Межбиржевой арбитраж: как находить спреды CEX/DEX в реальном времени

import ccxt
import time
from typing import Dict, Optional

class CrossExchangeArbitrageEngine:
    def __init__(self, exchange_a: str = 'binance', exchange_b: str = 'bybit'):
        self.ex_a = getattr(ccxt, exchange_a)({'enableRateLimit': True})
        self.ex_b = getattr(ccxt, exchange_b)({'enableRateLimit': True})
        self.taker_fee_a = 0.0006  # 0.06% VIP0
        self.taker_fee_b = 0.0006  # 0.06% VIP0

    def calculate_depth_vwap(self, orderbook: Dict, target_volume_usd: float, side: str = 'asks') -> float:
        orders = orderbook[side]
        accumulated_vol_usd = 0.0
        weighted_price_sum = 0.0

        for price, amount in orders:
            level_vol_usd = price * amount
            needed_usd = target_volume_usd - accumulated_vol_usd

            if level_vol_usd >= needed_usd:
                weighted_price_sum += price * (needed_usd / price)
                accumulated_vol_usd += needed_usd
                break
            else:
                weighted_price_sum += price * amount
                accumulated_vol_usd += level_vol_usd

        if accumulated_vol_usd < target_volume_usd:
            return 0.0
        return weighted_price_sum / (target_volume_usd / (weighted_price_sum / target_volume_usd))

    def evaluate_spread(self, symbol: str = 'SOL/USDT', trade_size_usd: float = 5000.0) -> Optional[Dict]:
        ob_a = self.ex_a.fetch_order_book(symbol, limit=25)
        ob_b = self.ex_b.fetch_order_book(symbol, limit=25)

        vwap_buy_a = self.calculate_depth_vwap(ob_a, trade_size_usd, 'asks')
        vwap_sell_b = self.calculate_depth_vwap(ob_b, trade_size_usd, 'bids')

        if vwap_buy_a == 0.0 or vwap_sell_b == 0.0:
            return None

        raw_spread = ((vwap_sell_b - vwap_buy_a) / vwap_buy_a) * 100
        net_spread = raw_spread - ((self.taker_fee_a + self.taker_fee_b) * 100)
        net_profit_usd = trade_size_usd * (net_spread / 100)

        return {
            'symbol': symbol,
            'buy_price': vwap_buy_a,
            'sell_price': vwap_sell_b,
            'raw_spread_pct': round(raw_spread, 3),
            'net_spread_pct': round(net_spread, 3),
            'net_profit_usd': round(net_profit_usd, 2)
        }

engine = CrossExchangeArbitrageEngine('bybit', 'mexc')
opp = engine.evaluate_spread('SOL/USDT', trade_size_usd=10000.0)
if opp and opp['net_spread_pct'] > 0.35:
    print(f"✓ Найдена арбитражная связка: {opp['symbol']} | Чистый спред: {opp['net_spread_pct']}% | Профит: ${opp['net_profit_usd']}")