pkg/exchange: update query closed order to latest

This commit is contained in:
edwin 2024-10-15 00:55:27 +08:00
parent f22e4a1810
commit 0712a8399a
3 changed files with 79 additions and 27 deletions

View File

@ -9,7 +9,7 @@ import (
//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
//go:generate GetRequest -url "/v5/order/history" -type GetOrderHistoriesRequest -responseDataType .OrdersResponse
//go:generate GetRequest -url "/v5/order/history" -type GetOrderHistoriesRequest -responseDataType .OrdersResponse -rateLimiter 5+45/1s
type GetOrderHistoriesRequest struct {
client requestgen.AuthenticatedAPIClient

View File

@ -1,4 +1,4 @@
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /v5/order/history -type GetOrderHistoriesRequest -responseDataType .OrdersResponse"; DO NOT EDIT.
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /v5/order/history -type GetOrderHistoriesRequest -responseDataType .OrdersResponse -rateLimiter 5+45/1s"; DO NOT EDIT.
package bybitapi
@ -6,6 +6,7 @@ import (
"context"
"encoding/json"
"fmt"
"golang.org/x/time/rate"
"net/url"
"reflect"
"regexp"
@ -13,6 +14,8 @@ import (
"time"
)
var GetOrderHistoriesRequestLimiter = rate.NewLimiter(45.00000045, 5)
func (g *GetOrderHistoriesRequest) Category(category Category) *GetOrderHistoriesRequest {
g.category = category
return g
@ -269,6 +272,9 @@ func (g *GetOrderHistoriesRequest) GetPath() string {
// Do generates the request object and send the request object to the API endpoint
func (g *GetOrderHistoriesRequest) Do(ctx context.Context) (*OrdersResponse, error) {
if err := GetOrderHistoriesRequestLimiter.Wait(ctx); err != nil {
return nil, err
}
// no body params
var params interface{}
@ -292,15 +298,29 @@ func (g *GetOrderHistoriesRequest) Do(ctx context.Context) (*OrdersResponse, err
}
var apiResponse APIResponse
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
type responseUnmarshaler interface {
Unmarshal(data []byte) error
}
if unmarshaler, ok := interface{}(&apiResponse).(responseUnmarshaler); ok {
if err := unmarshaler.Unmarshal(response.Body); err != nil {
return nil, err
}
} else {
// The line below checks the content type, however, some API server might not send the correct content type header,
// Hence, this is commented for backward compatibility
// response.IsJSON()
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
}
type responseValidator interface {
Validate() error
}
validator, ok := interface{}(apiResponse).(responseValidator)
if ok {
if validator, ok := interface{}(&apiResponse).(responseValidator); ok {
if err := validator.Validate(); err != nil {
return nil, err
}

View File

@ -23,6 +23,8 @@ const (
defaultKLineLimit = 1000
queryTradeDurationLimit = 7 * 24 * time.Hour
maxHistoricalDataQueryPeriod = 2 * 365 * 24 * time.Hour
)
// https://bybit-exchange.github.io/docs/zh-TW/v5/rate-limit
@ -376,38 +378,68 @@ func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err
return errs
}
// QueryClosedOrders queries closed orders by symbol, since, until, and lastOrderID.
// startTime and endTime are not passed, return 7 days by default
// Only startTime is passed, return range between startTime and startTime+7 days
// Only endTime is passed, return range between endTime-7 days and endTime
// If both are passed, the rule is endTime - startTime <= 7 days
//
// ** since and until are inclusive. **
// ** sort by creation time in descending order. **
func (e *Exchange) QueryClosedOrders(
ctx context.Context, symbol string, since, util time.Time, lastOrderID uint64,
ctx context.Context, symbol string, since, until time.Time, _ 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")
now := time.Now()
if time.Since(since) > maxHistoricalDataQueryPeriod {
newSince := now.Add(-maxHistoricalDataQueryPeriod)
log.Warnf("!!!BYBIT EXCHANGE API NOTICE!!! The closed order API cannot query data beyond 2 years from the current date, update %s -> %s", since, newSince)
since = newSince
}
if until.Before(since) {
newUntil := since.Add(queryTradeDurationLimit)
log.Warnf("!!!BYBIT EXCHANGE API NOTICE!!! The 'until' comes before 'since', add 7 days to until (%s -> %s).", until, newUntil)
until = newUntil
}
if err := closedOrderQueryLimiter.Wait(ctx); err != nil {
return nil, fmt.Errorf("query closed order rate limiter wait error: %w", err)
// if the time range exceeds the server boundary, get the last 7 days of data
if until.Sub(since) > queryTradeDurationLimit {
newStartTime := until.Add(-queryTradeDurationLimit)
log.Warnf("!!!BYBIT EXCHANGE API NOTICE!!! The time range exceeds the server boundary: %s, start time: %s, end time: %s, updated start time %s -> %s", queryTradeDurationLimit, since.String(), until.String(), since.String(), newStartTime.String())
since = newStartTime
}
res, err := e.client.NewGetOrderHistoriesRequest().
req := 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)
}
StartTime(since).
EndTime(until)
for _, order := range res.List {
o, err2 := toGlobalOrder(order)
if err2 != nil {
err = multierr.Append(err, err2)
continue
cursor := ""
for {
if len(cursor) != 0 {
req = req.Cursor(cursor)
}
if o.Status.Closed() {
orders = append(orders, *o)
res, err := req.Do(ctx)
if err != nil {
return nil, fmt.Errorf("failed to call get order histories error: %w", err)
}
}
if err != nil {
return nil, 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 types.SortOrdersAscending(orders), nil