bbgo_origin/pkg/exchange/bybit/exchange.go

package bybit

import (
	"context"
	"fmt"
	"strconv"
	"time"

	"github.com/sirupsen/logrus"
	"go.uber.org/multierr"
	"golang.org/x/time/rate"

	"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
	v3 "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi/v3"
	"github.com/c9s/bbgo/pkg/fixedpoint"
	"github.com/c9s/bbgo/pkg/types"
)

const (
	maxOrderIdLen     = 36
	defaultQueryLimit = 50
	defaultKLineLimit = 1000

	halfYearDuration = 6 * 30 * 24 * time.Hour
)

// https://bybit-exchange.github.io/docs/zh-TW/v5/rate-limit
// sharedRateLimiter indicates that the API belongs to the public API.
//
// The default order limiter apply 5 requests per second and a 5 initial bucket
// this includes QueryMarkets, QueryTicker, QueryAccountBalances, GetFeeRates
var (
	sharedRateLimiter       = rate.NewLimiter(rate.Every(time.Second/5), 5)
	tradeRateLimiter        = rate.NewLimiter(rate.Every(time.Second/5), 5)
	orderRateLimiter        = rate.NewLimiter(rate.Every(100*time.Millisecond), 10)
	closedOrderQueryLimiter = rate.NewLimiter(rate.Every(time.Second), 1)

	log = logrus.WithFields(logrus.Fields{
		"exchange": "bybit",
	})

	_ types.ExchangeAccountService    = &Exchange{}
	_ types.ExchangeMarketDataService = &Exchange{}
	_ types.CustomIntervalProvider    = &Exchange{}
	_ types.ExchangeMinimal           = &Exchange{}
	_ types.ExchangeTradeService      = &Exchange{}
	_ types.Exchange                  = &Exchange{}
)

type Exchange struct {
	key, secret string
	client      *bybitapi.RestClient
	v3client    *v3.Client
}

func New(key, secret string) (*Exchange, error) {
	client, err := bybitapi.NewClient()
	if err != nil {
		return nil, err
	}

	if len(key) > 0 && len(secret) > 0 {
		client.Auth(key, secret)
	}

	return &Exchange{
		key: key,
		// pragma: allowlist nextline secret
		secret:   secret,
		client:   client,
		v3client: v3.NewClient(client),
	}, nil
}

func (e *Exchange) Name() types.ExchangeName {
	return types.ExchangeBybit
}

// PlatformFeeCurrency returns empty string. The platform does not support "PlatformFeeCurrency" but instead charges
// fees using the native token.
func (e *Exchange) PlatformFeeCurrency() string {
	return ""
}

func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
	if err := sharedRateLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("markets rate limiter wait error: %w", err)
	}

	instruments, err := e.client.NewGetInstrumentsInfoRequest().Do(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to get instruments, err: %v", err)
	}

	marketMap := types.MarketMap{}
	for _, s := range instruments.List {
		marketMap.Add(toGlobalMarket(s))
	}

	return marketMap, nil
}

func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) {
	if err := sharedRateLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("ticker order rate limiter wait error: %w", err)
	}

	s, err := e.client.NewGetTickersRequest().Symbol(symbol).DoWithResponseTime(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to call ticker, symbol: %s, err: %w", symbol, err)
	}

	if len(s.List) != 1 {
		return nil, fmt.Errorf("unexpected ticker lenght, exp:1, got:%d", len(s.List))
	}

	ticker := toGlobalTicker(s.List[0], s.ClosedTime.Time())
	return &ticker, nil
}

func (e *Exchange) QueryTickers(ctx context.Context, symbols ...string) (map[string]types.Ticker, error) {
	tickers := map[string]types.Ticker{}
	if len(symbols) > 0 {
		for _, s := range symbols {
			t, err := e.QueryTicker(ctx, s)
			if err != nil {
				return nil, err
			}

			tickers[s] = *t
		}

		return tickers, nil
	}

	if err := sharedRateLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("tickers rate limiter wait error: %w", err)
	}
	allTickers, err := e.client.NewGetTickersRequest().DoWithResponseTime(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to call ticker, err: %w", err)
	}

	for _, s := range allTickers.List {
		tickers[s.Symbol] = toGlobalTicker(s, allTickers.ClosedTime.Time())
	}

	return tickers, nil
}

func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
	cursor := ""
	for {
		req := e.client.NewGetOpenOrderRequest().Symbol(symbol)
		if len(cursor) != 0 {
			// the default limit is 20.
			req = req.Cursor(cursor)
		}

		if err = tradeRateLimiter.Wait(ctx); err != nil {
			return nil, fmt.Errorf("place order rate limiter wait error: %w", err)
		}
		res, err := req.Do(ctx)
		if err != nil {
			return nil, fmt.Errorf("failed to query open orders, err: %w", err)
		}

		for _, order := range res.List {
			order, err := toGlobalOrder(order)
			if err != nil {
				return nil, fmt.Errorf("failed to convert order, err: %v", err)
			}

			orders = append(orders, *order)
		}

		if len(res.NextPageCursor) == 0 {
			break
		}
		cursor = res.NextPageCursor
	}

	return orders, nil
}

func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (*types.Order, error) {
	if len(order.Market.Symbol) == 0 {
		return nil, fmt.Errorf("order.Market.Symbol is required: %+v", order)
	}

	req := e.client.NewPlaceOrderRequest()
	req.Symbol(order.Symbol)

	// set order type
	orderType, err := toLocalOrderType(order.Type)
	if err != nil {
		return nil, err
	}
	req.OrderType(orderType)

	// set side
	side, err := toLocalSide(order.Side)
	if err != nil {
		return nil, err
	}
	req.Side(side)

	// set quantity
	req.Qty(order.Market.FormatQuantity(order.Quantity))

	// set price
	switch order.Type {
	case types.OrderTypeLimit:
		req.Price(order.Market.FormatPrice(order.Price))
	}

	// set timeInForce
	switch order.TimeInForce {
	case types.TimeInForceFOK:
		req.TimeInForce(bybitapi.TimeInForceFOK)
	case types.TimeInForceIOC:
		req.TimeInForce(bybitapi.TimeInForceIOC)
	default:
		req.TimeInForce(bybitapi.TimeInForceGTC)
	}

	// set client order id
	if len(order.ClientOrderID) > maxOrderIdLen {
		return nil, fmt.Errorf("unexpected length of order id, got: %d", len(order.ClientOrderID))
	}
	req.OrderLinkId(order.ClientOrderID)

	if err := orderRateLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("place order rate limiter wait error: %w", err)
	}
	res, err := req.Do(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to place order, order: %#v, err: %w", order, err)
	}

	if len(res.OrderId) == 0 || res.OrderLinkId != order.ClientOrderID {
		return nil, fmt.Errorf("unexpected order id, resp: %#v, order: %#v", res, order)
	}

	ordersResp, err := e.client.NewGetOpenOrderRequest().OrderLinkId(res.OrderLinkId).Do(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to query order by client order id: %s, err: %w", res.OrderLinkId, err)
	}

	if len(ordersResp.List) != 1 {
		return nil, fmt.Errorf("unexpected order length, client order id: %s", res.OrderLinkId)
	}

	return toGlobalOrder(ordersResp.List[0])
}

func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (errs error) {
	if len(orders) == 0 {
		return nil
	}

	for _, order := range orders {
		req := e.client.NewCancelOrderRequest()

		switch {
		case len(order.ClientOrderID) != 0:
			req.OrderLinkId(order.ClientOrderID)
		case len(order.UUID) != 0 && order.OrderID != 0:
			req.OrderId(order.UUID)
		default:
			errs = multierr.Append(
				errs,
				fmt.Errorf("the order uuid and client order id are empty, order: %#v", order),
			)
			continue
		}

		req.Symbol(order.Market.Symbol)

		if err := orderRateLimiter.Wait(ctx); err != nil {
			errs = multierr.Append(errs, fmt.Errorf("cancel order rate limiter wait, order id: %s, error: %w", order.ClientOrderID, err))
			continue
		}
		res, err := req.Do(ctx)
		if err != nil {
			errs = multierr.Append(errs, fmt.Errorf("failed to cancel order id: %s, err: %w", order.ClientOrderID, err))
			continue
		}
		if res.OrderId != order.UUID || res.OrderLinkId != order.ClientOrderID {
			errs = multierr.Append(errs, fmt.Errorf("unexpected order id, resp: %#v, order: %#v", res, order))
			continue
		}
	}

	return errs
}

func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, util time.Time, lastOrderID uint64) (orders []types.Order, err error) {
	if !since.IsZero() || !util.IsZero() {
		log.Warn("!!!BYBIT EXCHANGE API NOTICE!!! the since/until conditions will not be effected on SPOT account, bybit exchange does not support time-range-based query currently")
	}

	if err := closedOrderQueryLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("query closed order rate limiter wait error: %w", err)
	}
	res, err := e.client.NewGetOrderHistoriesRequest().
		Symbol(symbol).
		Cursor(strconv.FormatUint(lastOrderID, 10)).
		Limit(defaultQueryLimit).
		Do(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to call get order histories error: %w", err)
	}

	for _, order := range res.List {
		o, err2 := toGlobalOrder(order)
		if err2 != nil {
			err = multierr.Append(err, err2)
			continue
		}

		if o.Status.Closed() {
			orders = append(orders, *o)
		}
	}
	if err != nil {
		return nil, err
	}

	return types.SortOrdersAscending(orders), nil
}

/*
QueryTrades queries trades by time range or trade id range.
If options.StartTime is not specified, you can only query for records in the last 7 days.
If you want to query for records older than 7 days, options.StartTime is required.
It supports to query records up to 180 days.

If the orderId is null, fromTradeId is passed, and toTradeId is null, then the result is sorted by
ticketId in ascend. Otherwise, the result is sorted by ticketId in descend.

** Here includes MakerRebate. If needed, let's discuss how to modify it to return in trade. **
** StartTime and EndTime are inclusive. **
** StartTime and EndTime cannot exceed 180 days. **
*/
func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) {
	if options.StartTime != nil && options.EndTime != nil && options.EndTime.Sub(*options.StartTime) > halfYearDuration {
		return nil, fmt.Errorf("StartTime and EndTime cannot exceed 180 days, startTime: %v, endTime: %v, diff: %v",
			options.StartTime.String(),
			options.EndTime.String(),
			options.EndTime.Sub(*options.StartTime)/24)
	}

	// using v3 client, since the v5 API does not support feeCurrency.
	req := e.v3client.NewGetTradesRequest()
	req.Symbol(symbol)

	if options.StartTime != nil || options.EndTime != nil {
		if options.StartTime != nil {
			req.StartTime(options.StartTime.UTC())
		}
		if options.EndTime != nil {
			req.EndTime(options.EndTime.UTC())
		}
	} else {
		req.FromTradeId(strconv.FormatUint(options.LastTradeID, 10))
	}

	limit := uint64(options.Limit)
	if limit > defaultQueryLimit || limit <= 0 {
		log.Debugf("limtit is exceeded or zero, update to %d, got: %d", defaultQueryLimit, options.Limit)
		limit = defaultQueryLimit
	}
	req.Limit(limit)

	if err := tradeRateLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("trade rate limiter wait error: %w", err)
	}
	response, err := req.Do(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to query trades, err: %w", err)
	}

	var errs error
	for _, trade := range response.List {
		res, err := v3ToGlobalTrade(trade)
		if err != nil {
			errs = multierr.Append(errs, err)
			continue
		}
		trades = append(trades, *res)
	}

	if errs != nil {
		return nil, errs
	}

	return trades, nil
}

func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) {
	balanceMap, err := e.QueryAccountBalances(ctx)
	if err != nil {
		return nil, err
	}
	acct := &types.Account{
		AccountType: types.AccountTypeSpot,
		// MakerFeeRate bybit doesn't support global maker fee rate.
		MakerFeeRate: fixedpoint.Zero,
		// TakerFeeRate bybit doesn't support global taker fee rate.
		TakerFeeRate: fixedpoint.Zero,
	}
	acct.UpdateBalances(balanceMap)

	return acct, nil
}

func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) {
	if err := sharedRateLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("query account balances rate limiter wait error: %w", err)
	}

	req := e.client.NewGetWalletBalancesRequest()
	accounts, err := req.Do(ctx)
	if err != nil {
		return nil, err
	}

	return toGlobalBalanceMap(accounts.List), nil
}

/*
QueryKLines queries for historical klines (also known as candles/candlesticks). Charts are returned in groups based
on the requested interval.

A k-line's start time is inclusive, but end time is not(startTime + interval - 1 millisecond).
e.q. 15m interval k line can be represented as 00:00:00.000 ~ 00:14:59.999
*/
func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) {
	req := e.client.NewGetKLinesRequest().Symbol(symbol)
	intervalStr, err := toLocalInterval(interval)
	if err != nil {
		return nil, err
	}
	req.Interval(intervalStr)

	limit := uint64(options.Limit)
	if limit > defaultKLineLimit || limit <= 0 {
		log.Debugf("limtit is exceeded or zero, update to %d, got: %d", defaultKLineLimit, options.Limit)
		limit = defaultKLineLimit
	}
	req.Limit(limit)

	if options.StartTime != nil {
		req.StartTime(*options.StartTime)
	}

	if options.EndTime != nil {
		req.EndTime(*options.EndTime)
	}

	if err := sharedRateLimiter.Wait(ctx); err != nil {
		return nil, fmt.Errorf("query klines rate limiter wait error: %w", err)
	}

	resp, err := req.Do(ctx)
	if err != nil {
		return nil, fmt.Errorf("failed to call k line, err: %w", err)
	}

	if resp.Category != bybitapi.CategorySpot {
		return nil, fmt.Errorf("unexpected category: %s", resp.Category)
	}

	if resp.Symbol != symbol {
		return nil, fmt.Errorf("unexpected symbol: %s, exp: %s", resp.Category, symbol)
	}

	kLines := toGlobalKLines(symbol, interval, resp.List)
	return types.SortKLinesAscending(kLines), nil

}

func (e *Exchange) SupportedInterval() map[types.Interval]int {
	return bybitapi.SupportedIntervals
}

func (e *Exchange) IsSupportedInterval(interval types.Interval) bool {
	_, ok := bybitapi.SupportedIntervals[interval]
	return ok
}

func (e *Exchange) GetAllFeeRates(ctx context.Context) (bybitapi.FeeRates, error) {
	if err := sharedRateLimiter.Wait(ctx); err != nil {
		return bybitapi.FeeRates{}, fmt.Errorf("query fee rate limiter wait error: %w", err)
	}
	feeRates, err := e.client.NewGetFeeRatesRequest().Do(ctx)
	if err != nil {
		return bybitapi.FeeRates{}, fmt.Errorf("failed to get fee rates, err: %w", err)
	}

	return *feeRates, nil
}

func (e *Exchange) NewStream() types.Stream {
	return NewStream(e.key, e.secret, e)
}