wifi-densepose/vendor/ruvector/examples/neural-trader/exotic/atomic-arbitrage.js

/**
 * Cross-Exchange Atomic Arbitrage
 *
 * EXOTIC: Flash loan arbitrage with MEV protection
 *
 * Uses @neural-trader/execution with RuVector for:
 * - Multi-exchange price monitoring
 * - Atomic execution via flash loans (DeFi)
 * - MEV (Miner Extractable Value) protection
 * - Latency-aware order routing
 * - Triangular and cross-chain arbitrage
 *
 * WARNING: This is for educational purposes.
 * Real arbitrage requires sophisticated infrastructure.
 */

// Arbitrage configuration
const arbitrageConfig = {
  // Exchange configuration
  exchanges: {
    binance: { fee: 0.001, latency: 5, liquidity: 'high' },
    coinbase: { fee: 0.005, latency: 8, liquidity: 'high' },
    kraken: { fee: 0.002, latency: 12, liquidity: 'medium' },
    ftx: { fee: 0.0007, latency: 3, liquidity: 'medium' },
    uniswap: { fee: 0.003, latency: 15000, liquidity: 'medium', type: 'dex' },
    sushiswap: { fee: 0.003, latency: 15000, liquidity: 'low', type: 'dex' }
  },

  // Arbitrage parameters
  params: {
    minProfitBps: 5,           // Minimum profit in basis points
    maxSlippage: 0.002,        // 20 bps max slippage
    maxPositionUSD: 100000,    // Max position size
    gasPrice: 50,              // Gwei
    gasLimit: 500000,          // Gas units for DeFi
    flashLoanFee: 0.0009       // 9 bps flash loan fee
  },

  // MEV protection
  mev: {
    usePrivatePool: true,
    maxPriorityFee: 2,         // Gwei
    bundleTimeout: 2000        // ms
  },

  // Monitoring
  monitoring: {
    updateIntervalMs: 100,
    priceHistorySize: 1000,
    alertThresholdBps: 10
  }
};

// Price Feed Simulator
class PriceFeed {
  constructor(config) {
    this.config = config;
    this.prices = new Map();
    this.orderBooks = new Map();
    this.lastUpdate = Date.now();
  }

  // Simulate price update
  updatePrices(basePrice, volatility = 0.0001) {
    const now = Date.now();

    for (const [exchange, params] of Object.entries(this.config.exchanges)) {
      // Each exchange has slightly different price (market inefficiency)
      const noise = (Math.random() - 0.5) * volatility * 2;
      const exchangeSpecificBias = (Math.random() - 0.5) * 0.0005;

      const price = basePrice * (1 + noise + exchangeSpecificBias);

      // Simulate spread
      const spread = params.type === 'dex' ? 0.002 : 0.0005;

      this.prices.set(exchange, {
        bid: price * (1 - spread / 2),
        ask: price * (1 + spread / 2),
        mid: price,
        timestamp: now,
        latency: params.latency
      });

      // Simulate order book depth
      this.orderBooks.set(exchange, this.generateOrderBook(price, spread, params.liquidity));
    }

    this.lastUpdate = now;
  }

  generateOrderBook(midPrice, spread, liquidityLevel) {
    const depths = { high: 5, medium: 3, low: 1 };
    const baseDepth = depths[liquidityLevel] || 1;

    const bids = [];
    const asks = [];

    for (let i = 0; i < 10; i++) {
      const bidPrice = midPrice * (1 - spread / 2 - i * 0.0001);
      const askPrice = midPrice * (1 + spread / 2 + i * 0.0001);

      bids.push({
        price: bidPrice,
        quantity: baseDepth * 100000 * Math.exp(-i * 0.3) * (0.5 + Math.random())
      });

      asks.push({
        price: askPrice,
        quantity: baseDepth * 100000 * Math.exp(-i * 0.3) * (0.5 + Math.random())
      });
    }

    return { bids, asks };
  }

  getPrice(exchange) {
    return this.prices.get(exchange);
  }

  getOrderBook(exchange) {
    return this.orderBooks.get(exchange);
  }

  getAllPrices() {
    return Object.fromEntries(this.prices);
  }
}

// Arbitrage Detector
class ArbitrageDetector {
  constructor(config, priceFeed) {
    this.config = config;
    this.priceFeed = priceFeed;
    this.opportunities = [];
    this.history = [];
  }

  // Find simple arbitrage (buy low, sell high)
  findSimpleArbitrage() {
    const prices = this.priceFeed.getAllPrices();
    const exchanges = Object.keys(prices);
    const opportunities = [];

    for (let i = 0; i < exchanges.length; i++) {
      for (let j = i + 1; j < exchanges.length; j++) {
        const ex1 = exchanges[i];
        const ex2 = exchanges[j];

        const p1 = prices[ex1];
        const p2 = prices[ex2];

        if (!p1 || !p2) continue;

        // Check buy on ex1, sell on ex2
        const profit1 = this.calculateProfit(ex1, ex2, p1.ask, p2.bid);
        if (profit1.profitBps > this.config.params.minProfitBps) {
          opportunities.push({
            type: 'simple',
            buyExchange: ex1,
            sellExchange: ex2,
            buyPrice: p1.ask,
            sellPrice: p2.bid,
            ...profit1
          });
        }

        // Check buy on ex2, sell on ex1
        const profit2 = this.calculateProfit(ex2, ex1, p2.ask, p1.bid);
        if (profit2.profitBps > this.config.params.minProfitBps) {
          opportunities.push({
            type: 'simple',
            buyExchange: ex2,
            sellExchange: ex1,
            buyPrice: p2.ask,
            sellPrice: p1.bid,
            ...profit2
          });
        }
      }
    }

    return opportunities;
  }

  // Calculate profit after fees
  calculateProfit(buyExchange, sellExchange, buyPrice, sellPrice) {
    const buyFee = this.config.exchanges[buyExchange].fee;
    const sellFee = this.config.exchanges[sellExchange].fee;

    const effectiveBuy = buyPrice * (1 + buyFee);
    const effectiveSell = sellPrice * (1 - sellFee);

    const grossProfit = (effectiveSell - effectiveBuy) / effectiveBuy;
    const profitBps = grossProfit * 10000;

    // Estimate gas cost for DeFi exchanges
    let gasCostBps = 0;
    if (this.config.exchanges[buyExchange].type === 'dex' ||
        this.config.exchanges[sellExchange].type === 'dex') {
      const gasCostUSD = this.config.params.gasPrice * this.config.params.gasLimit * 1e-9 * 2000; // ETH price
      const tradeSize = this.config.params.maxPositionUSD;
      gasCostBps = (gasCostUSD / tradeSize) * 10000;
    }

    const netProfitBps = profitBps - gasCostBps;

    return {
      grossProfitBps: profitBps,
      profitBps: netProfitBps,
      fees: { buy: buyFee, sell: sellFee },
      gasCostBps,
      totalLatencyMs: this.config.exchanges[buyExchange].latency +
                      this.config.exchanges[sellExchange].latency
    };
  }

  // Find triangular arbitrage
  findTriangularArbitrage(pairs = ['BTC/USD', 'ETH/USD', 'ETH/BTC']) {
    // Simulate exchange rates
    const rates = {
      'BTC/USD': 50000,
      'ETH/USD': 3000,
      'ETH/BTC': 0.06
    };

    // Add some inefficiency
    const noisyRates = {};
    for (const [pair, rate] of Object.entries(rates)) {
      noisyRates[pair] = rate * (1 + (Math.random() - 0.5) * 0.002);
    }

    // Check triangular opportunity
    // USD → BTC → ETH → USD
    const path1 = {
      step1: 1 / noisyRates['BTC/USD'],           // USD to BTC
      step2: noisyRates['ETH/BTC'],                // BTC to ETH
      step3: noisyRates['ETH/USD']                 // ETH to USD
    };

    const return1 = path1.step1 * path1.step2 * path1.step3;
    const profit1 = (return1 - 1) * 10000;  // in bps

    // USD → ETH → BTC → USD
    const path2 = {
      step1: 1 / noisyRates['ETH/USD'],
      step2: 1 / noisyRates['ETH/BTC'],
      step3: noisyRates['BTC/USD']
    };

    const return2 = path2.step1 * path2.step2 * path2.step3;
    const profit2 = (return2 - 1) * 10000;

    const opportunities = [];

    if (profit1 > this.config.params.minProfitBps) {
      opportunities.push({
        type: 'triangular',
        path: 'USD → BTC → ETH → USD',
        profitBps: profit1,
        rates: path1
      });
    }

    if (profit2 > this.config.params.minProfitBps) {
      opportunities.push({
        type: 'triangular',
        path: 'USD → ETH → BTC → USD',
        profitBps: profit2,
        rates: path2
      });
    }

    return opportunities;
  }

  // Find flash loan arbitrage opportunity
  findFlashLoanArbitrage() {
    const dexExchanges = Object.entries(this.config.exchanges)
      .filter(([_, params]) => params.type === 'dex')
      .map(([name]) => name);

    const cexExchanges = Object.entries(this.config.exchanges)
      .filter(([_, params]) => params.type !== 'dex')
      .map(([name]) => name);

    const opportunities = [];
    const prices = this.priceFeed.getAllPrices();

    // DEX to DEX arbitrage with flash loan
    for (let i = 0; i < dexExchanges.length; i++) {
      for (let j = i + 1; j < dexExchanges.length; j++) {
        const dex1 = dexExchanges[i];
        const dex2 = dexExchanges[j];

        const p1 = prices[dex1];
        const p2 = prices[dex2];

        if (!p1 || !p2) continue;

        // Flash loan cost
        const flashFee = this.config.params.flashLoanFee;

        const minMid = Math.min(p1.mid, p2.mid);
        const spread = minMid > 0 ? Math.abs(p1.mid - p2.mid) / minMid : 0;
        const profitBps = (spread - flashFee) * 10000;

        if (profitBps > this.config.params.minProfitBps) {
          opportunities.push({
            type: 'flash_loan',
            buyDex: p1.mid < p2.mid ? dex1 : dex2,
            sellDex: p1.mid < p2.mid ? dex2 : dex1,
            spread: spread * 10000,
            flashFee: flashFee * 10000,
            profitBps,
            atomic: true
          });
        }
      }
    }

    return opportunities;
  }

  // Scan all arbitrage types
  scanAll() {
    const simple = this.findSimpleArbitrage();
    const triangular = this.findTriangularArbitrage();
    const flashLoan = this.findFlashLoanArbitrage();

    this.opportunities = [...simple, ...triangular, ...flashLoan]
      .sort((a, b) => b.profitBps - a.profitBps);

    this.history.push({
      timestamp: Date.now(),
      count: this.opportunities.length,
      bestProfit: this.opportunities[0]?.profitBps || 0
    });

    return this.opportunities;
  }
}

// Execution Engine
class ExecutionEngine {
  constructor(config) {
    this.config = config;
    this.pendingOrders = [];
    this.executedTrades = [];
    this.mevProtection = config.mev.usePrivatePool;
  }

  // Simulate execution
  async execute(opportunity) {
    const startTime = Date.now();

    // Check for MEV risk
    if (opportunity.type === 'flash_loan' && this.mevProtection) {
      return this.executeWithMEVProtection(opportunity);
    }

    // Simulate latency
    await this.simulateLatency(opportunity.totalLatencyMs || 50);

    // Check slippage
    const slippage = Math.random() * this.config.params.maxSlippage;
    const adjustedProfit = opportunity.profitBps - slippage * 10000;

    const result = {
      success: adjustedProfit > 0,
      opportunity,
      actualProfitBps: adjustedProfit,
      slippage,
      executionTimeMs: Date.now() - startTime,
      timestamp: Date.now()
    };

    this.executedTrades.push(result);
    return result;
  }

  // Execute with MEV protection (Flashbots-style)
  async executeWithMEVProtection(opportunity) {
    const startTime = Date.now();

    // Bundle transactions
    const bundle = {
      transactions: [
        { type: 'flash_loan_borrow', amount: this.config.params.maxPositionUSD },
        { type: 'swap', dex: opportunity.buyDex, direction: 'buy' },
        { type: 'swap', dex: opportunity.sellDex, direction: 'sell' },
        { type: 'flash_loan_repay' }
      ],
      priorityFee: this.config.mev.maxPriorityFee
    };

    // Simulate private pool submission
    await this.simulateLatency(this.config.mev.bundleTimeout);

    // Check if bundle was included
    const included = Math.random() > 0.2;  // 80% success rate

    if (!included) {
      return {
        success: false,
        reason: 'bundle_not_included',
        executionTimeMs: Date.now() - startTime
      };
    }

    const result = {
      success: true,
      opportunity,
      actualProfitBps: opportunity.profitBps * 0.95,  // Some slippage
      mevProtected: true,
      executionTimeMs: Date.now() - startTime,
      timestamp: Date.now()
    };

    this.executedTrades.push(result);
    return result;
  }

  simulateLatency(ms) {
    return new Promise(resolve => setTimeout(resolve, Math.min(ms, 100)));
  }

  getStats() {
    const successful = this.executedTrades.filter(t => t.success);
    const totalProfit = successful.reduce((s, t) => s + (t.actualProfitBps || 0), 0);
    const avgProfit = successful.length > 0 ? totalProfit / successful.length : 0;

    return {
      totalTrades: this.executedTrades.length,
      successfulTrades: successful.length,
      successRate: this.executedTrades.length > 0
        ? successful.length / this.executedTrades.length
        : 0,
      totalProfitBps: totalProfit,
      avgProfitBps: avgProfit,
      avgExecutionTimeMs: this.executedTrades.length > 0
        ? this.executedTrades.reduce((s, t) => s + t.executionTimeMs, 0) / this.executedTrades.length
        : 0
    };
  }
}

// Latency Monitor
class LatencyMonitor {
  constructor() {
    this.measurements = new Map();
  }

  record(exchange, latencyMs) {
    if (!this.measurements.has(exchange)) {
      this.measurements.set(exchange, []);
    }

    const measurements = this.measurements.get(exchange);
    measurements.push({ latency: latencyMs, timestamp: Date.now() });

    // Keep last 100 measurements
    if (measurements.length > 100) {
      measurements.shift();
    }
  }

  getStats(exchange) {
    const measurements = this.measurements.get(exchange);
    if (!measurements || measurements.length === 0) {
      return null;
    }

    const latencies = measurements.map(m => m.latency);
    const avg = latencies.reduce((a, b) => a + b, 0) / latencies.length;
    const sorted = [...latencies].sort((a, b) => a - b);
    const p50 = sorted[Math.floor(latencies.length * 0.5)];
    const p99 = sorted[Math.floor(latencies.length * 0.99)];

    return { avg, p50, p99, count: latencies.length };
  }
}

async function main() {
  console.log('═'.repeat(70));
  console.log('CROSS-EXCHANGE ATOMIC ARBITRAGE');
  console.log('═'.repeat(70));
  console.log();

  // 1. Initialize components
  console.log('1. System Initialization:');
  console.log('─'.repeat(70));

  const priceFeed = new PriceFeed(arbitrageConfig);
  const detector = new ArbitrageDetector(arbitrageConfig, priceFeed);
  const executor = new ExecutionEngine(arbitrageConfig);
  const latencyMonitor = new LatencyMonitor();

  console.log(`   Exchanges:        ${Object.keys(arbitrageConfig.exchanges).length}`);
  console.log(`   CEX:              ${Object.entries(arbitrageConfig.exchanges).filter(([_, p]) => p.type !== 'dex').length}`);
  console.log(`   DEX:              ${Object.entries(arbitrageConfig.exchanges).filter(([_, p]) => p.type === 'dex').length}`);
  console.log(`   Min profit:       ${arbitrageConfig.params.minProfitBps} bps`);
  console.log(`   Max position:     $${arbitrageConfig.params.maxPositionUSD.toLocaleString()}`);
  console.log(`   MEV protection:   ${arbitrageConfig.mev.usePrivatePool ? 'Enabled' : 'Disabled'}`);
  console.log();

  // 2. Exchange fees
  console.log('2. Exchange Configuration:');
  console.log('─'.repeat(70));
  console.log('   Exchange    │ Fee     │ Latency │ Liquidity │ Type');
  console.log('─'.repeat(70));

  for (const [exchange, params] of Object.entries(arbitrageConfig.exchanges)) {
    const type = params.type === 'dex' ? 'DEX' : 'CEX';
    console.log(`   ${exchange.padEnd(11)} │ ${(params.fee * 100).toFixed(2)}%  │ ${String(params.latency).padStart(5)}ms │ ${params.liquidity.padEnd(9)} │ ${type}`);
  }
  console.log();

  // 3. Price simulation
  console.log('3. Price Feed Simulation:');
  console.log('─'.repeat(70));

  const basePrice = 50000;  // BTC price
  priceFeed.updatePrices(basePrice);

  console.log('   Exchange    │ Bid        │ Ask        │ Spread');
  console.log('─'.repeat(70));

  for (const [exchange, price] of priceFeed.prices) {
    const spread = ((price.ask - price.bid) / price.mid * 10000).toFixed(1);
    console.log(`   ${exchange.padEnd(11)} │ $${price.bid.toFixed(2).padStart(9)} │ $${price.ask.toFixed(2).padStart(9)} │ ${spread.padStart(5)} bps`);
  }
  console.log();

  // 4. Arbitrage detection
  console.log('4. Arbitrage Opportunity Scan:');
  console.log('─'.repeat(70));

  // Run multiple scans
  let allOpportunities = [];
  for (let i = 0; i < 10; i++) {
    priceFeed.updatePrices(basePrice, 0.0005);  // Add more volatility
    const opportunities = detector.scanAll();
    allOpportunities.push(...opportunities);
  }

  // Deduplicate and sort
  const uniqueOpps = allOpportunities
    .filter((opp, idx, arr) =>
      arr.findIndex(o => o.type === opp.type &&
                        o.buyExchange === opp.buyExchange &&
                        o.sellExchange === opp.sellExchange) === idx
    )
    .sort((a, b) => b.profitBps - a.profitBps);

  console.log(`   Scans performed:  10`);
  console.log(`   Total found:      ${uniqueOpps.length}`);
  console.log();

  if (uniqueOpps.length > 0) {
    console.log('   Top Opportunities:');
    console.log('   Type        │ Route                    │ Profit │ Details');
    console.log('─'.repeat(70));

    for (const opp of uniqueOpps.slice(0, 5)) {
      let route = '';
      let details = '';

      if (opp.type === 'simple') {
        route = `${opp.buyExchange} → ${opp.sellExchange}`;
        details = `lat=${opp.totalLatencyMs}ms`;
      } else if (opp.type === 'triangular') {
        route = opp.path.substring(0, 22);
        details = '';
      } else if (opp.type === 'flash_loan') {
        route = `${opp.buyDex} ⚡ ${opp.sellDex}`;
        details = 'atomic';
      }

      console.log(`   ${opp.type.padEnd(12)} │ ${route.padEnd(24)} │ ${opp.profitBps.toFixed(1).padStart(5)} bps │ ${details}`);
    }
  } else {
    console.log('   No profitable opportunities found');
  }
  console.log();

  // 5. Execute opportunities
  console.log('5. Execution Simulation:');
  console.log('─'.repeat(70));

  for (const opp of uniqueOpps.slice(0, 5)) {
    const result = await executor.execute(opp);

    if (result.success) {
      console.log(`   ✓ ${opp.type.padEnd(12)} +${result.actualProfitBps.toFixed(1)} bps (${result.executionTimeMs}ms)${result.mevProtected ? ' [MEV-protected]' : ''}`);
    } else {
      console.log(`   ✗ ${opp.type.padEnd(12)} Failed: ${result.reason || 'slippage'}`);
    }
  }
  console.log();

  // 6. Execution stats
  console.log('6. Execution Statistics:');
  console.log('─'.repeat(70));

  const stats = executor.getStats();

  console.log(`   Total trades:     ${stats.totalTrades}`);
  console.log(`   Successful:       ${stats.successfulTrades}`);
  console.log(`   Success rate:     ${(stats.successRate * 100).toFixed(1)}%`);
  console.log(`   Total profit:     ${stats.totalProfitBps.toFixed(1)} bps`);
  console.log(`   Avg profit:       ${stats.avgProfitBps.toFixed(1)} bps`);
  console.log(`   Avg exec time:    ${stats.avgExecutionTimeMs.toFixed(0)}ms`);
  console.log();

  // 7. Order book depth analysis
  console.log('7. Order Book Depth Analysis:');
  console.log('─'.repeat(70));

  const sampleExchange = 'binance';
  const orderBook = priceFeed.getOrderBook(sampleExchange);

  console.log(`   ${sampleExchange.toUpperCase()} Order Book (Top 5 levels):`);
  console.log('   Bids                    │ Asks');
  console.log('─'.repeat(70));

  for (let i = 0; i < 5; i++) {
    const bid = orderBook.bids[i];
    const ask = orderBook.asks[i];
    console.log(`   $${bid.price.toFixed(2)} × ${(bid.quantity / 1000).toFixed(0)}k │ $${ask.price.toFixed(2)} × ${(ask.quantity / 1000).toFixed(0)}k`);
  }
  console.log();

  // 8. Latency importance
  console.log('8. Latency Analysis:');
  console.log('─'.repeat(70));

  console.log('   In arbitrage, latency is critical:');
  console.log();
  console.log('   CEX latency:  ~5-15ms (colocation advantage)');
  console.log('   DEX latency:  ~15,000ms (block time)');
  console.log();
  console.log('   Opportunity lifetime:');
  console.log('   - Crypto CEX-CEX: 10-100ms');
  console.log('   - DEX-DEX: 1-2 blocks (~15-30s)');
  console.log('   - CEX-DEX: Limited by block time');
  console.log();

  // 9. Risk factors
  console.log('9. Risk Factors:');
  console.log('─'.repeat(70));

  console.log('   Key risks in atomic arbitrage:');
  console.log();
  console.log('   1. Execution risk:');
  console.log('      - Slippage exceeds expected');
  console.log('      - Partial fills');
  console.log('      - Network congestion');
  console.log();
  console.log('   2. MEV risk (DeFi):');
  console.log('      - Frontrunning');
  console.log('      - Sandwich attacks');
  console.log('      - Block builder extraction');
  console.log();
  console.log('   3. Smart contract risk:');
  console.log('      - Flash loan failures');
  console.log('      - Reentrancy');
  console.log('      - Oracle manipulation');
  console.log();

  // 10. RuVector integration
  console.log('10. RuVector Vector Storage:');
  console.log('─'.repeat(70));
  console.log('   Arbitrage opportunities as feature vectors:');
  console.log();

  if (uniqueOpps.length > 0) {
    const opp = uniqueOpps[0];
    const featureVector = [
      opp.profitBps / 100,
      opp.type === 'simple' ? 1 : opp.type === 'triangular' ? 2 : 3,
      (opp.totalLatencyMs || 50) / 1000,
      opp.gasCostBps ? opp.gasCostBps / 100 : 0,
      opp.atomic ? 1 : 0
    ];

    console.log(`   Opportunity vector:`);
    console.log(`   [${featureVector.map(v => v.toFixed(3)).join(', ')}]`);
    console.log();
    console.log('   Dimensions: [profit, type, latency, gas_cost, atomic]');
  }
  console.log();
  console.log('   Use cases:');
  console.log('   - Pattern recognition for recurring opportunities');
  console.log('   - Similar opportunity retrieval');
  console.log('   - Historical profitability analysis');
  console.log();

  console.log('═'.repeat(70));
  console.log('Cross-exchange atomic arbitrage analysis completed');
  console.log('═'.repeat(70));
}

main().catch(console.error);