dex_cex_arb.py

import requests
import logging
import json
from web3 import Web3
import config
import logging
import asyncio


# ENABLE LOGGING - options, DEBUG,INFO, WARNING?
logging.basicConfig(level=logging.INFO,
                    format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
logger = logging.getLogger(__name__)

# Flag if set to True, will execute live trades
production = False

# Permitable slippage
slippage = 1

# Seconds to wait between each quote request
waitTime = 5

# Minimum percentage between prices to trigger arbitrage
min_arb_percent = 0.5

# Percentage difference between the prices to trigger rebalancing
rebalance_percent = 0.4

# OneInch API
BASE_URL = 'https://api.1inch.io/v4.0/137'

# if MATIC --> USDC - (enter the amount in units Ether)
trade_size = 10
amount_to_exchange = Web3.toWei(trade_size, 'ether')
amount_of_usdc_to_trade = trade_size * 10**6

matic_address = Web3.toChecksumAddress(
    '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE')  # MATIC Token Contract address on Polygon Network


usdc_address = Web3.toChecksumAddress(
    '0x2791Bca1f2de4661ED88A30C99A7a9449Aa84174')  # USDC Token contract address on Polygon Network

# Contract abi for usdc contract on poolygon
usdc_contract_abi = json.load(open('usdc_contract_abi.json', 'r'))


eth_provider_url = config.ALCHEMY_URL
base_account = Web3.toChecksumAddress(config.BASE_ACCOUNT)
wallet_address = base_account
private_key = config.PRIVATE_KEY


# Alpaca API
BASE_ALPACA_URL = 'https://paper-api.alpaca.markets'
DATA_URL = 'https://data.alpaca.markets'
HEADERS = {'APCA-API-KEY-ID': config.APCA_API_KEY_ID,
           'APCA-API-SECRET-KEY': config.APCA_API_SECRET_KEY}

trading_pair = 'MATICUSD'  # Checking quotes and trading MATIC against USD
exchange = 'FTXU'  # FTXUS

last_alpaca_ask_price = 0
last_oneInch_market_price = 0
alpaca_trade_counter = 0
oneInch_trade_counter = 0


async def main():
    '''
    These are examples of different functions in the script.
    Uncomment the command you want to run.
    '''
    # Accessing the usdc contract on polygon using Web3 Library
    usdc_token = w3.eth.contract(address=usdc_address, abi=usdc_contract_abi)
    # Log the current balance of the usdc token for our wallet_address
    usdc_balance = usdc_token.functions.balanceOf(wallet_address).call()

    # Log the current balance of the MATIC token in our Alpaca account
    logger.info('Matic Position on Alpaca: {0}'.format(get_positions()))
    # Log the current Cash Balance (USD) in our Alpaca account
    logger.info("USD position on Alpaca: {0}".format(
        get_account_details()['cash']))
    # Log the current balance of MATIC token in our wallet_address
    logger.info('Matic Position on 1 Inch: {0}'.format(
        Web3.fromWei(w3.eth.getBalance(wallet_address), 'ether')))
    # Log the current balance of USDC token in our wallet_address. We
    logger.info('USD Position on 1 Inch: {0}'.format(usdc_balance/10**6))

    while True:
        l1 = loop.create_task(get_oneInch_quote_data(
            matic_address, usdc_address, amount_to_exchange))
        l2 = loop.create_task(get_alpaca_quote_data(trading_pair, exchange))
        # Wait for the tasks to finish
        await asyncio.wait([l1, l2])
        await check_arbitrage()
        # Wait for the a certain amount of time between each quote request
        await asyncio.sleep(waitTime)


async def get_oneInch_quote_data(_from_coin, _to_coin, _amount_to_exchange):
    '''
    Get trade quote data from 1Inch API
    '''
    # Try to get a quote from 1Inch
    try:
        # Get the current quote response for the trading pair (MATIC/USDC)
        quote = requests.get(
            '{0}/quote?fromTokenAddress={1}&toTokenAddress={2}&amount={3}'.format(BASE_URL, _from_coin, _to_coin, _amount_to_exchange))
        # Status code 200 means the request was successful
        if quote.status_code != 200:
            logger.info(
                "Undesirable response from 1 Inch! This is probably bad.")
            return False
        # Refer to the global variable we initialized earlier
        global last_oneInch_market_price
        # Get the current quoted price from the quote response in terms USDC (US Dollar)
        last_oneInch_market_price = int(quote.json()['toTokenAmount'])/10**6
        # Log the current quote of MATIC/USDC
        logger.info('OneInch Price for 10 MATIC: {0}'.format(
            last_oneInch_market_price))
    # If there is an error, log it
    except Exception as e:
        logger.exception(
            "There was an issue getting trade quote from 1 Inch: {0}".format(e))
        return False

    return last_oneInch_market_price


async def get_alpaca_quote_data(trading_pair, exchange):
    '''
    Get trade quote data from Alpaca API
    '''
    # Try to get a quote from 1Inch
    try:
        # Get the current quote response for the trading pair (MATIC/USDC)
        quote = requests.get(
            '{0}/v1beta1/crypto/{1}/quotes/latest?exchange={2}'.format(DATA_URL, trading_pair, exchange), headers=HEADERS)
        # Status code 200 means the request was successful
        if quote.status_code != 200:
            logger.info(
                "Undesirable response from Alpaca! {}".format(quote.json()))
            return False
        # Refer to the global variable we initialized earlier
        global last_alpaca_ask_price
        # Get the latest quoted asking price from the quote response in terms US Dollar
        last_alpaca_ask_price = quote.json(
        )['quote']['ap'] * 10  # for 10 MATIC
        # Log the latest quote of MATICUSD
        logger.info('Alpaca Price for 10 MATIC: {0}'.format(
            last_alpaca_ask_price))
    # If there is an error, log it
    except Exception as e:
        logger.exception(
            "There was an issue getting trade quote from Alpaca: {0}".format(e))
        return False

    return last_alpaca_ask_price


def get_oneInch_swap_data(_from_coin, _to_coin, _amount_to_exchange):
    '''
    Get call data from 1Inch API
    '''
    try:
        call_data = requests.get(
            '{0}/swap?fromTokenAddress={1}&toTokenAddress={2}&amount={3}&fromAddress={4}&slippage={5}'.format(BASE_URL, _from_coin, _to_coin, _amount_to_exchange, wallet_address, slippage))
        logger.info('response from 1 inch generic call_data request - status code: {0}'.format(
            call_data.status_code))
        if call_data.status_code != 200:
            logger.info(call_data.json()['description'])
            return False
        call_data = call_data.json()
        nonce = w3.eth.getTransactionCount(wallet_address)
        tx = {
            'from': call_data['tx']['from'],
            'nonce': nonce,
            'to': Web3.toChecksumAddress(call_data['tx']['to']),
            'chainId': 137,
            'value': int(call_data['tx']['value']),
            'gasPrice': w3.toWei(call_data['tx']['gasPrice'], 'wei'),
            'data': call_data['tx']['data'],
            'gas': call_data['tx']['gas']
        }
        # tx = call_data['tx']
        # tx['nonce'] = nonce  # Adding nonce to tx data

        # logger.info('get_api_call_data: {0}'.format(call_data))

    except Exception as e:
        logger.warning(
            "There was a issue getting get contract call data from 1 inch: {0}".format(e))
        return False

    return tx


def get_account_details():
    '''
    Get Alpaca Trading Account Details
    '''
    try:
        account = requests.get(
            '{0}/v2/account'.format(BASE_ALPACA_URL), headers=HEADERS)
        if account.status_code != 200:
            logger.info(
                "Undesirable response from Alpaca! {}".format(account.json()))
            return False
    except Exception as e:
        logger.exception(
            "There was an issue getting account details from Alpaca: {0}".format(e))
        return False
    return account.json()


def get_open_orders():
    '''
    Get open orders
    '''
    try:
        open_orders = requests.get(
            '{0}/v2/orders'.format(BASE_URL), headers=HEADERS)
        logger.info('Alpaca open orders reply status code: {0}'.format(
            open_orders.status_code))
        if open_orders.status_code != 200:
            logger.info(
                "Undesirable response from Alpaca! {}".format(open_orders.json()))
            return False
        logger.info('get_open_orders: {0}'.format(open_orders.json()))
    except Exception as e:
        logger.exception(
            "There was an issue getting open orders from Alpaca: {0}".format(e))
        return False
    return open_orders.json()

# Get current MATIC position on Alpaca


def get_positions():
    '''
    Get positions
    '''
    try:
        positions = requests.get(
            '{0}/v2/positions'.format(BASE_ALPACA_URL), headers=HEADERS)
        # logger.info('Alpaca positions reply status code: {0}'.format(
        # positions.status_code))
        if positions.status_code != 200:
            logger.info(
                "Undesirable response from Alpaca! {}".format(positions.json()))
            return False
        # positions = positions[0]
        matic_position = positions.json()[0]['qty']
        # logger.info('Matic Position on Alpaca: {0}'.format(matic_position))
    except Exception as e:
        logger.exception(
            "There was an issue getting positions from Alpaca: {0}".format(e))
        return False
    return matic_position


# Post and Order to Alpaca
def post_Alpaca_order(symbol, qty, side, type, time_in_force):
    '''
    Post an order to Alpaca
    '''
    try:
        order = requests.post(
            '{0}/v2/orders'.format(BASE_ALPACA_URL), headers=HEADERS, json={
                'symbol': symbol,
                'qty': qty,
                'side': side,
                'type': type,
                'time_in_force': time_in_force,
            })
        logger.info('Alpaca order reply status code: {0}'.format(
            order.status_code))
        if order.status_code != 200:
            logger.info(
                "Undesirable response from Alpaca! {}".format(order.json()))
            return False
    except Exception as e:
        logger.exception(
            "There was an issue posting order to Alpaca: {0}".format(e))
        return False
    return order.json()

# Establish connection to the WEB3 provider


def connect_to_ETH_provider():
    try:
        web3 = Web3(Web3.HTTPProvider(eth_provider_url))
    except Exception as e:
        logger.warning(
            "There is an issue with your initial connection to Ethereum Provider: {0}".format(e))
        quit()
    return web3


# Sign and send txns to the blockchain
async def signAndSendTransaction(transaction_data):
    try:
        txn = w3.eth.account.signTransaction(transaction_data, private_key)
        tx_hash = w3.eth.sendRawTransaction(txn.rawTransaction)
        logger.info(
            '1Inch Txn can be found at https://polygonscan.com/tx/{0}'.format(Web3.toHex(tx_hash)))
        tx_receipt = await w3.eth.wait_for_transaction_receipt(Web3.toHex(tx_hash))
        if tx_receipt.json()['status'] == 1:
            logger.info('1Inch Transaction went through!')
            return True
        else:
            logger.info("1Inch Transaction failed!")
            return False
    except Exception as e:
        logger.warning(
            "There is an issue sending transaction to the blockchain: {0}".format(e))
    return False


# Check for Arbitrage opportunities
async def check_arbitrage():
    logger.info('Checking for arbitrage opportunities')
    rebalance = needs_rebalancing()
    global alpaca_trade_counter
    global oneInch_trade_counter
    # if the current price at alpaca is greater than the current price at 1inch by a given arb % and we do not need a rebalnce
    # then we have an arbitrage opportunity. In this case we will buy on 1Inch and sell on Alpaca
    if (last_alpaca_ask_price > last_oneInch_market_price * (1 + min_arb_percent/100) and rebalance != True):
        logger.info('Selling on ALPACA, Buying on 1Inch')
        if production:
            sell_order = post_Alpaca_order(
                trading_pair, trade_size, 'sell', 'market', 'gtc')
            # if the above sell order goes through we will subtract 1 from alpaca trade counter
            if sell_order['status'] == 'accepted':
                alpaca_trade_counter -= 1
                # Only buy on oneInch if our sell txn on alpaca goes through
                # To buy 10 MATIC, we multiply its price by 10 (amount to exchnage) and then futher multiply it by 10^6 to get USDC value
                buy_order_data = get_oneInch_swap_data(
                    usdc_address, matic_address, last_oneInch_market_price*amount_of_usdc_to_trade)
                buy_order = await signAndSendTransaction(buy_order_data)
                if buy_order == True:
                    oneInch_trade_counter += 1
    # If the current price at alpaca is less than the current price at 1inch by a given arb % and we do not need a rebalnce
    # then we have an arbitrage opportunity. In this case we will buy on Alpaca and sell on 1Inch
    elif (last_alpaca_ask_price < last_oneInch_market_price * (1 - min_arb_percent/100) and rebalance != True):
        logger.info('Buying on ALPACA, Selling on 1Inch')
        if production:
            buy_order = post_Alpaca_order(
                trading_pair, 10, 'buy', 'market', 'gtc')
            # if the above buy order goes through we will add 1 to alpaca trade counter
            if buy_order['status'] == 'accepted':
                alpaca_trade_counter += 1
                # Only sell on oneInch if our buy txn on alpaca goes through
                # To sell 10 MATIC, we pass it amount to exchnage
                sell_order_data = get_oneInch_swap_data(
                    matic_address, usdc_address, amount_to_exchange)
                sell_order = await signAndSendTransaction(sell_order_data)
                if sell_order == True:
                    oneInch_trade_counter -= 1
    # If neither of the above conditions are met then either there is no arbitrage opportunity found and/or we need to rebalance
    else:
        if rebalance:
            await rebalancing()
        else:
            logger.info('No arbitrage opportunity available')
    pass

# Function to check if we need to rebalance -> might need to add more conditions here


def needs_rebalancing():
    # Get current MATIC positions on both exchanges
    current_matic_alpaca = int(get_positions())
    current_matic_1Inch = int(Web3.fromWei(
        w3.eth.getBalance(wallet_address), 'ether'))
    # If the current amount of MATIC on Alpaca minus the trade size (10) is greater than 0 then we are good enough to trade on Alpaca
    if current_matic_alpaca - 10 < 0 or current_matic_1Inch - 10 < 0:
        logger.info(
            'We will have less than 10 MATIC on one of the exchanges if we trade. We need to rebalance.')
        return True
    # If the current trade counter on Alpaca and 1Inch is not 0 then we need to rebalance
    if alpaca_trade_counter != 0 or oneInch_trade_counter != 0:
        logger.info("We need to rebalance our positions")
        return True
    return False


# Rebalance Portfolio
async def rebalancing():
    logger.info('Rebalancing')
    global alpaca_trade_counter
    global oneInch_trade_counter

    # Get current MATIC positions on both exchanges
    current_matic_alpaca = get_positions()
    current_matic_1Inch = Web3.fromWei(
        w3.eth.getBalance(wallet_address), 'ether')
    # Only execute rebalancing trades if production is true (we are live)

    if (current_matic_alpaca - 10 > 0 and alpaca_trade_counter != 0):
        if (alpaca_trade_counter > 0 and last_alpaca_ask_price < last_oneInch_market_price * (1 + rebalance_percent/100)):
            logger.info('Rebalancing Alpaca side by selling on Alpaca')
            if production:
                sell_order = post_Alpaca_order(
                    trading_pair, 10, 'sell', 'market', 'gtc')
                if sell_order['status'] == 'accepted':
                    alpaca_trade_counter -= 1
        elif(alpaca_trade_counter < 0 and last_alpaca_ask_price > last_oneInch_market_price * (1 - rebalance_percent/100)):
            logger.info('Rebalancing Alpaca side by buying on Alpaca')
            if production:
                buy_order = post_Alpaca_order(
                    trading_pair, 10, 'buy', 'market', 'gtc')
                if buy_order['status'] == 'accepted':
                    alpaca_trade_counter += 1

    if current_matic_alpaca - 10 < 0 and alpaca_trade_counter != 0:
        logger.info(
            'Unable to rebalance Alpaca side due to insufficient funds')

    if current_matic_1Inch - 10 > 0 and oneInch_trade_counter != 0:
        if (oneInch_trade_counter > 0 and last_oneInch_market_price < last_alpaca_ask_price * (1 + rebalance_percent/100)):
            logger.info('Rebalancing oneInch side by selling on oneInch')
            if production:
                sell_order_data = get_oneInch_swap_data(
                    matic_address, usdc_address, amount_to_exchange)
                sell_order = await signAndSendTransaction(sell_order_data)
                if sell_order == True:
                    oneInch_trade_counter -= 1
        elif(oneInch_trade_counter < 0 and last_oneInch_market_price > last_alpaca_ask_price * (1 - rebalance_percent/100)):
            logger.info('Rebalancing oneInch side by buying on oneInch')
            if production:
                buy_order_data = get_oneInch_swap_data(
                    usdc_address, matic_address, amount_to_exchange)
                buy_order = await signAndSendTransaction(buy_order_data)
                if sell_order == True:
                    oneInch_trade_counter += 1
    if current_matic_1Inch - 10 < 0 and oneInch_trade_counter != 0:
        logger.info(
            'Unable to rebalance oneInch side due to insufficient funds')

    pass


def get_allowance(_token):
    '''
    Get allowance for a given token, the 1inch router is allowed to spend
    '''
    try:
        allowance = requests.get(
            '{0}/approve/allowance?tokenAddress={1}&walletAddress={2}'.format(BASE_URL, _token, wallet_address))
        logger.info('1inch allowance reply status code: {0}'.format(
            allowance.status_code))
        if allowance.status_code != 200:
            logger.info(
                "Undesirable response from 1 Inch! This is probably bad.")
            return False
        logger.info('get_allowance: {0}'.format(allowance.json()))

    except Exception as e:
        logger.exception(
            "There was an issue getting allowance for the token from 1 Inch: {0}".format(e))
        return False
    logger.info("allowance: {0}".format(allowance))
    return allowance.json()


def approve_ERC20(_amount_of_ERC):
    '''
    Creating transaction data to approve 1 Inch router to spend  _amount_of_ERC worth of our USDC tokens
    '''
    allowance_before = get_allowance(wallet_address)
    logger.info("allowance before: {0}".format(allowance_before))

    try:
        approve_txn = requests.get(
            '{0}/approve/transaction?tokenAddress={1}&amount={2}'.format(BASE_URL, usdc_address, _amount_of_ERC))
        logger.info('1inch allowance reply status code: {0}'.format(
            approve_txn.status_code))
        if approve_txn.status_code != 200:
            logger.info(
                "Undesirable response from 1 Inch! This is probably bad.")
            return False
        logger.info('get_allowance: {0}'.format(approve_txn.json()))

    except Exception as e:
        logger.exception(
            "There was an issue allowing usdc spend from 1 Inch: {0}".format(e))
        return False

    approve_txn = approve_txn.json()
    nonce = w3.eth.getTransactionCount(wallet_address)

    print("gas price is:", w3.fromWei(int(approve_txn['gasPrice']), 'gwei'))

    tx = {
        'nonce': nonce,
        'to': usdc_address,
        'chainId': 137,
        # 'value': approve_txn['value'],
        'gasPrice': w3.toWei(70, 'gwei'),
        'from': wallet_address,
        'data': approve_txn['data']
    }

    tx['gas'] = 80000
    return tx


# establish web3 connection
w3 = connect_to_ETH_provider()

# Initial Matic Balance on Alpaca and 1Inch
initial_matic_alpaca = get_positions()
initial_matic_1inch = Web3.fromWei(w3.eth.getBalance(wallet_address), 'ether')


loop = asyncio.get_event_loop()
loop.run_until_complete(main())
loop.close()
# run it!
# if __name__ == '__main__':
#     main()