Cross-Venue Arb Engine

1#include "bs9/arb.hpp"
2 
3#include <algorithm>
4#include <cmath>
5 
6namespace bs9 {
7namespace {
8 
9constexpr double kBps = 10'000.0;
10 
11}  // namespace
12 
13double ArbEngine::net_edge_bps(const ArbConfig& cfg, Venue buy, double ask,
14                               Venue sell, double bid) const {
15  if (ask <= 0.0 || bid <= 0.0) return 0.0;
16 
17  const VenueFees& buy_fees = cfg.fees[static_cast<std::size_t>(buy)];
18  const VenueFees& sell_fees = cfg.fees[static_cast<std::size_t>(sell)];
19 
20  // Cost of acquiring one unit, and proceeds from selling it.
21  const double cost = ask * (1.0 + buy_fees.taker);
22  const double proceeds = bid * (1.0 - sell_fees.taker);
23 
24  const double transfer =
25      cost * (buy_fees.withdrawal_bps + sell_fees.withdrawal_bps) / kBps;
26 
27  return ((proceeds - cost - transfer) / cost) * kBps;
28}
29 
30std::optional<ArbSignal> ArbEngine::on_tick(const Tick& tick) {
31  const nanos t0 = now_ns();
32  ++ticks_;
33 
34  const SymbolId id = books_.intern(tick.symbol);
35  if (!books_.apply(id, tick.venue, tick.quote)) return std::nullopt;
36 
37  auto signal = evaluate(id, t0);
38 
39  latency_.record(now_ns() - t0);
40 
41  if (signal) {
42    ++signals_;
43    if (handler_) handler_(*signal);
44  }
45  return signal;
46}
47 
48std::optional<ArbSignal> ArbEngine::evaluate(SymbolId id, nanos ingest_ts) {
49  if (!books_.has_both_sides(id)) return std::nullopt;
50 
51  ArbSignal best;
52  double best_edge = cfg_.min_edge_bps;
53  bool found = false;
54 
55  for (std::size_t b = 0; b < kVenueCount; ++b) {
56    for (std::size_t s = 0; s < kVenueCount; ++s) {
57      if (b == s) continue;
58 
59      const auto buy_venue = static_cast<Venue>(b);
60      const auto sell_venue = static_cast<Venue>(s);
61      const Quote& buy_q = books_.quote(id, buy_venue);
62      const Quote& sell_q = books_.quote(id, sell_venue);
63 
64      if (cfg_.max_quote_age_ns != 0) {
65        const nanos oldest = std::min(buy_q.local_ts, sell_q.local_ts);
66        if (oldest != 0 && ingest_ts > oldest &&
67            ingest_ts - oldest > cfg_.max_quote_age_ns) {
68          continue;
69        }
70      }
71 
72      const double edge =
73          net_edge_bps(cfg_, buy_venue, buy_q.ask_px, sell_venue, sell_q.bid_px);
74      if (edge <= best_edge) continue;
75 
76      // Size to the thinner side of the trade.
77      const double qty =
78          std::min({buy_q.ask_qty, sell_q.bid_qty, cfg_.max_qty});
79      if (qty <= 0.0) continue;
80 
81      best_edge = edge;
82      found = true;
83 
84      best.symbol = books_.name_of(id);
85      best.buy_venue = buy_venue;
86      best.sell_venue = sell_venue;
87      best.buy_px = buy_q.ask_px;
88      best.sell_px = sell_q.bid_px;
89      best.qty = qty;
90      best.gross_edge_bps =
91          ((sell_q.bid_px - buy_q.ask_px) / buy_q.ask_px) * kBps;
92      best.net_edge_bps = edge;
93      best.expected_pnl = (edge / kBps) * buy_q.ask_px * qty;
94    }
95  }
96 
97  if (!found) return std::nullopt;
98 
99  best.decided_at = now_ns();
100  best.decision_latency_ns = best.decided_at - ingest_ts;