[WIP] kuna markets fetch & arbitration chains finder

project/composer.json

@@ -12,6 +12,7 @@
         "symfony/dotenv": "5.0.*",
         "symfony/flex": "^1.3.1",
         "symfony/framework-bundle": "5.0.*",
+        "symfony/http-client": "5.0.*",
         "symfony/yaml": "5.0.*"
     },
     "require-dev": {

project/composer.lock

@@ -4,7 +4,7 @@
         "Read more about it at https://getcomposer.org/doc/01-basic-usage.md#installing-dependencies",
         "This file is @generated automatically"
     ],
-    "content-hash": "ed2d4bb6d2a2abe584b5f0867281d0ab",
+    "content-hash": "4e5589a47c5b0dc0e0cd3d924e0621aa",
     "packages": [
         {
             "name": "myclabs/php-enum",
@@ -1413,6 +1413,131 @@
             "homepage": "https://symfony.com",
             "time": "2020-03-30T11:42:42+00:00"
         },
+        {
+            "name": "symfony/http-client",
+            "version": "v5.0.7",
+            "source": {
+                "type": "git",
+                "url": "https://github.com/symfony/http-client.git",
+                "reference": "14d386ae55b699ea9a0ddb872fa5f3e35219bba8"
+            },
+            "dist": {
+                "type": "zip",
+                "url": "https://api.github.com/repos/symfony/http-client/zipball/14d386ae55b699ea9a0ddb872fa5f3e35219bba8",
+                "reference": "14d386ae55b699ea9a0ddb872fa5f3e35219bba8",
+                "shasum": ""
+            },
+            "require": {
+                "php": "^7.2.5",
+                "psr/log": "^1.0",
+                "symfony/http-client-contracts": "^1.1.8|^2",
+                "symfony/polyfill-php73": "^1.11",
+                "symfony/service-contracts": "^1.0|^2"
+            },
+            "provide": {
+                "php-http/async-client-implementation": "*",
+                "php-http/client-implementation": "*",
+                "psr/http-client-implementation": "1.0",
+                "symfony/http-client-implementation": "1.1"
+            },
+            "require-dev": {
+                "guzzlehttp/promises": "^1.3.1",
+                "nyholm/psr7": "^1.0",
+                "php-http/httplug": "^1.0|^2.0",
+                "psr/http-client": "^1.0",
+                "symfony/dependency-injection": "^4.4|^5.0",
+                "symfony/http-kernel": "^4.4|^5.0",
+                "symfony/process": "^4.4|^5.0"
+            },
+            "type": "library",
+            "extra": {
+                "branch-alias": {
+                    "dev-master": "5.0-dev"
+                }
+            },
+            "autoload": {
+                "psr-4": {
+                    "Symfony\\Component\\HttpClient\\": ""
+                },
+                "exclude-from-classmap": [
+                    "/Tests/"
+                ]
+            },
+            "notification-url": "https://packagist.org/downloads/",
+            "license": [
+                "MIT"
+            ],
+            "authors": [
+                {
+                    "name": "Nicolas Grekas",
+                    "email": "p@tchwork.com"
+                },
+                {
+                    "name": "Symfony Community",
+                    "homepage": "https://symfony.com/contributors"
+                }
+            ],
+            "description": "Symfony HttpClient component",
+            "homepage": "https://symfony.com",
+            "time": "2020-03-27T16:56:45+00:00"
+        },
+        {
+            "name": "symfony/http-client-contracts",
+            "version": "v2.0.1",
+            "source": {
+                "type": "git",
+                "url": "https://github.com/symfony/http-client-contracts.git",
+                "reference": "378868b61b85c5cac6822d4f84e26999c9f2e881"
+            },
+            "dist": {
+                "type": "zip",
+                "url": "https://api.github.com/repos/symfony/http-client-contracts/zipball/378868b61b85c5cac6822d4f84e26999c9f2e881",
+                "reference": "378868b61b85c5cac6822d4f84e26999c9f2e881",
+                "shasum": ""
+            },
+            "require": {
+                "php": "^7.2.5"
+            },
+            "suggest": {
+                "symfony/http-client-implementation": ""
+            },
+            "type": "library",
+            "extra": {
+                "branch-alias": {
+                    "dev-master": "2.0-dev"
+                }
+            },
+            "autoload": {
+                "psr-4": {
+                    "Symfony\\Contracts\\HttpClient\\": ""
+                }
+            },
+            "notification-url": "https://packagist.org/downloads/",
+            "license": [
+                "MIT"
+            ],
+            "authors": [
+                {
+                    "name": "Nicolas Grekas",
+                    "email": "p@tchwork.com"
+                },
+                {
+                    "name": "Symfony Community",
+                    "homepage": "https://symfony.com/contributors"
+                }
+            ],
+            "description": "Generic abstractions related to HTTP clients",
+            "homepage": "https://symfony.com",
+            "keywords": [
+                "abstractions",
+                "contracts",
+                "decoupling",
+                "interfaces",
+                "interoperability",
+                "standards"
+            ],
+            "time": "2019-11-26T23:25:11+00:00"
+        },
         {
             "name": "symfony/http-foundation",
             "version": "v5.0.7",

project/config/services.yaml

@@ -23,5 +23,10 @@ services:
         resource: '../src/Controller'
         tags: ['controller.service_arguments']
 
-    # add more service definitions when explicit configuration is needed
-    # please note that last definitions always *replace* previous ones
+    App\Exchanges\Kuna\KunaSigner:
+        bind:
+            $publicKey: 'test'
+            $privateKey: 'test'
+
+    Http\Client\HttpClient:
+        class: Nyholm\HttpClient\Client

project/src/Arbitration/ArbitrationChain.php

@@ -0,0 +1,31 @@
+<?php
+
+declare(strict_types=1);
+
+
+namespace App\Arbitration\Inner;
+
+
+use App\Exchanges\MarketInterface;
+
+class ArbitrationChain
+{
+
+    /**
+     * @var MarketInterface[]
+     */
+    private array $markets;
+
+    public function __construct(MarketInterface ...$markets)
+    {
+        $this->markets = $markets;
+    }
+
+    /**
+     * @return MarketInterface[]
+     */
+    public function getMarkets(): array
+    {
+        return $this->markets;
+    }
+}

project/src/Arbitration/Inner/Stuff/ArbitrationMarketChainsFinder.php

@@ -0,0 +1,158 @@
+<?php
+
+declare(strict_types=1);
+
+namespace App\Arbitration\Inner\Stuff;
+
+use App\Arbitration\Inner\ArbitrationChain;
+use App\Exchanges\ExchangeInterface;
+use App\Exchanges\MarketInterface;
+use App\Utils\Money\CurrencyPair;
+
+class ArbitrationMarketChainsFinder
+{
+
+    /**
+     * @param ExchangeInterface $exchange
+     * @param int $maxChainDepth
+     * @return ArbitrationChain[]
+     */
+    public function findChainsInExchange(ExchangeInterface $exchange, int $maxChainDepth = 3): array
+    {
+        /**
+         * @var MarketInterface[] $markets
+         */
+        $markets = $exchange->getMarkets();
+
+        [$rows, $map] = $this->buildMap($markets);
+
+        $cycles = [];
+        foreach (array_keys($rows) as $row) {
+            $rowCycles = [];
+            $this->findCycle($map, [$row], $rowCycles, $maxChainDepth);
+            $cycles[] = $this->clearDuplicates($rowCycles);
+        }
+
+        $cycles = array_merge(...$cycles);
+        $cycles = $this->clearDuplicates($cycles);
+
+        $result = [];
+        foreach ($cycles as $cycle) {
+            $result[] = $this->cycleToChain(
+                $cycle,
+                $rows,
+                $markets
+            );
+        }
+
+        return $result;
+    }
+
+    protected function cycleToChain(array $cycle, array $rows, array $markets): ArbitrationChain
+    {
+        $cycleMarkets = [];
+        for($i = 0; $i < \count($cycle); $i++) {
+            $base = $rows[$cycle[$i]];
+            if ($i + 1 >= \count($cycle)) {
+                $quote = $rows[$cycle[0]];
+            } else {
+                $quote = $rows[$cycle[$i + 1]];
+            }
+
+            foreach ($markets as $market) {
+                /**
+                 * @var CurrencyPair $pair
+                 */
+                $pair = $market->getPair();
+
+                if (
+                    (
+                        $pair->getBase()->isEqual($base)
+                        && $pair->getQuote()->isEqual($quote)
+                    )
+                    || (
+                        $pair->getBase()->isEqual($quote)
+                        && $pair->getQuote()->isEqual($base)
+                    )
+                ) {
+                    $cycleMarkets[] = $market;
+                }
+            }
+        }
+
+        return new ArbitrationChain(...$cycleMarkets);
+    }
+
+    /**
+     * @param MarketInterface[] $markets
+     * @return array
+     */
+    protected function buildMap(array $markets): array
+    {
+        $map = [];
+        $rows = [];
+        foreach ($markets as $market) {
+            $pair = $market->getPair();
+
+            $base = $pair->getBase();
+            if (!in_array((string)$base, $rows)) {
+                $rows[] = $base;
+            }
+            $baseId = array_search((string)$base, $rows);
+
+            $quote = $pair->getQuote();
+            if (!in_array((string)$quote, $rows)) {
+                $rows[] = $quote;
+            }
+            $quoteId = array_search((string)$quote, $rows);
+
+            $map[$quoteId][$baseId] = 1;
+            $map[$baseId][$quoteId] = 1;
+        }
+
+        return [$rows, $map];
+    }
+
+    protected function clearDuplicates(array $cycles): array
+    {
+        $orderedCycles = [];
+        foreach ($cycles as $i => $cycle) {
+            $orderedCycle = $cycle;
+            sort($orderedCycle);
+            $orderedCycle = implode(',', $orderedCycle);
+            if (in_array($orderedCycle, $orderedCycles)) {
+                unset($cycles[$i]);
+                continue;
+            }
+            $orderedCycles[] = $orderedCycle;
+        }
+
+        return $cycles;
+    }
+
+    protected function findCycle(array $map, array $path, array &$result, int $maxDepth)
+    {
+        if (\count($path) > $maxDepth) {
+            return;
+        }
+        $key = $path[\count($path) - 1];
+        $row = $map[$key];
+
+
+        unset($row[$key]);
+        foreach ($row as $next => $v) {
+            if (array_search($next, $path)) {
+                continue;
+            }
+            $nextPath = $path;
+            $nextPath[] = $next;
+
+            if (\count($path) > 2 && $path[0] === $next) {
+                $result[] = $path;
+                continue;
+            }
+
+            $this->findCycle($map, $nextPath, $result, $maxDepth);
+        }
+    }
+}

project/src/Command/TestCommand.php

@@ -0,0 +1,50 @@
+<?php
+
+declare(strict_types=1);
+
+
+namespace App\Command;
+
+
+use App\Arbitration\Inner\Stuff\ArbitrationMarketChainsFinder;
+use App\Exchanges\Kuna\KunaExchange;
+use App\Exchanges\MarketInterface;
+use Symfony\Component\Console\Command\Command;
+use Symfony\Component\Console\Input\InputInterface;
+use Symfony\Component\Console\Output\OutputInterface;
+
+class TestCommand extends Command
+{
+
+    protected static $defaultName = 'test:test';
+    /**
+     * @var KunaExchange
+     */
+    private KunaExchange $kunaExchange;
+
+    public function __construct(
+        KunaExchange $kunaExchange
+    )
+    {
+        parent::__construct(self::$defaultName);
+        $this->kunaExchange = $kunaExchange;
+    }
+
+    public function execute(InputInterface $input, OutputInterface $output)
+    {
+        $finder = new ArbitrationMarketChainsFinder();
+
+        $chains = $finder->findChainsInExchange($this->kunaExchange, 5);
+
+        foreach ($chains as $chain) {
+            echo implode(' -> ', array_map(
+                    function (MarketInterface $market) {
+                        return $market->getPair()->getBase() . '/' . $market->getPair()->getQuote();
+                    },
+                    $chain->getMarkets()
+                )) . PHP_EOL;
+        }
+
+        return 0;
+    }
+}

project/src/Exchanges/Kuna/KunaApiExecutor.php

@@ -13,13 +13,8 @@ class KunaApiExecutor
 {
 
     public const API_BASE_URL = 'https://api.kuna.io';
-    /**
-     * @var ClientInterface
-     */
+
     private ClientInterface $client;
-    /**
-     * @var KunaSigner
-     */
     private KunaSigner $signer;
 
     public function __construct(
@@ -42,6 +37,20 @@ class KunaApiExecutor
                 )
             );
 
-        return json_decode($response->getBody(), true);
+        return json_decode((string)$response->getBody(), true);
+    }
+
+    public function getBook(string $symbol): array
+    {
+        $response = $this
+            ->client
+            ->sendRequest(
+                new Request(
+                    'GET',
+                    self::API_BASE_URL . '/v3/book/' . $symbol
+                )
+            );
+
+        return json_decode((string)$response->getBody(), true);
     }
 }

project/src/Exchanges/Kuna/KunaMarket.php

@@ -9,6 +9,9 @@ namespace App\Exchanges\Kuna;
 use App\Exchanges\MarketInterface;
 use App\Utils\Money\Currency;
 use App\Utils\Money\CurrencyPair;
+use App\Utils\Money\Money;
+use App\Utils\Order\Book\OrderBook;
+use App\Utils\Order\Order;
 
 class KunaMarket implements MarketInterface
 {
@@ -48,4 +51,29 @@ class KunaMarket implements MarketInterface
     {
         return $this->currencyPair;
     }
+
+    public function getOrderBook(): OrderBook
+    {
+        $asks = [];
+        $bids = [];
+
+        foreach ($this->apiExecutor->getBook($this->id) as $orderData) {
+            $order = new Order(
+                new Money((string)$orderData[0], $this->currencyPair->getQuote()),
+                new Money((string)abs($orderData[1]), $this->currencyPair->getBase()),
+            );
+
+            $ordersCount = $orderData[2];
+            while ($ordersCount) {
+                if ($orderData[1] > 0) {
+                    $bids[] = clone $order;
+                } else {
+                    $asks[] = clone $order;
+                }
+                $ordersCount--;
+            }
+        }
+
+        return new OrderBook($bids, $asks);
+    }
 }

project/src/Utils/Money/Currency.php

@@ -19,4 +19,22 @@ class Currency
         $this->code = $code;
         $this->precision = $precision;
     }
+
+    public function isEqual(Currency $currency): bool
+    {
+        return $this->code === $currency->getCode();
+    }
+
+    /**
+     * @return string
+     */
+    public function getCode(): string
+    {
+        return $this->code;
+    }
+
+    public function __toString()
+    {
+        return $this->code;
+    }
 }

project/src/Utils/Order/Book/OrderBook.php

@@ -6,24 +6,18 @@ declare(strict_types=1);
 namespace App\Utils\Order\Book;
 
 
-use App\Utils\Money\Money;
+use App\Utils\Order\Order;
 
 class OrderBook
 {
 
-    /**
-     * @var array
-     */
     private array $bids;
-    /**
-     * @var array
-     */
     private array $asks;
 
     /**
      * OrderBook constructor.
-     * @param Money[] $bids
-     * @param Money[] $asks
+     * @param Order[] $bids
+     * @param Order[] $asks
      */
     public function __construct(
         array $bids,
@@ -33,4 +27,20 @@ class OrderBook
         $this->bids = $bids;
         $this->asks = $asks;
     }
+
+    /**
+     * @return Order[]
+     */
+    public function getAsks()
+    {
+        return $this->asks;
+    }
+
+    /**
+     * @return Order[]
+     */
+    public function getBids()
+    {
+        return $this->bids;
+    }
 }

project/src/Utils/Order/Order.php

@@ -0,0 +1,39 @@
+<?php
+
+declare(strict_types=1);
+
+namespace App\Utils\Order;
+
+use App\Utils\Money\Money;
+
+class Order
+{
+
+    private Money $from;
+    private Money $to;
+
+    public function __construct(
+        Money $from,
+        Money $to
+    )
+    {
+        $this->from = $from;
+        $this->to = $to;
+    }
+
+    /**
+     * @return Money
+     */
+    public function getFrom(): Money
+    {
+        return $this->from;
+    }
+
+    /**
+     * @return Money
+     */
+    public function getTo(): Money
+    {
+        return $this->to;
+    }
+}

project/symfony.lock

@@ -116,6 +116,12 @@
             "src/Kernel.php"
         ]
     },
+    "symfony/http-client": {
+        "version": "v5.0.7"
+    },
+    "symfony/http-client-contracts": {
+        "version": "v2.0.1"
+    },
     "symfony/http-foundation": {
         "version": "v5.0.7"
     },