first commit

README.md

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+## what's this?
+- binance triangle arbitrage
+  - ex)BTC - ETH - BNB - BTC
+- arbitrage chance check script

checker.py

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+import ccxt
+from datetime import datetime
+import pandas as pd
+
+# 初期準備
+pd.set_option('display.max_rows', 1500) # 省略させない
+binance = ccxt.binance()
+binance.load_markets()
+
+# 取引ペア取得
+Pairlists = list(binance.markets.keys())
+Pl_sum = len(Pairlists)
+s = []
+
+for i in range(Pl_sum):
+    name = str(Pairlists[i])
+    c1 = name.split("/")[0]
+    c2 = name.split("/")[1]
+    ask = ccxt.binance().fetch_ticker(Pairlists[i])['ask']
+    bid = ccxt.binance().fetch_ticker(Pairlists[i])['bid']
+
+    s.append([name, c1, c2, ask, bid, str(datetime.today())[0:19]])
+
+    price = pd.DataFrame(s, columns=["name", "c1", "c2", "ask", "bid", "time"])
+
+price = price.set_index("name")
+
+print(price)
+print(Pl_sum)
+
+# 通貨リスト取得
+c = []
+c = price['c1'].tolist() + price['c2'].tolist()
+
+l = set(c)
+l = sorted(l)
+
+# ルート探索
+# 基礎通貨宣言
+AbiPair = []
+BaseCurrency = ["BTC", "ETH", "USDT", "BNB"]
+
+for i0 in range(len(BaseCurrency)):
+    T0 = BaseCurrency[i0]
+    for i1 in range(len(l)):
+        T1 = l[i1]
+        if ((T0 + "/" + T1 in Pairlists) == True) or ((T1 + "/" + T0 in Pairlists) == True):
+            # T1確定
+
+            for i2 in range(len(l)):
+                T2 = l[i2]
+                if ((T2 + "/" + T1 in Pairlists) == True) or ((T1 + "/" + T2 in Pairlists) == True):
+                    # T2確定
+
+                    if ((T2 + "/" + T0 in Pairlists) == True) or ((T0 + "/" + T2 in Pairlists) == True):
+                        # ルート確定
+                        # 1st buy
+                        if (T1 + "/" + T0 in price.index.values) == True:
+                            buyT1 = 1 / price.at[str(T1 + "/" + T0), 'ask']
+                        else:
+                            buyT1 = price.at[str(T0 + "/" + T1), 'bid']
+
+                        # 2nd buy
+                        if (T2 + "/" + T1 in price.index.values) == True:
+                            buyT2 = buyT1 / price.at[str(T2 + "/" + T1), 'ask']
+                        else:
+                            buyT2 = buyT1 * price.at[str(T1 + "/" + T2), 'bid']
+
+                        # 3rd buy
+                        if (T0 + "/" + T2 in price.index.values) == True:
+                            buyT0 = buyT2 / price.at[str(T0 + "/" + T2), 'ask'] - 1
+                        else:
+                            buyT0 = buyT2 * price.at[str(T2 + "/" + T0), 'bid'] - 1
+
+                        AbiPair.append([T0, T1, T2, buyT1, buyT2, '{:.5f}'.format(buyT0)])
+
+
+AbiPair = pd.DataFrame(AbiPair, columns=["T0", "T1", "T2", "BuyT1", "BuyT2", "BuyT0"])
+AbiPair = AbiPair.sort_values('BuyT0', ascending=False)
+print(AbiPair)