Struct TriangularArb 

pub struct TriangularArb {
    pub currency_a: String,
    pub currency_b: String,
    pub currency_c: String,
    pub rate_ab: f64,
    pub rate_bc: f64,
    pub rate_ca: f64,
    pub profit_pct: f64,
}

A detected triangular arbitrage opportunity across three currencies.

Example

use fin_primitives::arbitrage::TriangularArb;

// USD -> EUR -> GBP -> USD cycle
let arb = TriangularArb::detect(1.10, 1.15, 0.80);
// If rate_ab * rate_bc * rate_ca > 1 there is profit
if let Some(t) = arb {
    assert!(t.profit_pct() > 0.0);
}

Fields

currency_a: String

Base currency A.

currency_b: String

Intermediate currency B.

currency_c: String

Return currency C.

rate_ab: f64

Exchange rate A -> B.

rate_bc: f64

Exchange rate B -> C.

rate_ca: f64

Exchange rate C -> A.

profit_pct: f64

Profit percentage: (rate_ab * rate_bc * rate_ca - 1) * 100.

Implementations

impl TriangularArb

pub fn detect(rate_ab: f64, rate_bc: f64, rate_ca: f64) -> Option<TriangularArb>

Detect a triangular arbitrage given three cross rates.

Returns Some only when rate_ab * rate_bc * rate_ca > 1.0 (i.e. profit > 0).

pub fn profit_pct(&self) -> f64

Profit percentage of this cycle: (rate_ab * rate_bc * rate_ca - 1.0) * 100.

Trait Implementations

impl Clone for TriangularArb

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for TriangularArb

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for TriangularArb

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for TriangularArb