765 lines
22 KiB
Go
765 lines
22 KiB
Go
package arbitrage
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import (
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"context"
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"fmt"
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"sync"
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"time"
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"github.com/ethereum/go-ethereum/common"
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"github.com/fraktal/mev-beta/internal/logger"
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"github.com/fraktal/mev-beta/pkg/exchanges"
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"github.com/fraktal/mev-beta/pkg/math"
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"github.com/fraktal/mev-beta/pkg/types"
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)
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// ArbitrageDetectionEngine discovers profitable arbitrage opportunities in real-time
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type ArbitrageDetectionEngine struct {
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registry *exchanges.ExchangeRegistry
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calculator *math.ArbitrageCalculator
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gasEstimator math.GasEstimator
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logger *logger.Logger
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decimalConverter *math.DecimalConverter
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// Configuration
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config DetectionConfig
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// State management
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runningMutex sync.RWMutex
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isRunning bool
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stopChan chan struct{}
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opportunityChan chan *types.ArbitrageOpportunity
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// Performance tracking
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scanCount uint64
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opportunityCount uint64
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lastScanTime time.Time
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// Worker pools
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scanWorkers *WorkerPool
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pathWorkers *WorkerPool
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}
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// DetectionConfig configures the arbitrage detection engine
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type DetectionConfig struct {
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// Scanning parameters
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ScanInterval time.Duration
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MaxConcurrentScans int
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MaxConcurrentPaths int
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// Opportunity criteria
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MinProfitThreshold *math.UniversalDecimal
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MaxPriceImpact *math.UniversalDecimal
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MaxHops int
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// Token filtering
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HighPriorityTokens []common.Address
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TokenWhitelist []common.Address
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TokenBlacklist []common.Address
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// Exchange filtering
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EnabledExchanges []math.ExchangeType
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ExchangeWeights map[math.ExchangeType]float64
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// Performance settings
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CachePoolData bool
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CacheTTL time.Duration
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BatchSize int
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// Risk management
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MaxPositionSize *math.UniversalDecimal
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RequiredConfidence float64
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}
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// WorkerPool manages concurrent workers for scanning
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type WorkerPool struct {
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workers int
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taskChan chan ScanTask
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wg sync.WaitGroup
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ctx context.Context
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cancel context.CancelFunc
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}
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// ScanTask represents a scanning task
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type ScanTask struct {
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TokenPair exchanges.TokenPair
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Exchanges []*exchanges.ExchangeConfig
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InputAmount *math.UniversalDecimal
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ResultChan chan ScanResult
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}
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// ScanResult contains the result of a scanning task
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type ScanResult struct {
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Opportunity *types.ArbitrageOpportunity
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Error error
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ScanTime time.Duration
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}
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// NewArbitrageDetectionEngine creates a new arbitrage detection engine
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func NewArbitrageDetectionEngine(
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registry *exchanges.ExchangeRegistry,
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gasEstimator math.GasEstimator,
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logger *logger.Logger,
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config DetectionConfig,
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) *ArbitrageDetectionEngine {
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calculator := math.NewArbitrageCalculator(gasEstimator)
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engine := &ArbitrageDetectionEngine{
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registry: registry,
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calculator: calculator,
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gasEstimator: gasEstimator,
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logger: logger,
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decimalConverter: math.NewDecimalConverter(),
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config: config,
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isRunning: false,
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stopChan: make(chan struct{}),
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opportunityChan: make(chan *types.ArbitrageOpportunity, 1000), // Buffered channel
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}
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// Set default configuration if not provided
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engine.setDefaultConfig()
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return engine
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}
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// setDefaultConfig sets default configuration values
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func (engine *ArbitrageDetectionEngine) setDefaultConfig() {
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if engine.config.ScanInterval == 0 {
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engine.config.ScanInterval = 1 * time.Second
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}
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if engine.config.MaxConcurrentScans == 0 {
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engine.config.MaxConcurrentScans = 10
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}
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if engine.config.MaxConcurrentPaths == 0 {
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engine.config.MaxConcurrentPaths = 50
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}
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if engine.config.MinProfitThreshold == nil {
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engine.config.MinProfitThreshold, _ = engine.decimalConverter.FromString("0.01", 18, "ETH")
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}
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if engine.config.MaxPriceImpact == nil {
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engine.config.MaxPriceImpact, _ = engine.decimalConverter.FromString("2", 4, "PERCENT")
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}
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if engine.config.MaxHops == 0 {
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engine.config.MaxHops = 3
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}
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if engine.config.CacheTTL == 0 {
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engine.config.CacheTTL = 30 * time.Second
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}
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if engine.config.BatchSize == 0 {
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engine.config.BatchSize = 20
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}
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if engine.config.RequiredConfidence == 0 {
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engine.config.RequiredConfidence = 0.7
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}
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if len(engine.config.EnabledExchanges) == 0 {
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// Enable all exchanges by default
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for _, exchangeConfig := range engine.registry.GetAllExchanges() {
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engine.config.EnabledExchanges = append(engine.config.EnabledExchanges, exchangeConfig.Type)
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}
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}
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}
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// Start begins the arbitrage detection process
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func (engine *ArbitrageDetectionEngine) Start(ctx context.Context) error {
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engine.runningMutex.Lock()
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defer engine.runningMutex.Unlock()
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if engine.isRunning {
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return fmt.Errorf("detection engine is already running")
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}
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engine.logger.Info("Starting arbitrage detection engine...")
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engine.logger.Info(fmt.Sprintf("Configuration - Scan Interval: %v, Max Concurrent Scans: %d, Min Profit: %s ETH",
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engine.config.ScanInterval,
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engine.config.MaxConcurrentScans,
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engine.decimalConverter.ToHumanReadable(engine.config.MinProfitThreshold)))
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// Initialize worker pools
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if err := engine.initializeWorkerPools(ctx); err != nil {
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return fmt.Errorf("failed to initialize worker pools: %w", err)
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}
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engine.isRunning = true
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// Start main detection loop
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go engine.detectionLoop(ctx)
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// Start opportunity processing
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go engine.opportunityProcessor(ctx)
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engine.logger.Info("Arbitrage detection engine started successfully")
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return nil
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}
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// Stop halts the arbitrage detection process
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func (engine *ArbitrageDetectionEngine) Stop() error {
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engine.runningMutex.Lock()
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defer engine.runningMutex.Unlock()
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if !engine.isRunning {
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return fmt.Errorf("detection engine is not running")
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}
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engine.logger.Info("Stopping arbitrage detection engine...")
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// Signal stop
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close(engine.stopChan)
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// Stop worker pools
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if engine.scanWorkers != nil {
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engine.scanWorkers.Stop()
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}
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if engine.pathWorkers != nil {
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engine.pathWorkers.Stop()
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}
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engine.isRunning = false
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engine.logger.Info(fmt.Sprintf("Detection engine stopped. Total scans: %d, Opportunities found: %d",
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engine.scanCount, engine.opportunityCount))
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return nil
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}
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// initializeWorkerPools sets up worker pools for concurrent processing
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func (engine *ArbitrageDetectionEngine) initializeWorkerPools(ctx context.Context) error {
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// Initialize scan worker pool
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engine.scanWorkers = NewWorkerPool(engine.config.MaxConcurrentScans, ctx)
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engine.scanWorkers.Start(engine.processScanTask)
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// Initialize path worker pool
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engine.pathWorkers = NewWorkerPool(engine.config.MaxConcurrentPaths, ctx)
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engine.pathWorkers.Start(engine.processPathTask)
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return nil
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}
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// detectionLoop runs the main detection logic
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func (engine *ArbitrageDetectionEngine) detectionLoop(ctx context.Context) {
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ticker := time.NewTicker(engine.config.ScanInterval)
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defer ticker.Stop()
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for {
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select {
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case <-ctx.Done():
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engine.logger.Info("Detection loop stopped due to context cancellation")
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return
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case <-engine.stopChan:
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engine.logger.Info("Detection loop stopped")
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return
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case <-ticker.C:
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engine.performScan(ctx)
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}
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}
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}
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// performScan executes a complete arbitrage scan
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func (engine *ArbitrageDetectionEngine) performScan(ctx context.Context) {
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scanStart := time.Now()
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engine.scanCount++
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engine.logger.Debug(fmt.Sprintf("Starting arbitrage scan #%d", engine.scanCount))
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// Get token pairs to scan
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tokenPairs := engine.getTokenPairsToScan()
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// Get input amounts to test
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inputAmounts := engine.getInputAmountsToTest()
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// Create scan tasks
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scanTasks := make([]ScanTask, 0)
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for _, pair := range tokenPairs {
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// Get exchanges that support this pair
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supportingExchanges := engine.registry.GetExchangesForPair(
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common.HexToAddress(pair.Token0.Address),
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common.HexToAddress(pair.Token1.Address),
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)
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// Filter enabled exchanges
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enabledExchanges := engine.filterEnabledExchanges(supportingExchanges)
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if len(enabledExchanges) < 2 {
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continue // Need at least 2 exchanges for arbitrage
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}
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for _, inputAmount := range inputAmounts {
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task := ScanTask{
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TokenPair: pair,
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Exchanges: enabledExchanges,
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InputAmount: inputAmount,
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ResultChan: make(chan ScanResult, 1),
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}
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scanTasks = append(scanTasks, task)
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}
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}
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engine.logger.Debug(fmt.Sprintf("Created %d scan tasks for %d token pairs", len(scanTasks), len(tokenPairs)))
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// Process scan tasks in batches
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engine.processScanTasksBatch(ctx, scanTasks)
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scanDuration := time.Since(scanStart)
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engine.lastScanTime = time.Now()
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engine.logger.Debug(fmt.Sprintf("Completed arbitrage scan #%d in %v", engine.scanCount, scanDuration))
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}
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// getTokenPairsToScan returns token pairs to scan for arbitrage
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func (engine *ArbitrageDetectionEngine) getTokenPairsToScan() []exchanges.TokenPair {
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// Get high priority tokens first
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highPriorityTokens := engine.registry.GetHighPriorityTokens(10)
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// Create pairs from high priority tokens
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pairs := make([]exchanges.TokenPair, 0)
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for i, token0 := range highPriorityTokens {
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for j, token1 := range highPriorityTokens {
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if i >= j {
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continue // Avoid duplicates and self-pairs
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}
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// Check if pair is supported
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if engine.registry.IsPairSupported(
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common.HexToAddress(token0.Address),
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common.HexToAddress(token1.Address),
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) {
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pairs = append(pairs, exchanges.TokenPair{
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Token0: token0,
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Token1: token1,
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})
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}
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}
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}
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return pairs
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}
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// getInputAmountsToTest returns different input amounts to test for arbitrage
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func (engine *ArbitrageDetectionEngine) getInputAmountsToTest() []*math.UniversalDecimal {
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amounts := make([]*math.UniversalDecimal, 0)
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// Test different input amounts to find optimal arbitrage size
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testAmounts := []string{"0.1", "0.5", "1", "2", "5", "10"}
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for _, amountStr := range testAmounts {
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if amount, err := engine.decimalConverter.FromString(amountStr, 18, "ETH"); err == nil {
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amounts = append(amounts, amount)
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}
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}
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return amounts
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}
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// filterEnabledExchanges filters exchanges based on configuration
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func (engine *ArbitrageDetectionEngine) filterEnabledExchanges(exchangeConfigs []*exchanges.ExchangeConfig) []*exchanges.ExchangeConfig {
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enabled := make([]*exchanges.ExchangeConfig, 0)
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enabledMap := make(map[math.ExchangeType]bool)
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for _, exchangeType := range engine.config.EnabledExchanges {
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enabledMap[exchangeType] = true
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}
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for _, exchange := range exchangeConfigs {
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if enabledMap[exchange.Type] {
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enabled = append(enabled, exchange)
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}
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}
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return enabled
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}
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// processScanTasksBatch processes scan tasks in batches for efficiency
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func (engine *ArbitrageDetectionEngine) processScanTasksBatch(ctx context.Context, tasks []ScanTask) {
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batchSize := engine.config.BatchSize
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for i := 0; i < len(tasks); i += batchSize {
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end := i + batchSize
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if end > len(tasks) {
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end = len(tasks)
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}
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batch := tasks[i:end]
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engine.processScanBatch(ctx, batch)
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// Small delay between batches to avoid overwhelming the system
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select {
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case <-ctx.Done():
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return
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case <-time.After(10 * time.Millisecond):
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}
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}
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}
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// processScanBatch processes a batch of scan tasks concurrently
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func (engine *ArbitrageDetectionEngine) processScanBatch(ctx context.Context, batch []ScanTask) {
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resultChans := make([]chan ScanResult, len(batch))
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// Submit tasks to worker pool
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for i, task := range batch {
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resultChans[i] = task.ResultChan
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select {
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case engine.scanWorkers.taskChan <- task:
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case <-ctx.Done():
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return
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}
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}
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// Collect results
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for _, resultChan := range resultChans {
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select {
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case result := <-resultChan:
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if result.Error != nil {
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engine.logger.Debug(fmt.Sprintf("Scan task error: %v", result.Error))
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continue
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}
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if result.Opportunity != nil && engine.calculator.IsOpportunityProfitable(result.Opportunity) {
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engine.opportunityCount++
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// Send opportunity to processing channel
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select {
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case engine.opportunityChan <- result.Opportunity:
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engine.logger.Info(fmt.Sprintf("🎯 Found profitable arbitrage: %s profit, %0.1f%% confidence",
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result.Opportunity.NetProfit.String(),
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result.Opportunity.Confidence*100))
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default:
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engine.logger.Warn("Opportunity channel full, dropping opportunity")
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}
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}
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case <-ctx.Done():
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return
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case <-time.After(5 * time.Second):
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engine.logger.Warn("Scan task timed out")
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}
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}
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}
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// processScanTask processes a single scan task
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func (engine *ArbitrageDetectionEngine) processScanTask(task ScanTask) {
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start := time.Now()
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// Find arbitrage paths between exchanges
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paths := engine.findArbitragePaths(task.TokenPair, task.Exchanges)
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var bestOpportunity *types.ArbitrageOpportunity
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for _, path := range paths {
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// Calculate arbitrage opportunity
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opportunity, err := engine.calculator.CalculateArbitrageOpportunity(
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path,
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task.InputAmount,
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math.TokenInfo{
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Address: task.TokenPair.Token0.Address,
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Symbol: task.TokenPair.Token0.Symbol,
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Decimals: task.TokenPair.Token0.Decimals,
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},
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math.TokenInfo{
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Address: task.TokenPair.Token1.Address,
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Symbol: task.TokenPair.Token1.Symbol,
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Decimals: task.TokenPair.Token1.Decimals,
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},
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)
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if err != nil {
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continue
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}
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// Check if this is the best opportunity so far
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if bestOpportunity == nil || engine.isOpportunityBetter(opportunity, bestOpportunity) {
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bestOpportunity = opportunity
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}
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}
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result := ScanResult{
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Opportunity: bestOpportunity,
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ScanTime: time.Since(start),
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}
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task.ResultChan <- result
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}
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// findArbitragePaths finds possible arbitrage paths between exchanges
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func (engine *ArbitrageDetectionEngine) findArbitragePaths(pair exchanges.TokenPair, exchangeConfigs []*exchanges.ExchangeConfig) [][]*math.PoolData {
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paths := make([][]*math.PoolData, 0)
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// For simplicity, we'll focus on 2-hop arbitrage (buy on exchange A, sell on exchange B)
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// Production implementation would include multi-hop paths
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token0Addr := common.HexToAddress(pair.Token0.Address)
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token1Addr := common.HexToAddress(pair.Token1.Address)
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for i, exchange1 := range exchangeConfigs {
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for j, exchange2 := range exchangeConfigs {
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if i == j {
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continue // Same exchange
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}
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// Find pools on each exchange
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pool1 := engine.findBestPool(exchange1, token0Addr, token1Addr)
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pool2 := engine.findBestPool(exchange2, token1Addr, token0Addr) // Reverse direction
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if pool1 != nil && pool2 != nil {
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path := []*math.PoolData{pool1, pool2}
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paths = append(paths, path)
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}
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}
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}
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return paths
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}
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// findBestPool finds the best pool for a token pair on an exchange
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func (engine *ArbitrageDetectionEngine) findBestPool(exchange *exchanges.ExchangeConfig, token0, token1 common.Address) *math.PoolData {
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// Get the pool detector and liquidity fetcher from the registry
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poolDetector := engine.registry.GetPoolDetector(exchange.Type)
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liquidityFetcher := engine.registry.GetLiquidityFetcher(exchange.Type)
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if poolDetector == nil || liquidityFetcher == nil {
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return nil
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}
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// Get pools for this pair
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pools, err := poolDetector.GetAllPools(token0, token1)
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if err != nil || len(pools) == 0 {
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return nil
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}
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// For now, return data for the first pool
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// Production implementation would compare liquidity and select the best
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poolData, err := liquidityFetcher.GetPoolData(pools[0])
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if err != nil {
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return nil
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}
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return poolData
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}
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// isOpportunityBetter compares two opportunities and returns true if the first is better
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func (engine *ArbitrageDetectionEngine) isOpportunityBetter(opp1, opp2 *types.ArbitrageOpportunity) bool {
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// Compare net profit first
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if opp1.NetProfit.Cmp(opp2.NetProfit) > 0 {
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return true
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} else if opp1.NetProfit.Cmp(opp2.NetProfit) < 0 {
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return false
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}
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// If profits are equal, compare confidence
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return opp1.Confidence > opp2.Confidence
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}
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// processPathTask processes a path finding task
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func (engine *ArbitrageDetectionEngine) processPathTask(task ScanTask) {
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// This would be used for more complex path finding algorithms
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// For now, defer to the main scan task processing
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engine.processScanTask(task)
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}
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// opportunityProcessor processes discovered opportunities
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|
func (engine *ArbitrageDetectionEngine) opportunityProcessor(ctx context.Context) {
|
|
for {
|
|
select {
|
|
case <-ctx.Done():
|
|
return
|
|
case <-engine.stopChan:
|
|
return
|
|
case opportunity := <-engine.opportunityChan:
|
|
engine.processOpportunity(opportunity)
|
|
}
|
|
}
|
|
}
|
|
|
|
// processOpportunity processes a discovered arbitrage opportunity
|
|
func (engine *ArbitrageDetectionEngine) processOpportunity(opportunity *types.ArbitrageOpportunity) {
|
|
engine.logger.Info(fmt.Sprintf("Processing arbitrage opportunity: %s -> %s",
|
|
opportunity.TokenIn.Hex()[:8],
|
|
opportunity.TokenOut.Hex()[:8]))
|
|
|
|
// Log detailed opportunity information
|
|
engine.logger.Info(fmt.Sprintf(" Input Amount: %s",
|
|
opportunity.AmountIn.String()))
|
|
|
|
engine.logger.Info(fmt.Sprintf(" Input Token: %s",
|
|
opportunity.TokenIn.Hex()))
|
|
|
|
engine.logger.Info(fmt.Sprintf(" Net Profit: %s ETH",
|
|
opportunity.NetProfit.String()))
|
|
|
|
engine.logger.Info(fmt.Sprintf(" ROI: %.2f%%", opportunity.ROI))
|
|
|
|
engine.logger.Info(fmt.Sprintf(" Price Impact: %.2f%%", opportunity.PriceImpact))
|
|
|
|
engine.logger.Info(fmt.Sprintf(" Confidence: %.1f%%", opportunity.Confidence*100))
|
|
|
|
engine.logger.Info(fmt.Sprintf(" Risk Level: %.2f", opportunity.Risk))
|
|
|
|
engine.logger.Info(fmt.Sprintf(" Protocol: %s", opportunity.Protocol))
|
|
engine.logger.Info(fmt.Sprintf(" Path length: %d", len(opportunity.Path)))
|
|
|
|
// TODO: Send to execution engine for actual execution
|
|
// This would integrate with Component 4: Flash Swap Execution System
|
|
}
|
|
|
|
// GetOpportunityChannel returns the channel for receiving opportunities
|
|
func (engine *ArbitrageDetectionEngine) GetOpportunityChannel() <-chan *types.ArbitrageOpportunity {
|
|
return engine.opportunityChan
|
|
}
|
|
|
|
// GetStats returns detection engine statistics
|
|
func (engine *ArbitrageDetectionEngine) GetStats() DetectionStats {
|
|
engine.runningMutex.RLock()
|
|
defer engine.runningMutex.RUnlock()
|
|
|
|
return DetectionStats{
|
|
IsRunning: engine.isRunning,
|
|
TotalScans: engine.scanCount,
|
|
OpportunitiesFound: engine.opportunityCount,
|
|
LastScanTime: engine.lastScanTime,
|
|
ScanInterval: engine.config.ScanInterval,
|
|
ConfiguredExchanges: len(engine.config.EnabledExchanges),
|
|
}
|
|
}
|
|
|
|
// ScanOpportunities scans for arbitrage opportunities using the provided parameters
|
|
func (engine *ArbitrageDetectionEngine) ScanOpportunities(ctx context.Context, params []*DetectionParams) ([]*types.ArbitrageOpportunity, error) {
|
|
if !engine.isRunning {
|
|
return nil, fmt.Errorf("detection engine is not running, call Start() first")
|
|
}
|
|
|
|
var opportunities []*types.ArbitrageOpportunity
|
|
|
|
// Process each detection parameter
|
|
for _, param := range params {
|
|
// Create token info using simplified approach for now
|
|
// In production, this would query contract metadata
|
|
token0Info := exchanges.TokenInfo{
|
|
Address: param.TokenA.Hex(),
|
|
Symbol: param.TokenA.Hex()[:8], // Use first 8 chars of address as symbol
|
|
Name: "Unknown Token",
|
|
Decimals: 18, // Standard ERC-20 decimals
|
|
}
|
|
|
|
token1Info := exchanges.TokenInfo{
|
|
Address: param.TokenB.Hex(),
|
|
Symbol: param.TokenB.Hex()[:8], // Use first 8 chars of address as symbol
|
|
Name: "Unknown Token",
|
|
Decimals: 18, // Standard ERC-20 decimals
|
|
}
|
|
tokenPair := exchanges.TokenPair{
|
|
Token0: token0Info,
|
|
Token1: token1Info,
|
|
}
|
|
|
|
// Get exchange configurations for this token pair
|
|
exchangeConfigs := engine.registry.GetExchangesForPair(common.HexToAddress(tokenPair.Token0.Address), common.HexToAddress(tokenPair.Token1.Address))
|
|
if len(exchangeConfigs) < 2 {
|
|
continue // Need at least 2 exchanges for arbitrage
|
|
}
|
|
|
|
// Find all possible arbitrage paths between the tokens
|
|
paths := engine.findArbitragePaths(tokenPair, exchangeConfigs)
|
|
|
|
// Calculate profitability for each path
|
|
for _, path := range paths {
|
|
if len(path) == 0 {
|
|
continue
|
|
}
|
|
|
|
// Get token info for the first and last pools in the path
|
|
tokenA := path[0].Token0
|
|
tokenZ := path[len(path)-1].Token1
|
|
if path[len(path)-1].Token0.Address == tokenA.Address {
|
|
tokenZ = path[len(path)-1].Token0
|
|
}
|
|
|
|
// Test various input amounts to find the most profitable one
|
|
inputAmounts := engine.getInputAmountsToTest()
|
|
for _, inputAmount := range inputAmounts {
|
|
// Calculate arbitrage opportunity using the calculator
|
|
opportunity, err := engine.calculator.CalculateArbitrageOpportunity(path, inputAmount, tokenA, tokenZ)
|
|
if err != nil {
|
|
engine.logger.Debug(fmt.Sprintf("Failed to calculate opportunity for path: %v", err))
|
|
continue
|
|
}
|
|
|
|
// Apply filters based on the parameters
|
|
if opportunity.NetProfit.Cmp(param.MinProfit) < 0 {
|
|
continue // Below minimum profit threshold
|
|
}
|
|
|
|
// Check slippage threshold
|
|
if opportunity.PriceImpact > param.MaxSlippage {
|
|
continue // Above maximum slippage tolerance
|
|
}
|
|
|
|
// Add to opportunities if it passes all checks
|
|
opportunities = append(opportunities, opportunity)
|
|
|
|
// For now, break after finding one good opportunity per path
|
|
// to avoid too many similar results (can be made configurable)
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
return opportunities, nil
|
|
}
|
|
|
|
// DetectionStats contains statistics about the detection engine
|
|
type DetectionStats struct {
|
|
IsRunning bool
|
|
TotalScans uint64
|
|
OpportunitiesFound uint64
|
|
LastScanTime time.Time
|
|
ScanInterval time.Duration
|
|
ConfiguredExchanges int
|
|
}
|
|
|
|
// NewWorkerPool creates a new worker pool
|
|
func NewWorkerPool(workers int, ctx context.Context) *WorkerPool {
|
|
ctx, cancel := context.WithCancel(ctx)
|
|
|
|
return &WorkerPool{
|
|
workers: workers,
|
|
taskChan: make(chan ScanTask, workers*2), // Buffered channel
|
|
ctx: ctx,
|
|
cancel: cancel,
|
|
}
|
|
}
|
|
|
|
// Start starts the worker pool
|
|
func (wp *WorkerPool) Start(taskProcessor func(ScanTask)) {
|
|
for i := 0; i < wp.workers; i++ {
|
|
wp.wg.Add(1)
|
|
go func() {
|
|
defer wp.wg.Done()
|
|
for {
|
|
select {
|
|
case <-wp.ctx.Done():
|
|
return
|
|
case task := <-wp.taskChan:
|
|
taskProcessor(task)
|
|
}
|
|
}
|
|
}()
|
|
}
|
|
}
|
|
|
|
// Stop stops the worker pool
|
|
func (wp *WorkerPool) Stop() {
|
|
wp.cancel()
|
|
close(wp.taskChan)
|
|
wp.wg.Wait()
|
|
}
|