HFT Arbitrage Engine

A lightweight, modular arbitrage engine written in Go.
It connects to Finnhub’s WebSocket API for real-time market data,
detects cross-exchange arbitrage opportunities, and simulates trades with PnL tracking.

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Features

• Real-time market data streaming via Finnhub WebSocket
• Multi-exchange crypto pair support (Binance, Coinbase, Kraken, Bitstamp, Gemini, etc.)
• Cross-exchange arbitrage detection with configurable spread threshold and staleness window
• Simulated trade execution with slippage and fees
• Structured JSON logging using logrus
• Modular, production-friendly project layout

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Project Structure

internal/
  websocket/   # WebSocket connector for Finnhub
  handler/     # Parses and normalizes incoming market data
  arbitrage/   # Arbitrage detection engine
  order/       # Simulated trade executor

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Requirements

• Go 1.20+
• Finnhub API key

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Quick Start

1. Clone the repository:

   git clone https://github.com/yourusername/hft-arbitrage-engine.git
   cd hft-arbitrage-engine

2. Create a .env file in the project root:

  API_KEY=your_finnhub_api_key
  LOG_LEVEL=info

3. Or export your Finnhub API key:

   export FINNHUB_API_KEY=your_api_key_here
   export LOG_LEVEL=debug

4. Run the engine:

   go run main.go

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Configuration

Edit the symbol list in main.go:

symbols := []string{
  "BINANCE:BTCUSDT",
  "COINBASE:BTC-USD",
  "KRAKEN:XBTUSD",
  "BITSTAMP:BTCUSD",
}

Adjust trading parameters:

thresholdPct := 0.10             // Minimum spread % to trigger arbitrage
staleAfter   := 2 * time.Second  // Ignore stale quotes older than this
tradeSizeUSD := 1000.0           // Simulated trade size
slippagePct  := 0.01             // Slippage per leg
feesPct      := 0.02             // Fees per leg

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Example Output

{"exchange":"BINANCE","symbol":"BTC/USD","price":27234.5,"level":"debug","msg":"processed tick"}
{"symbol":"BTC/USD","buy_exchange":"COINBASE","sell_exchange":"BINANCE","spread_pct":0.15,"level":"info","msg":"Arbitrage opportunity detected"}
{"symbol":"BTC/USD","buy_ex":"COINBASE","sell_ex":"BINANCE","trade_pnl_usd":1.20,"cum_pnl_usd":1.20,"level":"info","msg":"Simulated arbitrage executed"}

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Disclaimer

This software is for educational and research purposes only.
It does not provide financial advice. Use responsibly.