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Merge pull request #1779 from c9s/edwin/bybit/uta

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FEATURE: [bybit] upgrade classic account to UTA
This commit is contained in:
bailantaotao 2024-10-16 14:49:54 +08:00 committed by GitHub
commit 8fcd76cb59
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GPG Key ID: B5690EEEBB952194
18 changed files with 286 additions and 119 deletions
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2
pkg/exchange/bybit/bybitapi/cancel_order_request.go
View File

@ -12,7 +12,7 @@ type CancelOrderResponse struct {
OrderLinkId string `json:"orderLinkId"`
}
//go:generate PostRequest -url "/v5/order/cancel" -type CancelOrderRequest -responseDataType .CancelOrderResponse
//go:generate PostRequest -url "/v5/order/cancel" -type CancelOrderRequest -responseDataType .CancelOrderResponse -rateLimiter 5+15/1s
type CancelOrderRequest struct {
client requestgen.AuthenticatedAPIClient

30
pkg/exchange/bybit/bybitapi/cancel_order_request_requestgen.go
View File

@ -1,4 +1,4 @@
// Code generated by "requestgen -method POST -responseType .APIResponse -responseDataField Result -url /v5/order/cancel -type CancelOrderRequest -responseDataType .CancelOrderResponse"; DO NOT EDIT.
// Code generated by "requestgen -method POST -responseType .APIResponse -responseDataField Result -url /v5/order/cancel -type CancelOrderRequest -responseDataType .CancelOrderResponse -rateLimiter 5+15/1s"; DO NOT EDIT.
package bybitapi
@ -6,11 +6,14 @@ import (
"context"
"encoding/json"
"fmt"
"golang.org/x/time/rate"
"net/url"
"reflect"
"regexp"
)
var CancelOrderRequestLimiter = rate.NewLimiter(15.000000150000002, 5)
func (p *CancelOrderRequest) Category(category Category) *CancelOrderRequest {
p.category = category
return p
@ -194,6 +197,9 @@ func (p *CancelOrderRequest) GetPath() string {
// Do generates the request object and send the request object to the API endpoint
func (p *CancelOrderRequest) Do(ctx context.Context) (*CancelOrderResponse, error) {
if err := CancelOrderRequestLimiter.Wait(ctx); err != nil {
return nil, err
}
params, err := p.GetParameters()
if err != nil {
@ -216,15 +222,29 @@ func (p *CancelOrderRequest) Do(ctx context.Context) (*CancelOrderResponse, erro
}
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
}

20
pkg/exchange/bybit/bybitapi/client_test.go
View File

@ -80,6 +80,26 @@ func TestClient(t *testing.T) {
}
})
t.Run("GetTrade", func(t *testing.T) {
cursor := ""
for {
req := client.NewGetExecutionListRequest().Limit(50)
if len(cursor) != 0 {
req = req.Cursor(cursor)
}
trades, err := req.Do(ctx)
assert.NoError(t, err)
for _, o := range trades.List {
t.Logf("openOrders: %+v", o)
}
if len(trades.NextPageCursor) == 0 {
break
}
cursor = trades.NextPageCursor
}
})
t.Run("PlaceOrderRequest", func(t *testing.T) {
req := client.NewPlaceOrderRequest().
Symbol("DOTUSDT").

19
pkg/exchange/bybit/bybitapi/get_execution_list_request.go
View File

@ -24,12 +24,14 @@ type Trade struct {
Side Side `json:"side"`
OrderType OrderType `json:"orderType"`
// ExecFee is supported on restful API v5, but not on websocket API.
ExecFee fixedpoint.Value `json:"execFee"`
ExecId string `json:"execId"`
ExecPrice fixedpoint.Value `json:"execPrice"`
ExecQty fixedpoint.Value `json:"execQty"`
ExecTime types.MillisecondTimestamp `json:"execTime"`
IsMaker bool `json:"isMaker"`
ExecFee fixedpoint.Value `json:"execFee"`
ExecId string `json:"execId"`
ExecPrice fixedpoint.Value `json:"execPrice"`
ExecQty fixedpoint.Value `json:"execQty"`
ExecTime types.MillisecondTimestamp `json:"execTime"`
IsMaker bool `json:"isMaker"`
FeeRate fixedpoint.Value `json:"feeRate"`
FeeCurrency string `json:"feeCurrency"`
}
//go:generate GetRequest -url "/v5/execution/list" -type GetExecutionListRequest -responseDataType .TradesResponse -rateLimiter 5+15/1s
@ -38,8 +40,9 @@ type GetExecutionListRequest struct {
category Category `param:"category,query" validValues:"spot"`
symbol *string `param:"symbol,query"`
orderId *string `param:"orderId,query"`
symbol *string `param:"symbol,query"`
orderId *string `param:"orderId,query"`
orderLinkId *string `param:"orderLinkId,query"`
// startTime the start timestamp (ms)
// startTime and endTime are not passed, return 7 days by default;

14
pkg/exchange/bybit/bybitapi/get_execution_list_request_requestgen.go
View File

@ -31,6 +31,11 @@ func (g *GetExecutionListRequest) OrderId(orderId string) *GetExecutionListReque
return g
}
func (g *GetExecutionListRequest) OrderLinkId(orderLinkId string) *GetExecutionListRequest {
g.orderLinkId = &orderLinkId
return g
}
func (g *GetExecutionListRequest) StartTime(startTime time.Time) *GetExecutionListRequest {
g.startTime = &startTime
return g
@ -86,6 +91,14 @@ func (g *GetExecutionListRequest) GetQueryParameters() (url.Values, error) {
params["orderId"] = orderId
} else {
}
// check orderLinkId field -> json key orderLinkId
if g.orderLinkId != nil {
orderLinkId := *g.orderLinkId
// assign parameter of orderLinkId
params["orderLinkId"] = orderLinkId
} else {
}
// check startTime field -> json key startTime
if g.startTime != nil {
startTime := *g.startTime
@ -275,7 +288,6 @@ func (g *GetExecutionListRequest) Do(ctx context.Context) (*TradesResponse, erro
return nil, err
}
}
var data TradesResponse
if err := json.Unmarshal(apiResponse.Result, &data); err != nil {
return nil, err

2
pkg/exchange/bybit/bybitapi/get_open_orders_request.go
View File

@ -78,7 +78,7 @@ type Order struct {
PlaceType string `json:"placeType"`
}
//go:generate GetRequest -url "/v5/order/realtime" -type GetOpenOrdersRequest -responseDataType .OrdersResponse
//go:generate GetRequest -url "/v5/order/realtime" -type GetOpenOrdersRequest -responseDataType .OrdersResponse -rateLimiter 1+45/1s
type GetOpenOrdersRequest struct {
client requestgen.AuthenticatedAPIClient

30
pkg/exchange/bybit/bybitapi/get_open_orders_request_requestgen.go
View File

@ -1,4 +1,4 @@
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /v5/order/realtime -type GetOpenOrdersRequest -responseDataType .OrdersResponse"; DO NOT EDIT.
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /v5/order/realtime -type GetOpenOrdersRequest -responseDataType .OrdersResponse -rateLimiter 1+45/1s"; DO NOT EDIT.
package bybitapi
@ -6,11 +6,14 @@ import (
"context"
"encoding/json"
"fmt"
"golang.org/x/time/rate"
"net/url"
"reflect"
"regexp"
)
var GetOpenOrdersRequestLimiter = rate.NewLimiter(45.00000045, 1)
func (g *GetOpenOrdersRequest) Category(category Category) *GetOpenOrdersRequest {
g.category = category
return g
@ -265,6 +268,9 @@ func (g *GetOpenOrdersRequest) GetPath() string {
// Do generates the request object and send the request object to the API endpoint
func (g *GetOpenOrdersRequest) Do(ctx context.Context) (*OrdersResponse, error) {
if err := GetOpenOrdersRequestLimiter.Wait(ctx); err != nil {
return nil, err
}
// no body params
var params interface{}
@ -288,15 +294,29 @@ func (g *GetOpenOrdersRequest) Do(ctx context.Context) (*OrdersResponse, error)
}
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
}

2
pkg/exchange/bybit/bybitapi/get_order_histories_request.go
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

30
pkg/exchange/bybit/bybitapi/get_order_histories_request_requestgen.go
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
}

6
pkg/exchange/bybit/bybitapi/get_wallet_balances_request.go
View File

@ -70,14 +70,14 @@ type WalletBalances struct {
} `json:"coin"`
}
//go:generate GetRequest -url "/v5/account/wallet-balance" -type GetWalletBalancesRequest -responseDataType .WalletBalancesResponse -rateLimiter 1+15/1s
//go:generate GetRequest -url "/v5/account/wallet-balance" -type GetWalletBalancesRequest -responseDataType .WalletBalancesResponse -rateLimiter 1+45/1s
type GetWalletBalancesRequest struct {
client requestgen.AuthenticatedAPIClient
// Account type
// - Unified account: UNIFIED (trade spot/linear/options), CONTRACT(trade inverse)
// - Normal account: CONTRACT, SPOT
accountType AccountType `param:"accountType,query" validValues:"SPOT"`
accountType AccountType `param:"accountType,query" validValues:"UNIFIED"`
// Coin name
// - If not passed, it returns non-zero asset info
// - You can pass multiple coins to query, separated by comma. USDT,USDC
@ -87,6 +87,6 @@ type GetWalletBalancesRequest struct {
func (c *RestClient) NewGetWalletBalancesRequest() *GetWalletBalancesRequest {
return &GetWalletBalancesRequest{
client: c,
accountType: AccountTypeSpot,
accountType: AccountTypeUnified,
}
}

6
pkg/exchange/bybit/bybitapi/get_wallet_balances_request_requestgen.go
View File

@ -1,4 +1,4 @@
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /v5/account/wallet-balance -type GetWalletBalancesRequest -responseDataType .WalletBalancesResponse -rateLimiter 1+15/1s"; DO NOT EDIT.
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /v5/account/wallet-balance -type GetWalletBalancesRequest -responseDataType .WalletBalancesResponse -rateLimiter 1+45/1s"; DO NOT EDIT.
package bybitapi
@ -12,7 +12,7 @@ import (
"regexp"
)
var GetWalletBalancesRequestLimiter = rate.NewLimiter(15.000000150000002, 1)
var GetWalletBalancesRequestLimiter = rate.NewLimiter(45.00000045, 1)
func (g *GetWalletBalancesRequest) AccountType(accountType AccountType) *GetWalletBalancesRequest {
g.accountType = accountType
@ -32,7 +32,7 @@ func (g *GetWalletBalancesRequest) GetQueryParameters() (url.Values, error) {
// TEMPLATE check-valid-values
switch accountType {
case "SPOT":
case "UNIFIED":
params["accountType"] = accountType
default:

4
pkg/exchange/bybit/bybitapi/place_order_request.go
View File

@ -12,7 +12,7 @@ type PlaceOrderResponse struct {
OrderLinkId string `json:"orderLinkId"`
}
//go:generate PostRequest -url "/v5/order/create" -type PlaceOrderRequest -responseDataType .PlaceOrderResponse
//go:generate PostRequest -url "/v5/order/create" -type PlaceOrderRequest -responseDataType .PlaceOrderResponse -rateLimiter 5+15/1s
type PlaceOrderRequest struct {
client requestgen.AuthenticatedAPIClient
@ -23,6 +23,8 @@ type PlaceOrderRequest struct {
qty string `param:"qty"`
orderLinkId string `param:"orderLinkId"`
timeInForce TimeInForce `param:"timeInForce"`
// Select the unit for qty when create Spot market orders for UTA account
marketUnit *MarketUnit `param:"marketUnit"`
isLeverage *bool `param:"isLeverage"`
price *string `param:"price"`

54
pkg/exchange/bybit/bybitapi/place_order_request_requestgen.go
View File

@ -1,4 +1,4 @@
// Code generated by "requestgen -method POST -responseType .APIResponse -responseDataField Result -url /v5/order/create -type PlaceOrderRequest -responseDataType .PlaceOrderResponse"; DO NOT EDIT.
// Code generated by "requestgen -method POST -responseType .APIResponse -responseDataField Result -url /v5/order/create -type PlaceOrderRequest -responseDataType .PlaceOrderResponse -rateLimiter 5+15/1s"; DO NOT EDIT.
package bybitapi
@ -6,11 +6,14 @@ import (
"context"
"encoding/json"
"fmt"
"golang.org/x/time/rate"
"net/url"
"reflect"
"regexp"
)
var PlaceOrderRequestLimiter = rate.NewLimiter(15.000000150000002, 5)
func (p *PlaceOrderRequest) Category(category Category) *PlaceOrderRequest {
p.category = category
return p
@ -46,6 +49,11 @@ func (p *PlaceOrderRequest) TimeInForce(timeInForce TimeInForce) *PlaceOrderRequ
return p
}
func (p *PlaceOrderRequest) MarketUnit(marketUnit MarketUnit) *PlaceOrderRequest {
p.marketUnit = &marketUnit
return p
}
func (p *PlaceOrderRequest) IsLeverage(isLeverage bool) *PlaceOrderRequest {
p.isLeverage = &isLeverage
return p
@ -245,6 +253,25 @@ func (p *PlaceOrderRequest) GetParameters() (map[string]interface{}, error) {
// assign parameter of timeInForce
params["timeInForce"] = timeInForce
// check marketUnit field -> json key marketUnit
if p.marketUnit != nil {
marketUnit := *p.marketUnit
// TEMPLATE check-valid-values
switch marketUnit {
case MarketUnitBase, MarketUnitQuote:
params["marketUnit"] = marketUnit
default:
return nil, fmt.Errorf("marketUnit value %v is invalid", marketUnit)
}
// END TEMPLATE check-valid-values
// assign parameter of marketUnit
params["marketUnit"] = marketUnit
} else {
}
// check isLeverage field -> json key isLeverage
if p.isLeverage != nil {
isLeverage := *p.isLeverage
@ -503,6 +530,9 @@ func (p *PlaceOrderRequest) GetPath() string {
// Do generates the request object and send the request object to the API endpoint
func (p *PlaceOrderRequest) Do(ctx context.Context) (*PlaceOrderResponse, error) {
if err := PlaceOrderRequestLimiter.Wait(ctx); err != nil {
return nil, err
}
params, err := p.GetParameters()
if err != nil {
@ -525,15 +555,29 @@ func (p *PlaceOrderRequest) Do(ctx context.Context) (*PlaceOrderResponse, error)
}
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
}

9
pkg/exchange/bybit/bybitapi/types.go
View File

@ -127,4 +127,11 @@ const (
type AccountType string
const AccountTypeSpot AccountType = "SPOT"
const AccountTypeUnified AccountType = "UNIFIED"
type MarketUnit string
const (
MarketUnitBase MarketUnit = "baseCoin"
MarketUnitQuote MarketUnit = "quoteCoin"
)

24
pkg/exchange/bybit/convert.go
View File

@ -76,9 +76,9 @@ func toGlobalOrder(order bybitapi.Order) (*types.Order, error) {
return nil, fmt.Errorf("unexpected order id: %s, err: %w", order.OrderId, err)
}
qty, err := processMarketBuyQuantity(order)
if err != nil {
return nil, err
price := order.Price
if orderType == types.OrderTypeMarket {
price = order.AvgPrice
}
return &types.Order{
@ -87,9 +87,11 @@ func toGlobalOrder(order bybitapi.Order) (*types.Order, error) {
Symbol: order.Symbol,
Side: side,
Type: orderType,
Quantity: qty,
Price: order.Price,
TimeInForce: timeInForce,
// We specified the quantity for the market buy order as the base coin when we submitted the order,
// so we can just use the Qty field.
Quantity: order.Qty,
Price: price,
TimeInForce: timeInForce,
},
Exchange: types.ExchangeBybit,
OrderID: orderIdNum,
@ -325,7 +327,7 @@ func v3ToGlobalTrade(trade v3.Trade) (*types.Trade, error) {
}, nil
}
func toGlobalTrade(trade bybitapi.Trade, feeDetail SymbolFeeDetail) (*types.Trade, error) {
func toGlobalTrade(trade bybitapi.Trade) (*types.Trade, error) {
side, err := toGlobalSideType(trade.Side)
if err != nil {
return nil, fmt.Errorf("unexpected side: %s, err: %w", trade.Side, err)
@ -339,8 +341,6 @@ func toGlobalTrade(trade bybitapi.Trade, feeDetail SymbolFeeDetail) (*types.Trad
return nil, fmt.Errorf("unexpected trade id: %s, err: %w", trade.ExecId, err)
}
fc, _ := calculateFee(trade, feeDetail)
return &types.Trade{
ID: tradeIdNum,
OrderID: orderIdNum,
@ -354,7 +354,7 @@ func toGlobalTrade(trade bybitapi.Trade, feeDetail SymbolFeeDetail) (*types.Trad
IsMaker: trade.IsMaker,
Time: types.Time(trade.ExecTime),
Fee: trade.ExecFee,
FeeCurrency: fc,
FeeCurrency: trade.FeeCurrency,
IsMargin: false,
IsFutures: false,
IsIsolated: false,
@ -364,14 +364,14 @@ func toGlobalTrade(trade bybitapi.Trade, feeDetail SymbolFeeDetail) (*types.Trad
func toGlobalBalanceMap(events []bybitapi.WalletBalances) types.BalanceMap {
bm := types.BalanceMap{}
for _, event := range events {
if event.AccountType != bybitapi.AccountTypeSpot {
if event.AccountType != bybitapi.AccountTypeUnified {
continue
}
for _, obj := range event.Coins {
bm[obj.Coin] = types.Balance{
Currency: obj.Coin,
Available: obj.Free,
Available: obj.WalletBalance.Sub(obj.Locked),
Locked: obj.Locked,
}
}

139
pkg/exchange/bybit/exchange.go
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
@ -31,10 +33,7 @@ var (
// 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
sharedRateLimiter = rate.NewLimiter(rate.Every(time.Second/5), 5)
queryOrderTradeRateLimiter = rate.NewLimiter(rate.Every(time.Second/5), 5)
orderRateLimiter = rate.NewLimiter(rate.Every(time.Second/10), 10)
closedOrderQueryLimiter = rate.NewLimiter(rate.Every(time.Second), 1)
sharedRateLimiter = rate.NewLimiter(rate.Every(time.Second/5), 5)
log = logrus.WithFields(logrus.Fields{
"exchange": "bybit",
@ -163,18 +162,24 @@ func (e *Exchange) QueryTickers(ctx context.Context, symbols ...string) (map[str
return tickers, nil
}
// QueryOpenOrders queries open orders by symbol.
//
// Primarily query unfilled or partially filled orders in real-time, but also supports querying recent 500 closed status
// (Cancelled, Filled) orders. Please see the usage of request param openOnly.
// UTA2.0 can query filled, canceled, and rejected orders to the most recent 500 orders for spot, linear, inverse and
// option categories
//
// The records are sorted by the createdTime from newest to oldest.
func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) {
cursor := ""
// OpenOnlyOrder: UTA2.0, UTA1.0, classic account query open status orders (e.g., New, PartiallyFilled) only
req := e.client.NewGetOpenOrderRequest().Symbol(symbol).OpenOnly(bybitapi.OpenOnlyOrder).Limit(defaultQueryLimit)
for {
req := e.client.NewGetOpenOrderRequest().Symbol(symbol)
if len(cursor) != 0 {
// the default limit is 20.
req = req.Cursor(cursor)
}
if err = queryOrderTradeRateLimiter.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)
@ -231,15 +236,17 @@ func (e *Exchange) QueryOrder(ctx context.Context, q types.OrderQuery) (*types.O
return toGlobalOrder(res.List[0])
}
// QueryOrderTrades You can query by symbol, baseCoin, orderId and orderLinkId, and if you pass multiple params,
// the system will process them according to this priority: orderId > orderLinkId > symbol > baseCoin.
func (e *Exchange) QueryOrderTrades(ctx context.Context, q types.OrderQuery) (trades []types.Trade, err error) {
req := e.client.NewGetExecutionListRequest()
if len(q.ClientOrderID) != 0 {
log.Warn("!!!BYBIT EXCHANGE API NOTICE!!! Bybit does not support searching for trades using OrderClientId.")
req.OrderLinkId(q.ClientOrderID)
}
if len(q.OrderID) == 0 {
return nil, errors.New("orderID is required parameter")
if len(q.OrderID) != 0 {
req.OrderLinkId(q.OrderID)
}
req := e.client.NewGetExecutionListRequest().OrderId(q.OrderID)
if len(q.Symbol) != 0 {
req.Symbol(q.Symbol)
@ -270,23 +277,18 @@ func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (*t
return nil, err
}
req.Side(side)
req.Qty(order.Market.FormatQuantity(order.Quantity))
// set quantity
orderQty := order.Quantity
// if the order is market buy, the quantity is quote coin, instead of base coin. so we need to convert it.
if order.Type == types.OrderTypeMarket && order.Side == types.SideTypeBuy {
ticker, err := e.QueryTicker(ctx, order.Market.Symbol)
if err != nil {
return nil, err
}
orderQty = order.Quantity.Mul(ticker.Buy)
}
req.Qty(order.Market.FormatQuantity(orderQty))
// set price
switch order.Type {
case types.OrderTypeLimit:
case types.OrderTypeStopLimit, types.OrderTypeLimit, types.OrderTypeLimitMaker:
req.Price(order.Market.FormatPrice(order.Price))
case types.OrderTypeMarket:
// Because our order.Quantity unit is base coin, so we indicate the target currency to Base.
if order.Side == types.SideTypeBuy {
req.MarketUnit(bybitapi.MarketUnitBase)
} else {
req.MarketUnit(bybitapi.MarketUnitQuote)
}
}
// set timeInForce
@ -307,9 +309,6 @@ func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (*t
req.OrderLinkId(order.ClientOrderID)
}
if err := orderRateLimiter.Wait(ctx); err != nil {
return nil, fmt.Errorf("place order rate limiter wait error: %w", err)
}
timeNow := time.Now()
res, err := req.Do(ctx)
if err != nil {
@ -367,10 +366,6 @@ func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err
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))
@ -387,38 +382,68 @@ 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
@ -437,11 +462,7 @@ func (e *Exchange) queryTrades(ctx context.Context, req *bybitapi.GetExecutionLi
}
for _, trade := range res.List {
feeRate, err := pollAndGetFeeRate(ctx, trade.Symbol, e.FeeRatePoller, e.marketsInfo)
if err != nil {
return nil, fmt.Errorf("failed to get fee rate, err: %v", err)
}
trade, err := toGlobalTrade(trade, feeRate)
trade, err := toGlobalTrade(trade)
if err != nil {
return nil, fmt.Errorf("failed to convert trade, err: %v", err)
}

8
pkg/exchange/bybit/stream.go
View File

@ -438,14 +438,6 @@ func (s *Stream) handleKLineEvent(klineEvent KLineEvent) {
}
}
func pollAndGetFeeRate(ctx context.Context, symbol string, poller FeeRatePoller, marketsInfo types.MarketMap) (SymbolFeeDetail, error) {
err := poller.PollFeeRate(ctx)
if err != nil {
return SymbolFeeDetail{}, err
}
return getFeeRate(symbol, poller, marketsInfo), nil
}
func getFeeRate(symbol string, poller FeeRatePoller, marketsInfo types.MarketMap) SymbolFeeDetail {
feeRate, found := poller.GetFeeRate(symbol)
if !found {

6
pkg/exchange/bybit/types.go
View File

@ -107,6 +107,7 @@ const (
TopicTypeWallet TopicType = "wallet"
TopicTypeOrder TopicType = "order"
TopicTypeKLine TopicType = "kline"
TopicTypeFastTrade TopicType = "execution.fast"
TopicTypeTrade TopicType = "execution"
)
@ -385,6 +386,11 @@ func (t *TradeEvent) toGlobalTrade(symbolFee SymbolFeeDetail) (*types.Trade, err
// IsMakerOrder = FALSE
// -> Side = Buy -> base currency (BTC)
// -> Side = Sell -> quote currency (USDT)
//
// The `execution.fast` topic doesn't support fee currency and execution fees, so we're calculating the transaction fees here.
// Although the `execution` topic is supported, it only covers the execution fee, so you'll still need to calculate the
// fee currency.
// Overall, I chose the one with lower latency (execution.fast) and calculated the fee myself.
func calculateFee(t bybitapi.Trade, feeDetail SymbolFeeDetail) (string, fixedpoint.Value) {
if feeDetail.MakerFeeRate.Sign() > 0 || !t.IsMaker {
if t.Side == bybitapi.SideBuy {