[pshaiBot] Triangle-Arbitrage, PROOF-OF-CONCEPT

-- [pshaiBot] Triangle-Arbitrage, PROOF-OF-CONCEPT
-- Author: pshai

--[[
    -- WARNING, PLEASE READ --
    This bot executes trades based on estimations and on the
    assumption that prices do not change when orders are sent out!

    Please do not use this bot for actual trading, unless you want to
    prove to yourself that this type of trading IS NOT profitable!
]]

EnableHighSpeedUpdates()
HideOrderSettings()
HideTradeAmountSettings()

local market1 = PriceMarket()
local market2 = InputMarket('Second market')
local market3 = InputMarket('Third market')
local starting_amt = Input('Starting Quote Amount', 1, 'If the main market is for example ETH/BTC, this amount is read as BTC.')


if not init then
    Log('market 3: ' .. market3)
    Log('market 2: ' .. market2)
    Log('market 1: ' .. market1)

    __update_cycle = false
    __total_profit = 0
    __orderIds = {}

    __pids = {
        NewGuid(),
        NewGuid(),
        NewGuid()
    }

    init = true
end


PlotPrice(1, market2)
PlotPrice(2, market3)
ChartSetOptions(0, market1, 0.33)
ChartSetOptions(1, market2, 0.33)
ChartSetOptions(2, market3, 0.33)

--[[
    consider the following markets:
    1: ETH/BTC
    2: XRP/ETH
    3: XRP/BTC

    cycle 1 would go:
        BTC -> ETH
        ETH -> XRP
        XRP -> BTC
    cycle 2 would go:
        BTC -> XRP
        XRP -> ETH
        ETH -> BTC
]]

function runCycles(mkt1, mkt2, mkt3)
    local cp1 = CurrentPrice(mkt1)
    local cp2 = CurrentPrice(mkt2)
    local cp3 = CurrentPrice(mkt3)

    -- run cycle 1
    local p1 = cp1.ask
    local p2 = cp2.ask
    local p3 = cp3.bid
    local a1 = starting_amt / p1
    local a2 = SubPerc(a1, TakersFee(mkt1)) / p2
    local a3 = SubPerc(a2, TakersFee(mkt2))
    local final_amt = SubPerc(a3, TakersFee(mkt3)) * p3

    Log('------------------------------', DarkGray)
    Log('Est. Difference: '..Round(final_amt - starting_amt, 8)..' '..QuoteCurrency(mkt1), DarkGray)
    Log('Est. After cycle: '..Round(final_amt, 8)..' '..QuoteCurrency(mkt1), DarkGray)
    Log('Starting amount: '..starting_amt..' '..QuoteCurrency(mkt1), DarkGray)

    -- if profitable, run cycle
    if final_amt > starting_amt then
        __orderIds[1] = PlaceBuyOrder(
            p1,
            a1,
            mkt1,
            MarketOrderType,
            'Buy #1',
            __pids[1],
            600
        )
        __orderIds[2] = PlaceBuyOrder(
            p2,
            a2,
            mkt2,
            MarketOrderType,
            'Buy #2',
            __pids[2],
            600
        )
        __orderIds[3] = PlaceSellOrder(
            p3,
            a3,
            mkt3,
            MarketOrderType,
            'Sell #3',
            __pids[3],
            600
        )

        Log('Potentially profitable cycle.', Green)

        __update_cycle = true
    end

    Log('Cycle #1', White)
    
    -- run cycle 2
    local p1 = cp3.ask
    local p2 = cp2.bid
    local p3 = cp1.bid
    local a1 = starting_amt / p1
    local a2 = SubPerc(a1, TakersFee(mkt3))
    local a3 = SubPerc(a2, TakersFee(mkt2)) * p2
    local final_amt = SubPerc(a3, TakersFee(mkt1)) * p3

    Log('------------------------------', DarkGray)
    Log('Est. Difference: '..Round(final_amt - starting_amt, 8)..' '..QuoteCurrency(mkt1), DarkGray)
    Log('Est. After cycle: '..Round(final_amt, 8)..' '..QuoteCurrency(mkt1), DarkGray)
    Log('Starting amount: '..starting_amt..' '..QuoteCurrency(mkt1), DarkGray)

    if final_amt > starting_amt then
        __orderIds[1] = PlaceBuyOrder(
            p1,
            a1,
            mkt3,
            MarketOrderType,
            'Buy #1',
            __pids[1],
            600
        )
        __orderIds[2] = PlaceSellOrder(
            p2,
            a2,
            mkt2,
            MarketOrderType,
            'Sell #2',
            __pids[2],
            600
        )
        __orderIds[3] = PlaceSellOrder(
            p3,
            a3,
            mkt1,
            MarketOrderType,
            'Sell #3',
            __pids[3],
            600
        )

        Log('Potentially profitable cycle.', Green)

        __update_cycle = true
    end

    Log('Cycle #2', White)
end

function updateCycle()
    -- check orders and calculate final profit
    local oids = __orderIds

    if Count(oids) > 0 then
        local oid1 = oids[1]
        local oid2 = oids[2]
        local oid3 = oids[3]

        local order1 = OrderContainer(oid1)
        local order2 = OrderContainer(oid2)
        local order3 = OrderContainer(oid3)

        if not (order1.isOpen and order2.isOpen and order3.isOpen) then
            local final_profit = (order3.filledAmount * order3.price) - (order1.filledAmount * order1.price)

            __total_profit = __total_profit + final_profit

            Log('Final realized profit: ' .. final_profit .. ' ' .. QuoteCurrency(market1), final_profit > 0 and Green or Red)

            __orderIds = {}
            __update_cycle = false

            CloseVPosition(order1.price, __pids[1])
            CloseVPosition(order2.price, __pids[2])
            CloseVPosition(order3.price, __pids[3])

            __pids = {
                NewGuid(),
                NewGuid(),
                NewGuid()
            }
        else
            __update_cycle = true -- keep updating
        end
    end
end


-- main logic
if __update_cycle then
    updateCycle()
else
    runCycles(market1, market2, market3)
end