Merge pull request #1255 from bailantaotao/edwin/query-trades

FEATURE: [bybit] add query trade api
This commit is contained in:
bailantaotao 2023-08-01 18:02:29 +08:00 committed by GitHub
commit ae61e10c6a
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8 changed files with 581 additions and 11 deletions

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@ -0,0 +1,13 @@
package v3
import (
"github.com/c9s/requestgen"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
)
type APIResponse = bybitapi.APIResponse
type Client struct {
Client requestgen.AuthenticatedAPIClient
}

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@ -0,0 +1,44 @@
package v3
import (
"context"
"os"
"strconv"
"testing"
"time"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
"github.com/c9s/bbgo/pkg/testutil"
)
func getTestClientOrSkip(t *testing.T) *bybitapi.RestClient {
if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
t.Skip("skip test for CI")
}
key, secret, ok := testutil.IntegrationTestConfigured(t, "BYBIT")
if !ok {
t.Skip("BYBIT_* env vars are not configured")
return nil
}
client, err := bybitapi.NewClient()
assert.NoError(t, err)
client.Auth(key, secret)
return client
}
func TestClient(t *testing.T) {
client := getTestClientOrSkip(t)
v3Client := Client{Client: client}
ctx := context.Background()
t.Run("GetTradeRequest", func(t *testing.T) {
startTime := time.Date(2023, 7, 27, 16, 13, 9, 0, time.UTC)
apiResp, err := v3Client.NewGetTradesRequest().Symbol("BTCUSDT").StartTime(startTime).Do(ctx)
assert.NoError(t, err)
t.Logf("apiResp: %+v", apiResp)
})
}

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@ -0,0 +1,55 @@
package v3
import (
"time"
"github.com/c9s/requestgen"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
type TradesResponse struct {
List []Trade `json:"list"`
}
type Trade struct {
Symbol string `json:"symbol"`
Id string `json:"id"`
OrderId string `json:"orderId"`
TradeId string `json:"tradeId"`
OrderPrice fixedpoint.Value `json:"orderPrice"`
OrderQty fixedpoint.Value `json:"orderQty"`
ExecFee fixedpoint.Value `json:"execFee"`
FeeTokenId string `json:"feeTokenId"`
CreatTime types.MillisecondTimestamp `json:"creatTime"`
IsBuyer Side `json:"isBuyer"`
IsMaker OrderType `json:"isMaker"`
MatchOrderId string `json:"matchOrderId"`
MakerRebate fixedpoint.Value `json:"makerRebate"`
ExecutionTime types.MillisecondTimestamp `json:"executionTime"`
BlockTradeId string `json:"blockTradeId"`
}
//go:generate GetRequest -url "/spot/v3/private/my-trades" -type GetTradesRequest -responseDataType .TradesResponse
type GetTradesRequest struct {
client requestgen.AuthenticatedAPIClient
symbol *string `param:"symbol,query"`
orderId *string `param:"orderId,query"`
// Limit default value is 50, max 50
limit *uint64 `param:"limit,query"`
startTime *time.Time `param:"startTime,query,milliseconds"`
endTime *time.Time `param:"endTime,query,milliseconds"`
fromTradeId *string `param:"fromTradeId,query"`
toTradeId *string `param:"toTradeId,query"`
}
func (c *Client) NewGetTradesRequest() *GetTradesRequest {
return &GetTradesRequest{
client: c.Client,
}
}

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@ -0,0 +1,238 @@
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /spot/v3/private/my-trades -type GetTradesRequest -responseDataType .TradesResponse"; DO NOT EDIT.
package v3
import (
"context"
"encoding/json"
"fmt"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
"net/url"
"reflect"
"regexp"
"strconv"
"time"
)
func (g *GetTradesRequest) Symbol(symbol string) *GetTradesRequest {
g.symbol = &symbol
return g
}
func (g *GetTradesRequest) OrderId(orderId string) *GetTradesRequest {
g.orderId = &orderId
return g
}
func (g *GetTradesRequest) Limit(limit uint64) *GetTradesRequest {
g.limit = &limit
return g
}
func (g *GetTradesRequest) StartTime(startTime time.Time) *GetTradesRequest {
g.startTime = &startTime
return g
}
func (g *GetTradesRequest) EndTime(endTime time.Time) *GetTradesRequest {
g.endTime = &endTime
return g
}
func (g *GetTradesRequest) FromTradeId(fromTradeId string) *GetTradesRequest {
g.fromTradeId = &fromTradeId
return g
}
func (g *GetTradesRequest) ToTradeId(toTradeId string) *GetTradesRequest {
g.toTradeId = &toTradeId
return g
}
// GetQueryParameters builds and checks the query parameters and returns url.Values
func (g *GetTradesRequest) GetQueryParameters() (url.Values, error) {
var params = map[string]interface{}{}
// check symbol field -> json key symbol
if g.symbol != nil {
symbol := *g.symbol
// assign parameter of symbol
params["symbol"] = symbol
} else {
}
// check orderId field -> json key orderId
if g.orderId != nil {
orderId := *g.orderId
// assign parameter of orderId
params["orderId"] = orderId
} else {
}
// check limit field -> json key limit
if g.limit != nil {
limit := *g.limit
// assign parameter of limit
params["limit"] = limit
} else {
}
// check startTime field -> json key startTime
if g.startTime != nil {
startTime := *g.startTime
// assign parameter of startTime
// convert time.Time to milliseconds time stamp
params["startTime"] = strconv.FormatInt(startTime.UnixNano()/int64(time.Millisecond), 10)
} else {
}
// check endTime field -> json key endTime
if g.endTime != nil {
endTime := *g.endTime
// assign parameter of endTime
// convert time.Time to milliseconds time stamp
params["endTime"] = strconv.FormatInt(endTime.UnixNano()/int64(time.Millisecond), 10)
} else {
}
// check fromTradeId field -> json key fromTradeId
if g.fromTradeId != nil {
fromTradeId := *g.fromTradeId
// assign parameter of fromTradeId
params["fromTradeId"] = fromTradeId
} else {
}
// check toTradeId field -> json key toTradeId
if g.toTradeId != nil {
toTradeId := *g.toTradeId
// assign parameter of toTradeId
params["toTradeId"] = toTradeId
} else {
}
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 (g *GetTradesRequest) GetParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
// GetParametersQuery converts the parameters from GetParameters into the url.Values format
func (g *GetTradesRequest) GetParametersQuery() (url.Values, error) {
query := url.Values{}
params, err := g.GetParameters()
if err != nil {
return query, err
}
for _k, _v := range params {
if g.isVarSlice(_v) {
g.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 (g *GetTradesRequest) GetParametersJSON() ([]byte, error) {
params, err := g.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 (g *GetTradesRequest) GetSlugParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
func (g *GetTradesRequest) 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 (g *GetTradesRequest) 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 (g *GetTradesRequest) isVarSlice(_v interface{}) bool {
rt := reflect.TypeOf(_v)
switch rt.Kind() {
case reflect.Slice:
return true
}
return false
}
func (g *GetTradesRequest) GetSlugsMap() (map[string]string, error) {
slugs := map[string]string{}
params, err := g.GetSlugParameters()
if err != nil {
return slugs, nil
}
for _k, _v := range params {
slugs[_k] = fmt.Sprintf("%v", _v)
}
return slugs, nil
}
func (g *GetTradesRequest) Do(ctx context.Context) (*TradesResponse, error) {
// no body params
var params interface{}
query, err := g.GetQueryParameters()
if err != nil {
return nil, err
}
apiURL := "/spot/v3/private/my-trades"
req, err := g.client.NewAuthenticatedRequest(ctx, "GET", apiURL, query, params)
if err != nil {
return nil, err
}
response, err := g.client.SendRequest(req)
if err != nil {
return nil, err
}
var apiResponse bybitapi.APIResponse
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
var data TradesResponse
if err := json.Unmarshal(apiResponse.Result, &data); err != nil {
return nil, err
}
return &data, nil
}

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@ -0,0 +1,15 @@
package v3
type Side string
const (
SideBuy Side = "0"
SideSell Side = "1"
)
type OrderType string
const (
OrderTypeMaker OrderType = "0"
OrderTypeTaker OrderType = "1"
)

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@ -8,6 +8,7 @@ import (
"time" "time"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi" "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi/v3"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
) )
@ -73,7 +74,7 @@ func toGlobalOrder(order bybitapi.Order) (*types.Order, error) {
// Now we only use spot trading. // Now we only use spot trading.
orderIdNum, err := strconv.ParseUint(order.OrderId, 10, 64) orderIdNum, err := strconv.ParseUint(order.OrderId, 10, 64)
if err != nil { if err != nil {
return nil, fmt.Errorf("unexpected order id: %s, err: %v", order.OrderId, err) return nil, fmt.Errorf("unexpected order id: %s, err: %w", order.OrderId, err)
} }
return &types.Order{ return &types.Order{
@ -204,3 +205,63 @@ func toLocalSide(side types.SideType) (bybitapi.Side, error) {
return "", fmt.Errorf("side type %s not supported", side) return "", fmt.Errorf("side type %s not supported", side)
} }
} }
func toV3Buyer(isBuyer v3.Side) (types.SideType, error) {
switch isBuyer {
case v3.SideBuy:
return types.SideTypeBuy, nil
case v3.SideSell:
return types.SideTypeSell, nil
default:
return "", fmt.Errorf("unexpected side type: %s", isBuyer)
}
}
func toV3Maker(isMaker v3.OrderType) (bool, error) {
switch isMaker {
case v3.OrderTypeMaker:
return true, nil
case v3.OrderTypeTaker:
return false, nil
default:
return false, fmt.Errorf("unexpected order type: %s", isMaker)
}
}
func v3ToGlobalTrade(trade v3.Trade) (*types.Trade, error) {
side, err := toV3Buyer(trade.IsBuyer)
if err != nil {
return nil, err
}
isMaker, err := toV3Maker(trade.IsMaker)
if err != nil {
return nil, err
}
orderIdNum, err := strconv.ParseUint(trade.OrderId, 10, 64)
if err != nil {
return nil, fmt.Errorf("unexpected order id: %s, err: %w", trade.OrderId, err)
}
tradeIdNum, err := strconv.ParseUint(trade.TradeId, 10, 64)
if err != nil {
return nil, fmt.Errorf("unexpected trade id: %s, err: %w", trade.TradeId, err)
}
return &types.Trade{
ID: tradeIdNum,
OrderID: orderIdNum,
Exchange: types.ExchangeBybit,
Price: trade.OrderPrice,
Quantity: trade.OrderQty,
QuoteQuantity: trade.OrderPrice.Mul(trade.OrderQty),
Symbol: trade.Symbol,
Side: side,
IsBuyer: side == types.SideTypeBuy,
IsMaker: isMaker,
Time: types.Time(trade.ExecutionTime),
Fee: trade.ExecFee,
FeeCurrency: trade.FeeTokenId,
IsMargin: false,
IsFutures: false,
IsIsolated: false,
}, nil
}

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@ -3,16 +3,17 @@ package bybit
import ( import (
"context" "context"
"fmt" "fmt"
"github.com/pkg/errors"
"go.uber.org/multierr"
"math" "math"
"strconv" "strconv"
"testing" "testing"
"time" "time"
"github.com/pkg/errors"
"github.com/stretchr/testify/assert" "github.com/stretchr/testify/assert"
"go.uber.org/multierr"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi" "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/fixedpoint"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
) )
@ -403,3 +404,74 @@ func Test_toLocalSide(t *testing.T) {
assert.Error(t, fmt.Errorf("side type %s not supported", "wrong side"), err) assert.Error(t, fmt.Errorf("side type %s not supported", "wrong side"), err)
assert.Equal(t, bybitapi.Side(""), side) assert.Equal(t, bybitapi.Side(""), side)
} }
func Test_toGlobalTrade(t *testing.T) {
/* sample: trade
{
"Symbol":"BTCUSDT",
"Id":"1474200510090276864",
"OrderId":"1474200270671015936",
"TradeId":"2100000000031181772",
"OrderPrice":"27628",
"OrderQty":"0.007959",
"ExecFee":"0.21989125",
"FeeTokenId":"USDT",
"CreatTime":"2023-07-28 00:13:15.457 +0800 CST",
"IsBuyer":"1",
"IsMaker":"0",
"MatchOrderId":"5760912963729109504",
"MakerRebate":"0",
"ExecutionTime":"2023-07-28 00:13:15.463 +0800 CST",
"BlockTradeId": "",
}
*/
timeNow := time.Now()
trade := v3.Trade{
Symbol: "DOTUSDT",
Id: "1474200510090276864",
OrderId: "1474200270671015936",
TradeId: "2100000000031181772",
OrderPrice: fixedpoint.NewFromFloat(27628),
OrderQty: fixedpoint.NewFromFloat(0.007959),
ExecFee: fixedpoint.NewFromFloat(0.21989125),
FeeTokenId: "USDT",
CreatTime: types.MillisecondTimestamp(timeNow),
IsBuyer: "0",
IsMaker: "0",
MatchOrderId: "5760912963729109504",
MakerRebate: fixedpoint.NewFromFloat(0),
ExecutionTime: types.MillisecondTimestamp(timeNow),
BlockTradeId: "",
}
s, err := toV3Buyer(trade.IsBuyer)
assert.NoError(t, err)
m, err := toV3Maker(trade.IsMaker)
assert.NoError(t, err)
orderIdNum, err := strconv.ParseUint(trade.OrderId, 10, 64)
assert.NoError(t, err)
tradeId, err := strconv.ParseUint(trade.TradeId, 10, 64)
assert.NoError(t, err)
exp := types.Trade{
ID: tradeId,
OrderID: orderIdNum,
Exchange: types.ExchangeBybit,
Price: trade.OrderPrice,
Quantity: trade.OrderQty,
QuoteQuantity: trade.OrderPrice.Mul(trade.OrderQty),
Symbol: trade.Symbol,
Side: s,
IsBuyer: s == types.SideTypeBuy,
IsMaker: m,
Time: types.Time(timeNow),
Fee: trade.ExecFee,
FeeCurrency: trade.FeeTokenId,
IsMargin: false,
IsFutures: false,
IsIsolated: false,
}
res, err := v3ToGlobalTrade(trade)
assert.NoError(t, err)
assert.Equal(t, res, &exp)
}

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@ -11,12 +11,15 @@ import (
"golang.org/x/time/rate" "golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi" "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
v3 "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi/v3"
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
) )
const ( const (
maxOrderIdLen = 36 maxOrderIdLen = 36
defaultQueryClosedLen = 50 defaultQueryLimit = 50
halfYearDuration = 6 * 30 * 24 * time.Hour
) )
// https://bybit-exchange.github.io/docs/zh-TW/v5/rate-limit // https://bybit-exchange.github.io/docs/zh-TW/v5/rate-limit
@ -28,7 +31,7 @@ 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) orderRateLimiter = rate.NewLimiter(rate.Every(100*time.Millisecond), 10)
closedRateLimiter = rate.NewLimiter(rate.Every(time.Second), 1) closedOrderQueryLimiter = rate.NewLimiter(rate.Every(time.Second), 1)
log = logrus.WithFields(logrus.Fields{ log = logrus.WithFields(logrus.Fields{
"exchange": "bybit", "exchange": "bybit",
@ -38,6 +41,7 @@ var (
type Exchange struct { type Exchange struct {
key, secret string key, secret string
client *bybitapi.RestClient client *bybitapi.RestClient
v3client *v3.Client
} }
func New(key, secret string) (*Exchange, error) { func New(key, secret string) (*Exchange, error) {
@ -286,13 +290,13 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
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") 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 := closedRateLimiter.Wait(ctx); err != nil { if err := closedOrderQueryLimiter.Wait(ctx); err != nil {
return nil, fmt.Errorf("query closed order rate limiter wait error: %w", err) return nil, fmt.Errorf("query closed order rate limiter wait error: %w", err)
} }
res, err := e.client.NewGetOrderHistoriesRequest(). res, err := e.client.NewGetOrderHistoriesRequest().
Symbol(symbol). Symbol(symbol).
Cursor(strconv.FormatUint(lastOrderID, 10)). Cursor(strconv.FormatUint(lastOrderID, 10)).
Limit(defaultQueryClosedLen). Limit(defaultQueryLimit).
Do(ctx) Do(ctx)
if err != nil { if err != nil {
return nil, fmt.Errorf("failed to call get order histories error: %w", err) return nil, fmt.Errorf("failed to call get order histories error: %w", err)
@ -315,3 +319,71 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
return types.SortOrdersAscending(orders), nil 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
}