From 38af073c2c6c2324677598cf69f786b4413bf38f Mon Sep 17 00:00:00 2001 From: Slvk Date: Fri, 9 Feb 2024 01:13:07 +0500 Subject: [PATCH 1/7] add bybit broker --- package.json | 1 + src/cli/tester/history-providers/bybit.ts | 125 +++++++ src/cli/tester/history.ts | 6 +- src/cli/tester/tester-transport.ts | 2 + src/index.ts | 1 + src/transports/bybit.ts | 434 ++++++++++++++++++++++ 6 files changed, 568 insertions(+), 1 deletion(-) create mode 100644 src/cli/tester/history-providers/bybit.ts create mode 100644 src/transports/bybit.ts diff --git a/package.json b/package.json index 83cc086..d192cb3 100644 --- a/package.json +++ b/package.json @@ -29,6 +29,7 @@ "@types/ws": "^8.5.3", "async-genetic": "^1.6.8", "binance-api-node": "0.11.29", + "bybit-api": "^3.8.2", "cli-progress": "^3.11.2", "nice-grpc": "^2.0.0", "node-fetch": "^3.2.10", diff --git a/src/cli/tester/history-providers/bybit.ts b/src/cli/tester/history-providers/bybit.ts new file mode 100644 index 0000000..1acccb9 --- /dev/null +++ b/src/cli/tester/history-providers/bybit.ts @@ -0,0 +1,125 @@ +import { TimeFrame, Candle, InstrumentType } from '@debut/types'; +import { convertTimeFrame } from '../../../transports/bybit'; +import { DebutError, ErrorEnvironment } from '../../../modules/error'; +import { date } from '@debut/plugin-utils'; + +interface MyResponse { + result: { + list: []; + }; +} + +export function createRequestBybit(instrumentType: InstrumentType) { + let endpoint = 'api.bybit.com'; + let apiName = 'api'; + let apiVersion = 'v5'; + + if (instrumentType === 'FUTURES') { + // endpoint = 'fapi.binance.com'; + // apiName = 'fapi'; + // apiVersion = 'v1'; + } + + const apiBase = `https://${endpoint}/${apiVersion}`; + + return async function requestBybit( + from: number, + to: number, + ticker: string, + interval: TimeFrame, + ): Promise { + const frameMs = date.intervalToMs(interval); + const frameMin = frameMs / 1000 / 60; + const binanceFrame = convertTimeFrame(interval); + const isSameDay = date.isSameDay(new Date(from), new Date()); + + if (frameMin <= 60) { + const middleDay = from + 12 * 60 * 60 * 1000 - 1000; + + /** + * XXX Sometimes history crossing and this triggered validation asserts + * history from should exclude 3:00 first of next day candles, exclude last day (current day) because + * current day still not completed + */ + 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: Promise<[]> = fetch(urlPart1) + .then((res) => res.json()) + .then((data: MyResponse) => data.result.list.sort((a, b) => a[0] - b[0])); + const req2: Promise<[]> = + middleDay < to + ? fetch(urlPart2) + .then((res) => res.json()) + .then((data: MyResponse) => data.result.list.sort((a, b) => a[0] - b[0])) + : Promise.resolve([]); + const candles1 = (await req1) || []; + const candles2 = (await req2) || []; + + if (!Array.isArray(candles2) || !Array.isArray(candles1)) { + throw new DebutError(ErrorEnvironment.History, candles1['msg'] || candles2['msg']); + } + + return convertBybitTicks([...candles1, ...candles2]); + } else { + const url = `${apiBase}/market/kline?category=spot&symbol=${ticker}&interval=${binanceFrame}&start=${from}&end=${to}`; + const req1: Promise<[]> = fetch(url) + .then((res) => res.json()) + .then((data: MyResponse) => data.result.list.sort((a, b) => a[0] - b[0])); + const candles1 = (await req1) || []; + + return convertBybitTicks(candles1); + } + }; +} + +function convertBybitTicks(data: []) { + 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; +} + +// https://bybit-exchange.github.io/docs/v5/market/kline +// > list[0]: startTime string Start time of the candle (ms) +// > list[1]: openPrice string Open price +// > list[2]: highPrice string Highest price +// > list[3]: lowPrice string Lowest price +// > list[4]: closePrice string Close price. Is the last traded price when the candle is not closed +// > list[5]: volume string Trade volume. Unit of contract: pieces of contract. Unit of spot: quantity of coins +// > list[6]: turnover string Turnover. Unit of figure: quantity of quota coin + +// v5 +// "1706128200000", 0 +// "38619.98", o 1 +// "38699.79", h 2 +// "38619.96", l 3 +// "38699.7", c 4 +// "0.176011", v 5 +// "6809.01243343" 6 + +// v3 +// "t":1706128200000, +// "s":"BTCUSDT", +// "sn":"BTCUSDT", +// "c":"38699.78", +// "h":"38699.79", +// "l":"38619.96", +// "o":"38619.98", +// "v":"0.242449" 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..e305ff4 --- /dev/null +++ b/src/transports/bybit.ts @@ -0,0 +1,434 @@ +import { + RestClientV5, + OrderSideV5, + CategoryV5, + InstrumentInfoResponseV5, + APIResponseV3WithTime, + NewSpotOrder, + OrderParamsV5, + OrderResultV5, + APIResponseV3, + GetTransactionLogParamsV5, + GetPublicTradingHistoryParamsV5, + GetAccountHistoricOrdersParamsV5, + WebsocketClient, + DefaultLogger, + WsTopic, + WS_KEY_MAP, + TickerSpotV5, +} 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'; +// import { ExchangeFilter, ExchangeInfoRateLimit } from 'binance-api-node'; + +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; + case 'day': + return 14400; + } + throw new DebutError(ErrorEnvironment.Transport, 'Bybit Unsupported interval'); +} +// 'BaseTransport': subscribeToTick, placeOrder, getInstrument, prepareLots, subscribeOrderBook + +// export interface ExchangeInfoRateLimit { +// rateLimitType: RateLimitType_LT +// interval: RateLimitInterval_LT +// intervalNum: number +// limit: number +// } + +// export interface ExchangeInfo { +// timezone: string +// serverTime: number +// rateLimits: ExchangeInfoRateLimit[] +// exchangeFilters: ExchangeFilter[] +// symbols: Symbol[] +// } +const badStatus = ['CANCELED', 'EXPIRED', 'PENDING_CANCEL', 'REJECTED']; + +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; +}; + +export class BybitTransport implements BaseTransport { + // public api: ReturnType; + public api: RestClientV5; + public ws: WebsocketClient; + protected info: APIResponseV3WithTime> | undefined; + protected instruments: Map = new Map(); + + constructor(apiKey: string, apiSecret: string) { + if (!apiKey || !apiSecret) { + throw new DebutError(ErrorEnvironment.Transport, 'apiKey or apiSecret are incorrect'); + } + console.log('bybit-----------------'); + + // Authenticated client, can make signed calls + this.api = new RestClientV5({ + key: apiKey, + secret: apiSecret, + testnet: true, + }); + + this.ws = new WebsocketClient( + { + key: apiKey, + secret: apiSecret, + market: 'v5', + testnet: true, + }, + logger, + ); + + // this.ws.on('update', (data) => { + + // const tick:TickData = data + // // this.handlerAdapter(tick) + // console.log('Сырые данные получены: ', tick); + // // Проверяем, что данные являются свечами + // // if (data.topic === 'kline') { + // // const candleData = data.data; + // // this.handlerAdapter + // // handleCandleData(candleData); // Вызываем обработчик свечей + // // } + // }); + + 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 wsTopics: WsTopic[] | WsTopic = ['candle']; // Массив или один топик, в данном случае только 'candle' + // const category: CategoryV5 = 'spot'; // Указываем категорию 'spot' + + const wsTopic: WsTopic = `kline.${convertTimeFrame(opts.interval)}.${opts.ticker}`; + // const wsTopic: WsTopic = `ticketInfo` + this.ws.subscribeV5(wsTopic, 'spot'); + this.ws.on('update', this.handlerAdapter(handler)); + + // this.ws.subscribeV5('candle', 'spot'); + + // wsTopics: WsTopic[] | WsTopic, + // category: CategoryV5, + // isPrivateTopic?: boolean, + + return () => { + this.instruments.delete(this.getInstrumentId(opts)); + this.ws.unsubscribeV5(wsTopic, 'spot'); + }; + } + + private handlerAdapter(handler: TickHandler) { + return (tick: TickData) => { + if (tick?.data?.length) { + const candle = tick.data[0]; + handler({ + o: parseFloat(candle.open), + h: parseFloat(candle.high), + l: parseFloat(candle.low), + c: parseFloat(candle.close), + v: parseFloat(candle.volume), + time: candle.start, + }); + } + }; + } + + private getInstrumentId(opts: DebutOptions) { + return `${opts.ticker}:${opts.instrumentType}`; + } + + 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; + + // const category: CategoryV5 = "spot"; + + // const params = { + // category + // }; + + // if (instrumentType === 'FUTURES') { + // info = this.futuresInfo = this.futuresInfo || (await this.api.futuresExchangeInfo()); + // this.hedgeMode = (await this.api.futuresPositionMode()).dualSidePosition; + // } else { + info = this.info = this.info || (await this.api.getInstrumentsInfo({ 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; + } + + // for (const filter of instrument.filters) { + // if (filter.filterType === 'LOT_SIZE') { + // minQuantity = Number(filter.minQty); + // } else if (filter.filterType === 'MIN_NOTIONAL') { + // // @ts-ignore + // minNotional = Number(filter.minNotional) || Number(filter.notional); + // } + + // if (minQuantity && minNotional) { + // break; + // } + // } + + // 0.0000100 -> 0.00001 + 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 = 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: 'spot', symbol: ticker }); + let takerFee = 0; + if (feeRate?.result?.list?.length) { + takerFee = +feeRate.result.list[0].takerFeeRate; + } + + const base: OrderParamsV5 = { + category: 'spot', + orderType: 'Market', + qty: type === 'BUY' ? String((lots * order.price).toFixed(5)) : String((lots - lots * takerFee).toFixed(5)), + side: type === OrderType.BUY ? 'Buy' : 'Sell', + symbol: ticker, + }; + + let res: APIResponseV3 & { time: number }; + // Only network condition should be try catch wrapped and retried, for prevent network retries when error throws from JS error + + try { + // switch (instrumentType) { + // case 'FUTURES': + // let positionSide = PositionSide.BOTH; + + // if (this.hedgeMode) { + // positionSide = type === OrderType.BUY ? PositionSide.LONG : PositionSide.SHORT; + + // if (order.close) { + // positionSide = type === OrderType.BUY ? PositionSide.SHORT : PositionSide.LONG; + // } + // } + + // const futuresPayload: NewFuturesOrder = { + // ...base, + // positionSide, + // newOrderRespType: NewOrderRespType.RESULT, + // }; + + // res = await this.api.futuresOrder(futuresPayload); + // break; + // case 'MARGIN': + // const marginPayload: NewOrderMargin = { + // ...base, + // sideEffectType: order.close ? SideEffectType.AUTO_REPAY : SideEffectType.MARGIN_BUY, + // }; + + // res = await this.api.marginOrder(marginPayload); + // break; + // default: + res = await this.api.submitOrder(base); + // break; + // } + + 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'); + } + + // const precision = math.getPrecision(order.price); + + // const ob = await this.api.getOrderbook({category: 'spot', symbol: ticker, limit:10}); + // console.log(ob) + + // avg trade price + let feeAmount = 0; + let executedLots = 0; + let price = 0; + + const historyRes = await this.api.getHistoricOrders({ category: 'spot', orderId: res.result.orderId }); + 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; + } +} From 334495cd2fd30b8d68f6e5c201635d3d3b5de993 Mon Sep 17 00:00:00 2001 From: Slvk Date: Fri, 9 Feb 2024 16:37:26 +0500 Subject: [PATCH 2/7] fix pachage --- .gitignore | 1 + package-lock.json | 2606 +++++++++++++++++++++++---------------------- 2 files changed, 1355 insertions(+), 1252 deletions(-) diff --git a/.gitignore b/.gitignore index f3c3494..206171c 100644 --- a/.gitignore +++ b/.gitignore @@ -4,3 +4,4 @@ dist .idea /.vscode .tokens.json +out/* diff --git a/package-lock.json b/package-lock.json index a672302..096a3f4 100644 --- a/package-lock.json +++ b/package-lock.json @@ -15,6 +15,7 @@ "@types/ws": "^8.5.3", "async-genetic": "^1.6.8", "binance-api-node": "0.11.29", + "bybit-api": "^3.8.2", "cli-progress": "^3.11.2", "nice-grpc": "^2.0.0", "node-fetch": "^3.2.10", @@ -53,13 +54,22 @@ "ts-error": "^1.0.6" } }, + "node_modules/@aashutoshrathi/word-wrap": { + "version": "1.2.6", + "resolved": "https://registry.npmjs.org/@aashutoshrathi/word-wrap/-/word-wrap-1.2.6.tgz", + "integrity": "sha512-1Yjs2SvM8TflER/OD3cOjhWWOZb58A2t7wpE2S9XfBYTiIl+XFhQG2bjy4Pu1I+EAlCNUzRDYDdFwFYUKvXcIA==", + "dev": true, + "engines": { + "node": ">=0.10.0" + } + }, "node_modules/@ampproject/remapping": { - 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"yargs-parser": "^21.0.0" + "yargs-parser": "^21.1.1" } }, "yargs-parser": { "version": "21.1.1", "resolved": "https://registry.npmjs.org/yargs-parser/-/yargs-parser-21.1.1.tgz", - "integrity": "sha512-tVpsJW7DdjecAiFpbIB1e3qxIQsE6NoPc5/eTdrbbIC4h0LVsWhnoa3g+m2HclBIujHzsxZ4VJVA+GUuc2/LBw==", - "dev": true + "integrity": "sha512-tVpsJW7DdjecAiFpbIB1e3qxIQsE6NoPc5/eTdrbbIC4h0LVsWhnoa3g+m2HclBIujHzsxZ4VJVA+GUuc2/LBw==" }, "yn": { "version": "3.1.1", From 00a6f439ed9a42805ac20d0cd0413559467764f4 Mon Sep 17 00:00:00 2001 From: Slvk Date: Sat, 10 Feb 2024 20:01:26 +0500 Subject: [PATCH 3/7] set types --- src/transports/bybit.ts | 166 +++++++++++----------------------------- 1 file changed, 43 insertions(+), 123 deletions(-) diff --git a/src/transports/bybit.ts b/src/transports/bybit.ts index e305ff4..b76678e 100644 --- a/src/transports/bybit.ts +++ b/src/transports/bybit.ts @@ -1,21 +1,17 @@ import { RestClientV5, - OrderSideV5, CategoryV5, InstrumentInfoResponseV5, APIResponseV3WithTime, - NewSpotOrder, OrderParamsV5, OrderResultV5, APIResponseV3, - GetTransactionLogParamsV5, - GetPublicTradingHistoryParamsV5, GetAccountHistoricOrdersParamsV5, WebsocketClient, DefaultLogger, WsTopic, - WS_KEY_MAP, - TickerSpotV5, + CategoryCursorListV5, + AccountOrderV5, } from 'bybit-api'; import { debug, math, orders, promise } from '@debut/plugin-utils'; import { DebutError, ErrorEnvironment } from '../modules/error'; @@ -32,7 +28,6 @@ import { TimeFrame, } from '@debut/types'; import { placeSandboxOrder } from './utils/utils'; -// import { ExchangeFilter, ExchangeInfoRateLimit } from 'binance-api-node'; export function convertTimeFrame(interval: TimeFrame) { switch (interval) { @@ -53,23 +48,6 @@ export function convertTimeFrame(interval: TimeFrame) { } throw new DebutError(ErrorEnvironment.Transport, 'Bybit Unsupported interval'); } -// 'BaseTransport': subscribeToTick, placeOrder, getInstrument, prepareLots, subscribeOrderBook - -// export interface ExchangeInfoRateLimit { -// rateLimitType: RateLimitType_LT -// interval: RateLimitInterval_LT -// intervalNum: number -// limit: number -// } - -// export interface ExchangeInfo { -// timezone: string -// serverTime: number -// rateLimits: ExchangeInfoRateLimit[] -// exchangeFilters: ExchangeFilter[] -// symbols: Symbol[] -// } -const badStatus = ['CANCELED', 'EXPIRED', 'PENDING_CANCEL', 'REJECTED']; const logger = { ...DefaultLogger, @@ -98,8 +76,13 @@ export type TickData = { wsKey: string; }; +const ORDER_CATEGORY_SPOT = 'spot'; +const ORDER_TYPE_MARKET = 'Market'; +const ORDER_SIDE_BUY = 'Buy'; +const ORDER_SIDE_SELL = 'Sell'; +const ignoredErrorsList = ['Order quantity exceeded lower limit']; + export class BybitTransport implements BaseTransport { - // public api: ReturnType; public api: RestClientV5; public ws: WebsocketClient; protected info: APIResponseV3WithTime> | undefined; @@ -109,7 +92,6 @@ export class BybitTransport implements BaseTransport { if (!apiKey || !apiSecret) { throw new DebutError(ErrorEnvironment.Transport, 'apiKey or apiSecret are incorrect'); } - console.log('bybit-----------------'); // Authenticated client, can make signed calls this.api = new RestClientV5({ @@ -128,19 +110,6 @@ export class BybitTransport implements BaseTransport { logger, ); - // this.ws.on('update', (data) => { - - // const tick:TickData = data - // // this.handlerAdapter(tick) - // console.log('Сырые данные получены: ', tick); - // // Проверяем, что данные являются свечами - // // if (data.topic === 'kline') { - // // const candleData = data.data; - // // this.handlerAdapter - // // handleCandleData(candleData); // Вызываем обработчик свечей - // // } - // }); - this.ws.on('open', (data) => { console.log('connection opened open:', data.wsKey); }); @@ -159,23 +128,13 @@ export class BybitTransport implements BaseTransport { } public async subscribeToTick(opts: DebutOptions, handler: TickHandler) { - // const wsTopics: WsTopic[] | WsTopic = ['candle']; // Массив или один топик, в данном случае только 'candle' - // const category: CategoryV5 = 'spot'; // Указываем категорию 'spot' - const wsTopic: WsTopic = `kline.${convertTimeFrame(opts.interval)}.${opts.ticker}`; - // const wsTopic: WsTopic = `ticketInfo` - this.ws.subscribeV5(wsTopic, 'spot'); + this.ws.subscribeV5(wsTopic, ORDER_CATEGORY_SPOT); this.ws.on('update', this.handlerAdapter(handler)); - // this.ws.subscribeV5('candle', 'spot'); - - // wsTopics: WsTopic[] | WsTopic, - // category: CategoryV5, - // isPrivateTopic?: boolean, - return () => { this.instruments.delete(this.getInstrumentId(opts)); - this.ws.unsubscribeV5(wsTopic, 'spot'); + this.ws.unsubscribeV5(wsTopic, ORDER_CATEGORY_SPOT); }; } @@ -199,6 +158,16 @@ export class BybitTransport implements BaseTransport { 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 @@ -210,20 +179,9 @@ export class BybitTransport implements BaseTransport { let info: APIResponseV3WithTime> | undefined; - // const category: CategoryV5 = "spot"; - - // const params = { - // category - // }; - - // if (instrumentType === 'FUTURES') { - // info = this.futuresInfo = this.futuresInfo || (await this.api.futuresExchangeInfo()); - // this.hedgeMode = (await this.api.futuresPositionMode()).dualSidePosition; - // } else { - info = this.info = this.info || (await this.api.getInstrumentsInfo({ category: 'spot' })); - // } + info = this.info = this.info || (await this.api.getInstrumentsInfo({ category: ORDER_CATEGORY_SPOT })); - const instrument = info.result.list.find((item) => item.symbol === ticker); + const instrument = info?.result?.list.find((item) => item.symbol === ticker); if (!instrument) { throw new DebutError(ErrorEnvironment.Transport, 'Unknown instrument'); @@ -236,20 +194,6 @@ export class BybitTransport implements BaseTransport { minQuantity = +instrument.lotSizeFilter.minOrderQty; } - // for (const filter of instrument.filters) { - // if (filter.filterType === 'LOT_SIZE') { - // minQuantity = Number(filter.minQty); - // } else if (filter.filterType === 'MIN_NOTIONAL') { - // // @ts-ignore - // minNotional = Number(filter.minNotional) || Number(filter.notional); - // } - - // if (minQuantity && minNotional) { - // break; - // } - // } - - // 0.0000100 -> 0.00001 const lotPrecision = minQuantity === 1 ? 0 : math.getPrecision(minQuantity); const data: Instrument = { @@ -311,7 +255,7 @@ export class BybitTransport implements BaseTransport { public async placeOrder(order: PendingOrder, opts: DebutOptions): Promise { const { type, lots, sandbox, learning } = order; - const instrument = await this.getInstrument(opts); + const instrument: Instrument = await this.getInstrument(opts); const { instrumentType, currency } = opts; const { id, ticker } = instrument; order.retries = order.retries || 0; @@ -319,56 +263,31 @@ export class BybitTransport implements BaseTransport { if (sandbox || learning) { return placeSandboxOrder(order, opts); } - const feeRate = await this.api.getFeeRate({ category: 'spot', symbol: ticker }); + 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: 'spot', - orderType: 'Market', - qty: type === 'BUY' ? String((lots * order.price).toFixed(5)) : String((lots - lots * takerFee).toFixed(5)), - side: type === OrderType.BUY ? 'Buy' : 'Sell', + 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 }; - // Only network condition should be try catch wrapped and retried, for prevent network retries when error throws from JS error try { - // switch (instrumentType) { - // case 'FUTURES': - // let positionSide = PositionSide.BOTH; - - // if (this.hedgeMode) { - // positionSide = type === OrderType.BUY ? PositionSide.LONG : PositionSide.SHORT; - - // if (order.close) { - // positionSide = type === OrderType.BUY ? PositionSide.SHORT : PositionSide.LONG; - // } - // } - - // const futuresPayload: NewFuturesOrder = { - // ...base, - // positionSide, - // newOrderRespType: NewOrderRespType.RESULT, - // }; - - // res = await this.api.futuresOrder(futuresPayload); - // break; - // case 'MARGIN': - // const marginPayload: NewOrderMargin = { - // ...base, - // sideEffectType: order.close ? SideEffectType.AUTO_REPAY : SideEffectType.MARGIN_BUY, - // }; - - // res = await this.api.marginOrder(marginPayload); - // break; - // default: res = await this.api.submitOrder(base); - // break; - // } if (res.retCode !== 0) { debug.logDebug('error order place', res); @@ -376,7 +295,7 @@ export class BybitTransport implements BaseTransport { throw res; } } catch (e) { - if (order.retries <= 10 /* && this.canRetry(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 @@ -401,17 +320,18 @@ export class BybitTransport implements BaseTransport { debug.logDebug('retry success'); } - // const precision = math.getPrecision(order.price); - - // const ob = await this.api.getOrderbook({category: 'spot', symbol: ticker, limit:10}); - // console.log(ob) - // avg trade price let feeAmount = 0; let executedLots = 0; let price = 0; - const historyRes = await this.api.getHistoricOrders({ category: 'spot', orderId: res.result.orderId }); + 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; From 5dd91373d7f71bc8d5dc144d80c303dac460e8e5 Mon Sep 17 00:00:00 2001 From: Slvk Date: Sun, 11 Feb 2024 02:20:15 +0500 Subject: [PATCH 4/7] refact --- src/cli/tester/history-providers/bybit.ts | 86 +++++++++-------------- src/transports/bybit.ts | 28 +++++--- 2 files changed, 51 insertions(+), 63 deletions(-) diff --git a/src/cli/tester/history-providers/bybit.ts b/src/cli/tester/history-providers/bybit.ts index 1acccb9..2e9cab7 100644 --- a/src/cli/tester/history-providers/bybit.ts +++ b/src/cli/tester/history-providers/bybit.ts @@ -2,12 +2,9 @@ import { TimeFrame, Candle, InstrumentType } from '@debut/types'; import { convertTimeFrame } from '../../../transports/bybit'; import { DebutError, ErrorEnvironment } from '../../../modules/error'; import { date } from '@debut/plugin-utils'; +import { APIResponseV3WithTime, CategorySymbolListV5, KlineIntervalV3, OHLCVKlineV5 } from 'bybit-api'; -interface MyResponse { - result: { - list: []; - }; -} +type GetKlineResponseType = APIResponseV3WithTime>; export function createRequestBybit(instrumentType: InstrumentType) { let endpoint = 'api.bybit.com'; @@ -30,16 +27,20 @@ export function createRequestBybit(instrumentType: InstrumentType) { ): Promise { const frameMs = date.intervalToMs(interval); const frameMin = frameMs / 1000 / 60; - const binanceFrame = convertTimeFrame(interval); + const binanceFrame: KlineIntervalV3 = convertTimeFrame(interval); const isSameDay = date.isSameDay(new Date(from), new Date()); if (frameMin <= 60) { const middleDay = from + 12 * 60 * 60 * 1000 - 1000; /** - * XXX Sometimes history crossing and this triggered validation asserts - * history from should exclude 3:00 first of next day candles, exclude last day (current day) because - * current day still not completed + * 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; @@ -47,17 +48,21 @@ export function createRequestBybit(instrumentType: InstrumentType) { 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: Promise<[]> = fetch(urlPart1) - .then((res) => res.json()) - .then((data: MyResponse) => data.result.list.sort((a, b) => a[0] - b[0])); - const req2: Promise<[]> = - middleDay < to - ? fetch(urlPart2) - .then((res) => res.json()) - .then((data: MyResponse) => data.result.list.sort((a, b) => a[0] - b[0])) - : Promise.resolve([]); - const candles1 = (await req1) || []; - const candles2 = (await req2) || []; + const req1: GetKlineResponseType = await fetch(urlPart1).then((res) => res.json()); + + const req2: GetKlineResponseType = + middleDay < to ? await fetch(urlPart2).then((res) => res.json()) : Promise.resolve([]); + + let candles1: [] | OHLCVKlineV5[] = []; + let candles2: [] | OHLCVKlineV5[] = []; + + if (req1?.result?.list?.length) { + candles1 = req1.result.list.sort((a: OHLCVKlineV5, b: OHLCVKlineV5) => +a[0] - +b[0]); + } + + if (req2?.result?.list?.length) { + candles2 = req2.result.list.sort((a: OHLCVKlineV5, b: OHLCVKlineV5) => +a[0] - +b[0]); + } if (!Array.isArray(candles2) || !Array.isArray(candles1)) { throw new DebutError(ErrorEnvironment.History, candles1['msg'] || candles2['msg']); @@ -66,17 +71,22 @@ export function createRequestBybit(instrumentType: InstrumentType) { return convertBybitTicks([...candles1, ...candles2]); } else { const url = `${apiBase}/market/kline?category=spot&symbol=${ticker}&interval=${binanceFrame}&start=${from}&end=${to}`; - const req1: Promise<[]> = fetch(url) + const req1: GetKlineResponseType = await fetch(url) .then((res) => res.json()) - .then((data: MyResponse) => data.result.list.sort((a, b) => a[0] - b[0])); - const candles1 = (await req1) || []; + .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: []) { +function convertBybitTicks(data: OHLCVKlineV5[]) { const ticks: Candle[] = []; data.forEach((item) => { const tick: Candle = { @@ -95,31 +105,3 @@ function convertBybitTicks(data: []) { return ticks; } - -// https://bybit-exchange.github.io/docs/v5/market/kline -// > list[0]: startTime string Start time of the candle (ms) -// > list[1]: openPrice string Open price -// > list[2]: highPrice string Highest price -// > list[3]: lowPrice string Lowest price -// > list[4]: closePrice string Close price. Is the last traded price when the candle is not closed -// > list[5]: volume string Trade volume. Unit of contract: pieces of contract. Unit of spot: quantity of coins -// > list[6]: turnover string Turnover. Unit of figure: quantity of quota coin - -// v5 -// "1706128200000", 0 -// "38619.98", o 1 -// "38699.79", h 2 -// "38619.96", l 3 -// "38699.7", c 4 -// "0.176011", v 5 -// "6809.01243343" 6 - -// v3 -// "t":1706128200000, -// "s":"BTCUSDT", -// "sn":"BTCUSDT", -// "c":"38699.78", -// "h":"38699.79", -// "l":"38619.96", -// "o":"38619.98", -// "v":"0.242449" diff --git a/src/transports/bybit.ts b/src/transports/bybit.ts index b76678e..b4c566f 100644 --- a/src/transports/bybit.ts +++ b/src/transports/bybit.ts @@ -32,19 +32,17 @@ import { placeSandboxOrder } from './utils/utils'; export function convertTimeFrame(interval: TimeFrame) { switch (interval) { case '1min': - return 1; + return '1'; case '5min': - return 5; + return '5'; case '15min': - return 15; + return '15'; case '30min': - return 30; + return '30'; case '1h': - return 60; + return '60'; case '4h': - return 240; - case 'day': - return 14400; + return '240'; } throw new DebutError(ErrorEnvironment.Transport, 'Bybit Unsupported interval'); } @@ -80,7 +78,15 @@ const ORDER_CATEGORY_SPOT = 'spot'; const ORDER_TYPE_MARKET = 'Market'; const ORDER_SIDE_BUY = 'Buy'; const ORDER_SIDE_SELL = 'Sell'; -const ignoredErrorsList = ['Order quantity exceeded lower limit']; + +// 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; @@ -88,7 +94,7 @@ export class BybitTransport implements BaseTransport { protected info: APIResponseV3WithTime> | undefined; protected instruments: Map = new Map(); - constructor(apiKey: string, apiSecret: string) { + constructor(apiKey: string, apiSecret: string, testMode: number | string = 0) { if (!apiKey || !apiSecret) { throw new DebutError(ErrorEnvironment.Transport, 'apiKey or apiSecret are incorrect'); } @@ -97,7 +103,7 @@ export class BybitTransport implements BaseTransport { this.api = new RestClientV5({ key: apiKey, secret: apiSecret, - testnet: true, + testnet: !!Number(testMode), }); this.ws = new WebsocketClient( From 3fd23e7a13d256691c654112d267d84f009cd7a3 Mon Sep 17 00:00:00 2001 From: Slvk Date: Sun, 11 Feb 2024 18:15:54 +0500 Subject: [PATCH 5/7] Revised the data import for Bybit and replaced the test mode for the WebSocket --- src/cli/tester/history-providers/bybit.ts | 29 +++++++++-------------- src/transports/bybit.ts | 2 +- 2 files changed, 12 insertions(+), 19 deletions(-) diff --git a/src/cli/tester/history-providers/bybit.ts b/src/cli/tester/history-providers/bybit.ts index 2e9cab7..0dcffec 100644 --- a/src/cli/tester/history-providers/bybit.ts +++ b/src/cli/tester/history-providers/bybit.ts @@ -48,25 +48,18 @@ export function createRequestBybit(instrumentType: InstrumentType) { 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: GetKlineResponseType = await fetch(urlPart1).then((res) => res.json()); - const req2: GetKlineResponseType = - middleDay < to ? await fetch(urlPart2).then((res) => res.json()) : Promise.resolve([]); - - let candles1: [] | OHLCVKlineV5[] = []; - let candles2: [] | OHLCVKlineV5[] = []; - - if (req1?.result?.list?.length) { - candles1 = req1.result.list.sort((a: OHLCVKlineV5, b: OHLCVKlineV5) => +a[0] - +b[0]); - } - - if (req2?.result?.list?.length) { - candles2 = req2.result.list.sort((a: OHLCVKlineV5, b: OHLCVKlineV5) => +a[0] - +b[0]); - } - - if (!Array.isArray(candles2) || !Array.isArray(candles1)) { - throw new DebutError(ErrorEnvironment.History, candles1['msg'] || candles2['msg']); - } + 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 { diff --git a/src/transports/bybit.ts b/src/transports/bybit.ts index b4c566f..c09de3b 100644 --- a/src/transports/bybit.ts +++ b/src/transports/bybit.ts @@ -111,7 +111,7 @@ export class BybitTransport implements BaseTransport { key: apiKey, secret: apiSecret, market: 'v5', - testnet: true, + testnet: !!Number(testMode), }, logger, ); From da224b7a82b2327b62d767eaca05304dce1dab6b Mon Sep 17 00:00:00 2001 From: Slvk Date: Wed, 14 Feb 2024 09:58:54 +0500 Subject: [PATCH 6/7] rename setting for bybit constructor --- src/transports/bybit.ts | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/src/transports/bybit.ts b/src/transports/bybit.ts index c09de3b..a3c6f61 100644 --- a/src/transports/bybit.ts +++ b/src/transports/bybit.ts @@ -94,7 +94,7 @@ export class BybitTransport implements BaseTransport { protected info: APIResponseV3WithTime> | undefined; protected instruments: Map = new Map(); - constructor(apiKey: string, apiSecret: string, testMode: number | string = 0) { + constructor(apiKey: string, apiSecret: string, testnet: number | string = 0) { if (!apiKey || !apiSecret) { throw new DebutError(ErrorEnvironment.Transport, 'apiKey or apiSecret are incorrect'); } @@ -103,7 +103,7 @@ export class BybitTransport implements BaseTransport { this.api = new RestClientV5({ key: apiKey, secret: apiSecret, - testnet: !!Number(testMode), + testnet: !!Number(testnet), }); this.ws = new WebsocketClient( @@ -111,7 +111,7 @@ export class BybitTransport implements BaseTransport { key: apiKey, secret: apiSecret, market: 'v5', - testnet: !!Number(testMode), + testnet: !!Number(testnet), }, logger, ); From c3d2434d48fcf860885d717143c11169b12f539c Mon Sep 17 00:00:00 2001 From: Slvk Date: Wed, 14 Feb 2024 10:08:42 +0500 Subject: [PATCH 7/7] Returned as it was for gitignore --- .gitignore | 1 - 1 file changed, 1 deletion(-) diff --git a/.gitignore b/.gitignore index 206171c..f3c3494 100644 --- a/.gitignore +++ b/.gitignore @@ -4,4 +4,3 @@ dist .idea /.vscode .tokens.json -out/*