-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy patharbTest.js
169 lines (169 loc) · 7.66 KB
/
arbTest.js
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
"use strict";
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
return new (P || (P = Promise))(function (resolve, reject) {
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
step((generator = generator.apply(thisArg, _arguments || [])).next());
});
};
var __generator = (this && this.__generator) || function (thisArg, body) {
var _ = { label: 0, sent: function() { if (t[0] & 1) throw t[1]; return t[1]; }, trys: [], ops: [] }, f, y, t, g;
return g = { next: verb(0), "throw": verb(1), "return": verb(2) }, typeof Symbol === "function" && (g[Symbol.iterator] = function() { return this; }), g;
function verb(n) { return function (v) { return step([n, v]); }; }
function step(op) {
if (f) throw new TypeError("Generator is already executing.");
while (g && (g = 0, op[0] && (_ = 0)), _) try {
if (f = 1, y && (t = op[0] & 2 ? y["return"] : op[0] ? y["throw"] || ((t = y["return"]) && t.call(y), 0) : y.next) && !(t = t.call(y, op[1])).done) return t;
if (y = 0, t) op = [op[0] & 2, t.value];
switch (op[0]) {
case 0: case 1: t = op; break;
case 4: _.label++; return { value: op[1], done: false };
case 5: _.label++; y = op[1]; op = [0]; continue;
case 7: op = _.ops.pop(); _.trys.pop(); continue;
default:
if (!(t = _.trys, t = t.length > 0 && t[t.length - 1]) && (op[0] === 6 || op[0] === 2)) { _ = 0; continue; }
if (op[0] === 3 && (!t || (op[1] > t[0] && op[1] < t[3]))) { _.label = op[1]; break; }
if (op[0] === 6 && _.label < t[1]) { _.label = t[1]; t = op; break; }
if (t && _.label < t[2]) { _.label = t[2]; _.ops.push(op); break; }
if (t[2]) _.ops.pop();
_.trys.pop(); continue;
}
op = body.call(thisArg, _);
} catch (e) { op = [6, e]; y = 0; } finally { f = t = 0; }
if (op[0] & 5) throw op[1]; return { value: op[0] ? op[1] : void 0, done: true };
}
};
Object.defineProperty(exports, "__esModule", { value: true });
var sdk_1 = require("@balancer-labs/sdk");
function findArbitrageOpportunities() {
return __awaiter(this, void 0, void 0, function () {
var config, balancer, pools, allPools, filteredPools, graph, arbitrageOpportunities, error_1;
return __generator(this, function (_a) {
switch (_a.label) {
case 0:
config = {
network: sdk_1.Network.MAINNET,
rpcUrl: "https://mainnet.infura.io/v3/f5363227615e463db096757712e53f20",
};
balancer = new sdk_1.BalancerSDK(config);
pools = balancer.data.pools;
_a.label = 1;
case 1:
_a.trys.push([1, 3, , 4]);
return [4 /*yield*/, pools.all()];
case 2:
allPools = _a.sent();
filteredPools = allPools.filter(function (pool) { return parseFloat(pool.totalLiquidity) > 50000; });
graph = buildTokenGraph(filteredPools);
arbitrageOpportunities = findArbitrageOpportunitiesBellmanFord(graph);
if (arbitrageOpportunities.length > 0) {
console.log('Arbitrage opportunities found:', arbitrageOpportunities);
}
else {
console.log('No arbitrage opportunities found.');
}
return [3 /*break*/, 4];
case 3:
error_1 = _a.sent();
console.error('An error occurred:', error_1);
return [3 /*break*/, 4];
case 4: return [2 /*return*/];
}
});
});
}
function buildTokenGraph(pools) {
var _a, _b;
var graph = {};
// Iterate over the pools
for (var _i = 0, pools_1 = pools; _i < pools_1.length; _i++) {
var pool = pools_1[_i];
var tokens = pool.tokens.map(function (token) { return token.address; });
// Add token connections to the graph
for (var i = 0; i < tokens.length; i++) {
var tokenA = tokens[i];
var priceTokenA = parseFloat(((_a = pool.tokens[i].token) === null || _a === void 0 ? void 0 : _a.latestUSDPrice) || '0');
if (!(tokenA in graph)) {
graph[tokenA] = {};
}
for (var j = i + 1; j < tokens.length; j++) {
var tokenB = tokens[j];
var priceTokenB = parseFloat(((_b = pool.tokens[j].token) === null || _b === void 0 ? void 0 : _b.latestUSDPrice) || '0');
if (!(tokenB in graph)) {
graph[tokenB] = {};
}
var wrtPriceAB = priceTokenA / priceTokenB;
var wrtPriceBA = priceTokenB / priceTokenA;
var slippageTolerance = 0.005;
var spotPriceAtoB = wrtPriceAB * (1 + parseFloat(pool.swapFee)) * (1 - slippageTolerance);
var spotPriceBtoA = wrtPriceBA * (1 + parseFloat(pool.swapFee)) * (1 - slippageTolerance);
graph[tokenA][tokenB] = Math.log(spotPriceAtoB);
graph[tokenB][tokenA] = Math.log(spotPriceBtoA);
}
}
}
return graph;
}
function findArbitrageOpportunitiesBellmanFord(graph) {
var vertices = Object.keys(graph);
var edges = getEdges(graph);
var distances = initializeDistances(vertices);
var predecessors = initializePredecessors(vertices);
for (var i = 0; i < vertices.length - 1; i++) {
for (var _i = 0, edges_1 = edges; _i < edges_1.length; _i++) {
var _a = edges_1[_i], u = _a[0], v = _a[1], weight = _a[2];
if (distances[u] + weight < distances[v]) {
distances[v] = distances[u] + weight;
predecessors[v] = u;
}
}
}
for (var _b = 0, edges_2 = edges; _b < edges_2.length; _b++) {
var _c = edges_2[_b], u = _c[0], v = _c[1], weight = _c[2];
if (distances[u] + weight < distances[v]) {
var cycle = getCycle(predecessors, u);
return cycle;
}
}
return [];
}
function getEdges(graph) {
var edges = [];
for (var u in graph) {
for (var v in graph[u]) {
edges.push([u, v, graph[u][v]]);
}
}
return edges;
}
function initializeDistances(vertices) {
var distances = {};
for (var _i = 0, vertices_1 = vertices; _i < vertices_1.length; _i++) {
var vertex = vertices_1[_i];
distances[vertex] = Infinity;
}
distances[vertices[0]] = 0;
return distances;
}
function initializePredecessors(vertices) {
var predecessors = {};
for (var _i = 0, vertices_2 = vertices; _i < vertices_2.length; _i++) {
var vertex = vertices_2[_i];
predecessors[vertex] = null;
}
return predecessors;
}
function getCycle(predecessors, start) {
var cycle = [];
var current = start;
while (!cycle.includes(current)) {
cycle.push(current);
current = predecessors[current];
}
cycle.push(current);
return cycle;
}
// Run the function every 5 minutes
setInterval(findArbitrageOpportunities, 5 * 60 * 1000);