Triangular Arbitrage Bot

Real-time triangular arbitrage detection and execution for KuCoin Spot. Single C binary. WebSocket book feeds, triangle evaluation, and order placement in one process.

Architecture

Monolithic single-process design using N+1 pthreads:

Thread	Role
Hot thread	WebSocket I/O via epoll, order book maintenance, book update dispatch to evaluator
Evaluator (embedded in hot thread)	Triangle profitability evaluation on every book update, delivers to first free executor slot
Executor thread(s)	Spin on per-thread slot via atomic state machine; pick up signal, place 3-leg HF market orders via KuCoin REST API, wait for fills via WebSocket, optional balance-wait between legs

[KuCoin WS] ──▶ Hot Thread ──▶ Evaluator ──▶ Slot[0..N] ──▶ Executor Thread(s)
                     │                       (CAS state machine)   │
               Order Book                                        KuCoin REST

Each executor thread owns one slot. The evaluator writes the signal directly into the slot via a CAS state machine (FREE → CLAIMED → READY). The executor picks it up on the next spin iteration (nanoseconds). If all slots are busy or no free slot available, the signal is dropped.

The evaluator runs in-process on every book update (no cooldown). The executor does not re-evaluate, it trusts the signal as valid at emission time.

Prerequisites

• C compiler (gcc/clang), CMake 3.22+, OpenSSL, libyaml, pthreads

Building

mkdir -p build && cd build
cmake ../src -DCMAKE_BUILD_TYPE=Release
make -j$(nproc)

Binary at build/fused_engine.

Configuration

Edit config.yaml (see config.yaml.example):

Key	Description
live_mode	false = paper trades (test endpoint), true = real orders
signal_threshold_bps	Minimum predicted bps to fire a signal (default: 2)
hold_currencies	Currencies held as capital; triangles must start/end in one of these
excluded_currencies	Currencies to exclude from triangle enumeration
kcs_discount_active	Whether KCS fee discount applies
balance_wait_enabled	Wait for WS balance settlement between live legs (default: false)
concurrent_slots	Number of executor threads (default: 1, max 16)
initial_capital	Map of currency to max quote per signal
kucoin_api_key/secret/passphrase	KuCoin API credentials

Running

./build/fused_engine

Fetches fee table and symbol list, connects to KuCoin WebSocket, subscribes to order books, enumerates triangles, evaluates on every book update, and executes signals via REST.

Project Structure

tri_arb/
├── src/                     # C source
│   ├── main.c              # Entry point, thread spawn
│   ├── ws_client.c/h       # KuCoin WebSocket client (TLS, epoll, book/balance/order frames)
│   ├── book.c/h            # Order book store (top-5 bid/ask)
│   ├── symbols_api.c/h     # Symbol discovery, triangle enumeration
│   ├── triangle.c/h        # Triangle set, leg, signal types
│   ├── evaluate.c/h        # Triangle evaluation and signal dispatch
│   ├── executor.c/h        # Signal execution, REST order placement, fill+balance wait
│   ├── events.c/h          # Event loops (hot thread + executor thread(s))
│   ├── fill_handler.c/h    # Cross-thread fill event channel (SPSC ring + eventfd)
│   ├── rest_client.c/h     # KuCoin REST API client (signed requests, keepalive)
│   ├── http_client.c/h     # One-shot HTTPS requests (token fetch, fee table)
│   ├── slot.c/h            # Per-executor signal slot with atomic CAS delivery
│   ├── config.c/h          # YAML config parser
│   ├── hash.c/h            # Hash table
│   ├── cJSON.c/h           # JSON parser
│   ├── log.c/h             # Logging
│   └── CMakeLists.txt
├── build/                   # Build output
├── config.yaml              # Runtime config (gitignored)
├── config.yaml.example      # Config template
└── scripts/                 # Deployment scripts

Disclaimer

This software is designed for low-latency environments. It is only useful when colocated with the exchange's servers.

Contact

Nicolás Sánchez — nicolassanchez@tutanota.com