Arb

Arb is a framework for creating trading algorithms and a standard set of algorithms to use. It also contains a set of exchange clients that are generally useful to communicate with exchanges. It offers the ability to make realtime decisions based on prices and also logs the market prices for all exchanges perodically for auditing purposes. Here are a few features of the framework:

• We minimize communication with the database as much as possible to increase speed of execution. Any communication with the database is done asynchronously.
• We offer a standard interface for all algorithms to be written. They are written as idempotent processes that are backed by a Transaction object. Each Transaction object has multiple states and Confirm() is run until the transaction reached a conclusion.

Getting Started

1. Clone the repository into a Go environment and install Glide.
2. Run glide install in the directory.
3. To setup the database, run the following commands. A latest.dump file is provided in the root of the project; however, we will need to update it over time to include more recent pricing and schemas.

psql template1
> CREATE DATABASE arb_test OWNER dev ENCODING 'UTF-8' LC_COLLATE 'en_US.UTF-8' LC_CTYPE 'en_US.UTF-8' TEMPLATE template0;
make migrate
pg_restore --verbose --clean --no-acl --no-owner -h localhost -U dev -d arb_test latest.dump

4. Run make test to run the tests and see how the framework works.