### **Technical Task for an Arbitrage Bot with Hedging**
---
#### **1. Goal**
To develop an automated bot for arbitrage trading between cryptocurrency exchanges that:
- Continuously monitors market prices.
- Uses hedging through futures to reduce price fluctuation risks.
- Calculates and executes trades only if guaranteed profit is ensured, taking into account fees and transaction costs.
---
#### **2. Functionality**
##### **2.1. Price Monitoring**
1. **Data Sources:**
- Spot markets (Binance, OKX, Bybit, Huobi).
- Futures markets (the same exchanges).
2. **Interval:** Request prices from exchanges every second.
3. **Coin Filtering:** Parse only coins that are available on futures on at least one of the exchanges.
##### **2.2. Profitability Analysis of the Trade**
1. **Calculation of Potential Profit:**
Use the formula:
\[
\text{Profit} = \big((\text{Price on Exchange B} - \text{Price on Exchange A}) - (\text{Price on Futures (closing)} - \text{Price on Futures (opening)})\big) \times \text{Volume} - \text{Fees and Costs}.
\]
2. **Fees and Costs:**
- Fees on spot exchanges.
- Fees for opening/closing futures.
- Transaction costs for transfers between exchanges.
3. **Trade Filter:** Execute the trade only if the calculated profit > 0.
##### **2.3. Trade Execution**
1. **Opening a Futures Position (Hedge):**
- Sell tokens on futures at the current price.
2. **Buying on Exchange A:**
- Buy tokens at the lowest price.
3. **Transferring Tokens:**
- Transfer the purchased tokens to Exchange B.
4. **Selling on Exchange B:**
- Sell tokens at the highest price.
5. **Closing the Futures Position:**
- Buy back tokens on futures to close the short position.
##### **2.4. Logging**
1. Store data for each trade:
- Prices (futures, Exchange A, Exchange B).
- Fees.
- Transaction costs.
- Calculated and actual profit.
2. Maintain an error log:
- Failures in executing trades.
- Delays in transactions.
---
#### **3. Bot Architecture**
##### **3.1. Core Modules**
1. **Data Collection Module (Parser):**
- Connecting to exchange APIs.
- Parsing prices in real-time.
2. **Analysis Module:**
- Calculating trade profitability.
- Making decisions based on specified conditions.
3. **Trade Execution Module:**
- Interacting with APIs to open/close futures and spot orders.
- Tracking transfers between exchanges.
4. **Logging Module:**
- Storing trade and error data.
5. **Risk Management Module:**
- Monitoring liquidity on futures and spot markets.
- Limiting maximum allowable loss in case of force majeure.
---
#### **4. Technical Details**
1. **Programming Language:** Python (using the `ccxt` library for working with exchange APIs).
2. **Infrastructure:**
- VPS server for the bot's continuous operation.
- Data backup (locally or in the cloud).
3. **Testing:**
- Using test APIs of exchanges.
- Test run with real data (in small volumes) to verify algorithm accuracy.
4. **Security:**
- Using API keys with limited permissions.
- Encrypted storage of confidential information.
5. **Updates:**
- Regularly updating logic in case of changes on exchanges.
- Ability to quickly add new exchanges.
---
#### **5. Potential Risks and Mitigation Measures**
1. **Transaction Delay Risks:**
- Using exchanges with the least delays in transfers.
2. **Market Price Change During Trade Execution:**
- Limiting time between buying, transferring, and selling.
3. **Lack of Liquidity:**
- Preliminary monitoring of volume on exchanges before the trade.
---
#### **6. Final Result**
A bot that:
- Uses **hedging through futures** to reduce the risk of price decline.
- Automatically executes trades with guaranteed profit.
- Takes into account fees, costs, and quickly responds to market changes.