pkg/exchange: support place order for bybit

This commit is contained in:
Edwin 2023-07-26 21:40:39 +08:00
parent 3fd66199d7
commit 151e8d2acf
6 changed files with 738 additions and 0 deletions

View File

@ -6,6 +6,7 @@ import (
"strconv" "strconv"
"testing" "testing"
"github.com/google/uuid"
"github.com/stretchr/testify/assert" "github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/testutil" "github.com/c9s/bbgo/pkg/testutil"
@ -77,4 +78,23 @@ func TestClient(t *testing.T) {
cursor = openOrders.NextPageCursor cursor = openOrders.NextPageCursor
} }
}) })
t.Run("PostPlaceOrderRequest", func(t *testing.T) {
req := client.NewPlaceOrderRequest().
Symbol("DOTUSDT").
Side(SideBuy).
OrderType(OrderTypeLimit).
Qty("1").
Price("4.6").
OrderLinkId(uuid.NewString()).
TimeInForce(TimeInForceGTC)
apiResp, err := req.Do(ctx)
assert.NoError(t, err)
t.Logf("apiResp: %+v", apiResp)
ordersResp, err := client.NewGetOpenOrderRequest().OrderLinkId(apiResp.OrderLinkId).Do(ctx)
assert.NoError(t, err)
assert.Equal(t, len(ordersResp.List), 1)
t.Logf("apiResp: %+v", ordersResp.List[0])
})
} }

View File

@ -0,0 +1,57 @@
package bybitapi
import (
"github.com/c9s/requestgen"
)
//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
type PlaceOrderResponse struct {
OrderId string `json:"orderId"`
OrderLinkId string `json:"orderLinkId"`
}
//go:generate PostRequest -url "/v5/order/create" -type PostPlaceOrderRequest -responseDataType .PlaceOrderResponse
type PostPlaceOrderRequest struct {
client requestgen.AuthenticatedAPIClient
category Category `param:"category" validValues:"spot"`
symbol string `param:"symbol"`
side Side `param:"side" validValues:"Buy,Sell"`
orderType OrderType `param:"orderType" validValues:"Market,Limit"`
qty string `param:"qty"`
orderLinkId string `param:"orderLinkId"`
timeInForce TimeInForce `param:"timeInForce"`
isLeverage *bool `param:"isLeverage"`
price *string `param:"price"`
triggerDirection *int `param:"triggerDirection"`
// orderFilter default spot
orderFilter *string `param:"orderFilter"`
// triggerPrice when submitting an order, if triggerPrice is set, the order will be automatically converted into a conditional order.
triggerPrice *string `param:"triggerPrice"`
triggerBy *string `param:"triggerBy"`
orderIv *string `param:"orderIv"`
positionIdx *string `param:"positionIdx"`
takeProfit *string `param:"takeProfit"`
stopLoss *string `param:"stopLoss"`
tpTriggerBy *string `param:"tpTriggerBy"`
slTriggerBy *string `param:"slTriggerBy"`
reduceOnly *bool `param:"reduceOnly"`
closeOnTrigger *bool `param:"closeOnTrigger"`
smpType *string `param:"smpType"`
mmp *bool `param:"mmp"` // option only
tpslMode *string `param:"tpslMode"`
tpLimitPrice *string `param:"tpLimitPrice"`
slLimitPrice *string `param:"slLimitPrice"`
tpOrderType *string `param:"tpOrderType"`
slOrderType *string `param:"slOrderType"`
}
func (c *RestClient) NewPlaceOrderRequest() *PostPlaceOrderRequest {
return &PostPlaceOrderRequest{
client: c,
category: CategorySpot,
}
}

View File

@ -0,0 +1,528 @@
// Code generated by "requestgen -method POST -responseType .APIResponse -responseDataField Result -url /v5/order/create -type PostPlaceOrderRequest -responseDataType .PlaceOrderResponse"; DO NOT EDIT.
package bybitapi
import (
"context"
"encoding/json"
"fmt"
"net/url"
"reflect"
"regexp"
)
func (p *PostPlaceOrderRequest) Category(category Category) *PostPlaceOrderRequest {
p.category = category
return p
}
func (p *PostPlaceOrderRequest) Symbol(symbol string) *PostPlaceOrderRequest {
p.symbol = symbol
return p
}
func (p *PostPlaceOrderRequest) Side(side Side) *PostPlaceOrderRequest {
p.side = side
return p
}
func (p *PostPlaceOrderRequest) OrderType(orderType OrderType) *PostPlaceOrderRequest {
p.orderType = orderType
return p
}
func (p *PostPlaceOrderRequest) Qty(qty string) *PostPlaceOrderRequest {
p.qty = qty
return p
}
func (p *PostPlaceOrderRequest) OrderLinkId(orderLinkId string) *PostPlaceOrderRequest {
p.orderLinkId = orderLinkId
return p
}
func (p *PostPlaceOrderRequest) TimeInForce(timeInForce TimeInForce) *PostPlaceOrderRequest {
p.timeInForce = timeInForce
return p
}
func (p *PostPlaceOrderRequest) IsLeverage(isLeverage bool) *PostPlaceOrderRequest {
p.isLeverage = &isLeverage
return p
}
func (p *PostPlaceOrderRequest) Price(price string) *PostPlaceOrderRequest {
p.price = &price
return p
}
func (p *PostPlaceOrderRequest) TriggerDirection(triggerDirection int) *PostPlaceOrderRequest {
p.triggerDirection = &triggerDirection
return p
}
func (p *PostPlaceOrderRequest) OrderFilter(orderFilter string) *PostPlaceOrderRequest {
p.orderFilter = &orderFilter
return p
}
func (p *PostPlaceOrderRequest) TriggerPrice(triggerPrice string) *PostPlaceOrderRequest {
p.triggerPrice = &triggerPrice
return p
}
func (p *PostPlaceOrderRequest) TriggerBy(triggerBy string) *PostPlaceOrderRequest {
p.triggerBy = &triggerBy
return p
}
func (p *PostPlaceOrderRequest) OrderIv(orderIv string) *PostPlaceOrderRequest {
p.orderIv = &orderIv
return p
}
func (p *PostPlaceOrderRequest) PositionIdx(positionIdx string) *PostPlaceOrderRequest {
p.positionIdx = &positionIdx
return p
}
func (p *PostPlaceOrderRequest) TakeProfit(takeProfit string) *PostPlaceOrderRequest {
p.takeProfit = &takeProfit
return p
}
func (p *PostPlaceOrderRequest) StopLoss(stopLoss string) *PostPlaceOrderRequest {
p.stopLoss = &stopLoss
return p
}
func (p *PostPlaceOrderRequest) TpTriggerBy(tpTriggerBy string) *PostPlaceOrderRequest {
p.tpTriggerBy = &tpTriggerBy
return p
}
func (p *PostPlaceOrderRequest) SlTriggerBy(slTriggerBy string) *PostPlaceOrderRequest {
p.slTriggerBy = &slTriggerBy
return p
}
func (p *PostPlaceOrderRequest) ReduceOnly(reduceOnly bool) *PostPlaceOrderRequest {
p.reduceOnly = &reduceOnly
return p
}
func (p *PostPlaceOrderRequest) CloseOnTrigger(closeOnTrigger bool) *PostPlaceOrderRequest {
p.closeOnTrigger = &closeOnTrigger
return p
}
func (p *PostPlaceOrderRequest) SmpType(smpType string) *PostPlaceOrderRequest {
p.smpType = &smpType
return p
}
func (p *PostPlaceOrderRequest) Mmp(mmp bool) *PostPlaceOrderRequest {
p.mmp = &mmp
return p
}
func (p *PostPlaceOrderRequest) TpslMode(tpslMode string) *PostPlaceOrderRequest {
p.tpslMode = &tpslMode
return p
}
func (p *PostPlaceOrderRequest) TpLimitPrice(tpLimitPrice string) *PostPlaceOrderRequest {
p.tpLimitPrice = &tpLimitPrice
return p
}
func (p *PostPlaceOrderRequest) SlLimitPrice(slLimitPrice string) *PostPlaceOrderRequest {
p.slLimitPrice = &slLimitPrice
return p
}
func (p *PostPlaceOrderRequest) TpOrderType(tpOrderType string) *PostPlaceOrderRequest {
p.tpOrderType = &tpOrderType
return p
}
func (p *PostPlaceOrderRequest) SlOrderType(slOrderType string) *PostPlaceOrderRequest {
p.slOrderType = &slOrderType
return p
}
// GetQueryParameters builds and checks the query parameters and returns url.Values
func (p *PostPlaceOrderRequest) GetQueryParameters() (url.Values, error) {
var params = map[string]interface{}{}
query := url.Values{}
for _k, _v := range params {
query.Add(_k, fmt.Sprintf("%v", _v))
}
return query, nil
}
// GetParameters builds and checks the parameters and return the result in a map object
func (p *PostPlaceOrderRequest) GetParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
// check category field -> json key category
category := p.category
// TEMPLATE check-valid-values
switch category {
case "spot":
params["category"] = category
default:
return nil, fmt.Errorf("category value %v is invalid", category)
}
// END TEMPLATE check-valid-values
// assign parameter of category
params["category"] = category
// check symbol field -> json key symbol
symbol := p.symbol
// assign parameter of symbol
params["symbol"] = symbol
// check side field -> json key side
side := p.side
// TEMPLATE check-valid-values
switch side {
case "Buy", "Sell":
params["side"] = side
default:
return nil, fmt.Errorf("side value %v is invalid", side)
}
// END TEMPLATE check-valid-values
// assign parameter of side
params["side"] = side
// check orderType field -> json key orderType
orderType := p.orderType
// TEMPLATE check-valid-values
switch orderType {
case "Market", "Limit":
params["orderType"] = orderType
default:
return nil, fmt.Errorf("orderType value %v is invalid", orderType)
}
// END TEMPLATE check-valid-values
// assign parameter of orderType
params["orderType"] = orderType
// check qty field -> json key qty
qty := p.qty
// assign parameter of qty
params["qty"] = qty
// check orderLinkId field -> json key orderLinkId
orderLinkId := p.orderLinkId
// assign parameter of orderLinkId
params["orderLinkId"] = orderLinkId
// check timeInForce field -> json key timeInForce
timeInForce := p.timeInForce
// TEMPLATE check-valid-values
switch timeInForce {
case TimeInForceGTC, TimeInForceIOC, TimeInForceFOK:
params["timeInForce"] = timeInForce
default:
return nil, fmt.Errorf("timeInForce value %v is invalid", timeInForce)
}
// END TEMPLATE check-valid-values
// assign parameter of timeInForce
params["timeInForce"] = timeInForce
// check isLeverage field -> json key isLeverage
if p.isLeverage != nil {
isLeverage := *p.isLeverage
// assign parameter of isLeverage
params["isLeverage"] = isLeverage
} else {
}
// check price field -> json key price
if p.price != nil {
price := *p.price
// assign parameter of price
params["price"] = price
} else {
}
// check triggerDirection field -> json key triggerDirection
if p.triggerDirection != nil {
triggerDirection := *p.triggerDirection
// assign parameter of triggerDirection
params["triggerDirection"] = triggerDirection
} else {
}
// check orderFilter field -> json key orderFilter
if p.orderFilter != nil {
orderFilter := *p.orderFilter
// assign parameter of orderFilter
params["orderFilter"] = orderFilter
} else {
}
// check triggerPrice field -> json key triggerPrice
if p.triggerPrice != nil {
triggerPrice := *p.triggerPrice
// assign parameter of triggerPrice
params["triggerPrice"] = triggerPrice
} else {
}
// check triggerBy field -> json key triggerBy
if p.triggerBy != nil {
triggerBy := *p.triggerBy
// assign parameter of triggerBy
params["triggerBy"] = triggerBy
} else {
}
// check orderIv field -> json key orderIv
if p.orderIv != nil {
orderIv := *p.orderIv
// assign parameter of orderIv
params["orderIv"] = orderIv
} else {
}
// check positionIdx field -> json key positionIdx
if p.positionIdx != nil {
positionIdx := *p.positionIdx
// assign parameter of positionIdx
params["positionIdx"] = positionIdx
} else {
}
// check takeProfit field -> json key takeProfit
if p.takeProfit != nil {
takeProfit := *p.takeProfit
// assign parameter of takeProfit
params["takeProfit"] = takeProfit
} else {
}
// check stopLoss field -> json key stopLoss
if p.stopLoss != nil {
stopLoss := *p.stopLoss
// assign parameter of stopLoss
params["stopLoss"] = stopLoss
} else {
}
// check tpTriggerBy field -> json key tpTriggerBy
if p.tpTriggerBy != nil {
tpTriggerBy := *p.tpTriggerBy
// assign parameter of tpTriggerBy
params["tpTriggerBy"] = tpTriggerBy
} else {
}
// check slTriggerBy field -> json key slTriggerBy
if p.slTriggerBy != nil {
slTriggerBy := *p.slTriggerBy
// assign parameter of slTriggerBy
params["slTriggerBy"] = slTriggerBy
} else {
}
// check reduceOnly field -> json key reduceOnly
if p.reduceOnly != nil {
reduceOnly := *p.reduceOnly
// assign parameter of reduceOnly
params["reduceOnly"] = reduceOnly
} else {
}
// check closeOnTrigger field -> json key closeOnTrigger
if p.closeOnTrigger != nil {
closeOnTrigger := *p.closeOnTrigger
// assign parameter of closeOnTrigger
params["closeOnTrigger"] = closeOnTrigger
} else {
}
// check smpType field -> json key smpType
if p.smpType != nil {
smpType := *p.smpType
// assign parameter of smpType
params["smpType"] = smpType
} else {
}
// check mmp field -> json key mmp
if p.mmp != nil {
mmp := *p.mmp
// assign parameter of mmp
params["mmp"] = mmp
} else {
}
// check tpslMode field -> json key tpslMode
if p.tpslMode != nil {
tpslMode := *p.tpslMode
// assign parameter of tpslMode
params["tpslMode"] = tpslMode
} else {
}
// check tpLimitPrice field -> json key tpLimitPrice
if p.tpLimitPrice != nil {
tpLimitPrice := *p.tpLimitPrice
// assign parameter of tpLimitPrice
params["tpLimitPrice"] = tpLimitPrice
} else {
}
// check slLimitPrice field -> json key slLimitPrice
if p.slLimitPrice != nil {
slLimitPrice := *p.slLimitPrice
// assign parameter of slLimitPrice
params["slLimitPrice"] = slLimitPrice
} else {
}
// check tpOrderType field -> json key tpOrderType
if p.tpOrderType != nil {
tpOrderType := *p.tpOrderType
// assign parameter of tpOrderType
params["tpOrderType"] = tpOrderType
} else {
}
// check slOrderType field -> json key slOrderType
if p.slOrderType != nil {
slOrderType := *p.slOrderType
// assign parameter of slOrderType
params["slOrderType"] = slOrderType
} else {
}
return params, nil
}
// GetParametersQuery converts the parameters from GetParameters into the url.Values format
func (p *PostPlaceOrderRequest) GetParametersQuery() (url.Values, error) {
query := url.Values{}
params, err := p.GetParameters()
if err != nil {
return query, err
}
for _k, _v := range params {
if p.isVarSlice(_v) {
p.iterateSlice(_v, func(it interface{}) {
query.Add(_k+"[]", fmt.Sprintf("%v", it))
})
} else {
query.Add(_k, fmt.Sprintf("%v", _v))
}
}
return query, nil
}
// GetParametersJSON converts the parameters from GetParameters into the JSON format
func (p *PostPlaceOrderRequest) GetParametersJSON() ([]byte, error) {
params, err := p.GetParameters()
if err != nil {
return nil, err
}
return json.Marshal(params)
}
// GetSlugParameters builds and checks the slug parameters and return the result in a map object
func (p *PostPlaceOrderRequest) GetSlugParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
func (p *PostPlaceOrderRequest) applySlugsToUrl(url string, slugs map[string]string) string {
for _k, _v := range slugs {
needleRE := regexp.MustCompile(":" + _k + "\\b")
url = needleRE.ReplaceAllString(url, _v)
}
return url
}
func (p *PostPlaceOrderRequest) iterateSlice(slice interface{}, _f func(it interface{})) {
sliceValue := reflect.ValueOf(slice)
for _i := 0; _i < sliceValue.Len(); _i++ {
it := sliceValue.Index(_i).Interface()
_f(it)
}
}
func (p *PostPlaceOrderRequest) isVarSlice(_v interface{}) bool {
rt := reflect.TypeOf(_v)
switch rt.Kind() {
case reflect.Slice:
return true
}
return false
}
func (p *PostPlaceOrderRequest) GetSlugsMap() (map[string]string, error) {
slugs := map[string]string{}
params, err := p.GetSlugParameters()
if err != nil {
return slugs, nil
}
for _k, _v := range params {
slugs[_k] = fmt.Sprintf("%v", _v)
}
return slugs, nil
}
func (p *PostPlaceOrderRequest) Do(ctx context.Context) (*PlaceOrderResponse, error) {
params, err := p.GetParameters()
if err != nil {
return nil, err
}
query := url.Values{}
apiURL := "/v5/order/create"
req, err := p.client.NewAuthenticatedRequest(ctx, "POST", apiURL, query, params)
if err != nil {
return nil, err
}
response, err := p.client.SendRequest(req)
if err != nil {
return nil, err
}
var apiResponse APIResponse
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
var data PlaceOrderResponse
if err := json.Unmarshal(apiResponse.Result, &data); err != nil {
return nil, err
}
return &data, nil
}

View File

@ -170,3 +170,29 @@ func isWorking(status bybitapi.OrderStatus) (bool, error) {
s, err := toGlobalOrderStatus(status) s, err := toGlobalOrderStatus(status)
return s == types.OrderStatusNew || s == types.OrderStatusPartiallyFilled, err return s == types.OrderStatusNew || s == types.OrderStatusPartiallyFilled, err
} }
func toLocalOrderType(orderType types.OrderType) (bybitapi.OrderType, error) {
switch orderType {
case types.OrderTypeLimit:
return bybitapi.OrderTypeLimit, nil
case types.OrderTypeMarket:
return bybitapi.OrderTypeMarket, nil
default:
return "", fmt.Errorf("order type %s not supported", orderType)
}
}
func toLocalSide(side types.SideType) (bybitapi.Side, error) {
switch side {
case types.SideTypeSell:
return bybitapi.SideSell, nil
case types.SideTypeBuy:
return bybitapi.SideBuy, nil
default:
return "", fmt.Errorf("side type %s not supported", side)
}
}

View File

@ -1,6 +1,7 @@
package bybit package bybit
import ( import (
"fmt"
"math" "math"
"testing" "testing"
"time" "time"
@ -356,3 +357,31 @@ func TestIsWorking(t *testing.T) {
} }
} }
} }
func Test_toLocalOrderType(t *testing.T) {
orderType, err := toLocalOrderType(types.OrderTypeLimit)
assert.NoError(t, err)
assert.Equal(t, bybitapi.OrderTypeLimit, orderType)
orderType, err = toLocalOrderType(types.OrderTypeMarket)
assert.NoError(t, err)
assert.Equal(t, bybitapi.OrderTypeMarket, orderType)
orderType, err = toLocalOrderType("wrong type")
assert.Error(t, fmt.Errorf("order type %s not supported", "wrong side"), err)
assert.Equal(t, bybitapi.OrderType(""), orderType)
}
func Test_toLocalSide(t *testing.T) {
side, err := toLocalSide(types.SideTypeSell)
assert.NoError(t, err)
assert.Equal(t, bybitapi.SideSell, side)
side, err = toLocalSide(types.SideTypeBuy)
assert.NoError(t, err)
assert.Equal(t, bybitapi.SideBuy, side)
side, err = toLocalSide("wrong side")
assert.Error(t, fmt.Errorf("side type %s not supported", "wrong side"), err)
assert.Equal(t, bybitapi.Side(""), side)
}

View File

@ -12,6 +12,10 @@ import (
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
) )
const (
maxOrderIdLen = 36
)
// https://bybit-exchange.github.io/docs/zh-TW/v5/rate-limit // https://bybit-exchange.github.io/docs/zh-TW/v5/rate-limit
// sharedRateLimiter indicates that the API belongs to the public API. // sharedRateLimiter indicates that the API belongs to the public API.
// //
@ -20,6 +24,7 @@ import (
var ( var (
sharedRateLimiter = rate.NewLimiter(rate.Every(time.Second/2), 2) sharedRateLimiter = rate.NewLimiter(rate.Every(time.Second/2), 2)
tradeRateLimiter = 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)
log = logrus.WithFields(logrus.Fields{ log = logrus.WithFields(logrus.Fields{
"exchange": "bybit", "exchange": "bybit",
@ -169,3 +174,76 @@ func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders [
return orders, nil 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 {
log.WithError(err).Errorf("place order rate limiter wait error")
return nil, err
}
res, err := req.Do(ctx)
if err != nil {
log.Warnf("failed to place order, order: %#v, err: %v", order, err)
return nil, 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", res.OrderLinkId)
}
if len(ordersResp.List) != 1 {
return nil, fmt.Errorf("unexpected order length, client order id: %s", res.OrderLinkId)
}
return toGlobalOrder(ordersResp.List[0])
}