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September 28, 2022 12:29
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A test to demonstrate an arb opportunity we discovered
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| it.only("arbitrage BTC/USD with $0.01 strategy", async () => { | |
| const ONE_CENT = { amount: 1n, currency: WalletCurrency.Usd } as UsdPaymentAmount | |
| const ONE_SAT = { amount: 1n, currency: WalletCurrency.Btc } as BtcPaymentAmount | |
| const getUsdForBtcEquivalent = async ( | |
| btcAmount: BtcPaymentAmount, | |
| ): Promise<CurrencyBaseAmount> => { | |
| // console.log({ btcAmount }) | |
| const lnInvoice = await Wallets.addInvoiceForSelf({ | |
| walletId: walletIdB, | |
| amount: toSats(btcAmount.amount), | |
| }) | |
| if (lnInvoice instanceof Error) throw lnInvoice | |
| const beforeUsd = await getBalanceHelper(walletIdUsdB) | |
| const result = await Payments.payInvoiceByWalletId({ | |
| paymentRequest: lnInvoice.paymentRequest, | |
| memo: null, | |
| senderWalletId: walletIdUsdB, | |
| senderAccount: accountB, | |
| }) | |
| if (result instanceof Error) throw result | |
| const afterUsd = await getBalanceHelper(walletIdUsdB) | |
| const diff = (beforeUsd - afterUsd) as CurrencyBaseAmount | |
| // console.log({ beforeUsd, afterUsd, diff }) | |
| return diff | |
| } | |
| const midPriceRatio = await getMidPriceRatio(usdHedgeEnabled) | |
| if (midPriceRatio instanceof Error) throw midPriceRatio | |
| const startingBtcAmount = midPriceRatio.convertFromUsd(ONE_CENT) | |
| console.log({ startingBtcAmount }) | |
| // Validate btc starting amount for max btc discovery | |
| let maxBtcAmountToEarn = startingBtcAmount | |
| let diff = 2 as CurrencyBaseAmount | |
| while (diff > 1) { | |
| diff = await getUsdForBtcEquivalent(maxBtcAmountToEarn) | |
| if (diff > 1) { | |
| maxBtcAmountToEarn = calc.sub(maxBtcAmountToEarn, ONE_SAT) | |
| } | |
| } | |
| expect(diff).toEqual(1) | |
| console.log("Start:", { maxBtcAmountToEarn }) | |
| // Discover max BTC amount to buy for $0.01 | |
| while (diff === 1) { | |
| maxBtcAmountToEarn = calc.add(maxBtcAmountToEarn, ONE_SAT) | |
| diff = await getUsdForBtcEquivalent(maxBtcAmountToEarn) | |
| } | |
| maxBtcAmountToEarn = calc.sub(maxBtcAmountToEarn, ONE_SAT) | |
| console.log("Discovered:", { maxBtcAmountToEarn }) | |
| // Validate btc starting amount for min btc discovery | |
| let minBtcAmountToSpend = startingBtcAmount | |
| let paid: Error | PaymentSendStatus = PaymentSendStatus.Success | |
| while (!(paid instanceof ZeroAmountForUsdRecipientError)) { | |
| paid = await Payments.intraledgerPaymentSendWalletId({ | |
| recipientWalletId: walletIdUsdB, | |
| memo: null, | |
| amount: toSats(minBtcAmountToSpend.amount), | |
| senderWalletId: walletIdB, | |
| senderAccount: accountB, | |
| }) | |
| if (paid instanceof Error && !(paid instanceof ZeroAmountForUsdRecipientError)) { | |
| throw paid | |
| } | |
| // console.log(paid, minBtcAmountToSpend) | |
| if (!(paid instanceof ZeroAmountForUsdRecipientError)) { | |
| minBtcAmountToSpend = calc.sub(minBtcAmountToSpend, ONE_SAT) | |
| } | |
| } | |
| console.log("Start:", { minBtcAmountToSpend }) | |
| // Discover min BTC amount to sell for $0.01 | |
| while (paid instanceof ZeroAmountForUsdRecipientError) { | |
| minBtcAmountToSpend = calc.add(minBtcAmountToSpend, ONE_SAT) | |
| paid = await Payments.intraledgerPaymentSendWalletId({ | |
| recipientWalletId: walletIdUsdB, | |
| memo: null, | |
| amount: toSats(minBtcAmountToSpend.amount), | |
| senderWalletId: walletIdB, | |
| senderAccount: accountB, | |
| }) | |
| if (paid instanceof Error && !(paid instanceof ZeroAmountForUsdRecipientError)) { | |
| throw paid | |
| } | |
| console.log(paid, minBtcAmountToSpend) | |
| } | |
| console.log("Discovered:", { minBtcAmountToSpend }) | |
| console.log({ | |
| maxBtcAmountToEarn, | |
| minBtcAmountToSpend, | |
| arb: maxBtcAmountToEarn.amount - minBtcAmountToSpend.amount, | |
| }) | |
| // Execute arbitrage | |
| const arbBeforeBtc = await getBalanceHelper(walletIdB) | |
| const arbBeforeUsd = await getBalanceHelper(walletIdUsdB) | |
| // Step 1: Create invoice from BTC Wallet | |
| const lnInvoice = await Wallets.addInvoiceForSelf({ | |
| walletId: walletIdB, | |
| amount: toSats(maxBtcAmountToEarn.amount), | |
| }) | |
| if (lnInvoice instanceof Error) throw lnInvoice | |
| // Step 2: Pay invoice from USD wallet at favourable rate | |
| await Payments.payInvoiceByWalletId({ | |
| paymentRequest: lnInvoice.paymentRequest, | |
| memo: null, | |
| senderWalletId: walletIdUsdB, | |
| senderAccount: accountB, | |
| }) | |
| // Step 3: Replenish USD from BTC wallet at lower rate | |
| await Payments.intraledgerPaymentSendWalletId({ | |
| recipientWalletId: walletIdUsdB, | |
| memo: null, | |
| amount: toSats(minBtcAmountToSpend.amount), | |
| senderWalletId: walletIdB, | |
| senderAccount: accountB, | |
| }) | |
| if (paid instanceof Error && !(paid instanceof ZeroAmountForUsdRecipientError)) { | |
| throw paid | |
| } | |
| const arbAfterBtc = await getBalanceHelper(walletIdB) | |
| const arbAfterUsd = await getBalanceHelper(walletIdUsdB) | |
| const diffBtc = arbAfterBtc - arbBeforeBtc | |
| const diffUsd = arbAfterUsd - arbBeforeUsd | |
| console.log({ diffBtc, diffUsd }) | |
| console.log({ | |
| arbPercentage: `${Math.round( | |
| (diffBtc / Number(minBtcAmountToSpend.amount)) * 100, | |
| )}%`, | |
| }) | |
| expect(diffBtc).toBeLessThanOrEqual(0) | |
| expect(diffUsd).toBeLessThanOrEqual(0) | |
| }) |
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