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pkg/exchange: get fee rate before connect

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This commit is contained in:
Edwin 2023-08-10 15:11:06 +08:00
parent 509f9ac8ca
commit affff32599
5 changed files with 266 additions and 12 deletions
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4
pkg/exchange/bybit/exchange.go
View File

@ -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)
}

67
pkg/exchange/bybit/mocks/stream.go Normal file
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@ -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)
}

72
pkg/exchange/bybit/stream.go
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@ -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
}

124
pkg/exchange/bybit/stream_test.go
View File

@ -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)
})
}

11
pkg/exchange/bybit/types_test.go
View File

@ -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)