPUSD.TODAY.IP',
    'CS.D.USDCAD.TODAY.IP',
    'CS.D.USDCHF.TODAY.IP',
    'CS.D.USDJPY.TODAY.IP',
    'CS.D.CADCHF.TODAY.IP',
    'CS.D.CADJPY.TODAY.IP',
    'CS.D.CHFJPY.TODAY.IP',
    'CS.D.EURCAD.TODAY.IP',
    'CS.D.EURSGD.TODAY.IP',
    'CS.D.EURZAR.TODAY.IP',
    'CS.D.GBPCAD.TODAY.IP',
    'CS.D.GBPCHF.TODAY.IP',
    'CS.D.GBPHKD.TODAY.IP',
    'CS.D.GBPJPY.TODAY.IP',
    'CS.D.GBPSGD.TODAY.IP',
    'CS.D.GBPZAR.TODAY.IP',
    'CS.D.MXNJPY.TODAY.IP',
    'CS.D.NOKJPY.TODAY.IP',
    'CS.D.PLNJPY.TODAY.IP',
    'CS.D.SEKJPY.TODAY.IP',
    'CS.D.SGDJPY.TODAY.IP',
    'CS.D.USDHKD.TODAY.IP',
    'CS.D.USDSGD.TODAY.IP',
    'CS.D.USDZAR.TODAY.IP',
    'CS.D.ZARJPY.TODAY.IP',
    'CS.D.AUDCAD.TODAY.IP',
    'CS.D.AUDCHF.TODAY.IP',
    'CS.D.AUDEUR.TODAY.IP',
    'CS.D.AUDGBP.TODAY.IP',
    'CS.D.AUDJPY.TODAY.IP',
    'CS.D.AUDNZD.TODAY.IP',
    'CS.D.AUDSGD.TODAY.IP',
    'CS.D.EURAUD.TODAY.IP',
    'CS.D.EURNZD.TODAY.IP',
    'CS.D.GBPAUD.TODAY.IP',
    'CS.D.GBPNZD.TODAY.IP',
    'CS.D.NZDAUD.TODAY.IP',
    'CS.D.NZDCAD.TODAY.IP',
    'CS.D.NZDCHF.TODAY.IP',
    'CS.D.NZDEUR.TODAY.IP',
    'CS.D.NZDGBP.TODAY.IP',
    'CS.D.NZDJPY.TODAY.IP',
    'CS.D.NZDUSD.TODAY.IP',
    'CS.D.CHFHUF.TODAY.IP',
    'CS.D.CHFTRY.TODAY.IP',
    'CS.D.EURCZK.TODAY.IP',
    'CS.D.EURHUF.TODAY.IP',
    'CS.D.EURILS.TODAY.IP',
    'CS.D.EURMXN.TODAY.IP',
    'CS.D.EURPLN.TODAY.IP',
    'CS.D.EURTRY.TODAY.IP',
    'CS.D.GBPCZK.TODAY.IP',
    'CS.D.GBPHUF.TODAY.IP',
    'CS.D.GBPILS.TODAY.IP',
    'CS.D.GBPMXN.TODAY.IP',
    'CS.D.GBPPLN.TODAY.IP',
    'CS.D.GBPTRY.TODAY.IP',
    'CS.D.TRYJPY.TODAY.IP',
    'CS.D.USDCZK.TODAY.IP',
    'CS.D.USDHUF.TODAY.IP',
    'CS.D.USDILS.TODAY.IP',
    'CS.D.USDMXN.TODAY.IP',
    'CS.D.USDPLN.TODAY.IP',
    'CS.D.USDTHB.TODAY.IP',
    'CS.D.USDTRY.TODAY.IP',
    'CS.D.CADNOK.TODAY.IP',
    'CS.D.CHFNOK.TODAY.IP',
    'CS.D.EURDKK.TODAY.IP',
    'CS.D.EURNOK.TODAY.IP',
    'CS.D.EURSEK.TODAY.IP',
    'CS.D.GBPDKK.TODAY.IP',
    'CS.D.GBPNOK.TODAY.IP',
    'CS.D.GBPSEK.TODAY.IP',
    'CS.D.NOKSEK.TODAY.IP',
    'CS.D.USDDKK.TODAY.IP',
    'CS.D.USDNOK.TODAY.IP',
    'CS.D.USDSEK.TODAY.IP',
    'CS.D.AUDCNH.TODAY.IP',
    'CS.D.CADCNH.TODAY.IP',
    'CS.D.CNHJPY.TODAY.IP',
    'CS.D.BRLJPY.TODAY.IP',
    'CS.D.GBPINR.TODAY.IP',
    'CS.D.INRJPY.TODAY.IP',
    'CS.D.USDBRL.TODAY.IP',
    'CS.D.USDIDR.TODAY.IP',
    'CS.D.USDINR.TODAY.IP',
    'CS.D.USDKRW.TODAY.IP',
    'CS.D.USDPHP.TODAY.IP',
    'CS.D.USDTWD.TODAY.IP',
    'CS.D.EURCNH.TODAY.IP',
    'CS.D.GBPCNH.TODAY.IP',
    'CS.D.NZDCNH.TODAY.IP',
    'CS.D.RUBJPY.TODAY.IP',
    'CS.D.USDCNH.TODAY.IP', ]


def midpoint(p1, p2):
    return (p1 + p2) / 2     # or *0.5


def dashinsert(epic_str):
    midPoint = len(epic_str) // 2
    return epic_str[:midPoint] + '_' + epic_str[midPoint:]


prices_epic = {}
epic_count = 0

for epic_id in epic_ids:

    try:
        time.sleep(1) #IG Index Rate Limit
        epic_count += 1
        base_url = REAL_OR_NO_REAL + "/markets/" + str(epic_id)
        auth_r = requests.get(base_url, headers=authenticated_headers)
        d = json.loads(auth_r.text)

        bid = float(d["snapshot"]["bid"])
        offer = float(d["snapshot"]["offer"])

        spread = float(abs(float(bid) - float(offer)))
        epic_id = epic_id[:-9]
        epic_id = epic_id[5:]
        epic_id = dashinsert(epic_id)
        print ("[+]debug..." + str(epic_id))
        print ("[+]debug..." + str(spread))
        print ("(" + str(epic_count) + "/" + str(len(epic_ids)) + ")")
        if float(spread) > 3:
            #prices_epic[epic_id] = midpoint(bid, offer)
            print ("[+]debug...ignore, spread too high!")
            continue
        prices_epic[epic_id] = midpoint(bid, offer)
        print("########")
    except Exception as e:
        print("[-]trying next epic...")
        print(e)
        continue


print(prices_epic)
prices_epic = json.dumps(prices_epic)

##########################################################################
##########################################################################
##########################################################################
##########################################################################
##########################################################################


def _bf(V, E, src):

    # init
    dist = dict(zip(V, [float('Inf') for v in V]))
    pred = dict(zip(V, [None for v in V]))
    dist[src] = 0

    # relax
    valid_pairs = [(u, v) for (u, v) in permutations(V, 2) if v in E[u]]
    for i in range(len(V) - 1):
        for (u, v) in valid_pairs:
            if dist[u] + E[u][v] < dist[v]:
                dist[v] = dist[u] + E[u][v]
                pred[v] = u

    # return the unique negative cycles
    negative_cycles = {}
    for (u, v) in valid_pairs:
        if dist[u] + E[u][v] < dist[v]:

            cycle = [v]
            while len(cycle) == len(set(cycle)):
                cycle.append(pred[cycle[-1]])

            if cycle[0] == cycle[-1] and len(cycle) > 1:
                negative_cycles[str(set(cycle))] = cycle

            i = 1
            while cycle[i] != cycle[-1]:
                i += 1
            if len(cycle[i:]) > 1:
                negative_cycles[str(set(cycle[i:]))] = cycle[i:]

    return negative_cycles.values()


def find_arbitrage():

    data = json.loads(prices_epic)

    # build graph
    E = {'_': {}}
    for pair, v in data.items():
        front, back = pair.split("_")
        if front == back:
            continue
        if front not in E:
            E[front] = {}
        E[front][back] = -log(float(data[pair]))
    V = E.keys()
    for v in V:
        E['_'][v] = 0

    arbs = _bf(E.keys(), E, '_')

    arb_string = ""
   # display
    for arb in arbs:
        seq = [(arb[i], arb[i + 1]) for i in range(len(arb) - 1)]
        arb_string += ''.ljust(80, '*') + "\n"
        #print(''.ljust(80, '*'))
        arb_string += "ARBITRAGE OPPORTUNITY:" + str(arb) + datetime.datetime.utcnow().strftime('%Y-%m-%d %H:%M:%S (UTC)') + "\n"
        # print("ARBITRAGE OPPORTUNITY:" + str(arb),
              # datetime.datetime.utcnow().strftime('%Y-%m-%d %H:%M:%S (UTC)'))
        arb_string += ''.ljust(80, '*') + "\n"
        # print(''.ljust(80, '*'))
        x = 1
        for i in range(len(seq)):
            front, back = seq[i]
            y = x * float(data['%s_%s' % (front, back)])
            sell = "SELL %s %s" % (x, front)
            buy = " BUY %s %s" % (y, back)
            arb_string += sell.ljust(25) + buy.ljust(25) + "[Rate %s = %s]" % ('%s_%s' % (front, back), data['%s_%s' % (front, back)]) + "\n"
            # print(sell.ljust(25) +
                  # buy.ljust(25) +
                  # "[Rate %s = %s]" %
                  # ('%s_%s' %
                   # (front, back), data['%s_%s' %
                                       # (front, back)]))
            x = y
            arb_string += "PROFIT = %s %s" % (x - 1, arb[0]) + "\n"
            # print("PROFIT = %s %s" % (x - 1, arb[0]))
            arb_string += ''.ljust(80, '*') + "\n"
            # print(''.ljust(80, '*'))
            print(arb_string)


find_arbitrage()