mev-beta/pkg/marketmanager/arbitrage.go

package marketmanager

import (
	"math/big"
	"sort"
)

// ArbitrageDetector detects arbitrage opportunities between markets
type ArbitrageDetector struct {
	minProfitThreshold *big.Int // Minimum profit threshold in wei
	minROIPercentage   float64  // Minimum ROI percentage
}

// NewArbitrageDetector creates a new arbitrage detector
func NewArbitrageDetector(minProfitThreshold *big.Int, minROIPercentage float64) *ArbitrageDetector {
	return &ArbitrageDetector{
		minProfitThreshold: minProfitThreshold,
		minROIPercentage:   minROIPercentage,
	}
}

// ArbitrageOpportunity represents a detected arbitrage opportunity
type ArbitrageOpportunity struct {
	Market1     *Market
	Market2     *Market
	Path        []string // Token path
	Profit      *big.Int // Estimated profit in wei
	GasEstimate *big.Int // Estimated gas cost in wei
	ROI         float64  // Return on investment percentage
	InputAmount *big.Int // Required input amount
}

// DetectArbitrageOpportunities detects arbitrage opportunities among markets with the same rawTicker
func (ad *ArbitrageDetector) DetectArbitrageOpportunities(markets map[string]*Market) []*ArbitrageOpportunity {
	var opportunities []*ArbitrageOpportunity

	// Convert map to slice for sorting
	marketList := make([]*Market, 0, len(markets))
	for _, market := range markets {
		if market.IsValid() {
			marketList = append(marketList, market)
		}
	}

	// Sort markets by price (lowest to highest)
	sort.Slice(marketList, func(i, j int) bool {
		return marketList[i].Price.Cmp(marketList[j].Price) < 0
	})

	// Check each combination for arbitrage opportunities
	for i := 0; i < len(marketList); i++ {
		for j := i + 1; j < len(marketList); j++ {
			market1 := marketList[i]
			market2 := marketList[j]

			// Check if there's an arbitrage opportunity
			opportunity := ad.checkArbitrageOpportunity(market1, market2)
			if opportunity != nil {
				opportunities = append(opportunities, opportunity)
			}
		}
	}

	return opportunities
}

// checkArbitrageOpportunity checks if there's an arbitrage opportunity between two markets
func (ad *ArbitrageDetector) checkArbitrageOpportunity(market1, market2 *Market) *ArbitrageOpportunity {
	// Calculate price difference
	priceDiff := new(big.Float).Sub(market2.Price, market1.Price)
	if priceDiff.Sign() <= 0 {
		return nil // No profit opportunity
	}

	// Calculate relative price difference (profit margin)
	relativeDiff := new(big.Float).Quo(priceDiff, market1.Price)

	// Estimate optimal trade size based on liquidity
	optimalTradeSize := ad.calculateOptimalTradeSize(market1, market2)

	// Calculate price impact on both markets
	impact1 := ad.calculatePriceImpact(optimalTradeSize, market1)
	impact2 := ad.calculatePriceImpact(optimalTradeSize, market2)

	// Adjusted profit after price impact
	adjustedRelativeDiff := new(big.Float).Sub(relativeDiff, new(big.Float).Add(impact1, impact2))
	if adjustedRelativeDiff.Sign() <= 0 {
		return nil // No profit after price impact
	}

	// Calculate gross profit
	grossProfit := new(big.Float).Mul(new(big.Float).SetInt(optimalTradeSize), adjustedRelativeDiff)

	// Convert to wei for integer calculations
	grossProfitWei := new(big.Int)
	grossProfit.Int(grossProfitWei)

	// Estimate gas costs
	gasCost := ad.estimateGasCost(market1, market2)

	// Calculate net profit
	netProfit := new(big.Int).Sub(grossProfitWei, gasCost)

	// Check if profit meets minimum threshold
	if netProfit.Cmp(ad.minProfitThreshold) < 0 {
		return nil // Profit too low
	}

	// Calculate ROI
	var roi float64
	if optimalTradeSize.Sign() > 0 {
		roiFloat := new(big.Float).Quo(new(big.Float).SetInt(netProfit), new(big.Float).SetInt(optimalTradeSize))
		roi, _ = roiFloat.Float64()
		roi *= 100 // Convert to percentage
	}

	// Check if ROI meets minimum threshold
	if roi < ad.minROIPercentage {
		return nil // ROI too low
	}

	// Create arbitrage opportunity
	return &ArbitrageOpportunity{
		Market1:     market1,
		Market2:     market2,
		Path:        []string{market1.Token0.Hex(), market1.Token1.Hex()},
		Profit:      netProfit,
		GasEstimate: gasCost,
		ROI:         roi,
		InputAmount: optimalTradeSize,
	}
}

// calculateOptimalTradeSize calculates the optimal trade size for maximum profit
func (ad *ArbitrageDetector) calculateOptimalTradeSize(market1, market2 *Market) *big.Int {
	// Use a simple approach: 1% of the smaller liquidity
	liquidity1 := market1.Liquidity
	liquidity2 := market2.Liquidity

	minLiquidity := liquidity1
	if liquidity2.Cmp(liquidity1) < 0 {
		minLiquidity = liquidity2
	}

	// Calculate 1% of minimum liquidity
	optimalSize := new(big.Int).Div(minLiquidity, big.NewInt(100))

	// Ensure minimum trade size (0.001 ETH)
	minTradeSize := big.NewInt(1000000000000000) // 0.001 ETH in wei
	if optimalSize.Cmp(minTradeSize) < 0 {
		optimalSize = minTradeSize
	}

	// Ensure maximum trade size (10 ETH to avoid overflow)
	maxTradeSize := new(big.Int).SetInt64(1000000000000000000) // 1 ETH in wei
	maxTradeSize.Mul(maxTradeSize, big.NewInt(10))             // 10 ETH
	if optimalSize.Cmp(maxTradeSize) > 0 {
		optimalSize = maxTradeSize
	}

	return optimalSize
}

// calculatePriceImpact calculates the price impact for a given trade size
func (ad *ArbitrageDetector) calculatePriceImpact(tradeSize *big.Int, market *Market) *big.Float {
	if market.Liquidity.Sign() == 0 {
		return big.NewFloat(0.01) // 1% default impact for unknown liquidity
	}

	// Calculate utilization ratio
	utilizationRatio := new(big.Float).Quo(new(big.Float).SetInt(tradeSize), new(big.Float).SetInt(market.Liquidity))

	// Apply quadratic model for impact: utilizationRatio * (1 + utilizationRatio)
	impact := new(big.Float).Mul(utilizationRatio, new(big.Float).Add(big.NewFloat(1), utilizationRatio))

	// Cap impact at 10%
	if impact.Cmp(big.NewFloat(0.1)) > 0 {
		impact = big.NewFloat(0.1)
	}

	return impact
}

// estimateGasCost estimates the gas cost for an arbitrage transaction
func (ad *ArbitrageDetector) estimateGasCost(market1, market2 *Market) *big.Int {
	// Base gas costs for different operations
	baseGas := big.NewInt(250000) // Base gas for arbitrage transaction

	// Get current gas price (simplified - in production would fetch from network)
	gasPrice := big.NewInt(2000000000) // 2 gwei base

	// Add priority fee for MEV transactions
	priorityFee := big.NewInt(5000000000) // 5 gwei priority
	totalGasPrice := new(big.Int).Add(gasPrice, priorityFee)

	// Calculate total gas cost
	gasCost := new(big.Int).Mul(baseGas, totalGasPrice)

	return gasCost
}

// GetFeePercentage calculates the total fee percentage for two markets
func (ad *ArbitrageDetector) GetFeePercentage(market1, market2 *Market) float64 {
	fee1 := market1.GetFeePercentage()
	fee2 := market2.GetFeePercentage()
	return fee1 + fee2
}