Core Features¶
ArBot provides a comprehensive suite of features for cryptocurrency arbitrage trading. This page details the core functionality that makes ArBot a powerful and reliable trading tool.
Real-Time Arbitrage Detection¶
Multi-Exchange Price Monitoring¶
ArBot simultaneously monitors prices across multiple cryptocurrency exchanges:
- Binance - World's largest exchange by volume
- Bybit - Leading derivatives and spot exchange
- OKX - Major global exchange with deep liquidity
- Bitget - Fast-growing exchange with competitive rates
WebSocket Connections - Real-time price feeds with sub-second latency - Automatic reconnection and error handling - Redundant data sources for reliability
Price Data Collection
# Example of collected data structure
{
"symbol": "BTCUSDT",
"exchange": "binance",
"bid": 43250.50,
"ask": 43251.00,
"bid_size": 2.5,
"ask_size": 1.8,
"timestamp": 1640995200.123
}
Spread Calculation Engine¶
Real-Time Spread Analysis - Continuous calculation of price differences between exchanges - Accounts for trading fees and slippage - Filters out anomalous spreads (outlier detection)
Spread Formula
Gross Spread = (Higher Exchange Ask - Lower Exchange Bid) / Lower Exchange Bid × 100
Net Spread = Gross Spread - (Buy Fee + Sell Fee + Slippage)
Profitability Calculation - Includes maker/taker fees for each exchange - Adjusts for expected slippage - Considers minimum trade sizes and liquidity
Dynamic Symbol Management¶
Intelligent Symbol Selection¶
Volume-Based Prioritization - Automatically identifies high-volume trading pairs - Ranks symbols by 24h trading volume - Focuses monitoring on most liquid markets
Quote Currency Filtering - Configurable focus on specific quote currencies - Default: USDT pairs for maximum liquidity - Support for BUSD, USDC, BTC, ETH, BNB pairs
Adaptive Monitoring
# Symbol selection process
1. Fetch all available symbols from exchanges
2. Filter by enabled quote currencies
3. Sort by 24h volume (descending)
4. Select top N symbols (configurable limit)
5. Update monitoring list every hour
Symbol Performance Tracking¶
Historical Analysis - Track symbol performance over time - Identify consistently profitable pairs - Remove underperforming symbols automatically
Liquidity Monitoring - Monitor order book depth for each symbol - Avoid symbols with insufficient liquidity - Adjust position sizes based on available liquidity
Moving Average Integration¶
30-Second Moving Averages¶
Real-Time Calculation - Maintains rolling 30-second price history - Calculates simple moving average for trend analysis - Updates every second for responsive trend detection
Trend Identification
# Trend calculation logic
first_half_avg = average(prices[0:15]) # First 15 seconds
second_half_avg = average(prices[15:30]) # Last 15 seconds
change_percent = (second_half_avg - first_half_avg) / first_half_avg
if change_percent > threshold:
trend = "↗" # Uptrend
elif change_percent < -threshold:
trend = "↘" # Downtrend
else:
trend = "→" # Neutral
Configurable Parameters - Moving average period (default: 30 seconds) - Trend confirmation threshold (default: 0.1%) - Trend filter modes for different strategies
Trend-Based Arbitrage Filtering¶
Smart Opportunity Selection¶
Trend-Aware Trading - Only execute arbitrage during favorable trends - Reduces risk of adverse price movements - Improves overall success rate
Filter Modes 1. Uptrend Buy Low - Buy from lower-priced exchange during uptrends 2. Downtrend Sell High - Sell to higher-priced exchange during downtrends 3. Both Directions - Trade in any trend direction 4. Disabled - No trend filtering
Implementation Logic
def should_allow_arbitrage(symbol, higher_exchange, lower_exchange):
if not use_trend_filter:
return True
trend_higher = get_price_trend(symbol, higher_exchange)
trend_lower = get_price_trend(symbol, lower_exchange)
if trend_filter_mode == "uptrend_buy_low":
return trend_higher == "↗" or trend_lower == "↗"
elif trend_filter_mode == "downtrend_sell_high":
return trend_higher == "↘" or trend_lower == "↘"
return True
Premium Detection System¶
Exchange Premium Analysis¶
Statistical Analysis - Analyzes historical price differences between exchanges - Identifies exchanges that consistently trade at premium/discount - Adjusts arbitrage thresholds accordingly
Outlier Detection - Uses statistical methods to identify unusual spreads - Filters out market manipulation or data errors - Prevents trading on unreliable price differences
Regional Premium Tracking - Monitors region-specific premiums (e.g., Kimchi Premium) - Tracks premium patterns over time - Provides insights for long-term strategy
Premium Calculation¶
Lookback Analysis
# Premium detection parameters
lookback_periods = 100 # Historical periods to analyze
min_samples = 70 # Minimum data points required
outlier_threshold = 2.0 # Standard deviations for outliers
# Calculate baseline premium
historical_spreads = get_historical_spreads(symbol, lookback_periods)
baseline_premium = median(historical_spreads)
spread_std = standard_deviation(historical_spreads)
# Identify outliers
for spread in current_spreads:
z_score = (spread - baseline_premium) / spread_std
if abs(z_score) > outlier_threshold:
mark_as_outlier(spread)
Risk Management Framework¶
Multi-Layer Protection¶
Position-Level Risk - Individual trade stop losses - Maximum position sizes - Slippage tolerance limits
Portfolio-Level Risk - Maximum drawdown protection - Concurrent trade limits - Balance threshold monitoring
System-Level Risk - API rate limiting - Connection timeout handling - Error recovery mechanisms
Risk Metrics Tracking¶
Real-Time Monitoring - Current drawdown percentage - Win/loss ratio - Average profit per trade - Risk-adjusted returns
Performance Analytics
# Key risk metrics
{
"total_trades": 156,
"winning_trades": 142,
"losing_trades": 14,
"win_rate": 91.0,
"average_profit": 0.0087,
"max_drawdown": 2.3,
"sharpe_ratio": 2.8,
"profit_factor": 4.2
}
Data Management System¶
SQLite Database Storage¶
Efficient Data Storage - Ticker data from all exchanges - Arbitrage opportunities detected - Trade execution history - Performance metrics
Automated Cleanup - Configurable data retention periods - Automatic old data removal - Database optimization routines
Data Export Capabilities - CSV export for analysis - Historical data backups - Performance reporting
Real-Time Data Processing¶
Asynchronous Architecture - Non-blocking data collection - Concurrent processing of multiple exchanges - Real-time arbitrage detection
Performance Optimization - Efficient data structures - Memory management - CPU usage optimization
Configuration System¶
Flexible Configuration¶
Multiple Configuration Sources 1. Default built-in settings 2. Main configuration file (config.json) 3. Local override file (config.local.json) 4. Environment variables
Hot Configuration Reload - Update settings without restart - Real-time parameter adjustment - Safe configuration validation
Environment Adaptation¶
Development vs Production - Different default settings - Appropriate logging levels - Resource usage optimization
User Customization - Personal trading preferences - Risk tolerance settings - UI customization options
Error Handling and Resilience¶
Robust Error Recovery¶
Connection Management - Automatic reconnection to exchanges - Fallback data sources - Graceful degradation
Data Validation - Price data sanity checks - Timestamp validation - Missing data handling
System Recovery - Automatic restart on critical errors - State preservation - Transaction rollback
Comprehensive Logging¶
Multi-Level Logging - DEBUG: Detailed system information - INFO: Normal operation events - WARNING: Potential issues - ERROR: Critical problems
Log Management - Automatic log rotation - Configurable log levels - Structured log formats
Performance Monitoring¶
Real-Time Metrics¶
System Performance - CPU and memory usage - Network latency measurements - Data processing rates
Trading Performance - Arbitrage opportunities found - Execution success rates - Profit/loss tracking
Performance Optimization¶
Adaptive Parameters - Automatic parameter tuning - Performance-based adjustments - Resource usage optimization
Monitoring Dashboard - Real-time performance metrics - Historical performance charts - System health indicators
Performance Tuning
For optimal performance, monitor system resources and adjust max_symbols, refresh_rate_ms, and max_spread_age_seconds based on your hardware capabilities and network latency.
Created: July 12, 2025