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Merge pull request #1244 from bailantaotao/edwin/add-ticker

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FEATURE: support QueryTickers API on bybit
This commit is contained in:
bailantaotao 2023-07-25 20:35:56 +08:00 committed by GitHub
commit ff78637c8f
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GPG Key ID: 4AEE18F83AFDEB23
10 changed files with 424 additions and 30 deletions
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1
pkg/exchange/binance/cancel_replace.go
View File

@ -12,6 +12,7 @@ import (
func (e *Exchange) CancelReplace(ctx context.Context, cancelReplaceMode types.CancelReplaceModeType, o types.Order) (*types.Order, error) {
if err := orderLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("order rate limiter wait error")
return nil, err
}
if e.IsFutures || e.IsMargin {

9
pkg/exchange/binance/exchange.go
View File

@ -764,8 +764,9 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
}
*/
if err := orderLimiter.Wait(ctx); err != nil {
if err = orderLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("order rate limiter wait error")
return nil, err
}
log.Infof("querying closed orders %s from %s <=> %s ...", symbol, since, until)
@ -822,8 +823,9 @@ func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since,
}
func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err error) {
if err := orderLimiter.Wait(ctx); err != nil {
if err = orderLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("order rate limiter wait error")
return err
}
if e.IsFutures {
@ -1086,8 +1088,9 @@ func (e *Exchange) submitSpotOrder(ctx context.Context, order types.SubmitOrder)
}
func (e *Exchange) SubmitOrder(ctx context.Context, order types.SubmitOrder) (createdOrder *types.Order, err error) {
if err := orderLimiter.Wait(ctx); err != nil {
if err = orderLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("order rate limiter wait error")
return nil, err
}
if e.IsMargin {

1
pkg/exchange/bybit/bybitapi/client.go
View File

@ -161,5 +161,6 @@ type APIResponse struct {
RetMsg string `json:"retMsg"`
Result json.RawMessage `json:"result"`
RetExtInfo json.RawMessage `json:"retExtInfo"`
// Time is current timestamp (ms)
Time types.MillisecondTimestamp `json:"time"`
}

12
pkg/exchange/bybit/bybitapi/client_test.go
View File

@ -45,4 +45,16 @@ func TestClient(t *testing.T) {
assert.NoError(t, err)
t.Logf("instrumentsInfo: %+v", instrumentsInfo)
})
t.Run("GetTicker", func(t *testing.T) {
req := client.NewGetTickersRequest()
apiResp, err := req.Symbol("BTCUSDT").Do(ctx)
assert.NoError(t, err)
t.Logf("apiResp: %+v", apiResp)
req = client.NewGetTickersRequest()
tickers, err := req.Symbol("BTCUSDT").DoWithResponseTime(ctx)
assert.NoError(t, err)
t.Logf("tickers: %+v", tickers)
})
}

72
pkg/exchange/bybit/bybitapi/get_tickers_request.go Normal file
View File

@ -0,0 +1,72 @@
package bybitapi
import (
"context"
"encoding/json"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/c9s/requestgen"
)
//go:generate -command GetRequest requestgen -method GET -responseType .APIResponse -responseDataField Result
//go:generate -command PostRequest requestgen -method POST -responseType .APIResponse -responseDataField Result
type Tickers struct {
Category Category `json:"category"`
List []Ticker `json:"list"`
// ClosedTime is current timestamp (ms). This value is obtained from outside APIResponse.
ClosedTime types.MillisecondTimestamp
}
type Ticker struct {
Symbol string `json:"symbol"`
Bid1Price fixedpoint.Value `json:"bid1Price"`
Bid1Size fixedpoint.Value `json:"bid1Size"`
Ask1Price fixedpoint.Value `json:"ask1Price"`
Ask1Size fixedpoint.Value `json:"ask1Size"`
LastPrice fixedpoint.Value `json:"lastPrice"`
PrevPrice24H fixedpoint.Value `json:"prevPrice24h"`
Price24HPcnt fixedpoint.Value `json:"price24hPcnt"`
HighPrice24H fixedpoint.Value `json:"highPrice24h"`
LowPrice24H fixedpoint.Value `json:"lowPrice24h"`
Turnover24H fixedpoint.Value `json:"turnover24h"`
Volume24H fixedpoint.Value `json:"volume24h"`
UsdIndexPrice fixedpoint.Value `json:"usdIndexPrice"`
}
// GetTickersRequest without **-responseDataType .InstrumentsInfo** in generation command, because the caller
// needs the APIResponse.Time. We implemented the DoWithResponseTime to handle this.
//
//go:generate GetRequest -url "/v5/market/tickers" -type GetTickersRequest
type GetTickersRequest struct {
client requestgen.APIClient
category Category `param:"category,query" validValues:"spot"`
symbol *string `param:"symbol,query"`
}
func (c *RestClient) NewGetTickersRequest() *GetTickersRequest {
return &GetTickersRequest{
client: c,
category: CategorySpot,
}
}
func (g *GetTickersRequest) DoWithResponseTime(ctx context.Context) (*Tickers, error) {
resp, err := g.Do(ctx)
if err != nil {
return nil, err
}
var data Tickers
if err := json.Unmarshal(resp.Result, &data); err != nil {
return nil, err
}
// Our types.Ticker requires the closed time, but this API does not provide it. This API returns the Tickers of the
// past 24 hours, so in terms of closed time, it is the current time, so fill it in Tickers.ClosedTime.
data.ClosedTime = resp.Time
return &data, nil
}

172
pkg/exchange/bybit/bybitapi/get_tickers_request_requestgen.go Normal file
View File

@ -0,0 +1,172 @@
// Code generated by "requestgen -method GET -responseType .APIResponse -responseDataField Result -url /v5/market/tickers -type GetTickersRequest"; DO NOT EDIT.
package bybitapi
import (
"context"
"encoding/json"
"fmt"
"net/url"
"reflect"
"regexp"
)
func (g *GetTickersRequest) Category(category Category) *GetTickersRequest {
g.category = category
return g
}
func (g *GetTickersRequest) Symbol(symbol string) *GetTickersRequest {
g.symbol = &symbol
return g
}
// GetQueryParameters builds and checks the query parameters and returns url.Values
func (g *GetTickersRequest) GetQueryParameters() (url.Values, error) {
var params = map[string]interface{}{}
// check category field -> json key category
category := g.category
// TEMPLATE check-valid-values
switch category {
case "spot":
params["category"] = category
default:
return nil, fmt.Errorf("category value %v is invalid", category)
}
// END TEMPLATE check-valid-values
// assign parameter of category
params["category"] = category
// check symbol field -> json key symbol
if g.symbol != nil {
symbol := *g.symbol
// assign parameter of symbol
params["symbol"] = symbol
} 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 *GetTickersRequest) 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 *GetTickersRequest) 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 *GetTickersRequest) 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 *GetTickersRequest) GetSlugParameters() (map[string]interface{}, error) {
var params = map[string]interface{}{}
return params, nil
}
func (g *GetTickersRequest) 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 *GetTickersRequest) 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 *GetTickersRequest) isVarSlice(_v interface{}) bool {
rt := reflect.TypeOf(_v)
switch rt.Kind() {
case reflect.Slice:
return true
}
return false
}
func (g *GetTickersRequest) 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 *GetTickersRequest) Do(ctx context.Context) (*APIResponse, error) {
// no body params
var params interface{}
query, err := g.GetQueryParameters()
if err != nil {
return nil, err
}
apiURL := "/v5/market/tickers"
req, err := g.client.NewRequest(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 APIResponse
if err := response.DecodeJSON(&apiResponse); err != nil {
return nil, err
}
return &apiResponse, nil
}

36
pkg/exchange/bybit/convert.go
View File

@ -2,34 +2,13 @@ package bybit
import (
"math"
"time"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
"github.com/c9s/bbgo/pkg/types"
)
func toGlobalMarket(m bybitapi.Instrument) types.Market {
// sample:
//Symbol: BTCUSDT
//BaseCoin: BTC
//QuoteCoin: USDT
//Innovation: 0
//Status: Trading
//MarginTrading: both
//
//LotSizeFilter:
//{
// BasePrecision: 0.000001
// QuotePrecision: 0.00000001
// MinOrderQty: 0.000048
// MaxOrderQty: 71.73956243
// MinOrderAmt: 1
// MaxOrderAmt: 2000000
//}
//
//PriceFilter:
//{
// TickSize: 0.01
//}
return types.Market{
Symbol: m.Symbol,
LocalSymbol: m.Symbol,
@ -51,3 +30,16 @@ func toGlobalMarket(m bybitapi.Instrument) types.Market {
TickSize: m.PriceFilter.TickSize,
}
}
func toGlobalTicker(stats bybitapi.Ticker, time time.Time) types.Ticker {
return types.Ticker{
Volume: stats.Volume24H,
Last: stats.LastPrice,
Open: stats.PrevPrice24H, // Market price 24 hours ago
High: stats.HighPrice24H,
Low: stats.LowPrice24H,
Buy: stats.Bid1Price,
Sell: stats.Ask1Price,
Time: time,
}
}

70
pkg/exchange/bybit/convert_test.go
View File

@ -3,6 +3,7 @@ package bybit
import (
"math"
"testing"
"time"
"github.com/stretchr/testify/assert"
@ -12,6 +13,26 @@ import (
)
func TestToGlobalMarket(t *testing.T) {
// sample:
//{
// "Symbol": "BTCUSDT",
// "BaseCoin": "BTC",
// "QuoteCoin": "USDT",
// "Innovation": 0,
// "Status": "Trading",
// "MarginTrading": "both",
// "LotSizeFilter": {
// "BasePrecision": 0.000001,
// "QuotePrecision": 0.00000001,
// "MinOrderQty": 0.000048,
// "MaxOrderQty": 71.73956243,
// "MinOrderAmt": 1,
// "MaxOrderAmt": 2000000
// },
// "PriceFilter": {
// "TickSize": 0.01
// }
//}
inst := bybitapi.Instrument{
Symbol: "BTCUSDT",
BaseCoin: "BTC",
@ -60,3 +81,52 @@ func TestToGlobalMarket(t *testing.T) {
assert.Equal(t, toGlobalMarket(inst), exp)
}
func TestToGlobalTicker(t *testing.T) {
// sample
//{
// "symbol": "BTCUSDT",
// "bid1Price": "28995.98",
// "bid1Size": "4.741552",
// "ask1Price": "28995.99",
// "ask1Size": "0.16075",
// "lastPrice": "28994",
// "prevPrice24h": "29900",
// "price24hPcnt": "-0.0303",
// "highPrice24h": "30344.78",
// "lowPrice24h": "28948.87",
// "turnover24h": "184705500.13172874",
// "volume24h": "6240.807096",
// "usdIndexPrice": "28977.82001643"
//}
ticker := bybitapi.Ticker{
Symbol: "BTCUSDT",
Bid1Price: fixedpoint.NewFromFloat(28995.98),
Bid1Size: fixedpoint.NewFromFloat(4.741552),
Ask1Price: fixedpoint.NewFromFloat(28995.99),
Ask1Size: fixedpoint.NewFromFloat(0.16075),
LastPrice: fixedpoint.NewFromFloat(28994),
PrevPrice24H: fixedpoint.NewFromFloat(29900),
Price24HPcnt: fixedpoint.NewFromFloat(-0.0303),
HighPrice24H: fixedpoint.NewFromFloat(30344.78),
LowPrice24H: fixedpoint.NewFromFloat(28948.87),
Turnover24H: fixedpoint.NewFromFloat(184705500.13172874),
Volume24H: fixedpoint.NewFromFloat(6240.807096),
UsdIndexPrice: fixedpoint.NewFromFloat(28977.82001643),
}
timeNow := time.Now()
exp := types.Ticker{
Time: timeNow,
Volume: ticker.Volume24H,
Last: ticker.LastPrice,
Open: ticker.PrevPrice24H,
High: ticker.HighPrice24H,
Low: ticker.LowPrice24H,
Buy: ticker.Bid1Price,
Sell: ticker.Ask1Price,
}
assert.Equal(t, toGlobalTicker(ticker, timeNow), exp)
}

69
pkg/exchange/bybit/exchange.go
View File

@ -2,13 +2,23 @@ package bybit
import (
"context"
"fmt"
"time"
"github.com/sirupsen/logrus"
"golang.org/x/time/rate"
"github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi"
"github.com/c9s/bbgo/pkg/types"
)
// https://bybit-exchange.github.io/docs/zh-TW/v5/rate-limit
// sharedRateLimiter indicates that the API belongs to the public API.
//
// The default order limiter apply 2 requests per second and a 2 initial bucket
// this includes QueryMarkets, QueryTicker
var sharedRateLimiter = rate.NewLimiter(rate.Every(time.Second/2), 2)
var log = logrus.WithFields(logrus.Fields{
"exchange": "bybit",
})
@ -47,8 +57,14 @@ func (e *Exchange) PlatformFeeCurrency() string {
}
func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
if err := sharedRateLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("markets rate limiter wait error")
return nil, err
}
instruments, err := e.client.NewGetInstrumentsInfoRequest().Do(ctx)
if err != nil {
log.Warnf("failed to query instruments, err: %v", err)
return nil, err
}
@ -59,3 +75,56 @@ func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) {
return marketMap, nil
}
func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) {
if err := sharedRateLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("ticker rate limiter wait error")
return nil, err
}
s, err := e.client.NewGetTickersRequest().Symbol(symbol).DoWithResponseTime(ctx)
if err != nil {
log.Warnf("failed to get tickers, symbol: %s, err: %v", symbol, err)
return nil, err
}
if len(s.List) != 1 {
log.Warnf("unexpected ticker length, exp: 1, got: %d", len(s.List))
return nil, fmt.Errorf("unexpected ticker lenght, exp:1, got:%d", len(s.List))
}
ticker := toGlobalTicker(s.List[0], s.ClosedTime.Time())
return &ticker, nil
}
func (e *Exchange) QueryTickers(ctx context.Context, symbols ...string) (map[string]types.Ticker, error) {
tickers := map[string]types.Ticker{}
if len(symbols) > 0 {
for _, s := range symbols {
t, err := e.QueryTicker(ctx, s)
if err != nil {
return nil, err
}
tickers[s] = *t
}
return tickers, nil
}
if err := sharedRateLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("ticker rate limiter wait error")
return nil, err
}
allTickers, err := e.client.NewGetTickersRequest().DoWithResponseTime(ctx)
if err != nil {
log.Warnf("failed to get tickers, err: %v", err)
return nil, err
}
for _, s := range allTickers.List {
tickers[s.Symbol] = toGlobalTicker(s, allTickers.ClosedTime.Time())
}
return tickers, nil
}

2
pkg/interact/telegram.go
View File

@ -73,6 +73,7 @@ func (r *TelegramReply) Send(message string) {
for _, split := range splits {
if err := sendLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("telegram send limit exceeded")
return
}
checkSendErr(r.bot.Send(r.session.Chat, split))
}
@ -175,6 +176,7 @@ func (tm *Telegram) Start(ctx context.Context) {
for i, split := range splits {
if err := sendLimiter.Wait(ctx); err != nil {
log.WithError(err).Errorf("telegram send limit exceeded")
return
}
if i == len(splits)-1 {
// only set menu on the last message