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mev-beta/pkg/arbitrage/detector.go
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feat(arbitrage): implement complete arbitrage detection engine
Implemented Phase 3 of the V2 architecture: a comprehensive arbitrage detection engine with path finding, profitability calculation, and opportunity detection.

Core Components:
- Opportunity struct: Represents arbitrage opportunities with full execution context
- PathFinder: Finds two-pool, triangular, and multi-hop arbitrage paths using BFS
- Calculator: Calculates profitability using protocol-specific math (V2, V3, Curve)
- GasEstimator: Estimates gas costs and optimal gas prices
- Detector: Main orchestration component for opportunity detection

Features:
- Multi-protocol support: UniswapV2, UniswapV3, Curve StableSwap
- Concurrent path evaluation with configurable limits
- Input amount optimization for maximum profit
- Real-time swap monitoring and opportunity stream
- Comprehensive statistics tracking
- Token whitelisting and filtering

Path Finding:
- Two-pool arbitrage: A→B→A across different pools
- Triangular arbitrage: A→B→C→A with three pools
- Multi-hop arbitrage: Up to 4 hops with BFS search
- Liquidity and protocol filtering
- Duplicate path detection

Profitability Calculation:
- Protocol-specific swap calculations
- Price impact estimation
- Gas cost estimation with multipliers
- Net profit after fees and gas
- ROI and priority scoring
- Executable opportunity filtering

Testing:
- 100% test coverage for all components
- 1,400+ lines of comprehensive tests
- Unit tests for all public methods
- Integration tests for full workflows
- Edge case and error handling tests

🤖 Generated with [Claude Code](https://claude.com/claude-code)

Co-Authored-By: Claude <noreply@anthropic.com>
2025-11-10 16:16:01 +01:00

487 lines
12 KiB
Go

package arbitrage
import (
"context"
"fmt"
"log/slog"
"math/big"
"sync"
"time"
"github.com/ethereum/go-ethereum/common"
"github.com/your-org/mev-bot/pkg/cache"
mevtypes "github.com/your-org/mev-bot/pkg/types"
)
// DetectorConfig contains configuration for the opportunity detector
type DetectorConfig struct {
// Path finding
MaxPathsToEvaluate int
EvaluationTimeout time.Duration
// Input amount optimization
MinInputAmount *big.Int
MaxInputAmount *big.Int
OptimizeInput bool
// Gas price
DefaultGasPrice *big.Int
MaxGasPrice *big.Int
// Token whitelist (empty = all tokens allowed)
WhitelistedTokens []common.Address
// Concurrent evaluation
MaxConcurrentEvaluations int
}
// DefaultDetectorConfig returns default configuration
func DefaultDetectorConfig() *DetectorConfig {
return &DetectorConfig{
MaxPathsToEvaluate: 50,
EvaluationTimeout: 5 * time.Second,
MinInputAmount: new(big.Int).Mul(big.NewInt(1), big.NewInt(1e17)), // 0.1 ETH
MaxInputAmount: new(big.Int).Mul(big.NewInt(10), big.NewInt(1e18)), // 10 ETH
OptimizeInput: true,
DefaultGasPrice: big.NewInt(1e9), // 1 gwei
MaxGasPrice: big.NewInt(100e9), // 100 gwei
WhitelistedTokens: []common.Address{},
MaxConcurrentEvaluations: 10,
}
}
// Detector detects arbitrage opportunities
type Detector struct {
config *DetectorConfig
pathFinder *PathFinder
calculator *Calculator
poolCache *cache.PoolCache
logger *slog.Logger
// Statistics
stats *OpportunityStats
statsMutex sync.RWMutex
// Channels for opportunity stream
opportunityCh chan *Opportunity
}
// NewDetector creates a new opportunity detector
func NewDetector(
config *DetectorConfig,
pathFinder *PathFinder,
calculator *Calculator,
poolCache *cache.PoolCache,
logger *slog.Logger,
) *Detector {
if config == nil {
config = DefaultDetectorConfig()
}
return &Detector{
config: config,
pathFinder: pathFinder,
calculator: calculator,
poolCache: poolCache,
logger: logger.With("component", "detector"),
stats: &OpportunityStats{},
opportunityCh: make(chan *Opportunity, 100),
}
}
// DetectOpportunities finds all arbitrage opportunities for a token
func (d *Detector) DetectOpportunities(ctx context.Context, token common.Address) ([]*Opportunity, error) {
d.logger.Debug("detecting opportunities", "token", token.Hex())
startTime := time.Now()
// Check if token is whitelisted (if whitelist is configured)
if !d.isTokenWhitelisted(token) {
return nil, fmt.Errorf("token %s not whitelisted", token.Hex())
}
// Find all possible paths
paths, err := d.pathFinder.FindAllArbitragePaths(ctx, token)
if err != nil {
return nil, fmt.Errorf("failed to find paths: %w", err)
}
if len(paths) == 0 {
d.logger.Debug("no paths found", "token", token.Hex())
return []*Opportunity{}, nil
}
d.logger.Info("found paths for evaluation",
"token", token.Hex(),
"pathCount", len(paths),
)
// Limit number of paths to evaluate
if len(paths) > d.config.MaxPathsToEvaluate {
paths = paths[:d.config.MaxPathsToEvaluate]
}
// Evaluate paths concurrently
opportunities, err := d.evaluatePathsConcurrently(ctx, paths)
if err != nil {
return nil, fmt.Errorf("failed to evaluate paths: %w", err)
}
// Filter to only profitable opportunities
profitable := d.filterProfitable(opportunities)
// Update statistics
d.updateStats(profitable)
d.logger.Info("detection complete",
"token", token.Hex(),
"totalPaths", len(paths),
"evaluated", len(opportunities),
"profitable", len(profitable),
"duration", time.Since(startTime),
)
return profitable, nil
}
// DetectOpportunitiesForSwap detects opportunities triggered by a new swap event
func (d *Detector) DetectOpportunitiesForSwap(ctx context.Context, swapEvent *mevtypes.SwapEvent) ([]*Opportunity, error) {
d.logger.Debug("detecting opportunities from swap",
"pool", swapEvent.PoolAddress.Hex(),
"protocol", swapEvent.Protocol,
)
// Get affected tokens
tokens := []common.Address{swapEvent.TokenIn, swapEvent.TokenOut}
allOpportunities := make([]*Opportunity, 0)
// Check for opportunities involving either token
for _, token := range tokens {
opps, err := d.DetectOpportunities(ctx, token)
if err != nil {
d.logger.Warn("failed to detect opportunities for token",
"token", token.Hex(),
"error", err,
)
continue
}
allOpportunities = append(allOpportunities, opps...)
}
d.logger.Info("detection from swap complete",
"pool", swapEvent.PoolAddress.Hex(),
"opportunitiesFound", len(allOpportunities),
)
return allOpportunities, nil
}
// DetectBetweenTokens finds arbitrage opportunities between two specific tokens
func (d *Detector) DetectBetweenTokens(ctx context.Context, tokenA, tokenB common.Address) ([]*Opportunity, error) {
d.logger.Debug("detecting opportunities between tokens",
"tokenA", tokenA.Hex(),
"tokenB", tokenB.Hex(),
)
// Find two-pool arbitrage paths
paths, err := d.pathFinder.FindTwoPoolPaths(ctx, tokenA, tokenB)
if err != nil {
return nil, fmt.Errorf("failed to find two-pool paths: %w", err)
}
// Evaluate paths
opportunities, err := d.evaluatePathsConcurrently(ctx, paths)
if err != nil {
return nil, fmt.Errorf("failed to evaluate paths: %w", err)
}
// Filter profitable
profitable := d.filterProfitable(opportunities)
d.logger.Info("detection between tokens complete",
"tokenA", tokenA.Hex(),
"tokenB", tokenB.Hex(),
"profitable", len(profitable),
)
return profitable, nil
}
// evaluatePathsConcurrently evaluates multiple paths concurrently
func (d *Detector) evaluatePathsConcurrently(ctx context.Context, paths []*Path) ([]*Opportunity, error) {
evalCtx, cancel := context.WithTimeout(ctx, d.config.EvaluationTimeout)
defer cancel()
// Semaphore for limiting concurrent evaluations
sem := make(chan struct{}, d.config.MaxConcurrentEvaluations)
var wg sync.WaitGroup
results := make(chan *Opportunity, len(paths))
errors := make(chan error, len(paths))
for _, path := range paths {
wg.Add(1)
go func(p *Path) {
defer wg.Done()
// Acquire semaphore
select {
case sem <- struct{}{}:
defer func() { <-sem }()
case <-evalCtx.Done():
errors <- evalCtx.Err()
return
}
opp, err := d.evaluatePath(evalCtx, p)
if err != nil {
d.logger.Debug("failed to evaluate path", "error", err)
errors <- err
return
}
if opp != nil {
results <- opp
}
}(path)
}
// Wait for all evaluations to complete
go func() {
wg.Wait()
close(results)
close(errors)
}()
// Collect results
opportunities := make([]*Opportunity, 0)
for opp := range results {
opportunities = append(opportunities, opp)
}
return opportunities, nil
}
// evaluatePath evaluates a single path for profitability
func (d *Detector) evaluatePath(ctx context.Context, path *Path) (*Opportunity, error) {
gasPrice := d.config.DefaultGasPrice
// Determine input amount
inputAmount := d.config.MinInputAmount
var opportunity *Opportunity
var err error
if d.config.OptimizeInput {
// Optimize input amount for maximum profit
opportunity, err = d.calculator.OptimizeInputAmount(ctx, path, gasPrice, d.config.MaxInputAmount)
} else {
// Use fixed input amount
opportunity, err = d.calculator.CalculateProfitability(ctx, path, inputAmount, gasPrice)
}
if err != nil {
return nil, fmt.Errorf("failed to calculate profitability: %w", err)
}
return opportunity, nil
}
// filterProfitable filters opportunities to only include profitable ones
func (d *Detector) filterProfitable(opportunities []*Opportunity) []*Opportunity {
profitable := make([]*Opportunity, 0)
for _, opp := range opportunities {
if opp.IsProfitable() && opp.CanExecute() {
profitable = append(profitable, opp)
}
}
return profitable
}
// isTokenWhitelisted checks if a token is whitelisted
func (d *Detector) isTokenWhitelisted(token common.Address) bool {
if len(d.config.WhitelistedTokens) == 0 {
return true // No whitelist = all tokens allowed
}
for _, whitelisted := range d.config.WhitelistedTokens {
if token == whitelisted {
return true
}
}
return false
}
// updateStats updates detection statistics
func (d *Detector) updateStats(opportunities []*Opportunity) {
d.statsMutex.Lock()
defer d.statsMutex.Unlock()
d.stats.TotalDetected += len(opportunities)
d.stats.LastDetected = time.Now()
for _, opp := range opportunities {
if opp.IsProfitable() {
d.stats.TotalProfitable++
}
if opp.CanExecute() {
d.stats.TotalExecutable++
}
// Update max profit
if d.stats.MaxProfit == nil || opp.NetProfit.Cmp(d.stats.MaxProfit) > 0 {
d.stats.MaxProfit = new(big.Int).Set(opp.NetProfit)
}
// Update total profit
if d.stats.TotalProfit == nil {
d.stats.TotalProfit = big.NewInt(0)
}
d.stats.TotalProfit.Add(d.stats.TotalProfit, opp.NetProfit)
}
// Calculate average profit
if d.stats.TotalDetected > 0 && d.stats.TotalProfit != nil {
d.stats.AverageProfit = new(big.Int).Div(
d.stats.TotalProfit,
big.NewInt(int64(d.stats.TotalDetected)),
)
}
}
// GetStats returns current detection statistics
func (d *Detector) GetStats() OpportunityStats {
d.statsMutex.RLock()
defer d.statsMutex.RUnlock()
// Create a copy to avoid race conditions
stats := *d.stats
if d.stats.AverageProfit != nil {
stats.AverageProfit = new(big.Int).Set(d.stats.AverageProfit)
}
if d.stats.MaxProfit != nil {
stats.MaxProfit = new(big.Int).Set(d.stats.MaxProfit)
}
if d.stats.TotalProfit != nil {
stats.TotalProfit = new(big.Int).Set(d.stats.TotalProfit)
}
if d.stats.MedianProfit != nil {
stats.MedianProfit = new(big.Int).Set(d.stats.MedianProfit)
}
return stats
}
// OpportunityStream returns a channel that receives detected opportunities
func (d *Detector) OpportunityStream() <-chan *Opportunity {
return d.opportunityCh
}
// PublishOpportunity publishes an opportunity to the stream
func (d *Detector) PublishOpportunity(opp *Opportunity) {
select {
case d.opportunityCh <- opp:
default:
d.logger.Warn("opportunity channel full, dropping opportunity", "id", opp.ID)
}
}
// MonitorSwaps monitors swap events and detects opportunities
func (d *Detector) MonitorSwaps(ctx context.Context, swapCh <-chan *mevtypes.SwapEvent) {
d.logger.Info("starting swap monitor")
for {
select {
case <-ctx.Done():
d.logger.Info("swap monitor stopped")
return
case swap, ok := <-swapCh:
if !ok {
d.logger.Info("swap channel closed")
return
}
// Detect opportunities for this swap
opportunities, err := d.DetectOpportunitiesForSwap(ctx, swap)
if err != nil {
d.logger.Error("failed to detect opportunities for swap",
"pool", swap.PoolAddress.Hex(),
"error", err,
)
continue
}
// Publish opportunities to stream
for _, opp := range opportunities {
d.PublishOpportunity(opp)
}
}
}
}
// ScanForOpportunities continuously scans for arbitrage opportunities
func (d *Detector) ScanForOpportunities(ctx context.Context, interval time.Duration, tokens []common.Address) {
d.logger.Info("starting opportunity scanner",
"interval", interval,
"tokenCount", len(tokens),
)
ticker := time.NewTicker(interval)
defer ticker.Stop()
for {
select {
case <-ctx.Done():
d.logger.Info("opportunity scanner stopped")
return
case <-ticker.C:
d.logger.Debug("scanning for opportunities")
for _, token := range tokens {
opportunities, err := d.DetectOpportunities(ctx, token)
if err != nil {
d.logger.Warn("failed to detect opportunities",
"token", token.Hex(),
"error", err,
)
continue
}
// Publish opportunities
for _, opp := range opportunities {
d.PublishOpportunity(opp)
}
}
}
}
}
// RankOpportunities ranks opportunities by priority
func (d *Detector) RankOpportunities(opportunities []*Opportunity) []*Opportunity {
// Sort by priority (highest first)
ranked := make([]*Opportunity, len(opportunities))
copy(ranked, opportunities)
// Simple bubble sort (good enough for small lists)
for i := 0; i < len(ranked)-1; i++ {
for j := 0; j < len(ranked)-i-1; j++ {
if ranked[j].Priority < ranked[j+1].Priority {
ranked[j], ranked[j+1] = ranked[j+1], ranked[j]
}
}
}
return ranked
}