🤖 this package implements a boilerplate with several tools to run a searcher with statistical arbitrage strategies. it's inspired by ankit & stephane's article. it utilizes libraries from my crate at web3-toolkit-rs.
🎲 statistical mev (non-atomic) convey informed strategies that rely on off-chain information (signal). examples are cross-chains mev, defi-cefi arbitrage, order flow trading by aggregating from private and public mempools, whale watching, etc. for more details, check mev-toolkit.
- make sure you have rust installed.
- add any info needed to a
.envfile:
cp .env.example .env
vim .env
- install kiddor with:
make build
- run kiddor with:
make run
Crypto derivatives are financial contracts that derive their values from underlying assets. Crypto futures contracts are proxy tools to speculate on the future prices of cryptocurrencies or to be used to hedge against their price changes.
select 1 to open a websocket and subscribe to the following derivative's topics:
- depths
- trades
- book tickers
- realtimes
example output:
🎲 subscribing to websockets for: "ETHUSDT"
✅ depth: ResponseV2 { topic: "depth", params: ResCommonParamsV2 { binary: "false", symbol: "ETHUSDT", symbol_name: "ETHUSDT" }, data: Depth { t: 1672627313579, s: "ETHUSDT", v: "1672627313579_1", b: [OrderBookItem("1196.53", "6.81229"), OrderBookItem("1196.52", "10"), OrderBookItem("1196.51", "0.08357"), OrderBookItem("1196.46", "0.01876"), OrderBookItem("1196.44", "0.16778"), OrderBookItem("1196.4", "10.00414"), OrderBookItem("1196.39", "3.62"), OrderBookItem("1196.33", "11.98536"), OrderBookItem("1196.32", "4.37768"), OrderBookItem("1196.31", "0.25238"), OrderBookItem("1196.3", "2.44169"), OrderBookItem("1196.28", "6.48"), OrderBookItem("1196.27", "3.46"), OrderBookItem("1196.24", "0.001"), OrderBookItem("1196.22", "1.52901"), OrderBookItem("1196.21", "3.14679"), OrderBookItem("1196.19", "1.54244"), OrderBookItem("1196.18", "1.24823"), OrderBookItem("1196.16", "6.75"), OrderBookItem("1196.15", "4.35209"), OrderBookItem("1196.14", "0.30445"), OrderBookItem("1196.13", "0.41108"), OrderBookItem("1196.06", "16.713"), OrderBookItem("1196.04", "5"), OrderBookItem("1196.01", "9.5338"), OrderBookItem("1196", "4.009"), OrderBookItem("1195.99", "1.7134"), OrderBookItem("1195.97", "1.2251"), OrderBookItem("1195.95", "26.34158"), OrderBookItem("1195.91", "5"), OrderBookItem("1195.9", "0.08359"), OrderBookItem("1195.85", "0.89955"), OrderBookItem("1195.83", "0.16989"), OrderBookItem("1195.82", "1.25766"), OrderBookItem("1195.8", "2.515"), OrderBookItem("1195.76", "3.57"), OrderBookItem("1195.75", "5"), OrderBookItem("1195.72", "0.1672"), OrderBookItem("1195.7", "3.78046"), OrderBookItem("1195.69", "1.41835")], a: [OrderBookItem("1196.69", "2.02591"), OrderBookItem("1196.72", "0.001"), OrderBookItem("1196.8", "0.0192"), OrderBookItem("1196.84", "0.25238"), OrderBookItem("1196.9", "3"), OrderBookItem("1196.92", "1.94"), OrderBookItem("1196.93", "0.16315"), OrderBookItem("1196.94", "0.89955"), OrderBookItem("1196.95", "2.02888"), OrderBookItem("1196.96", "4.00607"), OrderBookItem("1196.98", "3.687"), OrderBookItem("1197", "0.01624"), OrderBookItem("1197.02", "3.05537"), OrderBookItem("1197.05", "0.84081"), OrderBookItem("1197.08", "1.51308"), OrderBookItem("1197.09", "3.174"), OrderBookItem("1197.1", "0.03835"), OrderBookItem("1197.13", "1.5768"), OrderBookItem("1197.15", "24.16"), OrderBookItem("1197.18", "0.83532"), OrderBookItem("1197.2", "2.18155"), OrderBookItem("1197.22", "1.52477"), OrderBookItem("1197.23", "1.71323"), OrderBookItem("1197.27", "9.5338"), OrderBookItem("1197.29", "2.73673"), OrderBookItem("1197.32", "0.0503"), OrderBookItem("1197.35", "25.07989"), OrderBookItem("1197.42", "16.713"), OrderBookItem("1197.43", "0.03916"), OrderBookItem("1197.44", "0.83499"), OrderBookItem("1197.5", "46.17"), OrderBookItem("1197.52", "0.12796"), OrderBookItem("1197.53", "1.15349"), OrderBookItem("1197.55", "25.75042"), OrderBookItem("1197.6", "0.09146"), OrderBookItem("1197.65", "0.26999"), OrderBookItem("1197.66", "0.89955"), OrderBookItem("1197.67", "12.01463"), OrderBookItem("1197.71", "0.8725"), OrderBookItem("1197.72", "0.1")] } }
✅ trade: ResponseV2 { topic: "trade", params: ResCommonParamsV2 { binary: "false", symbol: "ETHUSDT", symbol_name: "ETHUSDT" }, data: Trade { v: "2280000000030465445", t: 1672627309524, p: "1196.69", q: "0.00083", m: true } }
✅ book ticker: ResponseV2 { topic: "bookTicker", params: ResCommonParamsV2 { binary: "false", symbol: "ETHUSDT", symbol_name: "ETHUSDT" }, data: BookTicker { symbol: "ETHUSDT", bid_price: "1196.53", bid_qty: "6.81229", ask_price: "1196.69", ask_qty: "2.02591", time: 1672627312138 } }
✅ realtimes: ResponseV2 { topic: "realtimes", params: ResCommonParamsV2 { binary: "false", symbol: "ETHUSDT", symbol_name: "ETHUSDT" }, data: Realtimes { t: 1672627309524, s: "ETHUSDT", c: "1196.69", h: "1204.66", l: "1190.96", o: "1195.91", v: "20134.37723", qv: "24113384.0565187", m: "0.0007" } }
✅ pong: Pong { pong: 1672627314329 }
(...)
select 2 to open a websocket and subscribe the pair to the following topics:
- orderbook l2 25, 200
- trades
- instruments info
- k-lines
- liquidations
example output:
🎲 subscribing to websockets for: ["ETHUSDT", "BTCUSDT"]
✅ instrument info snapshot: Response { topic: "instrument_info.100ms.ETHUSDT", res_type: "snapshot", data: InstrumentInfoSnapshot { id: 2, symbol: "ETHUSDT", last_price_e4: "11966500", last_price: "1196.65", bid1_price_e4: "11966000", bid1_price: "1196.60", ask1_price_e4: "11966500", ask1_price: "1196.65", last_tick_direction: "ZeroPlusTick", prev_price_24h_e4: "11939000", prev_price_24h: "1193.90", price_24h_pcnt_e6: "2303", high_price_24h_e4: "12050500", high_price_24h: "1205.05", low_price_24h_e4: "11913500", low_price_24h: "1191.35", prev_price_1h_e4: "11962500", prev_price_1h: "1196.25", price_1h_pcnt_e6: "334", mark_price_e4: "11966100", mark_price: "1196.61", index_price_e4: "11965400", index_price: "1196.54", open_interest_e8: "58516141000000", total_turnover_e8: "4093197159274450000", turnover_24h_e8: "35260448999150020", total_volume_e8: "38356353516000000", volume_24h_e8: "29427055999999", funding_rate_e6: "100", predicted_funding_rate_e6: "100", cross_seq: "24972973797", created_at: "2022-03-31T03:56:16.000Z", updated_at: "2023-01-02T03:14:29.000Z", next_funding_time: "2023-01-02T08:00:00Z", count_down_hour: "5", funding_rate_interval: "8", settle_time_e9: "0", delisting_status: "0" }, cross_seq: "24972976935", timestamp_e6: "1672629272903187" }
(...)
A perpetual contract has no expiration date. At Bybit, funding occurs every amount of hours, and they use the interest rate and the premium index to calculate the funding through Time-Weighted-Average-Price (TWAP) over the series of minutes rates.
select 3 to open a websocket and subscribe to the following topics:
- orderbook l2 25, 200
- trades
- insurances
- instrument info
- k-lines
- liquidations
example output:
✅ orderbook L2 snapshot:
✅ orderbook L2 Δ:
✅ trade:
✅ insurance:
✅ perpetual instrument info snapshot:
✅ perpetual instrument info Δ:
✅ futures instrument info snapshot:
✅ futures instrument info Δ:
In the spot market, one can buy and sell cryptocurrencies for immediate delivery. They are directly transferred between market participants (buyers and sellers), which have direct ownership of the assets and are entitled to economic benefits, such as voting or staking participation.
select 4 to open a websocket and subscribe to spot info on the following topics:
- trades
- diff depths
example output:
✨🎲 ETHUSDT order book
💰 price 🛍 quantity
1217.31 1.71858
1217.29 0.9398
1217.28 3.17709
1217.25 1.71
1217.24 3.27
1217.23 5
1217.19 0.25474
1217.15 0.08218
1217.14 5.18416
1217.09 5.0018
🔻 1216.27
1216.98 0.1489
1216.94 0.08218
1216.92 0.3
1216.85 6.01827
1216.8 0.09138
1216.71 0.3
1216.7 2.06
1216.67 0.08347
1216.66 5.03956
1216.63 3.31