Merge branch 'develop'

config/config.json.example

@@ -35,9 +35,10 @@
 
     "DEPTH": {
         "SIZE": 50,
-        "INITIALIZATION_INTERVAL": 50
+        "PRUNE": false,
+        "INITIALIZATION_INTERVAL": 75
     },
 
-    "CALCULATION_COOLDOWN": 100
+    "CALCULATION_COOLDOWN": 250
 
 }

config/readme.md

@@ -59,7 +59,7 @@ Upon each version update you should copy the new syntax from `config.json.exampl
     * `"linear"` - each trade of the triangle arbitrage is executed sequentially
     * `"parallel"` - all three trades of the triangle arbitrage are executed at the same time
 
-#### `EXECUTION_TEMPLATE` (Array | String)
+#### `TRADING.EXECUTION_TEMPLATE` (Array | String)
 * Default: `["BUY", "SELL", "SELL"]`
 * Description: Restricts the order type of each leg in the position
 * Special Values:
@@ -71,13 +71,15 @@ Upon each version update you should copy the new syntax from `config.json.exampl
 * Special Values:
     * `0` - No limit on executions
 
-#### `TAKER_FEE` (Number)
+#### `TRADING.TAKER_FEE` (Number)
 * Default: `0.00`
 * Description: Market taker fee (percent)
+* Example: 0.015% would be entered as 0.015
 
 #### `TRADING.PROFIT_THRESHOLD` (Number)
 * Default: `0.30`
 * Description: Minimum profit (percent) required to consider executing a position
+* Example: 0.30% would be entered as 0.30
 
 #### `TRADING.AGE_THRESHOLD` (Number)
 * Default: `300`
@@ -121,7 +123,7 @@ Upon each version update you should copy the new syntax from `config.json.exampl
 
 #### `LOG.PRETTY_PRINT` (Boolean)
 * Default: `true`
-* Description: Format the logs with pino-pretty
+* Description: Format the logs with pino-pretty. Read the logs via a terminal for best results
 
 
 ---
@@ -142,6 +144,10 @@ Upon each version update you should copy the new syntax from `config.json.exampl
     * `500`
     * `1000`
 
+#### `DEPTH.PRUNE` (Boolean)
+* Default: `false`
+* Description: Remove depth cache entries with a depth greater than `DEPTH.SIZE` before each calculation cycle
+
 #### `DEPTH.INITIALIZATION_INTERVAL` (Number)
 * Default: `50`
 * Description: Delay (ms) between the initialization of each depth websocket
@@ -150,6 +156,6 @@ Upon each version update you should copy the new syntax from `config.json.exampl
 ---
 
 
-#### `CALCULATION_DELAY` (Number)
-* Default: `100`
+#### `CALCULATION_COOLDOWN` (Number)
+* Default: `500`
 * Description: Delay (ms) after calculations are performed before starting another cycle

package.json

@@ -1,7 +1,13 @@
 {
   "name": "binance-triangle-arbitrage",
-  "version": "5.1.2",
-  "private": true,
+  "version": "5.2.0",
+  "repository": {
+    "type": "git",
+    "url": "https://github.com/bmino/binance-triangle-arbitrage.git"
+  },
+  "author": {
+    "name": "Brandon Mino"
+  },
   "engines": {
     "node": "11.10.1",
     "npm": "6.9.0"
@@ -11,8 +17,8 @@
   },
   "dependencies": {
     "blessed": "^0.1.81",
-    "node-binance-api": "^0.9.1",
-    "pino": "^5.12.2",
-    "pino-pretty": "^2.6.0"
+    "node-binance-api": "^0.9.3",
+    "pino": "^5.12.6",
+    "pino-pretty": "^3.2.0"
   }
 }

src/main/ArbitrageExecution.js

@@ -216,15 +216,15 @@ const ArbitrageExecution = {
                 if (results.orderId) {
                     [actual.a.spent, actual.b.earned, fees] = ArbitrageExecution.parseActualResults(calculated.trade.ab.method, results);
                     actual.fees += fees;
-                    recalculated.bc = CalculationNode.recalculateTradeLeg(calculated.trade.bc, actual.b.earned);
+                    recalculated.bc = CalculationNode.recalculateTradeLeg(calculated.trade.bc, actual.b.earned, BinanceApi.cloneDepth(calculated.trade.bc.ticker, CONFIG.DEPTH.SIZE));
                 }
                 return BinanceApi.marketBuyOrSell(calculated.trade.bc.method)(calculated.trade.bc.ticker, recalculated.bc);
             })
             .then((results) => {
                 if (results.orderId) {
                     [actual.b.spent, actual.c.earned, fees] = ArbitrageExecution.parseActualResults(calculated.trade.bc.method, results);
                     actual.fees += fees;
-                    recalculated.ca = CalculationNode.recalculateTradeLeg(calculated.trade.ca, actual.c.earned);
+                    recalculated.ca = CalculationNode.recalculateTradeLeg(calculated.trade.ca, actual.c.earned, BinanceApi.cloneDepth(calculated.trade.ca.ticker, CONFIG.DEPTH.SIZE));
                 }
                 return BinanceApi.marketBuyOrSell(calculated.trade.ca.method)(calculated.trade.ca.ticker, recalculated.ca);
             })