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Cash-and-carry arbitrage monitoring

Simple Python script for monitoring the cash-and-carry arbitrage opportunity across centralized exchanges on terminal.

Installation and usage

Check release for 1-click executable versions,however, they are lack of customization.

An other option is to run the python code directly in your Terminal. First, you need to clone this repository via:

git clone https://github.com/JRWSP/CashAndCarryTerminal

If needed, install the required packages (I suggest to use virtual environment).

pip install -r requirements.txt

One can run the monitoring script directly in terminal. To do this, simply type:

python CaC_main.py

The script will start fetching price data from exchanges. After a few moment you should see the spreads on terminal screen.

Spr.-f (%) is a spread between spot and future prices adjusted by exchange's fee.
APY-f (%) is annualized return adjusted by exchange's fee.
Depends on data accessible by ccxt library, spot and future prices can be either a mark price or last price. Please verify the actual price on exchange before starting your trades.

requirement

• Python 3.xx (Tested with 3.11 and 3.12)
• Pandas
• ccxt
• tabulate
• nest-asyncio
• termcolor

Adding new CEX

Each exchange needs their own fetch function, because there is different information can be accessible by ccxt library. To add a new exchange you need to put your own fetching function in CaC_functions_fetch.py and add the function name in FetchTickersFunction variable in config.py. Some variables in config.py, such as fee, also need accordingly.

Open position

You can also monitor your current open position by add the information in CaC_open_position.py. If there is no open position, simply set my_position=[].

• FutureShortPrice is effective entry price of Symbol short position. This is what you see in CEX's open position tab.
• SpotBuy is an average buying spot price. If you have multiple buys, simply add each buy as an list' element respectively. The script will calculate weighted average price automatically.

When running the script you should see the position table below the main table. The script will calculate your entry %spread and compare with the current %spread to show the %PnL.