CEX-DEX Arbitrage

// CEX-DEX Arbitrage Detection System
class CEXDEXArbitrage {
    constructor(config) {
        this.config = config;
        this.priceFeeds = new Map();
        this.minSpreadThreshold = config.minSpread || 0.02; // 2% minimum
        this.maxExecutionTime = config.maxExecutionTime || 30; // 30 seconds
    }
    
    async scanArbitrageOpportunities() {
        const opportunities = [];
        const symbols = await this.getTrackedSymbols();
        
        for (const symbol of symbols) {
            // Get prices from all exchanges
            const prices = await this.getAllPrices(symbol);
            
            if (prices.length < 2) continue;
            
            // Find best buy and sell opportunities
            const sortedPrices = prices.sort((a, b) => a.price - b.price);
            const bestBuy = sortedPrices[0];
            const bestSell = sortedPrices[sortedPrices.length - 1];
            
            // Calculate spread
            const spread = (bestSell.price - bestBuy.price) / bestBuy.price;
            
            // Check if spread meets minimum threshold
            if (spread < this.minSpreadThreshold) continue;
            
            // Calculate costs and potential profit
            const tradingFees = this.calculateTradingFees(bestBuy.exchange, bestSell.exchange);
            const gasCosts = this.estimateGasCosts(symbol);
            const expectedVolume = this.calculateOptimalVolume(spread, tradingFees);
            
            const grossProfit = (bestSell.price - bestBuy.price) * expectedVolume;
            const totalCosts = tradingFees + gasCosts;
            const netProfit = grossProfit - totalCosts;
            
            // Calculate profit margin
            const profitMargin = netProfit / (bestBuy.price * expectedVolume);
            
            if (profitMargin > 0.01) { // 1% minimum profit margin
                opportunities.push({
                    symbol,
                    buyExchange: bestBuy.exchange,
                    sellExchange: bestSell.exchange,
                    buyPrice: bestBuy.price,
                    sellPrice: bestSell.price,
                    spread,
                    expectedVolume,
                    grossProfit,
                    totalCosts,
                    netProfit,
                    profitMargin,
                    executionTime: this.estimateExecutionTime(bestBuy.exchange, bestSell.exchange)
                });
            }
        }
        
        return opportunities.sort((a, b) => b.profitMargin - a.profitMargin);
    }
    
    async executeArbitrage(opportunity) {
        const execution = {
            symbol: opportunity.symbol,
            startTime: Date.now(),
            status: 'pending'
        };
        
        try {
            // 1. Validate inventory
            const inventory = await this.getInventory(opportunity.symbol);
            const requiredAmount = opportunity.expectedVolume;
            
            if (inventory.cex < requiredAmount && opportunity.buyExchange.type === 'cex') {
                // Need to transfer from DEX to CEX
                await this.transferToCEX(opportunity.symbol, requiredAmount);
                await this.waitForConfirmation();
            }
            
            // 2. Execute buy order on lower price exchange
            const buyResult = await this.executeOrder({
                exchange: opportunity.buyExchange,
                side: 'buy',
                symbol: opportunity.symbol,
                amount: requiredAmount,
                price: opportunity.buyPrice
            });
            
            if (!buyResult.success) {
                throw new Error(`Buy order failed: ${buyResult.error}`);
            }
            
            // 3. Execute sell order on higher price exchange
            const sellResult = await this.executeOrder({
                exchange: opportunity.sellExchange,
                side: 'sell',
                symbol: opportunity.symbol,
                amount: requiredAmount,
                price: opportunity.sellPrice
            });
            
            if (!sellResult.success) {
                // Rollback buy order if sell fails
                await this.cancelOrder(buyResult.orderId);
                throw new Error(`Sell order failed: ${sellResult.error}`);
            }
            
            execution.status = 'completed';
            execution.netProfit = opportunity.netProfit;
            execution.executionTime = Date.now() - execution.startTime;
            
            return execution;
            
        } catch (error) {
            execution.status = 'failed';
            execution.error = error.message;
            return execution;
        }
    }
    
    calculateTradingFees(buyExchange, sellExchange) {
        const fees = {
            cex: {
                maker: 0.001,    // 0.1% maker fee
                taker: 0.0015    // 0.15% taker fee
            },
            dex: {
                swap: 0.003      // 0.3% DEX swap fee
            }
        };
        
        const buyFee = buyExchange.type === 'cex' ? 
            fees.cex.taker : fees.dex.swap;
        const sellFee = sellExchange.type === 'cex' ? 
            fees.cex.taker : fees.dex.swap;
        
        const tradeValue = (buyExchange.price + sellExchange.price) / 2;
        return (buyFee + sellFee) * tradeValue;
    }
}

// Initialize CEX-DEX Arbitrage Strategy
const arbitrageStrategy = new PoIPoECEXDEX({
    apiKey: 'your-api-key',
    network: 'ethereum',
    exchanges: ['binance', 'coinbase', 'uniswap', 'sushiswap'],
    minSpread: 0.02,         // 2% minimum spread
    maxExecutionTime: 30,    // 30 seconds max execution
    riskProfile: 'moderate'
});

// Configure strategy parameters
arbitrageStrategy.configure({
    positionSize: 10000,     // $10,000 per opportunity
    maxDailyLoss: 5000,      // $5,000 daily loss limit
    exchangeConcentration: 0.25, // Max 25% per exchange
    stopLoss: 0.05,          // 5% maximum loss per trade
    slippageTolerance: 0.01  // 1% maximum slippage
});

// Start arbitrage monitoring
arbitrageStrategy.startArbitrage({
    onOpportunity: (opportunity) => {
        console.log('New arbitrage opportunity:', opportunity);
    },
    onExecution: (result) => {
        console.log('Arbitrage executed:', result);
    },
    onError: (error) => {
        console.log('Arbitrage error:', error);
    },
    onRiskAlert: (alert) => {
        console.log('Risk alert:', alert);
    }
});

// Get current opportunities
const opportunities = await arbitrageStrategy.getOpportunities();
console.log('Active opportunities:', opportunities);

// Get portfolio status
const portfolio = await arbitrageStrategy.getPortfolio();
console.log('Portfolio status:', portfolio);