diff --git a/requirements.txt b/requirements.txt index 4f68c40d..26a5e53b 100644 --- a/requirements.txt +++ b/requirements.txt @@ -9,7 +9,6 @@ pymysql psycopg2 mongoengine numpy -pandas==0.24 matplotlib seaborn futu-api @@ -19,4 +18,5 @@ ta-lib ibapi deap pyzmq -wmi \ No newline at end of file +sortedcontainers +wmi diff --git a/vnpy/api/rest/rest_client.py b/vnpy/api/rest/rest_client.py index 0d0260f6..ee8e98ba 100644 --- a/vnpy/api/rest/rest_client.py +++ b/vnpy/api/rest/rest_client.py @@ -8,7 +8,8 @@ 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 @@ -41,6 +42,7 @@ class Request(object): on_failed: Callable = None, on_error: Callable = None, extra: Any = None, + client: "RestClient" = None, ): """""" self.method = method @@ -54,8 +56,9 @@ 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: @@ -64,20 +67,22 @@ class Request(object): status_code = self.response.status_code return ( - "request : {} {} {} because {}: \n" - "headers: {}\n" - "params: {}\n" - "data: {}\n" - "response:" - "{}\n".format( - self.method, - self.path, - self.status.name, - status_code, - self.headers, - self.params, - self.data, - "" if self.response is None else self.response.text, + "request: {method} {path} {http_code}: \n" + "full_url: {full_url}\n" + "status: {status}\n" + "headers: {headers}\n" + "params: {params}\n" + "data: {data}\n" + "response: {response}\n".format( + full_url=self.client.make_full_url(self.path), + status=self.status.name, + method=self.method, + path=self.path, + http_code=status_code, + headers=self.headers, + params=self.params, + data=self.data, + response="" if self.response is None else self.response.text, ) ) @@ -120,6 +125,10 @@ 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 = "", @@ -172,12 +181,12 @@ 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_error: Callable = None, + on_failed: Callable[[int, "Request"], Any] = None, + on_error: Callable[[Type, Exception, TracebackType, "Request"], Any] = None, extra: Any = None, ): """ @@ -188,7 +197,7 @@ 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 @@ -203,6 +212,7 @@ class RestClient(object): on_failed=on_failed, on_error=on_error, extra=extra, + client=self, ) task = pool.apply_async( self._process_request, @@ -275,6 +285,14 @@ 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 _log(self, msg, *args): logger = self.logger if logger: @@ -315,21 +333,28 @@ class RestClient(object): # check result & call corresponding callbacks status_code = response.status_code - 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) - request.status = RequestStatus.success - else: - request.status = RequestStatus.failed + 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() - if request.on_failed: - request.on_failed(status_code, request) + if self.is_request_success(json_body, request): + success = True + finally: + if success: + request.status = RequestStatus.success + request.callback(json_body, request) else: - self.on_failed(status_code, request) + request.status = RequestStatus.failed + if request.on_failed: + request.on_failed(status_code, request) + else: + self.on_failed(status_code, request) except Exception: request.status = RequestStatus.error t, v, tb = sys.exc_info() @@ -368,7 +393,8 @@ class RestClient(object): path, params, data, - headers + headers, + client=self, ) request = self.sign(request) diff --git a/vnpy/gateway/bybit/__init__.py b/vnpy/gateway/bybit/__init__.py new file mode 100644 index 00000000..c51be54f --- /dev/null +++ b/vnpy/gateway/bybit/__init__.py @@ -0,0 +1 @@ +from .bybit_gateway import BybitGateway diff --git a/vnpy/gateway/bybit/bybit_gateway.py b/vnpy/gateway/bybit/bybit_gateway.py new file mode 100644 index 00000000..9b3d980c --- /dev/null +++ b/vnpy/gateway/bybit/bybit_gateway.py @@ -0,0 +1,296 @@ +"""""" +from dataclasses import dataclass +from datetime import datetime +from typing import Any, Dict, List, 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, Interval, OrderType) +from vnpy.trader.event import EVENT_TIMER +from vnpy.trader.gateway import BaseGateway +from vnpy.trader.object import (BarData, CancelRequest, HistoryRequest, OrderData, OrderRequest, + PositionData, SubscribeRequest, TickData) +from .common import (DIRECTION_BYBIT2VT, INTERVAL_VT2BYBIT_INT, OPPOSITE_DIRECTION, + ORDER_TYPE_BYBIT2VT, STATUS_BYBIT2VT, STOP_ORDER_STATUS_BYBIT2VT, local_tz, + parse_datetime, utc_tz) + + +@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 (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) diff --git a/vnpy/gateway/bybit/common.py b/vnpy/gateway/bybit/common.py new file mode 100644 index 00000000..7d9acc17 --- /dev/null +++ b/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] diff --git a/vnpy/gateway/bybit/rest_api.py b/vnpy/gateway/bybit/rest_api.py new file mode 100644 index 00000000..abaa9f82 --- /dev/null +++ b/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) diff --git a/vnpy/gateway/bybit/websocket_api.py b/vnpy/gateway/bybit/websocket_api.py new file mode 100644 index 00000000..c66c7da0 --- /dev/null +++ b/vnpy/gateway/bybit/websocket_api.py @@ -0,0 +1,342 @@ +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 (Exchange, Product) +from vnpy.trader.object import (AccountData, ContractData, SubscribeRequest, TickData, TradeData) +from .common import (DIRECTION_BYBIT2VT, generate_timestamp, local_tz, parse_datetime, sign, utc_tz) + +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): + """""" + 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() + self.send_packet({'op': 'ping'}) + + +def _parse_timestamp_e6(timestamp: int): + return datetime.fromtimestamp(timestamp / 1_000_000, utc_tz).astimezone(tz=local_tz) diff --git a/vnpy/trader/constant.py b/vnpy/trader/constant.py index 8cbfbd21..5ed93469 100644 --- a/vnpy/trader/constant.py +++ b/vnpy/trader/constant.py @@ -117,6 +117,7 @@ class Exchange(Enum): HUOBI = "HUOBI" BITFINEX = "BITFINEX" BINANCE = "BINANCE" + BYBIT = "BYBIT" # bybit.com COINBASE = "COINBASE" # Special Function