finally a simple arbitrage monitor finished

bbot.py

@@ -1,5 +1,8 @@
 # coding=utf8
 from __future__ import print_function
 
+from market_data.market_price_triangle_diff import start_market_subscribe
+
 if __name__ == '__main__':
     print('Hello world')
+    start_market_subscribe("BNB")

market_data/market_price_triangle_diff.py

@@ -1,19 +1,23 @@
 # coding=utf8
-import csv
 import json
 import ssl
+import traceback
 
 import websocket
 
 from common import config
 from signals.triangle_price_diff import Triangle
 
-t = Triangle('BTC')
+t = Triangle()
 
 
 def on_message(ws, message):
-    ticker_list = json.loads(message)
-    t.create_signal(ticker_list)
+    try:
+        print('received: ' + message)
+        ticker_list = json.loads(message)
+        t.create_signal(ticker_list)
+    except ValueError as e:
+        traceback.print_exc()
 
 
 def on_error(ws, error):
@@ -28,15 +32,18 @@ def on_open(ws):
     print("web socket open")
 
 
-def start_market_subscribe():
+def start_market_subscribe(symbol):
+    t.prepare(symbol)
     websocket.enableTrace(True)
-    ws = websocket.WebSocketApp(config.bbot_config['wss_endpoint']+'/ws/!ticker@arr',
+
+    ws = websocket.WebSocketApp(config.bbot_config['wss_endpoint'] + '/ws/!ticker@arr',
                                 on_message=on_message,
                                 on_error=on_error,
                                 on_close=on_close,
                                 on_open=on_open)
     ws.run_forever(sslopt={"cert_reqs": ssl.CERT_NONE})
 
 
+
 if __name__ == '__main__':
     start_market_subscribe()

signals/triangle_price_diff.py

@@ -24,10 +24,11 @@ def get_trade_pairs():
 
 
 class Triangle:
-    def __init__(self, symbol=None):
+    def __init__(self):
         self.trade_pairs = get_trade_pairs()
-        self.trade_triangles = self.prepare(symbol)
         self.price_map = dict()
+        self.max_diff = [0, None]
+        self.trade_triangles = list()
 
     def _get_trade_triangle(self, symbol_a, symbol_b, symbol_c):
         return [self.trade_pairs[(symbol_a, symbol_b)],
@@ -46,7 +47,7 @@ def prepare(self, symbol):
             t_t.append(self._get_trade_triangle(symbol, a, b))
             t_t.append(self._get_trade_triangle(symbol, b, a))
         print(t_t)
-        return t_t
+        self.trade_triangles = t_t
 
     def update_price_map(self, ticker_price_list):
         for ticker_price in ticker_price_list:
@@ -64,9 +65,15 @@ def calc(self):
             price3 = self._get_best_price(triangle[2][0], triangle[2][1])
             if price1 and price2 and price3:
                 results.append(self._calc_diff([price1, price2, price3]))
-        results.sort(key=lambda x: x[0])
+        results = filter(lambda r: r[0] > 0, results)
+        results.sort(key=lambda x: x[0], reverse=True)
+        if len(results) > 0:
+            self.max_diff = results[0] if self.max_diff[0] < results[0][0] else self.max_diff
+        print('------statistics------')
         for result in results:
             print(result)
+        print('------max_price------')
+        print(self.max_diff)
 
     def _calc_diff(self, price_list):
         numerator = 1
@@ -88,4 +95,4 @@ def _get_best_price(self, side, ticker):
         else:
             price = ticker_price['b']
             quantity = ticker_price['B']
-        return side, ticker, price, quantity
+        return side, ticker, float(price), float(quantity), ticker_price['E']