Added AI documentation

2026-08-23 14:22:55 +00:00 · 2026-05-07 13:28:20 +02:00
parent 7853834286
commit 6e4dbcf7b1
9 changed files with 618 additions and 0 deletions
@@ -0,0 +1,112 @@
+// 03-cross-exchange-arbitrage-skeleton.cs
+//
+// Demonstrates: skeleton pattern for a cross-exchange spot arbitrage scanner.
+// This is a structural example — production arbitrage requires also:
+//   - real-time WebSocket feeds (not REST polling)
+//   - orderbook depth analysis (not just ticker)
+//   - slippage / fees modeling
+//   - withdrawal availability and timing
+//   - inventory management on both sides
+// Use this as a starting structure, not a deployable bot.
+//
+// Setup:
+//   dotnet add package Binance.Net
+//   dotnet add package JK.OKX.Net
+//   dotnet add package Bybit.Net
+
+using Binance.Net.Clients;
+using OKX.Net.Clients;
+using Bybit.Net.Clients;
+using CryptoExchange.Net.SharedApis;
+
+// ---- CONFIGURATION ----
+// Symbols to monitor and minimum profit threshold (gross, before fees)
+var symbols = new[]
+{
+    new SharedSymbol(TradingMode.Spot, "BTC", "USDT"),
+    new SharedSymbol(TradingMode.Spot, "ETH", "USDT"),
+    new SharedSymbol(TradingMode.Spot, "SOL", "USDT"),
+};
+
+const decimal minSpreadBps = 30; // 0.30% — must exceed total fees on both legs
+
+// ---- USE BOOK TICKER FOR TIGHTER SPREADS ----
+// IBookTickerRestClient gives best bid/ask, narrower than 24h ticker.
+// For real arbitrage you'd use IOrderBookSocketClient for depth + push updates.
+var exchanges = new List<IBookTickerRestClient>
+{
+    new BinanceRestClient().SpotApi.SharedClient,
+    new OKXRestClient().UnifiedApi.SharedClient,
+    new BybitRestClient().V5Api.SharedClient,
+};
+
+// ---- MAIN LOOP (simplified: REST polling, 5-second intervals) ----
+// In production: replace with concurrent WebSocket subscriptions.
+while (true)
+{
+    foreach (var symbol in symbols)
+    {
+        await ScanSymbolAsync(symbol, exchanges);
+    }
+
+    Console.WriteLine($"--- waiting 5s --- ({DateTime.UtcNow:HH:mm:ss})");
+    await Task.Delay(TimeSpan.FromSeconds(5));
+}
+
+// ---- SCAN ONE SYMBOL ACROSS ALL EXCHANGES ----
+async Task ScanSymbolAsync(SharedSymbol symbol, List<IBookTickerRestClient> clients)
+{
+    // Fetch best bid/ask from every exchange in parallel
+    var tasks = clients.Select(c => GetBookAsync(c, symbol)).ToArray();
+    var quotes = (await Task.WhenAll(tasks)).Where(q => q != null).Cast<Quote>().ToList();
+
+    if (quotes.Count < 2) return;
+
+    // Find best buy venue (lowest ask) and best sell venue (highest bid)
+    var bestBuy  = quotes.OrderBy(q => q.AskPrice).First();
+    var bestSell = quotes.OrderByDescending(q => q.BidPrice).First();
+
+    if (bestBuy.Exchange == bestSell.Exchange) return; // no cross-venue arbitrage
+
+    // Spread in basis points
+    var spreadBps = (bestSell.BidPrice - bestBuy.AskPrice) / bestBuy.AskPrice * 10_000;
+
+    if (spreadBps >= minSpreadBps)
+    {
+        Console.WriteLine(
+            $"[{symbol.BaseAsset}/{symbol.QuoteAsset}] BUY {bestBuy.Exchange}@{bestBuy.AskPrice} " +
+            $"SELL {bestSell.Exchange}@{bestSell.BidPrice} " +
+            $"spread={spreadBps:F1}bps");
+
+        // Production hooks would go here:
+        //   - check available inventory on both venues
+        //   - simulate execution against orderbook depth
+        //   - compute net P&L after fees
+        //   - if profitable, execute via ISpotOrderRestClient on both venues
+    }
+}
+
+async Task<Quote?> GetBookAsync(IBookTickerRestClient client, SharedSymbol symbol)
+{
+    var result = await client.GetBookTickerAsync(new GetBookTickerRequest(symbol));
+    if (!result.Success || result.Data?.BestBidPrice == null || result.Data.BestAskPrice == null)
+        return null;
+
+    return new Quote(
+        Exchange: client.Exchange,
+        BidPrice: result.Data.BestBidPrice.Value,
+        AskPrice: result.Data.BestAskPrice.Value);
+}
+
+record Quote(string Exchange, decimal BidPrice, decimal AskPrice);
+
+// Production checklist (NOT in this skeleton):
+//   ✓ Use WebSocket book tickers (IBookTickerSocketClient) instead of REST polling
+//   ✓ Track full orderbook depth (IOrderBookSocketClient) to estimate fill price for size > top-of-book
+//   ✓ Model fees per exchange per pair (taker vs maker, BNB discount, etc.)
+//   ✓ Track inventory on both venues — can't sell what you don't have
+//   ✓ Account for withdrawal delays if rebalancing inventory
+//   ✓ Set hard P&L stops, position limits, maximum exposure per pair
+//   ✓ Use ISpotOrderRestClient with reduce-only / IOC order types for atomic execution
+//   ✓ Monitor connection health and have failover logic
+//   ✓ Log everything — arbitrage P&L analysis requires complete audit trails