search

hzjken / crypto-arbitrage-framework

A cryptocurrency arbitrage framework implemented with ccxt and cplex. It can be used to monitor multiple exchanges, find a multi-lateral arbitrage path which maximizes rate of return, calculate the optimal trading amount for each pair in the path given flexible constraints, and execute trades with multi-threading implemenation.
590 stars 173 forks source link

What is the mathematical formulation of the path optimizer? #24

Open samlaf opened 2 years ago

samlaf commented 2 years ago

Are you using this: https://en.wikipedia.org/wiki/Shortest_path_problem#Linear_programming_formulation ? image

stochastic-thread commented 2 years ago

@samlaf https://github.com/hzjken/crypto-arbitrage-framework/blob/master/crypto/path_optimizer.py

samlaf commented 2 years ago

I know... but that's the code. It would take me ages to parse through it. That's why I was asking what high-level mathematical formulation you are using, so that I can start from that to help me understand the code.