技术图文：数字资产量化中的三角套利策略

资讯 2024-07-13 阅读:52 评论:0

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我们在前面的图文中介绍了一种跨市场的套利策略：

A arbitrage strategy of cross-market arbitrage is described in the previous graphs #xff1a;

数字资产量化中的跨市场套利策略

该策略俗称搬砖，只要两个交易所对于同一种数字资产出现价差，就可以进行套利。

The strategy is commonly known as brick removal & #xff0c; arbitrage is possible as long as there is a price difference between two exchanges for the same digital asset & #xff0c.

三角套利就是利用三种数字资产之间的价格差来获利。

Triangular arbitrage takes advantage of the price differential between the three digital assets .

三角套利的过程就是规划三角路径的过程，三角路径无外乎两种：

Triangular arbitrage is the process of planning the triangular path xff0c; the triangular path is no more than two xff1a;

第一种：买入 -> 卖出 -> 卖出
第二种：卖出 -> 买入 -> 买入

比如 BigOne 交易所有 ONE-USDT、ONE-EOS、EOS-USDT 交易对。

For example, Bigone deals all OE-USDT, OE-EOS, EOS-USDT transactions.

如果你手中拥有 USDT，可以通过第一种路径进行套利。即用 A 数量的 USDT 买入 ONE，然后把买入的 ONE 换成 EOS，最后卖出EOS 换回 USDT。在刨除手续费之后，如果最后换回的 USDT 数量超过 A，我们就可以依赖这个路径进行套利。

If you have USDT， in your hand; you can arbitrage through the first path. That is, buy ONE& #xff0c in the number of USDTs; then replace the purchased ONE with EOS， and finally sell the EOS back to USDT. After the fee is cut xff0c; if the last number of USDTs is more than Aff0c; we can rely on this path for arbitrage.

如果你手中拥有 ONE，可以通过第二种路径进行套利。即卖出 A 数量的 ONE 得到 USDT，然后用该 USDT 买入 EOS，最后用这些 EOS 换回 ONE。在刨除手续费之后，如果最后换回的 ONE 数量超过 A，我们就可以依赖这个路径进行套利。

If you have ONE& #xff0c in your hand; arbitrage can be done through the second path. That is, if the number of ONEs sold is a quantity of ONEs gets USDT， then buys EOS， with the USDT; then trades these EOs back with ONEs. xff0c after the fee is cut; if the number of ONEs finally switched is more than A#xff0c; we can rely on this path for arbitrage.

详细的流程图如下：

Detailed flowcharts xff1a below;

流程图

flowchart

以先买入后卖出的方式构造三角套利的路径：

Constructs the triangular arbitrage path & #xff1a by buying it and selling it;

价格表

price table

假设：USDT 起始数量为 A，交易手续费为：0.1%

Assumptions xff1a; USDT starting at Axff0c; transaction fees at xff1a; 0.1%

Step1：USDT -> ONE

以Q1的价格买入ONE。

Buy it for Q1.

OneAmount = A ÷ Q1
RealOneAmount = OneAmount × 0.999

Step2：ONE -> EOS

以 Q2 的价格卖出 ONE 得到 EOS

Sell ONE for Q2 to get EOS

EOSAmount = RealOneAmount × Q2
RealEOSAmount = EosAmount × 0.999

Step3：EOS -> USDT

以 Q3 的价格卖出 EOS 得到 USDT

Sell EOS for USDT at Q3

UsdtAmount = RealEOSAmount × Q3
RealUsdtAmount = UsdtAmount × 0.999

如果想获得盈利，则需要即可。

If you want to get a profit #xff0c; need it.

经过简单的推导，我们可以发现该三角套利路径的盈利条件是：

After simple deduction xff0c; we can find a profit condition for the triangle arbitrage path xff1a;

(Q2 × Q3 × 0.999^3) ÷ Q1 > 1.0

以先卖出后买入的方式构造三角套利的路径：

Constructs a tripod of triangular arbitrage & #xff1a by selling it first and buying it;

价格表

price table

假设：ONE 起始数量为 A，交易手续费为：0.1%

Assumption xff1a; ONE starting at Axff0c; transaction fees at xff1a; 0.1%

Step1：ONE -> USDT

以 P1 的价格卖出 ONE。

Sell ONE at P1 prices.

UsdtAmount = A × P1
RealUsdtAmount = UsdtAmount × 0.999

Step2：USDT -> EOS

以 P2 的价格买入 EOS。

Buy EOS at P2 prices.

EosAmount = RealUsdtAmount ÷ P2
RealEosAmount = EosAmount × 0.999

Step3：EOS -> ONE

以 P3 的价格买入 ONE

Buy ONE for P3

OneAmount = RealEosAmount ÷ P3
RealOneAmount = OneAmount × 0.999

如果想获得盈利，则需要即可。

If you want to get a profit #xff0c; need it.

经过简单的推导，我们可以发现该三角套利路径的盈利条件是：

After simple deduction xff0c; we can find a profit condition for the triangle arbitrage path xff1a;

(P1 × 0.999^3) ÷ (P2 × P3) > 1.0

检验是否具有套利机会

Test for arbitrage

运行先买入后卖出的套利模型

runs a arbitrage model sold after buying it

检验是否具有获利机会

Test for profit

运行先卖出后买入的套利模型

runs a arbitrage model that sells first and buys later

到此为止，有关于三角套利的模型以及具体实现就介绍完了。

So far xff0c; models on triangulation and actual realization are available.

运行窗口

run window

由于市场中做市商的存在，这样的套利机会虽然很多，但转瞬即逝。通过手工挂单的方式已经很难满足速度要求了。如果要用该种方式套利，需要写程序让计算机来执行。我上面的代码大家可以作为参考啊。今天就到这里吧！See You！

Because of the presence of market agents xff0c; such arbitrage opportunities are many xff0c; but they are instantaneous. It is difficult to meet speed requirements by way of a manual billing. If you want to apply xff0c; you need to write a program to be carried out by a computer. The code above me can be used as a reference. Let's go here today xff01; See You xff01;

相关图文：

(a) with relevant graphs and #xff1a;