A simple arbitrage path finder for multiple DEXs.

Two way arbitrage paths are rather simple to find. However, n-way paths get complicated real quick.

This project is an attempt to map triangular paths using 2 DEXs. The concepts used here can easily extend over to 4-way, 5-way, n-way paths.

The sample exchanges used here are:

• Polygon Sushiswap V2,
• Polygon Meshswap

Sushiswap V2 data is retrieved through a subgraph endpoint. And Meshswap data is retrieved through their specific API endpoint.

Visit: https://solidquant.github.io/blog/post/building-a-defi-arbitrage-path-finder-(1)/

for more information.

Install dependencies:

pip install -r requirements.txt

Run the sample code in examples.py:

import pickle

from defi_path_finder import Preprocessor
from defi_path_finder import make_triangular_paths

if __name__ == '__main__':
    p = Preprocessor()
    pools, reserves = p.load_data(500)

    pairs, paths = make_triangular_paths(pools, [], 6)

    # pickle data to load and use later
    save_data = {
        'EXCHANGES': p.EXCHANGES,
        'TOKENS': p.TOKENS,
        'POOLS': p.POOLS,
        'reserves': reserves,
        'pairs': pairs,
        'paths': paths
    }

    f = open('./paths.pkl', 'wb')
    pickle.dump(save_data, f)
    f.close()

The code above runs for approximately 10 minutes using 6 processes to run this code in parallel.

• add simulation helpers to find the most profitable arbitrage path
• extend the module to work for n-way paths as well
• add market impact simulation functions for various AMM types to accommodate for all variants of Uniswap and others