Dataset for Bitcoin arbitrage in different cryptocurrency exchanges

We present a high-frequency dataset of algorithmic trading. Given that, the dataset contains different time intervals depending on the timestamp when an arbitrage opportunity occurred. Our dataset has 9,799,130 tick-level records of the Bitcoin-to-Euro exchange rate starting from 2019-01-01 00:00:31 until 2020-03-30 23:59:48. Data covered information about different cryptocurrency pairs from 18 cryptocurrency exchanges. These pairs contained information about exchanges in which it was possible to buy and sell simultaneously. Each row presented the amount of arbitrage that it was possible to earn if a transaction would have been executed. The dataset contains information about the amount of arbitrage that could be earned after executing a transaction in given cryptocurrency exchanges, the quantity which had to be bought to earn arbitrage, the best sell, and the best buy prices, the balance of fiat currency in “Exchange 1” and the balance of cryptocurrency in “Exchange 2”. If there was enough fiat currency in “Exchange 1” and enough cryptocurrency in “Exchange 2” it means that the transaction was successfully executed and given arbitrage amount was earned. This information could be used by investors to discover potential earning capabilities, and create effective arbitrage trading strategies. Moreover, this dataset could serve academics for deeper analysis of efficiency and liquidity questions as well as it could be used to spot and evaluate risks in the market, identify patterns in the market.

Short description of the dataset:
ID - Unique ID
arb_timestamp - timestamp of arbitrage opportunity
arb_exch1 - presents exchanges where one was able to successfully buy Bitcoin
arb_exch2 - presents exchanges where one was able to successfully sell Bitcoin
arb_ticker - BTCEUR exchange rate
arb_prc - percentage earned compared to the invested amount
arb_amount - the amount of arbitrage that would be earned if a transaction had been executed
arb_quantity - Bitcoin quantity that needed to be bought in order to execute a transaction and to earn arbitrage
best_sell_price - best price at which it was possible to sell Bitcoin in "Exchange 2"
best_buy_price - best price at which it was possible to buy Bitcoin in "Exchange 1"
balance_fiat - the amount of Euros available in “Exchange 1”
balance_crypto - the amount of Bitcoin available in “Exchange 2”

本研究构建一套高频算法交易数据集。据此，本数据集依据套利机会出现的时间戳，涵盖不同时间区间。本数据集包含2019年1月1日00:00:31至2020年3月30日23:59:48期间，共计9,799,130条比特币兑欧元（BTCEUR）汇率的逐笔（tick-level）交易记录。数据覆盖18家加密货币交易所的多组加密货币交易对，这些交易对对应可同步开展买卖操作的交易所。每条记录均代表：若完成对应交易，可获取的套利收益金额。

本数据集包含如下信息：在指定加密货币交易所完成交易后可获得的套利收益、为获取套利所需买入的加密货币数量、最优卖出价与最优买入价、「交易所1」的法币余额，以及「交易所2」的加密货币余额。若「交易所1」持有足额法币、「交易所2」持有足额加密货币，则代表交易可成功执行并获得标注的套利收益。

该数据集可供投资者挖掘潜在收益能力、构建高效套利交易策略；同时可助力学术界深入开展市场效率与流动性相关研究，亦可用于识别、评估市场风险，以及挖掘市场运行规律。

数据集简要说明：
ID：唯一标识符
arb_timestamp：套利机会出现的时间戳
arb_exch1：可成功买入比特币的交易所
arb_exch2：可成功卖出比特币的交易所
arb_ticker：BTCEUR汇率
arb_prc：相较于投入本金的收益百分比
arb_amount：完成交易后可获得的套利收益金额
arb_quantity：为执行交易并获取套利所需买入的比特币数量
best_sell_price：「交易所2」中卖出比特币的最优价格
best_buy_price：「交易所1」中买入比特币的最优价格
balance_fiat：「交易所1」中的欧元余额
balance_crypto：「交易所2」中的比特币余额