Falbit Utils

Utility functions for universal pure arbitrage strategy using TypeScript. This package supports both order book and amm systems, allowing flexible usage for different types of exchanges.

Installation

Include the SDK in your project by adding it to your dependencies:

npm install --save @pfalcon/falbit-utils

Usage

1. Pure arbitrage usage

import { ArbitrageEngine } from "@pfalcon/falbit-utils";

// Initialize the engine
const arbEngine = new ArbitrageEngine();

// Initialize exchange connection API (with your options)
const binanceAPI = new BinanceAPI();
const krakenAPI = new KrakenAPI();

// Subscribe to order book and update data on engine
binanceAPI.getOrderBook("BTC_USDT").then((orderBook) => {
  arbEngine.updateOrderBook("BTC_USDT", "binance", orderBook);
});
krakenAPI.getOrderBook("BTC_USDT").then((orderBook) => {
  arbEngine.updateOrderBook("BTC_USDT", "kraken", orderBook);
});

// Interval check arbitrage opportunity
setInterval(() => {
  try {
    const result = arbEngine.calculatePureArb({
      exchange0: "binance",
      exchange1: "kraken",
      token0: "BTC",
      token1: "USDT",
      amountIn: 100,
      fee0: 0,
      fee1: 0,
    });
    console.log("No fee: ", result);
    /*
        Output:
        No fee:  {
            route: {
                route: [ 'USDT', 'BTC', 'USDT' ],
                exchanges: [ '', 'binance', 'kraken'],
                fees: [ 0, 0, 0 ],
                amountIn: 100
            },
            amountsOut: [ 100, 0.0033, 101 ]
        }
    */

    const resultWithFee = arbEngine.calculatePureArb({
      exchange0: "binance",
      exchange1: "kraken",
      token0: "BTC",
      token1: "USDT",
      amountIn: 100,
      fee0: 0.001,
      fee1: 0.001,
    });
    console.log("With fee: ", resultWithFee);
    /*
        Output:
        With fee:  {
            route: {
                route: [ 'USDT', 'BTC', 'USDT' ],
                exchanges: [ '', 'kraken', 'binance'],
                fees: [ 0, 0.001, 0.001 ],
                amountIn: 100
            },
            amountsOut: [ 100, 0.0029, 99.97 ]
        }
    */
  } catch (e) {
    console.error(e);
  }
}, 1000);

Important Notes

1. The symbols used in the engine should conform this format: {BASE}_{QUOTE}, e.g. BTC_USDT, ETH_BTC, etc.
2. When calculating getAmountOut function, the engine will determine trade direction by considering the symbol format regarding the initilize symbol that is updated in the engine. For example, if the engine is initialized with symbol BTC_USDT, then using getAmountOut('BTC_USDT') means selling BTC to USDT (BTC -> USDT). In contrast, using getAmountOut('USDT_BTC') means buying BTC using USDT (USDT -> BTC).
3. Order book data must be in this format:

type OrderBook = {
  bids: { size: number, price: number }[];
  asks: { size: number, price: number }[];
}

Support

For issues and feature requests, please open an issue on GitHub.

License

This project is licensed under the MIT License - see the LICENSE.md file for details.