Bybit交易所的交易机器人：贪婪递归套利
策略：通过复杂的套利方向重新平衡代币之间的投资配置。
什么是套利方向？复杂套利发生在一个代币圈内。由于圈的特性，资金可以在一系列交易后返回到初始代币，而起始代币可以是圈内的任何代币。
返回初始代币有两个方向：正向和反向。如果一个方向是盈利的，那么另一个方向肯定不是盈利的。
我们将套利圈定义为一系列向量，每个向量都有其盈利方向。从技术上讲，向量是一个交易对，具有方向/侧面和圈的投资回报率（ROI%）。一组盈利圈可以分解为盈利向量。
一些向量在不同的盈利圈中重复出现。让我们找出最佳向量！什么是“最佳”？它是出现在不同盈利圈中的频率与其所属圈的ROI%的组合。
我发现加权平均指标在衡量这两个标准方面是有效的：
- 风险
- 利润
仅执行最佳向量交易可以基于复杂套利分析提供保障。
在市场上使用最佳盈利向量有不同的策略。我的机器人在我已分配资金的交易对上执行向量。一个有趣的方面是，资金分配是通过执行我首次存入交易所的代币的向量来管理的。
资金的分割和合并会根据市场价格差异自动进行。这一策略对于持有投资也很有效。有些日子我没有找到ETH的盈利向量。我没有进行任何交易，这是一种正确的做法，因为由于市场条件，最佳的做法是持有ETH。
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Strategy: Rebalance investment allocation between tokens through complex arbitrage directions.
What is an arbitrage direction? Complex arbitrage occurs within a circle of tokens. By the nature of a circle, money can return to the initial token after a sequence of transactions, where the starting token can be any token in the circle.
There are two directions to return to the initial token: forward and backward. If one direction is profitable, then the other is definitely not profitable.
Let's define an arbitrage circle as a sequence of vectors, where each vector has its profitable direction. Technically, a vector is a trading pair with a direction/side and circle ROI%. A set of profitable circles can be broken down into profitable vectors.
Some vectors repeat across different profitable circles. Let's find the best vectors! What does "best" mean? It is a combination of the frequency of appearing in different profitable circles and the ROI% of the circle to which it belongs.
I found that a weighted-mean metric is effective for measuring both criteria:
- Risk
- Profit
Executing only the best vector trades provides guarantees based on complex arbitrage analysis.
There are different strategies for using the best profitable vectors in the market. My bot executes vectors on pairs where I have money allocated. An interesting aspect is that money allocation is managed by executing vectors from the first token I deposit to the exchange.
Money splitting and joining happen automatically according to market price differences. This strategy is also good for holding investments. There were some days when I didn't find profitable vectors from ETH. I made 0 trades, and it was the right approach because, due to market conditions, the best approach was to hold ETH.