mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
Merge pull request #1255 from bailantaotao/edwin/query-trades
FEATURE: [bybit] add query trade api
This commit is contained in:
commit
ae61e10c6a
13
pkg/exchange/bybit/bybitapi/v3/client.go
Normal file
13
pkg/exchange/bybit/bybitapi/v3/client.go
Normal file
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@ -0,0 +1,13 @@
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package v3
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|
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import (
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"github.com/c9s/requestgen"
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|
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"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
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)
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type APIResponse = bybitapi.APIResponse
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type Client struct {
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Client requestgen.AuthenticatedAPIClient
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}
|
44
pkg/exchange/bybit/bybitapi/v3/client_test.go
Normal file
44
pkg/exchange/bybit/bybitapi/v3/client_test.go
Normal file
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@ -0,0 +1,44 @@
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package v3
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import (
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"context"
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"os"
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"strconv"
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"testing"
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"time"
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"github.com/stretchr/testify/assert"
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"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
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"github.com/c9s/bbgo/pkg/testutil"
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)
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|
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func getTestClientOrSkip(t *testing.T) *bybitapi.RestClient {
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if b, _ := strconv.ParseBool(os.Getenv("CI")); b {
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t.Skip("skip test for CI")
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}
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key, secret, ok := testutil.IntegrationTestConfigured(t, "BYBIT")
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if !ok {
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t.Skip("BYBIT_* env vars are not configured")
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return nil
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}
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client, err := bybitapi.NewClient()
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assert.NoError(t, err)
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client.Auth(key, secret)
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return client
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}
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func TestClient(t *testing.T) {
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client := getTestClientOrSkip(t)
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v3Client := Client{Client: client}
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ctx := context.Background()
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t.Run("GetTradeRequest", func(t *testing.T) {
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startTime := time.Date(2023, 7, 27, 16, 13, 9, 0, time.UTC)
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apiResp, err := v3Client.NewGetTradesRequest().Symbol("BTCUSDT").StartTime(startTime).Do(ctx)
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assert.NoError(t, err)
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t.Logf("apiResp: %+v", apiResp)
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})
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}
|
55
pkg/exchange/bybit/bybitapi/v3/get_trades_request.go
Normal file
55
pkg/exchange/bybit/bybitapi/v3/get_trades_request.go
Normal file
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@ -0,0 +1,55 @@
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package v3
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import (
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"time"
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"github.com/c9s/requestgen"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
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//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
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type TradesResponse struct {
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List []Trade `json:"list"`
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}
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type Trade struct {
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Symbol string `json:"symbol"`
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Id string `json:"id"`
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OrderId string `json:"orderId"`
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TradeId string `json:"tradeId"`
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OrderPrice fixedpoint.Value `json:"orderPrice"`
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OrderQty fixedpoint.Value `json:"orderQty"`
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ExecFee fixedpoint.Value `json:"execFee"`
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FeeTokenId string `json:"feeTokenId"`
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CreatTime types.MillisecondTimestamp `json:"creatTime"`
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IsBuyer Side `json:"isBuyer"`
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IsMaker OrderType `json:"isMaker"`
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MatchOrderId string `json:"matchOrderId"`
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MakerRebate fixedpoint.Value `json:"makerRebate"`
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ExecutionTime types.MillisecondTimestamp `json:"executionTime"`
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BlockTradeId string `json:"blockTradeId"`
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}
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//go:generate GetRequest -url "/spot/v3/private/my-trades" -type GetTradesRequest -responseDataType .TradesResponse
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type GetTradesRequest struct {
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client requestgen.AuthenticatedAPIClient
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symbol *string `param:"symbol,query"`
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orderId *string `param:"orderId,query"`
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// Limit default value is 50, max 50
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limit *uint64 `param:"limit,query"`
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startTime *time.Time `param:"startTime,query,milliseconds"`
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endTime *time.Time `param:"endTime,query,milliseconds"`
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fromTradeId *string `param:"fromTradeId,query"`
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toTradeId *string `param:"toTradeId,query"`
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}
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func (c *Client) NewGetTradesRequest() *GetTradesRequest {
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return &GetTradesRequest{
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client: c.Client,
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}
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}
|
238
pkg/exchange/bybit/bybitapi/v3/get_trades_request_requestgen.go
Normal file
238
pkg/exchange/bybit/bybitapi/v3/get_trades_request_requestgen.go
Normal file
|
@ -0,0 +1,238 @@
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|
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /spot/v3/private/my-trades -type GetTradesRequest -responseDataType .TradesResponse"; DO NOT EDIT.
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package v3
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|
import (
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|
"context"
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|
"encoding/json"
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|
"fmt"
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|
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
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"net/url"
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|
"reflect"
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|
"regexp"
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|
"strconv"
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|
"time"
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|
)
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|
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|
func (g *GetTradesRequest) Symbol(symbol string) *GetTradesRequest {
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|
g.symbol = &symbol
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|
return g
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|
}
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|
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|
func (g *GetTradesRequest) OrderId(orderId string) *GetTradesRequest {
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|
g.orderId = &orderId
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|
return g
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|
}
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|
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|
func (g *GetTradesRequest) Limit(limit uint64) *GetTradesRequest {
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|
g.limit = &limit
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|
return g
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|
}
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|
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func (g *GetTradesRequest) StartTime(startTime time.Time) *GetTradesRequest {
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|
g.startTime = &startTime
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|
return g
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|
}
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|
|
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|
func (g *GetTradesRequest) EndTime(endTime time.Time) *GetTradesRequest {
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|
g.endTime = &endTime
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|
return g
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|
}
|
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|
|
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|
func (g *GetTradesRequest) FromTradeId(fromTradeId string) *GetTradesRequest {
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|
g.fromTradeId = &fromTradeId
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|
return g
|
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|
}
|
||||||
|
|
||||||
|
func (g *GetTradesRequest) ToTradeId(toTradeId string) *GetTradesRequest {
|
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|
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
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|
if g.symbol != nil {
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|
symbol := *g.symbol
|
||||||
|
|
||||||
|
// assign parameter of symbol
|
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|
params["symbol"] = symbol
|
||||||
|
} else {
|
||||||
|
}
|
||||||
|
// check orderId field -> json key orderId
|
||||||
|
if g.orderId != nil {
|
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|
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
|
||||||
|
}
|
15
pkg/exchange/bybit/bybitapi/v3/types.go
Normal file
15
pkg/exchange/bybit/bybitapi/v3/types.go
Normal file
|
@ -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"
|
||||||
|
)
|
|
@ -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
|
||||||
|
}
|
||||||
|
|
|
@ -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)
|
||||||
|
}
|
||||||
|
|
|
@ -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
|
||||||
|
@ -25,10 +28,10 @@ const (
|
||||||
// The default order limiter apply 2 requests per second and a 2 initial bucket
|
// The default order limiter apply 2 requests per second and a 2 initial bucket
|
||||||
// this includes QueryMarkets, QueryTicker
|
// this includes QueryMarkets, QueryTicker
|
||||||
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)
|
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
|
||||||
|
}
|
||||||
|
|
Loading…
Reference in New Issue
Block a user