78.2 套利机会识别

def calculate_spread(exchange1_price, exchange2_price):
    """
    计算价差
    """
    absolute_spread = exchange2_price - exchange1_price
    relative_spread = (exchange2_price - exchange1_price) / exchange1_price

    return {
        'absolute': absolute_spread,
        'relative': relative_spread
    }

def find_arbitrage_opportunities(market_data, min_spread=0.005):
    """
    寻找套利机会
    """
    opportunities = []

    for symbol in market_data['symbols']:
        for i, ex1 in enumerate(market_data['exchanges']):
            for j, ex2 in enumerate(market_data['exchanges']):
                if i >= j:
                    continue

                price1 = market_data[ex1][symbol]['bid']
                price2 = market_data[ex2][symbol]['ask']

                spread = calculate_spread(price1, price2)

                if abs(spread['relative']) > min_spread:
                    opportunities.append({
                        'symbol': symbol,
                        'buy_exchange': ex1 if spread['relative'] > 0 else ex2,
                        'sell_exchange': ex2 if spread['relative'] > 0 else ex1,
                        'buy_price': min(price1, price2),
                        'sell_price': max(price1, price2),
                        'spread': spread['relative']
                    })

    return opportunities

def find_triangular_arbitrage(market_data):
    """
    三角套利
    """
    base_currencies = ['BTC', 'ETH', 'USDT']
    opportunities = []

    for i, base1 in enumerate(base_currencies):
        for j, base2 in enumerate(base_currencies):
            if j <= i:
                continue
            for k, base3 in enumerate(base_currencies):
                if k <= j:
                    continue

                # 检查三角套利路径
                paths = [
                    [base1, base2, base3, base1],
                    [base1, base3, base2, base1]
                ]

                for path in paths:
                    profit = calculate_path_profit(market_data, path)

                    if profit > 0.003:  # 0.3%以上
                        opportunities.append({
                            'path': path,
                            'profit': profit
                        })

    return opportunities

def calculate_path_profit(market_data, path):
    """
    计算路径收益
    """
    amount = 1.0

    for i in range(len(path) - 1):
        from_curr = path[i]
        to_curr = path[i + 1]

        # 获取交易对价格
        if f"{from_curr}/{to_curr}" in market_data:
            price = market_data[f"{from_curr}/{to_curr}"]['ask']
            amount = amount / price
        else:
            price = market_data[f"{to_curr}/{from_curr}"]['bid']
            amount = amount * price

    return (amount - 1.0) / 1.0