Merge branch 'develop'

bmino · May 3, 2019 · 1a99e5e · 1a99e5e
2 parents f934908 + 6d0522e
commit 1a99e5e
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Showing 6 changed files with 34 additions and 26 deletions.
diff --git a/package-lock.json b/package-lock.json
diff --git a/package.json b/package.json
@@ -1,6 +1,6 @@
 {
   "name": "binance-triangle-arbitrage",
-  "version": "5.1.0",
+  "version": "5.1.1",
   "private": true,
   "engines": {
     "node": "11.10.1",

diff --git a/src/main/BinanceApi.js b/src/main/BinanceApi.js
@@ -75,7 +75,6 @@ const BinanceApi = {
     processDepth(ticker, depth) {
         depth.bids = binance.sortBids(depth.bids);
         depth.asks = binance.sortAsks(depth.asks);
-        depth.time = depth.eventTime;
     }
 
 };

diff --git a/src/main/CalculationNode.js b/src/main/CalculationNode.js
@@ -27,42 +27,42 @@ const CalculationNode = {
             bc: 0,
             ca: 0,
             times: {
-                ab: binance.depthCache(trade.ab.ticker).time,
-                bc: binance.depthCache(trade.bc.ticker).time,
-                ca: binance.depthCache(trade.ca.ticker).time
+                ab: binance.depthCache(trade.ab.ticker).eventTime,
+                bc: binance.depthCache(trade.bc.ticker).eventTime,
+                ca: binance.depthCache(trade.ca.ticker).eventTime
             },
             a: 0,
             b: 0,
             c: 0
         };
-    
+
         if (trade.ab.method === 'Buy') {
             const dustedAB = CalculationNode.orderBookConversion(investmentA, trade.symbol.a, trade.symbol.b, trade.ab.ticker);
             calculated.b = calculated.ab = CalculationNode.calculateDustless(trade.ab.ticker, dustedAB);
         } else {
             calculated.start = calculated.ab = CalculationNode.calculateDustless(trade.ab.ticker, investmentA);
             calculated.b = CalculationNode.orderBookConversion(calculated.ab, trade.symbol.a, trade.symbol.b, trade.ab.ticker);
         }
-    
+
         if (trade.bc.method === 'Buy') {
             const dustedBC = CalculationNode.orderBookConversion(calculated.b, trade.symbol.b, trade.symbol.c, trade.bc.ticker);
             calculated.c = calculated.bc = CalculationNode.calculateDustless(trade.bc.ticker, dustedBC);
         } else {
             calculated.bc = CalculationNode.calculateDustless(trade.bc.ticker, calculated.b);
             calculated.c = CalculationNode.orderBookConversion(calculated.bc, trade.symbol.b, trade.symbol.c, trade.bc.ticker);
         }
-    
+
         if (trade.ca.method === 'Buy') {
             const dustedCA = CalculationNode.orderBookConversion(calculated.c, trade.symbol.c, trade.symbol.a, trade.ca.ticker);
             calculated.a = calculated.ca = CalculationNode.calculateDustless(trade.ca.ticker, dustedCA);
         } else {
             calculated.ca = CalculationNode.calculateDustless(trade.ca.ticker, calculated.c);
             calculated.a = CalculationNode.orderBookConversion(calculated.ca, trade.symbol.c, trade.symbol.a, trade.ca.ticker);
         }
-    
+
         calculated.percent = (calculated.a - calculated.start) / calculated.start * 100 - (CONFIG.TRADING.TAKER_FEE * 3);
         if (!calculated.percent) calculated.percent = 0;
-    
+
         return calculated;
     },
 
@@ -74,19 +74,21 @@ const CalculationNode = {
             return CalculationNode.calculateDustless(ticker, quantityEarned);
         }
     },
-    
+
     orderBookConversion(amountFrom, symbolFrom, symbolTo, ticker) {
-        let i, j, rates, rate, quantity, exchangeableAmount;
+        let i, j, rate, quantity, exchangeableAmount;
         let orderBook = binance.depthCache(ticker) || {};
+        const bidRates = Object.keys(orderBook.bids || {});
+        const askRates = Object.keys(orderBook.asks || {});
         let amountTo = 0;
-    
+
         if (amountFrom === 0) return 0;
-
+        if (parseFloat(bidRates[0]) > parseFloat(askRates[0])) throw new Error(`Spread does not exist for ${ticker}`);
+
         if (ticker === symbolFrom + symbolTo) {
-            rates = Object.keys(orderBook.bids || {});
-            for (i=0; i<rates.length; i++) {
-                rate = parseFloat(rates[i]);
-                quantity = orderBook.bids[rates[i]];
+            for (i=0; i<bidRates.length; i++) {
+                rate = parseFloat(bidRates[i]);
+                quantity = orderBook.bids[bidRates[i]];
                 if (quantity < amountFrom) {
                     amountFrom -= quantity;
                     amountTo += quantity * rate;
@@ -96,10 +98,9 @@ const CalculationNode = {
                 }
             }
         } else {
-            rates = Object.keys(orderBook.asks || {});
-            for (j=0; j<rates.length; j++) {
-                rate = parseFloat(rates[j]);
-                quantity = orderBook.asks[rates[j]];
+            for (j=0; j<askRates.length; j++) {
+                rate = parseFloat(askRates[j]);
+                quantity = orderBook.asks[askRates[j]];
                 exchangeableAmount = quantity * rate;
                 if (exchangeableAmount < amountFrom) {
                     amountFrom -= quantity * rate;
@@ -110,10 +111,10 @@ const CalculationNode = {
                 }
             }
         }
-    
-        throw new Error(`Depth (${rates.length}) too shallow to convert ${amountFrom} ${symbolFrom} to ${symbolTo} using ${ticker}`);
+
+        throw new Error(`Bid depth (${bidRates.length}) or ask depth (${askRates.length}) too shallow to convert ${amountFrom} ${symbolFrom} to ${symbolTo} using ${ticker}`);
     },
-    
+
     calculateDustless(ticker, amount) {
         if (Number.isInteger(amount)) return amount;
         const amountString = amount.toFixed(12);

diff --git a/src/main/Main.js b/src/main/Main.js
@@ -78,6 +78,9 @@ function calculateArbitrage() {
     const msg = `Completed ${completedCalculations}/${totalCalculations} (${((completedCalculations/totalCalculations)*100).toFixed(1)}%) calculations in ${calculationTime} ms`;
     (errorCount > 0) ? logger.performance.info(msg) : logger.performance.trace(msg);
 
+    const tickersWithoutDepthUpdate = MarketCache.getTickersWithoutDepthCacheUpdate();
+    (tickersWithoutDepthUpdate.length > 0) && logger.execution.trace(`Found ${tickersWithoutDepthUpdate.length} tickers without a depth cache update: [${tickersWithoutDepthUpdate}]`);
+
     if (CONFIG.HUD.ENABLED) refreshHUD(results);
 
     setTimeout(calculateArbitrage, CONFIG.CALCULATION_COOLDOWN);

diff --git a/src/main/MarketCache.js b/src/main/MarketCache.js
@@ -21,6 +21,7 @@ const MarketCache = {
                 if (!whitelistSymbols.includes(symbolObj.quoteAsset)) return;
             }
             symbols.add(symbolObj.baseAsset);
+            symbols.add(symbolObj.quoteAsset);
             symbolObj.dustDecimals = Math.max(symbolObj.filters.filter(f => f.filterType === 'LOT_SIZE')[0].minQty.indexOf('1') - 1, 0);
             tickers[symbolObj.symbol] = symbolObj;
         });
@@ -60,6 +61,10 @@ const MarketCache = {
         return trades;
     },
 
+    getTickersWithoutDepthCacheUpdate() {
+        return MarketCache.getTickerArray().filter(ticker => !binance.depthCache(ticker).eventTime);
+    },
+
     createTrade(a, b, c) {
         const ab = MarketCache.getRelationship(a, b);
         if (!ab) return;