pkg/exchange: get fee rate before connect

pkg/exchange/bybit/exchange.go

@@ -490,7 +490,7 @@ func (e *Exchange) IsSupportedInterval(interval types.Interval) bool {
 	return ok
 }
 
-func (e *Exchange) GetFeeRates(ctx context.Context) (bybitapi.FeeRates, error) {
+func (e *Exchange) GetAllFeeRates(ctx context.Context) (bybitapi.FeeRates, error) {
 	if err := sharedRateLimiter.Wait(ctx); err != nil {
 		return bybitapi.FeeRates{}, fmt.Errorf("query fee rate limiter wait error: %w", err)
 	}
@@ -503,5 +503,5 @@ func (e *Exchange) GetFeeRates(ctx context.Context) (bybitapi.FeeRates, error) {
 }
 
 func (e *Exchange) NewStream() types.Stream {
-	return NewStream(e.key, e.secret)
+	return NewStream(e.key, e.secret, e)
 }

pkg/exchange/bybit/mocks/stream.go

@@ -0,0 +1,67 @@
+// Code generated by MockGen. DO NOT EDIT.
+// Source: github.com/c9s/bbgo/pkg/exchange/bybit (interfaces: MarketInfoProvider)
+
+// Package mocks is a generated GoMock package.
+package mocks
+
+import (
+	context "context"
+	reflect "reflect"
+
+	bybitapi "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
+	types "github.com/c9s/bbgo/pkg/types"
+	gomock "github.com/golang/mock/gomock"
+)
+
+// MockMarketInfoProvider is a mock of MarketInfoProvider interface.
+type MockMarketInfoProvider struct {
+	ctrl     *gomock.Controller
+	recorder *MockMarketInfoProviderMockRecorder
+}
+
+// MockMarketInfoProviderMockRecorder is the mock recorder for MockMarketInfoProvider.
+type MockMarketInfoProviderMockRecorder struct {
+	mock *MockMarketInfoProvider
+}
+
+// NewMockMarketInfoProvider creates a new mock instance.
+func NewMockMarketInfoProvider(ctrl *gomock.Controller) *MockMarketInfoProvider {
+	mock := &MockMarketInfoProvider{ctrl: ctrl}
+	mock.recorder = &MockMarketInfoProviderMockRecorder{mock}
+	return mock
+}
+
+// EXPECT returns an object that allows the caller to indicate expected use.
+func (m *MockMarketInfoProvider) EXPECT() *MockMarketInfoProviderMockRecorder {
+	return m.recorder
+}
+
+// GetFeeRates mocks base method.
+func (m *MockMarketInfoProvider) GetFeeRates(arg0 context.Context) (bybitapi.FeeRates, error) {
+	m.ctrl.T.Helper()
+	ret := m.ctrl.Call(m, "GetFeeRates", arg0)
+	ret0, _ := ret[0].(bybitapi.FeeRates)
+	ret1, _ := ret[1].(error)
+	return ret0, ret1
+}
+
+// GetFeeRates indicates an expected call of GetFeeRates.
+func (mr *MockMarketInfoProviderMockRecorder) GetFeeRates(arg0 interface{}) *gomock.Call {
+	mr.mock.ctrl.T.Helper()
+	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "GetFeeRates", reflect.TypeOf((*MockMarketInfoProvider)(nil).GetFeeRates), arg0)
+}
+
+// QueryMarkets mocks base method.
+func (m *MockMarketInfoProvider) QueryMarkets(arg0 context.Context) (types.MarketMap, error) {
+	m.ctrl.T.Helper()
+	ret := m.ctrl.Call(m, "QueryMarkets", arg0)
+	ret0, _ := ret[0].(types.MarketMap)
+	ret1, _ := ret[1].(error)
+	return ret0, ret1
+}
+
+// QueryMarkets indicates an expected call of QueryMarkets.
+func (mr *MockMarketInfoProviderMockRecorder) QueryMarkets(arg0 interface{}) *gomock.Call {
+	mr.mock.ctrl.T.Helper()
+	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "QueryMarkets", reflect.TypeOf((*MockMarketInfoProvider)(nil).QueryMarkets), arg0)
+}

pkg/exchange/bybit/stream.go

@@ -27,31 +27,43 @@ var (
 	wsAuthRequest = 10 * time.Second
 )
 
+//go:generate mockgen -destination=mocks/stream.go -package=mocks . MarketInfoProvider
+type MarketInfoProvider interface {
+	GetFeeRates(ctx context.Context) (bybitapi.FeeRates, error)
+	QueryMarkets(ctx context.Context) (types.MarketMap, error)
+}
+
 //go:generate callbackgen -type Stream
 type Stream struct {
-	key, secret string
 	types.StandardStream
 
+	key, secret    string
+	marketProvider MarketInfoProvider
+	// TODO: update the fee rate at 7:00 am UTC; rotation required.
+	symbolFeeDetails map[string]*symbolFeeDetail
+
 	bookEventCallbacks   []func(e BookEvent)
 	walletEventCallbacks []func(e []bybitapi.WalletBalances)
 	kLineEventCallbacks  []func(e KLineEvent)
 	orderEventCallbacks  []func(e []OrderEvent)
 }
 
-func NewStream(key, secret string) *Stream {
+func NewStream(key, secret string, marketProvider MarketInfoProvider) *Stream {
 	stream := &Stream{
 		StandardStream: types.NewStandardStream(),
 		// pragma: allowlist nextline secret
-		key:    key,
-		secret: secret,
+		key:            key,
+		secret:         secret,
+		marketProvider: marketProvider,
 	}
 
 	stream.SetEndpointCreator(stream.createEndpoint)
 	stream.SetParser(stream.parseWebSocketEvent)
 	stream.SetDispatcher(stream.dispatchEvent)
 	stream.SetHeartBeat(stream.ping)
-
+	stream.SetBeforeConnect(stream.getAllFeeRates)
 	stream.OnConnect(stream.handlerConnect)
+
 	stream.OnBookEvent(stream.handleBookEvent)
 	stream.OnKLineEvent(stream.handleKLineEvent)
 	stream.OnWalletEvent(stream.handleWalletEvent)
@@ -307,3 +319,53 @@ func (s *Stream) handleKLineEvent(klineEvent KLineEvent) {
 		}
 	}
 }
+
+type symbolFeeDetail struct {
+	bybitapi.FeeRate
+
+	BaseCoin  string
+	QuoteCoin string
+}
+
+// getAllFeeRates retrieves all fee rates from the Bybit API and then fetches markets to ensure the base coin and quote coin
+// are correct.
+func (e *Stream) getAllFeeRates(ctx context.Context) error {
+	feeRates, err := e.marketProvider.GetFeeRates(ctx)
+	if err != nil {
+		return fmt.Errorf("failed to call get fee rates: %w", err)
+	}
+
+	symbolMap := map[string]*symbolFeeDetail{}
+	for _, f := range feeRates.List {
+		if _, found := symbolMap[f.Symbol]; !found {
+			symbolMap[f.Symbol] = &symbolFeeDetail{FeeRate: f}
+		}
+	}
+
+	mkts, err := e.marketProvider.QueryMarkets(ctx)
+	if err != nil {
+		return fmt.Errorf("failed to get markets: %w", err)
+	}
+
+	// update base coin, quote coin into symbolFeeDetail
+	for _, mkt := range mkts {
+		feeRate, found := symbolMap[mkt.Symbol]
+		if !found {
+			continue
+		}
+
+		feeRate.BaseCoin = mkt.BaseCurrency
+		feeRate.QuoteCoin = mkt.QuoteCurrency
+	}
+
+	// remove trading pairs that are not present in spot market.
+	for k, v := range symbolMap {
+		if len(v.BaseCoin) == 0 || len(v.QuoteCoin) == 0 {
+			log.Debugf("related market not found: %s, skipping the associated trade", k)
+			delete(symbolMap, k)
+		}
+	}
+
+	e.symbolFeeDetails = symbolMap
+	return nil
+}

pkg/exchange/bybit/stream_test.go

@@ -8,8 +8,11 @@ import (
 	"strconv"
 	"testing"
 
+	"github.com/golang/mock/gomock"
 	"github.com/stretchr/testify/assert"
 
+	"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
+	"github.com/c9s/bbgo/pkg/exchange/bybit/mocks"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/testutil"
 	"github.com/c9s/bbgo/pkg/types"
@@ -26,7 +29,9 @@ func getTestClientOrSkip(t *testing.T) *Stream {
 		return nil
 	}
 
-	return NewStream(key, secret)
+	exchange, err := New(key, secret)
+	assert.NoError(t, err)
+	return NewStream(key, secret, exchange)
 }
 
 func TestStream(t *testing.T) {
@@ -312,3 +317,120 @@ func Test_convertSubscription(t *testing.T) {
 		assert.Equal(t, "", res)
 	})
 }
+
+func TestStream_getFeeRate(t *testing.T) {
+	mockCtrl := gomock.NewController(t)
+	defer mockCtrl.Finish()
+
+	unknownErr := errors.New("unknown err")
+
+	t.Run("succeeds", func(t *testing.T) {
+		mockMarketProvider := mocks.NewMockMarketInfoProvider(mockCtrl)
+		s := &Stream{
+			marketProvider: mockMarketProvider,
+		}
+
+		ctx := context.Background()
+		feeRates := bybitapi.FeeRates{
+			List: []bybitapi.FeeRate{
+				{
+					Symbol:       "BTCUSDT",
+					TakerFeeRate: fixedpoint.NewFromFloat(0.001),
+					MakerFeeRate: fixedpoint.NewFromFloat(0.001),
+				},
+				{
+					Symbol:       "ETHUSDT",
+					TakerFeeRate: fixedpoint.NewFromFloat(0.001),
+					MakerFeeRate: fixedpoint.NewFromFloat(0.001),
+				},
+				{
+					Symbol:       "OPTIONCOIN",
+					TakerFeeRate: fixedpoint.NewFromFloat(0.001),
+					MakerFeeRate: fixedpoint.NewFromFloat(0.001),
+				},
+			},
+		}
+
+		mkts := types.MarketMap{
+			"BTCUSDT": types.Market{
+				Symbol:        "BTCUSDT",
+				QuoteCurrency: "USDT",
+				BaseCurrency:  "BTC",
+			},
+			"ETHUSDT": types.Market{
+				Symbol:        "ETHUSDT",
+				QuoteCurrency: "USDT",
+				BaseCurrency:  "ETH",
+			},
+		}
+
+		mockMarketProvider.EXPECT().GetFeeRates(ctx).Return(feeRates, nil).Times(1)
+		mockMarketProvider.EXPECT().QueryMarkets(ctx).Return(mkts, nil).Times(1)
+
+		expFeeRates := map[string]*symbolFeeDetail{
+			"BTCUSDT": {
+				FeeRate:   feeRates.List[0],
+				BaseCoin:  "BTC",
+				QuoteCoin: "USDT",
+			},
+			"ETHUSDT": {
+				FeeRate:   feeRates.List[1],
+				BaseCoin:  "ETH",
+				QuoteCoin: "USDT",
+			},
+		}
+		err := s.getFeeRate(ctx)
+		assert.NoError(t, err)
+		assert.Equal(t, expFeeRates, s.symbolFeeDetails)
+	})
+
+	t.Run("failed to query markets", func(t *testing.T) {
+		mockMarketProvider := mocks.NewMockMarketInfoProvider(mockCtrl)
+		s := &Stream{
+			marketProvider: mockMarketProvider,
+		}
+
+		ctx := context.Background()
+		feeRates := bybitapi.FeeRates{
+			List: []bybitapi.FeeRate{
+				{
+					Symbol:       "BTCUSDT",
+					TakerFeeRate: fixedpoint.NewFromFloat(0.001),
+					MakerFeeRate: fixedpoint.NewFromFloat(0.001),
+				},
+				{
+					Symbol:       "ETHUSDT",
+					TakerFeeRate: fixedpoint.NewFromFloat(0.001),
+					MakerFeeRate: fixedpoint.NewFromFloat(0.001),
+				},
+				{
+					Symbol:       "OPTIONCOIN",
+					TakerFeeRate: fixedpoint.NewFromFloat(0.001),
+					MakerFeeRate: fixedpoint.NewFromFloat(0.001),
+				},
+			},
+		}
+
+		mockMarketProvider.EXPECT().GetFeeRates(ctx).Return(feeRates, nil).Times(1)
+		mockMarketProvider.EXPECT().QueryMarkets(ctx).Return(nil, unknownErr).Times(1)
+
+		err := s.getFeeRate(ctx)
+		assert.Equal(t, fmt.Errorf("failed to get markets: %w", unknownErr), err)
+		assert.Equal(t, map[string]*symbolFeeDetail(nil), s.symbolFeeDetails)
+	})
+
+	t.Run("failed to get fee rates", func(t *testing.T) {
+		mockMarketProvider := mocks.NewMockMarketInfoProvider(mockCtrl)
+		s := &Stream{
+			marketProvider: mockMarketProvider,
+		}
+
+		ctx := context.Background()
+
+		mockMarketProvider.EXPECT().GetFeeRates(ctx).Return(bybitapi.FeeRates{}, unknownErr).Times(1)
+
+		err := s.getFeeRate(ctx)
+		assert.Equal(t, fmt.Errorf("failed to call get fee rates: %w", unknownErr), err)
+		assert.Equal(t, map[string]*symbolFeeDetail(nil), s.symbolFeeDetails)
+	})
+}

pkg/exchange/bybit/types_test.go

@@ -2,17 +2,20 @@ package bybit
 
 import (
 	"fmt"
+	"strconv"
 	"testing"
+	"time"
 
 	"github.com/stretchr/testify/assert"
 
+	"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
 func Test_parseWebSocketEvent(t *testing.T) {
 	t.Run("[public] PingEvent without req id", func(t *testing.T) {
-		s := NewStream("", "")
+		s := NewStream("", "", nil)
 		msg := `{"success":true,"ret_msg":"pong","conn_id":"a806f6c4-3608-4b6d-a225-9f5da975bc44","op":"ping"}`
 		raw, err := s.parseWebSocketEvent([]byte(msg))
 		assert.NoError(t, err)
@@ -33,7 +36,7 @@ func Test_parseWebSocketEvent(t *testing.T) {
 	})
 
 	t.Run("[public] PingEvent with req id", func(t *testing.T) {
-		s := NewStream("", "")
+		s := NewStream("", "", nil)
 		msg := `{"success":true,"ret_msg":"pong","conn_id":"a806f6c4-3608-4b6d-a225-9f5da975bc44","req_id":"b26704da-f5af-44c2-bdf7-935d6739e1a0","op":"ping"}`
 		raw, err := s.parseWebSocketEvent([]byte(msg))
 		assert.NoError(t, err)
@@ -55,7 +58,7 @@ func Test_parseWebSocketEvent(t *testing.T) {
 	})
 
 	t.Run("[private] PingEvent without req id", func(t *testing.T) {
-		s := NewStream("", "")
+		s := NewStream("", "", nil)
 		msg := `{"op":"pong","args":["1690884539181"],"conn_id":"civn4p1dcjmtvb69ome0-yrt1"}`
 		raw, err := s.parseWebSocketEvent([]byte(msg))
 		assert.NoError(t, err)
@@ -75,7 +78,7 @@ func Test_parseWebSocketEvent(t *testing.T) {
 	})
 
 	t.Run("[private] PingEvent with req id", func(t *testing.T) {
-		s := NewStream("", "")
+		s := NewStream("", "", nil)
 		msg := `{"req_id":"78d36b57-a142-47b7-9143-5843df77d44d","op":"pong","args":["1690884539181"],"conn_id":"civn4p1dcjmtvb69ome0-yrt1"}`
 		raw, err := s.parseWebSocketEvent([]byte(msg))
 		assert.NoError(t, err)