[Add] BybitGateway

requirements.txt

@@ -9,7 +9,6 @@ pymysql
 psycopg2
 mongoengine
 numpy
-pandas==0.24
 matplotlib
 seaborn
 futu-api
@@ -19,3 +18,4 @@ ta-lib
 ibapi
 deap
 pyzmq
+sortedcontainers

vnpy/api/rest/rest_client.py

@@ -6,7 +6,8 @@ from datetime import datetime
 from enum import Enum
 from multiprocessing.dummy import Pool
 from threading import Lock
-from typing import Any, Callable, List, Optional, Union
+from types import TracebackType
+from typing import Any, Callable, List, Optional, Type, Union
 
 import requests
 
@@ -37,6 +38,7 @@ class Request(object):
         on_failed: Callable = None,
         on_error: Callable = None,
         extra: Any = None,
+        client: "RestClient" = None,
     ):
         """"""
         self.method = method
@@ -50,8 +52,9 @@ class Request(object):
         self.on_error = on_error
         self.extra = extra
 
-        self.response = None
+        self.response: Optional[requests.Response] = None
         self.status = RequestStatus.ready
+        self.client: "RestClient" = client
 
     def __str__(self):
         if self.response is None:
@@ -60,20 +63,22 @@ class Request(object):
             status_code = self.response.status_code
 
         return (
-            "request : {} {} {} because {}: \n"
+            "request: {method} {path} {http_code}: \n"
-            "headers: {}\n"
+            "full_url: {full_url}\n"
-            "params: {}\n"
+            "status: {status}\n"
-            "data: {}\n"
+            "headers: {headers}\n"
-            "response:"
+            "params: {params}\n"
-            "{}\n".format(
+            "data: {data}\n"
-                self.method,
+            "response: {response}\n".format(
-                self.path,
+                full_url=self.client.make_full_url(self.path),
-                self.status.name,
+                status=self.status.name,
-                status_code,
+                method=self.method,
-                self.headers,
+                path=self.path,
-                self.params,
+                http_code=status_code,
-                self.data,
+                headers=self.headers,
-                "" if self.response is None else self.response.text,
+                params=self.params,
+                data=self.data,
+                response="" if self.response is None else self.response.text,
             )
         )
 
@@ -114,6 +119,10 @@ class RestClient(object):
         self._sessions_lock = Lock()
         self._sessions: List[requests.Session] = []
 
+    @property
+    def alive(self):
+        return self._active
+
     def init(self, url_base: str, proxy_host: str = "", proxy_port: int = 0):
         """
         Init rest client with url_base which is the API root address.
@@ -154,12 +163,12 @@ class RestClient(object):
         self,
         method: str,
         path: str,
-        callback: Callable,
+        callback: Callable[[dict, "Request"], Any],
         params: dict = None,
         data: Union[dict, str, bytes] = None,
         headers: dict = None,
-        on_failed: Callable = None,
+        on_failed: Callable[[int, "Request"], Any] = None,
-        on_error: Callable = None,
+        on_error: Callable[[Type, Exception, TracebackType, "Request"], Any] = None,
         extra: Any = None,
     ):
         """
@@ -170,7 +179,7 @@ class RestClient(object):
         :param params: dict for query string
         :param data: Http body. If it is a dict, it will be converted to form-data. Otherwise, it will be converted to bytes.
         :param headers: dict for headers
-        :param on_failed: callback function if Non-2xx status, type, type: (code, dict, Request)
+        :param on_failed: callback function if Non-2xx status, type, type: (code, Request)
         :param on_error: callback function when catching Python exception, type: (etype, evalue, tb, Request)
         :param extra: Any extra data which can be used when handling callback
         :return: Request
@@ -185,6 +194,7 @@ class RestClient(object):
             on_failed=on_failed,
             on_error=on_error,
             extra=extra,
+            client=self,
         )
         task = pool.apply_async(
             self._process_request,
@@ -257,6 +267,14 @@ class RestClient(object):
         )
         return text
 
+    def is_request_success(self, data: dict, request: "Request"):
+        """
+        check if a request succeed
+        default behavior is returning True
+        :return True if succeed.
+        """
+        return True
+
     def _process_request(
         self, request: Request
     ):
@@ -279,17 +297,24 @@ class RestClient(object):
                 )
                 request.response = response
                 status_code = response.status_code
+
+                success = False
+                json_body: Optional[dict] = None
+                try:
                     if status_code // 100 == 2:  # 2xx codes are all successful
                         if status_code == 204:
                             json_body = None
                         else:
                             json_body = response.json()
 
-                    request.callback(json_body, request)
+                        if self.is_request_success(json_body, request):
+                            success = True
+                finally:
+                    if success:
                         request.status = RequestStatus.success
+                        request.callback(json_body, request)
                     else:
                         request.status = RequestStatus.failed
-
                         if request.on_failed:
                             request.on_failed(status_code, request)
                         else:
@@ -332,7 +357,8 @@ class RestClient(object):
             path,
             params,
             data,
-            headers
+            headers,
+            client=self,
         )
         request = self.sign(request)
 

vnpy/gateway/bybit/__init__.py

@@ -0,0 +1 @@
+from .bybit_gateway import BybitGateway

vnpy/gateway/bybit/bybit_gateway.py

@@ -0,0 +1,296 @@
+""""""
+from dataclasses import dataclass
+from datetime import datetime
+from typing import Dict, List, Any, Tuple
+
+from vnpy.event import Event
+from vnpy.gateway.bybit.rest_api import BybitRestApi, HistoryDataNextInfo
+from vnpy.gateway.bybit.websocket_api import BybitWebsocketApi
+from vnpy.trader.constant import (Exchange, OrderType, Interval)
+from vnpy.trader.event import EVENT_TIMER
+from vnpy.trader.gateway import BaseGateway
+from vnpy.trader.object import (CancelRequest, HistoryRequest, OrderData, OrderRequest,
+                                PositionData, SubscribeRequest, TickData, BarData)
+from .common import DIRECTION_BYBIT2VT, OPPOSITE_DIRECTION, ORDER_TYPE_BYBIT2VT, \
+    STOP_ORDER_STATUS_BYBIT2VT, parse_datetime, STATUS_BYBIT2VT, INTERVAL_VT2BYBIT, local_tz, \
+    utc_tz, INTERVAL_VT2BYBIT_INT
+
+
+@dataclass()
+class HistoryDataInfo:
+    bars: List[BarData]
+    extra: Any
+
+
+class BybitGateway(BaseGateway):
+    """
+    VN Trader Gateway for BitMEX connection.
+    """
+
+    default_setting = {
+        "APIKey": "",
+        "PrivateKey": "",
+        "会话数": 3,
+        "服务器": ["REAL", "TESTNET"],
+        "代理地址": "",
+        "代理端口": "",
+    }
+    HISTORY_RECORD_PER_REQUEST = 200  # # of records per history request
+
+    exchanges = [Exchange.BYBIT]
+
+    def __init__(self, event_engine):
+        """Constructor"""
+        super(BybitGateway, self).__init__(event_engine, "BYBIT")
+
+        self.rest_api = BybitRestApi(self)
+        self.ws_api = BybitWebsocketApi(self)
+
+        self.ticks: Dict[str, TickData] = {}
+        self.orders: Dict[str, OrderData] = {}
+        self.local2sys_map: Dict[str, str] = {}
+        event_engine.register(EVENT_TIMER, self.process_timer_event)
+
+    def connect(self, setting: dict):
+        """"""
+        key = setting["ID"]
+        secret = setting["Secret"]
+        session_number = setting["会话数"]
+        server = setting["服务器"]
+        proxy_host = setting["代理地址"]
+        proxy_port = setting["代理端口"]
+
+        if proxy_port.isdigit():
+            proxy_port = int(proxy_port)
+        else:
+            proxy_port = 0
+
+        self.rest_api.connect(key, secret, session_number,
+                              server, proxy_host, proxy_port)
+
+        self.ws_api.connect(key, secret, server, proxy_host, proxy_port)
+        self.rest_api.query_orders()
+        self.query_contracts()
+        self.query_account()
+
+    def subscribe(self, req: SubscribeRequest):
+        """"""
+        self.ws_api.subscribe(req)
+
+    def send_order(self, req: OrderRequest):
+        """"""
+        return self.rest_api.send_order(req)
+
+    def cancel_order(self, req: CancelRequest):
+        """"""
+        self.rest_api.cancel_order(req)
+
+    def query_contracts(self):
+        self.rest_api.query_contracts()
+
+    def query_account(self):
+        """"""
+        self.rest_api.query_position()
+
+    def query_position(self):
+        """"""
+        self.rest_api.query_position()
+
+    def query_first_history(self,
+                          symbol: str,
+                          interval: Interval,
+                          start: datetime,
+                          ) -> Tuple[List[BarData], "HistoryDataNextInfo"]:
+
+        # datetime for a bar is close_time
+        # we got open_time from API.
+        adjustment = INTERVAL_VT2BYBIT_INT[interval]
+
+        utc_time = start.replace(tzinfo=local_tz).astimezone(tz=utc_tz)
+        return self.rest_api.query_history(
+            symbol=symbol,
+            interval=interval,
+
+            # todo: vnpy: shall all datetime object use tzinfo?
+            start=int(utc_time.timestamp()) - adjustment,
+        )
+
+    def query_next_history(self,
+                           next_info: Any,
+                           ):
+        data: "HistoryDataNextInfo" = next_info
+        return self.rest_api.query_history(
+            symbol=data.symbol,
+            interval=data.interval,
+            start=data.end,
+        )
+
+    def query_history(self, req: HistoryRequest):
+        """
+        todo: vnpy: download in parallel
+        todo: vnpy: use yield to simplify logic
+        :raises RequestFailedException: if server reply an error.
+                Any Exception might be raised from requests.request: network error.
+        """
+        # todo: this function: test rate limit
+        history = []
+
+        symbol = req.symbol
+        interval = req.interval
+        start = req.start
+
+        bars, next_info = self.query_first_history(
+            symbol=symbol,
+            interval=interval,
+            start=start,
+        )
+        msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{bars[0].datetime} - {bars[-1].datetime}"
+        self.write_log(msg)
+        history.extend(bars)
+        while True:
+            bars, next_info = self.query_next_history(next_info)
+
+            msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{bars[0].datetime} - {bars[-1].datetime}"
+            self.write_log(msg)
+
+            # Break if total data count less than <count> (latest date collected)
+            if len(bars) < self.HISTORY_RECORD_PER_REQUEST:
+                break
+            history.extend(bars)
+        return history
+
+    def close(self):
+        """"""
+        self.rest_api.stop()
+        self.ws_api.stop()
+
+    def process_timer_event(self, event: Event):
+        """"""
+        self.rest_api.increase_rate_limit()
+        if self.rest_api.alive:
+            self.query_account()
+            self.rest_api.query_stop_orders()
+
+    def write_log(self, msg: str):
+        print(msg)
+        return super().write_log(msg)
+
+    def parse_order_data(self, data: dict, time_key: str = 'updated_at'):
+        """
+        Parse order data from json dict.
+        todo: gateway: put this function to another place.
+        :note: this method will not fill 'time' record. Fill it by yourself.
+        """
+        # prefer local_id as order_id
+        order_id = data["order_link_id"]
+        sys_id = data['order_id']
+        if not order_id:
+            order_id = sys_id
+
+        # saving mapping from order_id to sys_id
+        self.local2sys_map[order_id] = sys_id
+
+        order = self.orders.get(order_id, None)
+        time = parse_datetime(data[time_key])
+
+        # filter outdated order
+        if order is not None and time < order.time:  # string cmp is ok here.
+            return None
+
+        # if order not exist(created outside this client)
+        # create it.
+        if order is None:
+            order = OrderData(
+                symbol=data["symbol"],
+                exchange=Exchange.BYBIT,
+                type=ORDER_TYPE_BYBIT2VT[data["order_type"]],
+                orderid=order_id,
+                direction=DIRECTION_BYBIT2VT[data["side"]],
+                price=data["price"],
+                volume=data["qty"],
+                time=time,
+                gateway_name=self.gateway_name,
+            )
+            self.orders[order.orderid] = order
+        order.traded = data.get("cum_exec_qty", order.traded)
+        if 'order_status' in data:
+            order.status = STATUS_BYBIT2VT[data["order_status"]]
+        return order
+
+    def parse_stop_order_data(self, data):
+        """
+        Parse order data from json dict.
+        todo: put this function to another place.
+        :note: this method will not fill 'time' record. Fill it by yourself.
+        """
+        # prefer local_id as order_id
+        order_id = data["order_link_id"]
+        sys_id = data['stop_order_id']
+        if not order_id:
+            order_id = sys_id
+
+        # saving mapping from order_id to sys_id
+        self.local2sys_map[order_id] = sys_id
+
+        order = self.orders.get(order_id, None)
+
+        # if order not exist(created outside this client)
+        # create it.
+        if not order:
+            order = OrderData(
+                symbol=data["symbol"],
+                exchange=Exchange.BYBIT,
+                type=OrderType.STOP,
+                orderid=order_id,
+                direction=DIRECTION_BYBIT2VT[data["side"]],
+                price=data["price"],
+                volume=data["qty"],
+                time=parse_datetime(data['updated_at']),  # this should be filled manually
+                gateway_name=self.gateway_name,
+            )
+            self.orders[order.orderid] = order
+            if 'stop_order_status' in data:
+                # status = STATUS_BYBIT2VT.get(data["order_status"], None)
+                # if status is None:
+                #     status = STOP_ORDER_STATUS_BYBIT2VT[data["order_status"]]
+                # order.status = status
+                order.status = STOP_ORDER_STATUS_BYBIT2VT[data["stop_order_status"]]
+        return order
+
+    def orderid2sys(self, order_id: str):
+        """
+        Convert order_id to sys_id
+        """
+        return self.local2sys_map[order_id]
+
+    def parse_position_data(self, data):
+        position = PositionData(
+            gateway_name=self.gateway_name,
+            symbol=data["symbol"],
+            exchange=Exchange.BYBIT,
+            direction=DIRECTION_BYBIT2VT[data['side']],
+            volume=data['size'],
+            price=data['entry_price']
+        )
+
+        # clear opposite direction if necessary
+        if position.volume:
+            pos2 = PositionData(
+                gateway_name=position.gateway_name,
+                symbol=position.symbol,
+                exchange=Exchange.BYBIT,
+                direction=OPPOSITE_DIRECTION[position.direction],
+                volume=0,
+                price=0,
+            )
+            return position, pos2
+        return position, None
+
+    def on_order(self, order: OrderData):
+        """
+        Since WebSocket and RestClient will push the same orders asynchronously and separately
+        outdated orders should be filtered.
+        Outdated orders is filtered by parse_xxx_order_data(), returning None.
+        """
+        if order is not None:
+            super().on_order(order)

vnpy/gateway/bybit/common.py

@@ -0,0 +1,82 @@
+import hashlib
+import hmac
+import time
+from datetime import datetime, timedelta, timezone
+
+from vnpy.trader.constant import Direction, Interval, OrderType, Status
+
+STATUS_BYBIT2VT = {
+    "Created": Status.NOTTRADED,
+    "New": Status.NOTTRADED,
+    "PartiallyFilled": Status.PARTTRADED,
+    "Filled": Status.ALLTRADED,
+    "Cancelled": Status.CANCELLED,
+    "Rejected": Status.REJECTED,
+}
+STOP_ORDER_STATUS_BYBIT2VT = {
+    "Untriggered": Status.NOTTRADED,
+    "Triggered": Status.NOTTRADED,
+    # Active: triggered and placed.
+    # since price is market price, placed == AllTraded?
+    "Active": Status.ALLTRADED,
+    "Cancelled": Status.CANCELLED,
+    "Rejected": Status.REJECTED,
+}
+DIRECTION_VT2BYBIT = {Direction.LONG: "Buy", Direction.SHORT: "Sell"}
+DIRECTION_BYBIT2VT = {v: k for k, v in DIRECTION_VT2BYBIT.items()}
+DIRECTION_BYBIT2VT.update({
+    "None": Direction.LONG
+})
+
+OPPOSITE_DIRECTION = {
+    Direction.LONG: Direction.SHORT,
+    Direction.SHORT: Direction.LONG,
+}
+
+ORDER_TYPE_VT2BYBIT = {
+    OrderType.LIMIT: "Limit",
+    OrderType.MARKET: "Market",
+}
+
+ORDER_TYPE_BYBIT2VT = {v: k for k, v in ORDER_TYPE_VT2BYBIT.items()}
+
+INTERVAL_VT2BYBIT = {
+    Interval.MINUTE: "1",
+    Interval.HOUR: "60",
+    Interval.DAILY: "D",
+    Interval.WEEKLY: "W",
+}
+INTERVAL_VT2BYBIT_INT = {
+    Interval.MINUTE: 1,
+    Interval.HOUR: 60,
+    Interval.DAILY: 60*24,
+    Interval.WEEKLY: 60*24*7,
+}
+TIMEDELTA_MAP = {
+    Interval.MINUTE: timedelta(minutes=1),
+    Interval.HOUR: timedelta(hours=1),
+    Interval.DAILY: timedelta(days=1),
+    Interval.WEEKLY: timedelta(days=7),
+}
+
+utc_tz = timezone.utc
+local_tz = datetime.now(timezone.utc).astimezone().tzinfo
+
+
+def generate_timestamp(expire_after: float = 30) -> int:
+    """
+    :param expire_after: expires in seconds.
+    :return: timestamp in milliseconds
+    """
+    return int(time.time() * 1000 + expire_after * 1000)
+
+
+def sign(secret: bytes, data: bytes) -> str:
+    """"""
+    return hmac.new(
+        secret, data, digestmod=hashlib.sha256
+    ).hexdigest()
+
+
+def parse_datetime(dt: str) -> str:
+    return dt[11:19]

vnpy/gateway/bybit/rest_api.py

@@ -0,0 +1,485 @@
+import sys
+from dataclasses import dataclass
+from datetime import datetime
+from threading import Lock
+from typing import List, TYPE_CHECKING, Tuple
+from urllib.parse import urlencode
+
+from requests import ConnectionError
+
+from vnpy.api.rest import Request, RestClient
+from vnpy.trader.constant import Exchange, Interval, OrderType, Product, Status
+from vnpy.trader.object import AccountData, BarData, CancelRequest, ContractData, OrderRequest
+from .common import (DIRECTION_VT2BYBIT, INTERVAL_VT2BYBIT, ORDER_TYPE_VT2BYBIT, generate_timestamp,
+                     parse_datetime, sign, INTERVAL_VT2BYBIT_INT)
+
+if TYPE_CHECKING:
+    from vnpy.gateway.bybit import BybitGateway
+_ = lambda x: x  # noqa
+
+HOST = "https://api.bybit.com"
+TEST_HOST = "https://api-testnet.bybit.com"
+
+# asked from official developer
+PRICE_TICKS = {
+    "BTCUSD": 0.5,
+    "ETHUSD": 0.05,
+    "EOSUSD": 0.001,
+    "XRPUSD": 0.0001,
+}
+
+
+@dataclass()
+class HistoryDataNextInfo:
+    symbol: str
+    interval: Interval
+    end: int
+
+
+class RequestFailedException(Exception):
+    pass
+
+
+class BybitRestApi(RestClient):
+    """
+    BitMEX REST API
+    """
+
+    def __init__(self, gateway: "BybitGateway"):
+        """"""
+        super(BybitRestApi, self).__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+
+        self.key = ""
+        self.secret = b""
+
+        self.order_count = 1_000_000
+        self.order_count_lock = Lock()
+
+        self.connect_time = 0
+
+        # Use 60 by default, and will update after first request
+        self.rate_limit_limit = 60
+        self.rate_limit_remaining = 60
+        self.rate_limit_sleep = 0
+
+    @property
+    def ticks(self):
+        return self.gateway.ticks
+
+    def sign(self, request):
+        """
+        Generate BitMEX signature.
+        """
+
+        if request.method == "GET":
+            api_params = request.params  # dict 2 sign
+            if api_params is None:
+                api_params = request.params = {}
+        else:  # POST
+            api_params = request.data
+            if api_params is None:
+                api_params = request.data = {}
+
+        expires = generate_timestamp(0)
+
+        api_params['api_key'] = self.key
+        api_params['recv_window'] = 30 * 1000
+        api_params['timestamp'] = expires
+
+        data2sign = urlencode({k: api_params[k] for k in sorted(api_params)})
+        signature = sign(self.secret, data2sign.encode())
+        api_params['sign'] = signature
+
+        return request
+
+    def connect(
+        self,
+        key: str,
+        secret: str,
+        session_number: int,
+        server: str,
+        proxy_host: str,
+        proxy_port: int,
+    ):
+        """
+        Initialize connection to REST server.
+        """
+        self.key = key
+        self.secret = secret.encode()
+
+        self.connect_time = (
+            int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
+        )
+
+        if server == "REAL":
+            self.init(HOST, proxy_host, proxy_port)
+        else:
+            self.init(TEST_HOST, proxy_host, proxy_port)
+
+        self.start(session_number)
+
+        self.gateway.write_log(_("REST API启动成功"))
+
+    def _new_order_id(self):
+        """"""
+        with self.order_count_lock:
+            self.order_count += 1
+            return self.order_count
+
+    def send_order(self, req: OrderRequest):
+        """"""
+        if not self.check_rate_limit():
+            return ""
+
+        order_id = str(self.connect_time + self._new_order_id())
+
+        symbol = req.symbol
+        data = {
+            "symbol": symbol,
+            "side": DIRECTION_VT2BYBIT[req.direction],
+            "qty": int(req.volume),
+            "order_link_id": order_id,
+            "time_in_force": "GoodTillCancel"
+        }
+
+        order = req.create_order_data(order_id, self.gateway_name)
+        order.time = datetime.now().isoformat()[11:19]
+
+        # Only add price for limit order.
+        if req.type != OrderType.STOP:
+            data["order_type"] = ORDER_TYPE_VT2BYBIT[req.type]
+            data["price"] = req.price
+            self.add_request(
+                "POST",
+                "/open-api/order/create",
+                callback=self.on_send_order,
+                data=data,
+                extra=order,
+                on_failed=self.on_send_order_failed,
+                on_error=self.on_send_order_error,
+            )
+        else:
+            assert self.ticks[symbol], _("Subscribe This Symbol before sending StopOrder.")
+            last_price = self.ticks[symbol].last_price
+            data["order_type"] = 'Market'
+            data["stop_px"] = req.price
+            data["base_price"] = last_price
+            self.add_request(
+                "POST",
+                "/open-api/stop-order/create",
+                callback=self.on_send_stop_order,
+                data=data,
+                extra=order,
+                on_failed=self.on_send_order_failed,
+                on_error=self.on_send_order_error,
+            )
+
+        self.gateway.on_order(order)
+        return order.vt_orderid
+
+    def cancel_order(self, req: CancelRequest):
+        """"""
+        if not self.check_rate_limit():
+            return
+        sys_id = self.gateway.orderid2sys(req.orderid)
+        order = self.gateway.orders[req.orderid]
+
+        if order.type != OrderType.STOP:
+            path = "/open-api/order/cancel"
+            key = "order_id"
+            callback = self.on_cancel_order
+        else:
+            path = "/open-api/stop-order/cancel"
+            key = "stop_order_id"
+            callback = self.on_cancel_stop_order
+
+        self.add_request(
+            "POST",
+            path,
+            callback=callback,
+            data={
+                key: sys_id,
+                "symbol": req.symbol,
+            },
+            on_error=self.on_cancel_order_error,
+            extra=order,
+        )
+
+    def query_history(self,
+                      symbol: str,
+                      interval: Interval,
+                      start: int,  # unix timestamp
+                      limit: int = None,
+                      ) -> Tuple[List[BarData], "HistoryDataNextInfo"]:
+        """
+        Get history data synchronously.
+        """
+        if limit is None:
+            limit = self.gateway.HISTORY_RECORD_PER_REQUEST
+
+        bars = []
+
+        # datetime for a bar is close_time
+        # we got open_time from API.
+        adjustment = INTERVAL_VT2BYBIT_INT[interval]
+
+        params = {
+            "interval": INTERVAL_VT2BYBIT[interval],
+            "symbol": symbol,
+            "limit": limit,
+            "from": start,
+        }
+
+        # todo: RestClient: return RestClient.Request object instead of requests.Response.
+        resp = self.request(
+            "GET",
+            "/v2/public/kline/list",
+            params=params
+        )
+
+        # Break if request failed with other status code
+        raw_data = resp.json()
+        if not self.is_request_success(raw_data, None):
+            msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
+            self.gateway.write_log(msg)
+            raise RequestFailedException(msg)
+        result = raw_data['result']
+        for data in result:
+            open_time = int(data["open_time"])
+            close_time = open_time + adjustment
+            close_dt = datetime.fromtimestamp(close_time)
+            bar = BarData(
+                symbol=symbol,
+                exchange=Exchange.BYBIT,
+                datetime=close_dt,
+                interval=interval,
+                volume=data["volume"],
+                open_price=data["open"],
+                high_price=data["high"],
+                low_price=data["low"],
+                close_price=data["close"],
+                gateway_name=self.gateway_name
+            )
+            bars.append(bar)
+
+        end = result[-1]["open_time"]
+        return bars, HistoryDataNextInfo(symbol, interval, end)
+
+    def on_send_order_failed(self, status_code: int, request: Request):
+        """
+        Callback when sending order failed on server.
+        """
+        data = request.response.json()
+        self.update_rate_limit(data)
+
+        order = request.extra
+        order.status = Status.REJECTED
+        self.gateway.on_order(order)
+
+        msg = f"委托失败，错误代码:{data['ret_code']},  错误信息：{data['ret_msg']}"
+
+        self.gateway.write_log(msg)
+
+    def on_send_order_error(
+        self, exception_type: type, exception_value: Exception, tb, request: Request
+    ):
+        """
+        Callback when sending order caused exception.
+        """
+        order = request.extra
+        order.status = Status.REJECTED
+        self.gateway.on_order(order)
+
+        # Record exception if not ConnectionError
+        if not issubclass(exception_type, ConnectionError):
+            self.on_error(exception_type, exception_value, tb, request)
+
+    def on_send_order(self, raw_data: dict, request: Request):
+        """"""
+
+        data = raw_data['result']
+        order = self.gateway.parse_order_data(data)
+        self.gateway.on_order(order)
+
+        self.update_rate_limit(raw_data)
+
+    def on_send_stop_order(self, raw_data: dict, request: Request):
+        """"""
+        data = raw_data['result']
+        order = self.gateway.parse_stop_order_data(data)
+        order.time = parse_datetime(data['updated_at'])
+        self.gateway.on_order(order)
+
+        self.update_rate_limit(raw_data)
+
+    def on_cancel_order_error(
+        self, exception_type: type, exception_value: Exception, tb, request: Request
+    ):
+        """
+        Callback when cancelling order failed on server.
+        """
+        # Record exception if not ConnectionError
+        if not issubclass(exception_type, ConnectionError):
+            self.on_error(exception_type, exception_value, tb, request)
+
+    def on_cancel_order(self, raw_data: dict, request: Request):
+        """"""
+        data: dict = raw_data['result']
+
+        order = self.gateway.parse_order_data(data)
+        self.gateway.on_order(order)
+        self.update_rate_limit(data)
+
+    def on_cancel_stop_order(self, raw_data: dict, request: Request):
+        """"""
+        data: dict = raw_data['result']
+        order = self.gateway.parse_stop_order_data(data)
+        order.time = parse_datetime(data['updated_at'])
+        self.gateway.on_order(order)
+        self.update_rate_limit(data)
+
+    def on_failed(self, status_code: int, request: Request):
+        """
+        Callback to handle request failed.
+        """
+        data = request.response.json()
+        self._handle_error_response(data, request)
+
+    def _handle_error_response(self, data, request, operation_name: str = None):
+        if operation_name is None:
+            operation_name = request.path
+
+        self.update_rate_limit(data)
+        error_msg = data["ret_msg"]
+        error_code = data['ret_code']
+        msg = f"请求{operation_name}失败，状态码：{request.status}，错误代码：{error_code}, 信息：{error_msg}"
+        msg += f'\n{request}'
+        self.gateway.write_log(msg)
+
+    def on_error(
+        self, exception_type: type, exception_value: Exception, tb, request: Request
+    ):
+        """
+        Callback to handler request exception.
+        """
+        msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
+        self.gateway.write_log(msg)
+
+        sys.stderr.write(
+            self.exception_detail(exception_type, exception_value, tb, request)
+        )
+
+    def update_rate_limit(self, data: dict):
+        """
+        Update current request limit remaining status.
+        :param data:
+        """
+        remaining = data.get('rate_limit_status', None)
+        if remaining is not None:
+            self.rate_limit_remaining = remaining
+
+    def increase_rate_limit(self):
+        """
+        Reset request limit remaining every 1 second.
+        """
+        self.rate_limit_remaining += 1
+        self.rate_limit_remaining = min(
+            self.rate_limit_remaining, self.rate_limit_limit)
+
+        # Countdown of retry sleep seconds
+        if self.rate_limit_sleep:
+            self.rate_limit_sleep -= 1
+
+    def check_rate_limit(self):
+        """
+        Check if rate limit is reached before sending out requests.
+        """
+        # Already received 429 from server
+        if self.rate_limit_sleep:
+            msg = f"请求过于频繁，已被Bybit限制，请等待{self.rate_limit_sleep}秒后再试"
+            self.gateway.write_log(msg)
+            return False
+        # Just local request limit is reached
+        elif not self.rate_limit_remaining:
+            msg = "请求频率太高，有触发Bybit流控的风险，请稍候再试"
+            self.gateway.write_log(msg)
+            return False
+        else:
+            self.rate_limit_remaining -= 1
+            return True
+
+    def is_request_success(self, data: dict, request: "Request"):
+        return data['ret_code'] == 0
+
+    def query_contracts(self):
+        self.add_request("GET",
+                         "/v2/public/tickers",
+                         self.on_query_contracts)
+
+    def on_query_contracts(self, data: dict, request: "Request"):
+        for result in data['result']:
+            symbol = result['symbol']
+            contract = ContractData(
+                gateway_name=self.gateway_name,
+                symbol=symbol,
+                exchange=Exchange.BYBIT,
+                name=symbol,
+                product=Product.FUTURES,
+                size=1,
+                # todo: pricetick: Currently(2019-9-2) unable to query.
+                pricetick=PRICE_TICKS.get(symbol, 0.0001),
+            )
+            self.gateway.on_contract(contract)
+
+    def query_position(self):
+        self.add_request("GET",
+                         "/position/list",
+                         self.on_query_position
+                         )
+
+    def on_query_position(self, raw_data: dict, request: "Request"):
+        for data in raw_data['result']:
+            p1, p2 = self.gateway.parse_position_data(data)
+            self.gateway.on_position(p1)
+            if p2:
+                self.gateway.on_position(p2)
+
+            account = AccountData(
+                gateway_name=self.gateway_name,
+                accountid=p1.symbol,
+                balance=data['wallet_balance'],
+                frozen=data['order_margin']
+            )
+            self.gateway.on_account(account)
+
+    def query_orders(self):
+        """
+        query all orders, including stop orders
+        """
+        self.add_request("GET",
+                         "/open-api/order/list",
+                         callback=self.on_query_orders,
+                         )
+        self.query_stop_orders()
+
+    def query_stop_orders(self):
+        self.add_request("GET",
+                         "/open-api/stop-order/list",
+                         callback=self.on_query_stop_orders,
+                         )
+
+    def on_query_orders(self, raw_data: dict, request: "Request"):
+        result = raw_data['result']
+        for data in result['data']:
+            if data['order_status'] != 'NotActive':  # UnTriggered StopOrder
+                order = self.gateway.parse_order_data(data)
+                self.gateway.on_order(order)
+
+    def on_query_stop_orders(self, raw_data: dict, request: "Request"):
+        result = raw_data['result']
+        for data in result['data']:
+            order = self.gateway.parse_stop_order_data(data)
+            self.gateway.on_order(order)

vnpy/gateway/bybit/websocket_api.py

@@ -0,0 +1,346 @@
+import hashlib
+import hmac
+import sys
+import time
+from collections import defaultdict
+from copy import copy
+from datetime import datetime
+from typing import Any, Callable, Dict, TYPE_CHECKING
+
+from sortedcontainers import SortedSet
+
+from vnpy.api.websocket import WebsocketClient
+from vnpy.trader.constant import Direction, Exchange, Product, OrderType
+from vnpy.trader.object import AccountData, ContractData, PositionData, SubscribeRequest, \
+    TickData, TradeData
+from .common import (DIRECTION_BYBIT2VT, generate_timestamp,
+                     sign, local_tz, utc_tz, parse_datetime)
+
+if TYPE_CHECKING:
+    from vnpy.gateway.bybit import BybitGateway
+
+HOST = "wss://stream.bybit.com/realtime"
+TEST_HOST = "wss://stream-testnet.bybit.com/realtime"
+
+
+class RawOrderInfo:
+
+    def __init__(self, raw_data: dict):
+        self.id = raw_data['id']
+        self.price = raw_data['price']
+        self.side = raw_data['side']  # 'Buy', 'Sell'
+        self.size = raw_data.get('size', 0)
+
+    def __lt__(self, rhs: "RawOrderInfo"):
+        return self.price < rhs.price
+
+    def __eq__(self, rhs: "RawOrderInfo"):
+        return self.price == rhs.price
+
+    def __hash__(self):
+        return self.id  # price is a string and we don't known its precision
+
+
+class BybitWebsocketApi(WebsocketClient):
+    """"""
+
+    def __init__(self, gateway: "BybitGateway"):
+        """"""
+        super(BybitWebsocketApi, self).__init__()
+
+        self.server: str = ""  # REAL or TESTNET
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+
+        self.key = ""
+        self.secret = b""
+
+        self._instrument_info_data: Dict[str, dict] = defaultdict(dict)
+        self._orderbook_data: Dict[str, SortedSet[RawOrderInfo]] = defaultdict(SortedSet)
+
+        self.accounts = {}
+
+        self._topic_callbacks = {}
+
+    @property
+    def ticks(self):
+        return self.gateway.ticks
+
+    @property
+    def orders(self):
+        return self.gateway.orders
+
+    def connect(
+        self, key: str, secret: str, server: str, proxy_host: str, proxy_port: int
+    ):
+        """"""
+        self.key = key
+        self.secret = secret.encode()
+        self.proxy_host = proxy_host
+        self.proxy_port = proxy_port
+        self.server = server
+
+        self.reset_authentication()
+        self.start()
+
+    def reset_authentication(self):
+        expires = generate_timestamp(30)
+        d2s = f"GET/realtime{int(expires)}"
+        signature = sign(self.secret, d2s.encode())
+        params = f"api_key={self.key}&expires={expires}&signature={signature}"
+        if self.server == "REAL":
+            host = HOST
+        else:
+            host = TEST_HOST
+        url = f'{host}?{params}'
+        self.init(url, self.proxy_host, self.proxy_port)
+
+    def subscribe(self, req: SubscribeRequest):
+        """
+        Subscribe to tick data upate.
+        """
+        symbol = req.symbol
+        self._subscribe_topic(f"instrument_info.100ms.{symbol}", self.on_tick)
+        self._subscribe_topic(f"orderBookL2_25.{symbol}", self.on_depth)
+
+    def on_connected(self):
+        """"""
+        self.gateway.write_log("Websocket API连接且认证成功")
+        self._subscribe_initialize_topics()
+
+    def on_disconnected(self):
+        """"""
+        self.gateway.write_log("Websocket API连接断开")
+        self.reset_authentication()
+
+    def on_packet(self, packet: dict):
+        """"""
+        processed = False
+        success = packet.get('success', None)
+        topic = packet.get('topic', None)
+        if success is not None:
+            if success is False:
+                self.gateway.write_log("Websocket API报错：%s" % packet["ret_msg"])
+        elif topic is not None:
+            self._topic_callbacks[topic](topic, packet)
+        else:
+            self.gateway.write_log(f"unkonwn packet: {packet}")
+
+    def on_error(self, exception_type: type, exception_value: Exception, tb):
+        """"""
+        msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
+        self.gateway.write_log(msg)
+
+        sys.stderr.write(self.exception_detail(
+            exception_type, exception_value, tb))
+
+    def authenticate(self):
+        """
+        Authenticate websockey connection to subscribe private topic.
+        """
+        expires = int(time.time())
+        method = "GET"
+        path = "/realtime"
+        msg = method + path + str(expires)
+        signature = hmac.new(
+            self.secret, msg.encode(), digestmod=hashlib.sha256
+        ).hexdigest()
+
+        req = {"op": "authKey", "args": [self.key, expires, signature]}
+        self.send_packet(req)
+
+    def _subscribe_topic(self, topic: str, callback: Callable[[str, dict], Any]):
+        """
+        Subscribe to all private topics.
+        """
+        self._topic_callbacks[topic] = callback
+
+        req = {
+            "op": "subscribe",
+            "args": [topic],
+        }
+        self.send_packet(req)
+
+    def _subscribe_initialize_topics(self):
+        """
+        Subscribe to all private topics.
+        """
+        self._subscribe_topic("order", self.on_order)
+        self._subscribe_topic("execution", self.on_trade)
+        self._subscribe_topic("position", self.on_position)
+
+    def _get_last_tick(self, symbol: str):
+        tick = self.ticks.get(symbol, None)
+        if tick is None:
+            # noinspection PyTypeChecker
+            tick = TickData(
+                symbol=symbol,
+                exchange=Exchange.BYBIT,
+                name=symbol,
+                datetime=None,  # this will be filled before this new created tick is consumed.
+                gateway_name=self.gateway_name,
+            )
+            self.ticks[symbol] = tick
+        return tick
+
+    def on_tick(self, topic: str, raw_data: dict):
+        """"""
+        # parse incremental data sent from server
+        symbol = topic[22:]
+        self._update_tick_incremental_data(symbol, raw_data)
+
+        # convert dict into TickData
+        last_data = self._instrument_info_data[symbol]
+        tick = self._get_last_tick(symbol)
+        tick.last_price = last_data["last_price_e4"] / 10000
+        tick.datetime = _parse_timestamp_e6(raw_data['timestamp_e6'])
+        self.gateway.on_tick(copy(tick))
+
+    def _update_tick_incremental_data(self, symbol, raw_data):
+        type_ = raw_data['type']
+        data = raw_data['data']
+        last_data = self._instrument_info_data[symbol]
+        if type_ == 'snapshot':
+            last_data.clear()
+            last_data.update(data)
+        elif type_ == 'delta':
+            updates = data['update']
+            for update in updates:
+                assert update['symbol'] == symbol
+                last_data.update(update)
+        else:
+            self.gateway.write_log(f"Unknown type {type_} in websocket_api.on_tick()")
+
+    def on_depth(self, topic: str, raw_data: dict):
+        """"""
+        symbol = topic[15:]
+        self._update_depth_incremental_data(symbol, raw_data)
+
+        last_data = self._orderbook_data[symbol]
+
+        tick = self._get_last_tick(symbol)
+        for n, parsed in enumerate(last_data.islice(20, 25)):
+            tick.__setattr__(f"bid_price_{5 - n}", parsed.price)
+            tick.__setattr__(f"bid_volume_{5 - n}", parsed.size)
+
+        for n, parsed in enumerate(last_data.islice(25, 30)):
+            tick.__setattr__(f"ask_price_{n + 1}", parsed.price)
+            tick.__setattr__(f"ask_volume_{n + 1}", parsed.size)
+
+        tick.datetime = _parse_timestamp_e6(raw_data['timestamp_e6'])
+        self.gateway.on_tick(copy(tick))
+
+    def _update_depth_incremental_data(self, symbol, raw_data):
+        type_ = raw_data['type']
+        data = raw_data['data']
+        last_data = self._orderbook_data[symbol]
+        if type_ == 'snapshot':
+            last_data.clear()
+            for item in data:
+                assert item['symbol'] == symbol
+                parsed = RawOrderInfo(item)
+                last_data.add(parsed)
+        elif type_ == 'delta':
+            deletes = data['delete']
+            for delete in deletes:
+                assert delete['symbol'] == symbol
+                parsed = RawOrderInfo(delete)
+                last_data.remove(parsed)
+
+            updates = data['update']
+            for update in updates:
+                assert update['symbol'] == symbol
+                parsed = RawOrderInfo(update)
+                last_data.remove(parsed)
+                last_data.add(parsed)
+
+            inserts = data['insert']
+            for insert in inserts:
+                assert insert['symbol'] == symbol
+                parsed = RawOrderInfo(insert)
+                last_data.add(parsed)
+        else:
+            self.gateway.write_log(f"Unknown type {type_} in websocket_api.on_tick()")
+
+    def on_trade(self, topic: str, raw_data: dict):
+        """"""
+        for data in raw_data['data']:
+            order_id = data['order_link_id']
+            if not order_id:
+                order_id = data['order_id']
+            trade = TradeData(
+                symbol=data["symbol"],
+                exchange=Exchange.BYBIT,
+                orderid=order_id,
+                tradeid=data['exec_id'],
+                direction=DIRECTION_BYBIT2VT[data["side"]],
+                price=data["price"],
+                volume=data["exec_qty"],
+                time=parse_datetime(data["trade_time"]),
+                gateway_name=self.gateway_name,
+            )
+
+            self.gateway.on_trade(trade)
+
+    def on_order(self, topic: str, raw_data: dict):
+        """"""
+        for data in raw_data['data']:
+            print(data)
+            order = self.gateway.parse_order_data(data, 'timestamp')
+
+            self.gateway.on_order(copy(order))
+
+    def on_position(self, topic: str, raw_data: dict):
+        """"""
+        for data in raw_data['data']:
+            p1, p2 = self.gateway.parse_position_data(data)
+            self.gateway.on_position(p1)
+            if p2:
+                self.gateway.on_position(p2)
+
+    def on_account(self, d):
+        """"""
+        accountid = str(d["account"])
+        account = self.accounts.get(accountid, None)
+        if not account:
+            account = AccountData(accountid=accountid,
+                                  gateway_name=self.gateway_name)
+            self.accounts[accountid] = account
+
+        account.balance = d.get("marginBalance", account.balance)
+        account.available = d.get("availableMargin", account.available)
+        account.frozen = account.balance - account.available
+
+        self.gateway.on_account(copy(account))
+
+    def on_contract(self, d):
+        """"""
+        if "tickSize" not in d:
+            return
+
+        if not d["lotSize"]:
+            return
+
+        contract = ContractData(
+            symbol=d["symbol"],
+            exchange=Exchange.BYBIT,
+            name=d["symbol"],
+            product=Product.FUTURES,
+            pricetick=d["tickSize"],
+            size=d["lotSize"],
+            stop_supported=True,
+            net_position=True,
+            history_data=True,
+            gateway_name=self.gateway_name,
+        )
+
+        self.gateway.on_contract(contract)
+
+    def _ping(self):
+        super()._ping()
+        ws = self._ws
+        self.send_packet({'op': 'ping'})
+
+
+def _parse_timestamp_e6(timestamp: int):
+    return datetime.fromtimestamp(timestamp / 1_000_000, utc_tz).astimezone(tz=local_tz)

vnpy/trader/constant.py

@@ -115,6 +115,7 @@ class Exchange(Enum):
     HUOBI = "HUOBI"
     BITFINEX = "BITFINEX"
     BINANCE = "BINANCE"
+    BYBIT = "BYBIT"         # bybit.com
 
 
 class Currency(Enum):