package bybit import ( "fmt" "math" "strconv" "time" "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi" "github.com/c9s/bbgo/pkg/exchange/bybit/bybitapi/v3" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) func toGlobalMarket(m bybitapi.Instrument) types.Market { return types.Market{ Symbol: m.Symbol, LocalSymbol: m.Symbol, PricePrecision: int(math.Log10(m.LotSizeFilter.QuotePrecision.Float64())), VolumePrecision: int(math.Log10(m.LotSizeFilter.BasePrecision.Float64())), QuoteCurrency: m.QuoteCoin, BaseCurrency: m.BaseCoin, MinNotional: m.LotSizeFilter.MinOrderAmt, MinAmount: m.LotSizeFilter.MinOrderAmt, // quantity MinQuantity: m.LotSizeFilter.MinOrderQty, MaxQuantity: m.LotSizeFilter.MaxOrderQty, StepSize: m.LotSizeFilter.BasePrecision, // price MinPrice: m.LotSizeFilter.MinOrderAmt, MaxPrice: m.LotSizeFilter.MaxOrderAmt, 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, } } func toGlobalOrder(order bybitapi.Order) (*types.Order, error) { side, err := toGlobalSideType(order.Side) if err != nil { return nil, err } orderType, err := toGlobalOrderType(order.OrderType) if err != nil { return nil, err } timeInForce, err := toGlobalTimeInForce(order.TimeInForce) if err != nil { return nil, err } status, err := toGlobalOrderStatus(order.OrderStatus, order.Side, order.OrderType) if err != nil { return nil, err } // linear and inverse : 42f4f364-82e1-49d3-ad1d-cd8cf9aa308d (UUID format) // spot : 1468264727470772736 (only numbers) // Now we only use spot trading. orderIdNum, err := strconv.ParseUint(order.OrderId, 10, 64) if err != nil { return nil, fmt.Errorf("unexpected order id: %s, err: %w", order.OrderId, err) } qty, err := processMarketBuyQuantity(order) if err != nil { return nil, err } return &types.Order{ SubmitOrder: types.SubmitOrder{ ClientOrderID: order.OrderLinkId, Symbol: order.Symbol, Side: side, Type: orderType, Quantity: qty, Price: order.Price, TimeInForce: timeInForce, }, Exchange: types.ExchangeBybit, OrderID: orderIdNum, UUID: order.OrderId, Status: status, ExecutedQuantity: order.CumExecQty, IsWorking: status == types.OrderStatusNew || status == types.OrderStatusPartiallyFilled, CreationTime: types.Time(order.CreatedTime.Time()), UpdateTime: types.Time(order.UpdatedTime.Time()), }, nil } func toGlobalSideType(side bybitapi.Side) (types.SideType, error) { switch side { case bybitapi.SideBuy: return types.SideTypeBuy, nil case bybitapi.SideSell: return types.SideTypeSell, nil default: return types.SideType(side), fmt.Errorf("unexpected side: %s", side) } } func toGlobalOrderType(s bybitapi.OrderType) (types.OrderType, error) { switch s { case bybitapi.OrderTypeMarket: return types.OrderTypeMarket, nil case bybitapi.OrderTypeLimit: return types.OrderTypeLimit, nil default: return types.OrderType(s), fmt.Errorf("unexpected order type: %s", s) } } func toGlobalTimeInForce(force bybitapi.TimeInForce) (types.TimeInForce, error) { switch force { case bybitapi.TimeInForceGTC: return types.TimeInForceGTC, nil case bybitapi.TimeInForceIOC: return types.TimeInForceIOC, nil case bybitapi.TimeInForceFOK: return types.TimeInForceFOK, nil default: return types.TimeInForce(force), fmt.Errorf("unexpected timeInForce type: %s", force) } } func toGlobalOrderStatus(status bybitapi.OrderStatus, side bybitapi.Side, orderType bybitapi.OrderType) (types.OrderStatus, error) { switch status { case bybitapi.OrderStatusPartiallyFilledCanceled: // market buy order -> PartiallyFilled -> PartiallyFilledCanceled if orderType == bybitapi.OrderTypeMarket && side == bybitapi.SideBuy { return types.OrderStatusFilled, nil } // limit buy/sell order -> PartiallyFilled -> PartiallyFilledCanceled(Canceled) return types.OrderStatusCanceled, nil default: return processOtherOrderStatus(status) } } func processOtherOrderStatus(status bybitapi.OrderStatus) (types.OrderStatus, error) { switch status { case bybitapi.OrderStatusCreated, bybitapi.OrderStatusNew, bybitapi.OrderStatusActive: return types.OrderStatusNew, nil case bybitapi.OrderStatusFilled: return types.OrderStatusFilled, nil case bybitapi.OrderStatusPartiallyFilled: return types.OrderStatusPartiallyFilled, nil case bybitapi.OrderStatusCancelled, bybitapi.OrderStatusDeactivated: return types.OrderStatusCanceled, nil case bybitapi.OrderStatusRejected: return types.OrderStatusRejected, nil default: // following not supported // bybitapi.OrderStatusUntriggered // bybitapi.OrderStatusTriggered return types.OrderStatus(status), fmt.Errorf("unexpected order status: %s", status) } } // processMarketBuyQuantity converts the quantity unit from quote coin to base coin if the order is a **MARKET BUY**. // // If the status is OrderStatusPartiallyFilled, it returns the estimated quantity based on the base coin. // // If the order status is OrderStatusPartiallyFilledCanceled, it indicates that the order is not fully filled, // and the system has automatically canceled it. In this scenario, CumExecQty is considered equal to Qty. func processMarketBuyQuantity(o bybitapi.Order) (fixedpoint.Value, error) { if o.Side != bybitapi.SideBuy || o.OrderType != bybitapi.OrderTypeMarket { return o.Qty, nil } var qty fixedpoint.Value switch o.OrderStatus { case bybitapi.OrderStatusPartiallyFilled: // if CumExecValue is zero, it indicates the caller is from the RESTFUL API. // we can use AvgPrice to estimate quantity. if o.CumExecValue.IsZero() { if o.AvgPrice.IsZero() { return fixedpoint.Zero, fmt.Errorf("AvgPrice shouldn't be zero") } qty = o.Qty.Div(o.AvgPrice) } else { if o.CumExecQty.IsZero() { return fixedpoint.Zero, fmt.Errorf("CumExecQty shouldn't be zero") } // from web socket event qty = o.Qty.Div(o.CumExecValue.Div(o.CumExecQty)) } case bybitapi.OrderStatusPartiallyFilledCanceled, // Considering extreme scenarios, there's a possibility that 'OrderStatusFilled' could occur. bybitapi.OrderStatusFilled: qty = o.CumExecQty case bybitapi.OrderStatusCreated, bybitapi.OrderStatusNew, bybitapi.OrderStatusRejected: qty = fixedpoint.Zero case bybitapi.OrderStatusCancelled: qty = o.Qty default: return fixedpoint.Zero, fmt.Errorf("unexpected order status: %s", o.OrderStatus) } return qty, nil } func toLocalOrderType(orderType types.OrderType) (bybitapi.OrderType, error) { switch orderType { case types.OrderTypeLimit: return bybitapi.OrderTypeLimit, nil case types.OrderTypeMarket: return bybitapi.OrderTypeMarket, nil default: return "", fmt.Errorf("order type %s not supported", orderType) } } func toLocalSide(side types.SideType) (bybitapi.Side, error) { switch side { case types.SideTypeSell: return bybitapi.SideSell, nil case types.SideTypeBuy: return bybitapi.SideBuy, nil default: 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 } func toGlobalBalanceMap(events []bybitapi.WalletBalances) types.BalanceMap { bm := types.BalanceMap{} for _, event := range events { if event.AccountType != bybitapi.AccountTypeSpot { continue } for _, obj := range event.Coins { bm[obj.Coin] = types.Balance{ Currency: obj.Coin, Available: obj.Free, Locked: obj.Locked, } } } return bm } func toLocalInterval(interval types.Interval) (string, error) { if _, found := bybitapi.SupportedIntervals[interval]; !found { return "", fmt.Errorf("interval not supported: %s", interval) } switch interval { case types.Interval1d: return string(bybitapi.IntervalSignDay), nil case types.Interval1w: return string(bybitapi.IntervalSignWeek), nil case types.Interval1mo: return string(bybitapi.IntervalSignMonth), nil default: return fmt.Sprintf("%d", interval.Minutes()), nil } } func toGlobalKLines(symbol string, interval types.Interval, klines []bybitapi.KLine) []types.KLine { gKLines := make([]types.KLine, len(klines)) for i, kline := range klines { endTime := types.Time(kline.StartTime.Time().Add(interval.Duration())) gKLines[i] = types.KLine{ Exchange: types.ExchangeBybit, Symbol: symbol, StartTime: types.Time(kline.StartTime), EndTime: endTime, Interval: interval, Open: kline.Open, Close: kline.Close, High: kline.High, Low: kline.Low, Volume: kline.Volume, QuoteVolume: kline.TurnOver, // Bybit doesn't support close flag in REST API Closed: false, } } return gKLines }