Merge branch 'develop'

readme.md → README.md

@@ -27,8 +27,8 @@ These instructions will get a copy of the project up and running on your local m
 ### Install Prerequisites
 The following dependencies are recommended to run an instance:
 
-1. **NodeJS** - 12.19.0
-2. **Npm** - 6.14.8
+1. **NodeJS** - 14.15.4
+2. **Npm** - 6.14.10
 
 
 ### Obtain the Codebase
@@ -43,7 +43,7 @@ The following dependencies are recommended to run an instance:
 All configuration is managed inside the `/config` directory.
 To setup your configuration for the first time, duplicate the `config.json.example` file and remove the ".example" extension.
 This process must be done before deploying the app for the first time and redone after each major version update where the configuration has changed.
-Explanations of each value can be found [here](config/readme.md).
+Explanations of each value can be found [here](config/README.md).
 
 ### Assumptions
 1. All fees are [paid via BNB balance](https://binance.zendesk.com/hc/en-us/articles/115000583311)
@@ -62,14 +62,6 @@ Explanations of each value can be found [here](config/readme.md).
     ```
 
 
-## Scanning Strategies
-There are two methods of analyzing order book data to identify potential arbitrage opportunities.
-More details [here](src/resources/docs/scanning.md)
-
-* **Callback** - Perform analysis on tickers immediately upon receiving a depth cache update
-* **Scheduled** - Perform analysis of all tickers iteratively with a predetermined delay between each cycle
-
-
 ## Execution Strategies
 There are two supported methods of executing an identified triangle arbitrage opportunity.
 More details [here](src/resources/docs/strategies.md)
@@ -93,12 +85,10 @@ See also the list of [contributors](https://github.com/bmino/binance-triangle-ar
 
 
 ## Donations
-The developers listed above created and currently maintain this project for free.
-I don't expect any compensation nor donations, but if you appreciate my work feel free to donate to the following addresses:
+The developers listed above created and maintain this project for free.
+I don't expect any compensation, but if you appreciate my work feel free to donate to the following addresses:
 
-* Bitcoin (BTC): 1KLBb9qzFN19RxaQwD35CQmnYZvW1819XZ
-* Binance Coin (BEP20): 0xb046b6991eb1bdc838cae567cff838b542e9f19d
-* USDT (ERC20): 0xb046b6991eb1bdc838cae567cff838b542e9f19d
+* Ethereum (ERC20): 0xFd7b8597cF8eE5317439B0B5C55a111F6Eec449D
 
 ## License
 This project is licensed under mit

config/readme.md → config/README.md

@@ -30,7 +30,7 @@ Upon each version update you should copy the new syntax from `config.json.exampl
 * Description: Symbol which all triangle trades must start and end with
 
 #### `INVESTMENT.MIN` (Number)
-* Default: `0.010`
+* Default: `0.075`
 * Description: Minimum investment amount of the base currency to consider
 
 #### `INVESTMENT.MAX` (Number)
@@ -47,15 +47,8 @@ Upon each version update you should copy the new syntax from `config.json.exampl
 
 ### `SCANNING`
 
-#### `SCANNING.TIMEOUT` (Number)
-* Default: `250`
-* Description: Delay (ms) between completing calculations and starting another cycle
-* Special Values:
-    * `0` - Executes calculation cycles as soon as new depth information is received
-* [Extended Documentation](../src/resources/docs/scanning.md)
-
 #### `SCANNING.DEPTH` (Number)
-* Default: `20`
+* Default: `50`
 * Description: Order book depth to maintain locally on each ticker
 * [Extended Documentation](../src/resources/docs/depths.md)
 
@@ -106,7 +99,7 @@ Upon each version update you should copy the new syntax from `config.json.exampl
 * Example: 0.50% would be entered as 0.50
 
 #### `EXECUTION.THRESHOLD.AGE` (Number)
-* Default: `150`
+* Default: `25`
 * Description: Maximum time (ms) since the oldest depth tick involved in the position required to consider executing a position
 
 

config/config.json.example

@@ -13,8 +13,7 @@
     },
 
     "SCANNING": {
-        "TIMEOUT": 250,
-        "DEPTH": 20,
+        "DEPTH": 50,
         "WHITELIST": []
     },
 
@@ -23,10 +22,10 @@
         "CAP": 1,
         "STRATEGY": "linear",
         "TEMPLATE": ["BUY", "SELL", "SELL"],
-        "FEE": 0.10,
+        "FEE": 0.075,
         "THRESHOLD": {
             "PROFIT": 0.00,
-            "AGE": 150
+            "AGE": 25
         }
     },
 

package.json

@@ -1,6 +1,6 @@
 {
   "name": "binance-triangle-arbitrage",
-  "version": "6.0.2",
+  "version": "6.1.0",
   "repository": {
     "type": "git",
     "url": "https://github.com/bmino/binance-triangle-arbitrage.git"
@@ -9,18 +9,18 @@
     "name": "Brandon Mino"
   },
   "engines": {
-    "node": "12.19.0",
-    "npm": "6.14.8"
+    "node": "14.15.4",
+    "npm": "6.14.10"
   },
   "scripts": {
     "start": "node src/main/Main.js"
   },
   "dependencies": {
     "blessed": "^0.1.81",
     "node-binance-api": "^0.11.11",
-    "pino": "^6.7.0",
+    "pino": "^6.10.0",
     "pino-pretty": "^4.3.0",
-    "systeminformation": "^4.30.1"
+    "systeminformation": "^4.34.7"
   },
   "license": "MIT"
 }

src/main/BinanceApi.js

@@ -108,12 +108,8 @@ const BinanceApi = {
     },
 
     createDepthWSCallback(cb) {
-        if (CONFIG.SCANNING.TIMEOUT === 0) {
-            // 'context' exists when processing a websocket update NOT when first populating via snapshot
-            return (ticker, depth, context) => context && cb(ticker);
-        } else {
-            return null;
-        }
+        // 'context' exists when processing a websocket update NOT when first populating via snapshot
+        return (ticker, depth, context) => context && cb(ticker);
     },
 
     getDepthCacheSorted(ticker, max=CONFIG.SCANNING.DEPTH) {

src/main/Main.js

@@ -69,32 +69,11 @@ SpeedTest.multiPing(5)
         console.log(`Age Threshold:          ${CONFIG.EXECUTION.THRESHOLD.AGE} ms`);
         console.log();
 
-        if (CONFIG.SCANNING.TIMEOUT > 0) arbitrageCycleScheduled();
         if (CONFIG.HUD.ENABLED) setInterval(() => HUD.displayTopCalculations(recentCalculations, CONFIG.HUD.ROWS), CONFIG.HUD.REFRESH_RATE);
         if (CONFIG.LOG.STATUS_UPDATE_INTERVAL > 0) setInterval(displayStatusUpdate, CONFIG.LOG.STATUS_UPDATE_INTERVAL * 1000 * 60);
     })
     .catch(handleError);
 
-function arbitrageCycleScheduled() {
-    if (isSafeToCalculateArbitrage()) {
-        const startTime = Date.now();
-        const depthSnapshots = BinanceApi.getDepthSnapshots(MarketCache.tickers.watching);
-
-        const results = CalculationNode.analyze(
-            MarketCache.trades,
-            depthSnapshots,
-            (e) => logger.performance.warn(e),
-            ArbitrageExecution.isSafeToExecute,
-            ArbitrageExecution.executeCalculatedPosition
-        );
-
-        if (CONFIG.HUD.ENABLED) Object.assign(recentCalculations, results);
-        statusUpdate.cycleTimes.push(Util.millisecondsSince(startTime));
-    }
-
-    setTimeout(arbitrageCycleScheduled, CONFIG.SCANNING.TIMEOUT);
-}
-
 function arbitrageCycleCallback(ticker) {
     if (!isSafeToCalculateArbitrage()) return;
     const startTime = Date.now();

src/main/Validation.js

@@ -42,11 +42,6 @@ const Validation = {
         }
 
         // SCANNING
-        if (!Number.isInteger(CONFIG.SCANNING.TIMEOUT) || CONFIG.SCANNING.TIMEOUT < 0) {
-            const msg = `Scanning timeout (SCANNING.TIMEOUT) must be a positive integer`;
-            logger.execution.error(msg);
-            throw new Error(msg);
-        }
         if (!Number.isInteger(CONFIG.SCANNING.DEPTH) || CONFIG.SCANNING.DEPTH <= 0) {
             const msg = `Depth size (SCANNING.DEPTH) must be a positive integer`;
             logger.execution.error(msg);
@@ -146,10 +141,6 @@ const Validation = {
             logger.execution.error(msg);
             throw new Error(msg);
         }
-        if (CONFIG.HUD.REFRESH_RATE < CONFIG.SCANNING.TIMEOUT) {
-            const msg = `Refreshing the HUD (HUD.REFRESH_RATE) more frequently than the scanning timeout (SCANNING.TIMEOUT) is inefficient`;
-            logger.execution.warn(msg);
-        }
 
         // LOG
         if (typeof CONFIG.LOG.PRETTY_PRINT !== 'boolean') {