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1000; + + /** + * Sometimes there can be a duplicate of the same candle, + * so common nu,ber of candles can be different for bybit and binances + * example: + * {time: 1707391800000, o: 2421.34, c: 2422.12, h: 2423.54, l: 2416.15, …} + * ---> {time: 1707392700000, o: 2422.12, c: 2425.11, h: 2425.77, l: 2418.8, …} + * ---> {time: 1707392700000, o: 2422.12, c: 2425.11, h: 2425.77, l: 2418.8, …} + * {time: 1707393600000, o: 2425.11, c: 2424.98, h: 2429.5, l: 2424.23, …} + */ + if (!isSameDay) { + to = to - frameMs; + } + + const urlPart1 = `${apiBase}/market/kline?category=spot&symbol=${ticker}&interval=${binanceFrame}&start=${from}&end=${middleDay}&limit=720`; + const urlPart2 = `${apiBase}/market/kline?category=spot&symbol=${ticker}&interval=${binanceFrame}&start=${middleDay}&end=${to}&limit=720`; + + const [req1, req2] = await Promise.all([ + fetch(urlPart1).then((res) => res.json()), + middleDay < to ? fetch(urlPart2).then((res) => res.json()) : Promise.resolve({ result: { list: [] } }), + ]); + + const candles1: OHLCVKlineV5[] = req1?.result?.list?.length + ? req1.result.list.sort((a: OHLCVKlineV5, b: OHLCVKlineV5) => +a[0] - +b[0]) + : []; + const candles2: OHLCVKlineV5[] = req2?.result?.list?.length + ? req2.result.list.sort((a: OHLCVKlineV5, b: OHLCVKlineV5) => +a[0] - +b[0]) + : []; + + return convertBybitTicks([...candles1, ...candles2]); + } else { + const url = `${apiBase}/market/kline?category=spot&symbol=${ticker}&interval=${binanceFrame}&start=${from}&end=${to}`; + const req1: GetKlineResponseType = await fetch(url) + .then((res) => res.json()) + .then((data) => data.result.list.sort((a: OHLCVKlineV5, b: OHLCVKlineV5) => +a[0] - +b[0])); + + let candles1: [] | OHLCVKlineV5[] = []; + + if (req1?.result?.list?.length) { + candles1 = req1.result.list; + } + + return convertBybitTicks(candles1); + } + }; +} + +function convertBybitTicks(data: OHLCVKlineV5[]) { + const ticks: Candle[] = []; + data.forEach((item) => { + const tick: Candle = { + time: +item[0], + o: parseFloat(item[1]), + c: parseFloat(item[4]), + h: parseFloat(item[2]), + l: parseFloat(item[3]), + v: parseFloat(item[5]), + }; + + if (tick.c) { + ticks.push(tick); + } + }); + + return ticks; +} diff --git a/src/cli/tester/history.ts b/src/cli/tester/history.ts index 942b4c8..1ef90ba 100644 --- a/src/cli/tester/history.ts +++ b/src/cli/tester/history.ts @@ -4,12 +4,13 @@ import { SingleBar, Presets } from 'cli-progress'; import { DebutError, ErrorEnvironment } from '../../modules/error'; import { requestAlpaca } from './history-providers/alpaca'; import { createRequestBinance } from './history-providers/binance'; +import { createRequestBybit } from './history-providers/bybit'; import { requestTinkoff } from './history-providers/tinkoff'; const DAY = 86400000; export type RequestFn = (from: number, to: number, ticker: string, interval: TimeFrame) => Promise; export interface HistoryOptions { - broker: 'tinkoff' | 'binance' | 'alpaca'; + broker: 'tinkoff' | 'binance' | 'alpaca' | 'bybit'; ticker: string; instrumentType: InstrumentType; days: number; @@ -31,6 +32,9 @@ export async function getHistory(options: HistoryOptions): Promise { case 'binance': requestFn = createRequestBinance(options.instrumentType); break; + case 'bybit': + requestFn = createRequestBybit(options.instrumentType); + break; case 'alpaca': requestFn = requestAlpaca; break; diff --git a/src/cli/tester/tester-transport.ts b/src/cli/tester/tester-transport.ts index 68751fb..44d57ec 100644 --- a/src/cli/tester/tester-transport.ts +++ b/src/cli/tester/tester-transport.ts @@ -92,6 +92,8 @@ export class TesterTransport implements BaseTransport { switch (this.opts.broker) { case 'binance': return math.toFixed(lots, 4); + case 'bybit': + return math.toFixed(lots, 4); case 'tinkoff': default: return Math.round(lots) || 1; diff --git a/src/index.ts b/src/index.ts index d1fcb5d..7018a87 100644 --- a/src/index.ts +++ b/src/index.ts @@ -1,5 +1,6 @@ export { TinkoffTransport } from './transports/tinkoff'; export { BinanceTransport } from './transports/binance'; export { AlpacaTransport } from './transports/alpaca'; +export { BybitTransport } from './transports/bybit'; export * from './cli/tester/history'; export { Debut } from './modules/debut'; diff --git a/src/transports/bybit.ts b/src/transports/bybit.ts new file mode 100644 index 0000000..a3c6f61 --- /dev/null +++ b/src/transports/bybit.ts @@ -0,0 +1,360 @@ +import { + RestClientV5, + CategoryV5, + InstrumentInfoResponseV5, + APIResponseV3WithTime, + OrderParamsV5, + OrderResultV5, + APIResponseV3, + GetAccountHistoricOrdersParamsV5, + WebsocketClient, + DefaultLogger, + WsTopic, + CategoryCursorListV5, + AccountOrderV5, +} from 'bybit-api'; +import { debug, math, orders, promise } from '@debut/plugin-utils'; +import { DebutError, ErrorEnvironment } from '../modules/error'; + +import { + BaseTransport, + DebutOptions, + DepthHandler, + ExecutedOrder, + Instrument, + OrderType, + PendingOrder, + TickHandler, + TimeFrame, +} from '@debut/types'; +import { placeSandboxOrder } from './utils/utils'; + +export function convertTimeFrame(interval: TimeFrame) { + switch (interval) { + case '1min': + return '1'; + case '5min': + return '5'; + case '15min': + return '15'; + case '30min': + return '30'; + case '1h': + return '60'; + case '4h': + return '240'; + } + throw new DebutError(ErrorEnvironment.Transport, 'Bybit Unsupported interval'); +} + +const logger = { + ...DefaultLogger, + silly: () => {}, +}; + +export type TickData = { + type: string; + topic: string; + data: [ + { + start: number; + end: number; + interval: string; + open: string; + close: string; + high: string; + low: string; + volume: string; + turnover: string; + confirm: boolean; + timestamp: number; + }, + ]; + ts: number; + wsKey: string; +}; + +const ORDER_CATEGORY_SPOT = 'spot'; +const ORDER_TYPE_MARKET = 'Market'; +const ORDER_SIDE_BUY = 'Buy'; +const ORDER_SIDE_SELL = 'Sell'; + +// Rewrite as code. +// https://bybit-exchange.github.io/docs/v5/error +const ignoredErrorsList = [ + 'Order quantity exceeded lower limit', + 'You are not authorized to execute this request', + 'Invalid API-key, IP, or permissions for action', + 'Compliance rules triggered', +]; + +export class BybitTransport implements BaseTransport { + public api: RestClientV5; + public ws: WebsocketClient; + protected info: APIResponseV3WithTime> | undefined; + protected instruments: Map = new Map(); + + constructor(apiKey: string, apiSecret: string, testnet: number | string = 0) { + if (!apiKey || !apiSecret) { + throw new DebutError(ErrorEnvironment.Transport, 'apiKey or apiSecret are incorrect'); + } + + // Authenticated client, can make signed calls + this.api = new RestClientV5({ + key: apiKey, + secret: apiSecret, + testnet: !!Number(testnet), + }); + + this.ws = new WebsocketClient( + { + key: apiKey, + secret: apiSecret, + market: 'v5', + testnet: !!Number(testnet), + }, + logger, + ); + + this.ws.on('open', (data) => { + console.log('connection opened open:', data.wsKey); + }); + this.ws.on('response', (data) => { + console.log('log response: ', JSON.stringify(data, null, 2)); + }); + this.ws.on('reconnect', ({ wsKey }) => { + console.log('ws automatically reconnecting.... ', wsKey); + }); + this.ws.on('reconnected', (data) => { + console.log('ws has reconnected ', data?.wsKey); + }); + this.ws.on('error', (data) => { + console.error('ws exception: ', data); + }); + } + + public async subscribeToTick(opts: DebutOptions, handler: TickHandler) { + const wsTopic: WsTopic = `kline.${convertTimeFrame(opts.interval)}.${opts.ticker}`; + this.ws.subscribeV5(wsTopic, ORDER_CATEGORY_SPOT); + this.ws.on('update', this.handlerAdapter(handler)); + + return () => { + this.instruments.delete(this.getInstrumentId(opts)); + this.ws.unsubscribeV5(wsTopic, ORDER_CATEGORY_SPOT); + }; + } + + private handlerAdapter(handler: TickHandler) { + return (tick: TickData) => { + if (tick?.data?.length) { + const candle = tick.data[0]; + handler({ + o: parseFloat(candle.open), + h: parseFloat(candle.high), + l: parseFloat(candle.low), + c: parseFloat(candle.close), + v: parseFloat(candle.volume), + time: candle.start, + }); + } + }; + } + + private getInstrumentId(opts: DebutOptions) { + return `${opts.ticker}:${opts.instrumentType}`; + } + + private canRetry(e: Error) { + for (const ignoreText of ignoredErrorsList) { + if (e.message.includes(ignoreText)) { + return false; + } + } + + return true; + } + + public async getInstrument(opts: DebutOptions) { + const { instrumentType, ticker } = opts; + // Allow trade futures and non futures contracrs at same time + const instrumentId = this.getInstrumentId(opts); + // Getting from cache if exists + if (this.instruments.has(instrumentId)) { + return this.instruments.get(instrumentId); + } + + let info: APIResponseV3WithTime> | undefined; + + info = this.info = this.info || (await this.api.getInstrumentsInfo({ category: ORDER_CATEGORY_SPOT })); + + const instrument = info?.result?.list.find((item) => item.symbol === ticker); + + if (!instrument) { + throw new DebutError(ErrorEnvironment.Transport, 'Unknown instrument'); + } + + let minQuantity = 0; + let minNotional = 0; + + if (instrument.status === 'Trading') { + minQuantity = +instrument.lotSizeFilter.minOrderQty; + } + + const lotPrecision = minQuantity === 1 ? 0 : math.getPrecision(minQuantity); + + const data: Instrument = { + figi: ticker, + ticker: ticker, + minNotional, + minQuantity, + lot: 1, + lotPrecision, + type: instrumentType, + id: instrumentId, + }; + + this.instruments.set(instrumentId, data); + + return data; + } + + public prepareLots(lots: number, instrumentId: string) { + const instrument = this.instruments.get(instrumentId); + + if (!instrument) { + throw new DebutError(ErrorEnvironment.Transport, `Unknown instument id ${instrumentId}`); + } + + const isInteger = instrument.lotPrecision === 0; + let resultLots = isInteger ? Math.round(lots) : math.toFixed(lots, instrument.lotPrecision); + const lotsRedunantValue = isInteger ? 1 : orders.getMinIncrementValue(instrument.minQuantity); + + if (Math.abs(resultLots - lots) > lotsRedunantValue) { + const rev = resultLots < lots ? 1 : -1; + + // Issue with rounding + // Reduce lots when rounding is more than source amount and incrase when it less than non rounded lots + while (Math.abs(resultLots - lots) >= lotsRedunantValue) { + resultLots = math.toFixed(resultLots + lotsRedunantValue * rev, instrument.lotPrecision); + } + } + + if (resultLots === 0) { + resultLots = lotsRedunantValue; + } + + return resultLots; + } + + public async subscribeOrderBook(opts: DebutOptions, handler: DepthHandler) { + // const method = opts.instrumentType === 'FUTURES' ? 'futuresDepth' : 'depth'; + // const unsubscribe = this.api.ws[method](opts.ticker, this.depthAdapter(handler)); + + return () => { + // unsubscribe({ + // delay: 0, + // fastClose: true, + // keepClosed: true, + // }); + }; + } + + public async placeOrder(order: PendingOrder, opts: DebutOptions): Promise { + const { type, lots, sandbox, learning } = order; + const instrument: Instrument = await this.getInstrument(opts); + const { instrumentType, currency } = opts; + const { id, ticker } = instrument; + order.retries = order.retries || 0; + + if (sandbox || learning) { + return placeSandboxOrder(order, opts); + } + const feeRate = await this.api.getFeeRate({ category: ORDER_CATEGORY_SPOT, symbol: ticker }); + let takerFee = 0; + if (feeRate?.result?.list?.length) { + takerFee = +feeRate.result.list[0].takerFeeRate; + } + + const base: OrderParamsV5 = { + category: ORDER_CATEGORY_SPOT, + orderType: ORDER_TYPE_MARKET, + /* + The currency for buying and selling is different. For more details, please refer to this + https://bybit-exchange.github.io/docs/v5/order/create-order#request-parameters + */ + qty: + type === OrderType.BUY + ? String((lots * order.price).toFixed(5)) + : String((lots - lots * takerFee).toFixed(5)), + side: type === OrderType.BUY ? ORDER_SIDE_BUY : ORDER_SIDE_SELL, + symbol: ticker, + }; + + let res: APIResponseV3 & { time: number }; + + try { + res = await this.api.submitOrder(base); + + if (res.retCode !== 0) { + debug.logDebug('error order place', res); + console.error(res); + throw res; + } + } catch (e) { + if (order.retries <= 10 && this.canRetry(e)) { + debug.logDebug('error order place', e); + order.retries++; + // 10 ретраев чтобы точно попасть в период блокировки биржи изза скачков цены на 30 минут + // тк блокировка длится в среднем 30 минут + const timeout = Math.floor( + math.clamp(Math.pow(3 + Math.random(), order.retries) * 1000, 3000, 300000) + 60000 * Math.random(), + ); + await promise.sleep(timeout); + + // Проверяем, что подписка все еще актуальна + if (this.instruments.has(instrument.id)) { + return this.placeOrder(order, opts); + } + } + + debug.logDebug('retry failure with order', order); + + throw new DebutError(ErrorEnvironment.Transport, e.message); + } + + if (order.retries > 0) { + debug.logDebug('retry success'); + } + + // avg trade price + let feeAmount = 0; + let executedLots = 0; + let price = 0; + + const params: GetAccountHistoricOrdersParamsV5 = { + category: ORDER_CATEGORY_SPOT, + orderId: res.result.orderId, + }; + + const historyRes: APIResponseV3WithTime> = + await this.api.getHistoricOrders(params); + if (historyRes?.result?.list?.length) { + const { avgPrice, cumExecFee, cumExecQty } = historyRes.result.list[0]; + price = +avgPrice; + executedLots = +cumExecQty; + feeAmount = +cumExecFee; + } + + const commission = { value: feeAmount, currency }; + const executed: ExecutedOrder = { + ...order, + orderId: `${res?.result.orderId}`, + executedLots: executedLots, + lots: executedLots, + commission, + price, + }; + + return executed; + } +}