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bybit: Enhance order execution limits (#2069)
* refactor(gateio): enhance order execution limits and currency pair details * Update exchanges/gateio/gateio_wrapper.go Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> * REEEEEHHHHHH * linter: fix * fix GetOpenInterest when a contract is delisted * add handling for delisting end time correctly * Update exchange/order/limits/limits_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchange/order/limits/limits_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/gateio/gateio_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/gateio/gateio_types.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk: nits * gci: fix * linter: fix * gateio: Add launch and update tests (cherry-pick) * bybit: enhance order execution limits (cherry-pick) * relax test to not break all the others and add Delivery field lost in cherry-pick wonderland * boss king nits * Update exchanges/bybit/bybit_wrapper.go Co-authored-by: Scott <gloriousCode@users.noreply.github.com> * glorious: nits * Update exchanges/bybit/bybit_test.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * Update exchanges/bybit/bybit_wrapper.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk:nits * Update exchanges/bybit/bybit_wrapper.go Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> * gk:nits --------- Co-authored-by: Ryan O'Hara-Reid <ryan.oharareid@thrasher.io> Co-authored-by: Copilot <175728472+Copilot@users.noreply.github.com> Co-authored-by: Gareth Kirwan <gbjkirwan@gmail.com> Co-authored-by: Scott <gloriousCode@users.noreply.github.com> Co-authored-by: shazbert <shazbert@DESKTOP-3QKKR6J.localdomain>
This commit is contained in:
Ryan O'Hara-Reid
GitHub
@@ -771,15 +771,42 @@ func TestGetDeliveryPrice(t *testing.T) {
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func TestUpdateOrderExecutionLimits(t *testing.T) {
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t.Parallel()
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testexch.UpdatePairsOnce(t, e)
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for _, a := range e.GetAssetTypes(false) {
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t.Run(a.String(), func(t *testing.T) {
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t.Parallel()
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require.NoError(t, e.UpdateOrderExecutionLimits(t.Context(), a), "UpdateOrderExecutionLimits must not error")
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pairs, err := e.CurrencyPairs.GetPairs(a, true)
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require.NoError(t, err, "GetPairs must not error")
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l, err := e.GetOrderExecutionLimits(a, pairs[0])
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require.NoError(t, err, "GetOrderExecutionLimits must not error")
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assert.Positive(t, l.MinimumBaseAmount, "MinimumBaseAmount should be positive")
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for _, p := range pairs {
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t.Run(p.String(), func(t *testing.T) {
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t.Parallel()
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l, err := e.GetOrderExecutionLimits(a, p)
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require.NoError(t, err, "GetOrderExecutionLimits must not error")
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assert.Positive(t, l.MinimumBaseAmount, "MinimumBaseAmount should be positive")
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if !l.Delisted.IsZero() {
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assert.NotZero(t, l.Delisting, "Delisting should be set for Delisted coins")
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}
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pair := l.Key.Pair()
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require.True(t, pair.Equal(p), "Pair must be equal to input")
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require.Greater(t, len(pair.String()), 3, "pair string length must be > 3 to check for 1xxx rule")
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require.Equal(t, e.Name, l.Key.Exchange, "Exchange must be equal to input")
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require.Equal(t, a, l.Key.Asset, "Asset must be equal to input")
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assert.Positive(t, l.PriceDivisor, "PriceDivisor should be positive")
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if pair.String()[:2] == "10" {
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assert.Greater(t, l.PriceDivisor, 1.0, "PriceDivisor for 1xxx pairs should be > 1.0")
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}
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if a == asset.USDTMarginedFutures && !pair.Quote.Equal(currency.USDT) {
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assert.NotZero(t, l.Expiry, "Expiry should be set for USDT margined non-USDT pairs")
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}
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})
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}
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})
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}
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}
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@@ -55,9 +55,9 @@ type AccountFee struct {
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// InstrumentsInfo represents a category, page indicator, and list of instrument information.
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type InstrumentsInfo struct {
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Category string `json:"category"`
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List []InstrumentInfo `json:"list"`
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NextPageCursor string `json:"nextPageCursor"`
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Category string `json:"category"`
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List []*InstrumentInfo `json:"list"`
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NextPageCursor string `json:"nextPageCursor"`
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}
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// InstrumentInfo holds all instrument info across
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@@ -86,15 +86,16 @@ type InstrumentInfo struct {
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TickSize types.Number `json:"tickSize"`
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} `json:"priceFilter"`
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LotSizeFilter struct {
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MaxOrderQty types.Number `json:"maxOrderQty"`
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MinOrderQty types.Number `json:"minOrderQty"`
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QtyStep types.Number `json:"qtyStep"`
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PostOnlyMaxOrderQty types.Number `json:"postOnlyMaxOrderQty"`
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BasePrecision types.Number `json:"basePrecision"`
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QuotePrecision types.Number `json:"quotePrecision"`
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MinOrderAmt types.Number `json:"minOrderAmt"`
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MaxOrderAmt types.Number `json:"maxOrderAmt"`
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MinNotionalValue types.Number `json:"minNotionalValue"`
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MaxOrderQuantity types.Number `json:"maxOrderQty"`
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MinOrderQuantity types.Number `json:"minOrderQty"`
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QuantityStep types.Number `json:"qtyStep"`
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PostOnlyMaxOrderQuantity types.Number `json:"postOnlyMaxOrderQty"`
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BasePrecision types.Number `json:"basePrecision"`
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QuotePrecision types.Number `json:"quotePrecision"`
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MinOrderAmount types.Number `json:"minOrderAmt"`
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MaxOrderAmount types.Number `json:"maxOrderAmt"`
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MinNotionalValue types.Number `json:"minNotionalValue"`
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MaxMarketOrderQuantity types.Number `json:"maxMktOrderQty"`
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} `json:"lotSizeFilter"`
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UnifiedMarginTrade bool `json:"unifiedMarginTrade"`
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FundingInterval int64 `json:"fundingInterval"`
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@@ -412,7 +412,7 @@ func (e *Exchange) FetchTradablePairs(ctx context.Context, a asset.Item) (curren
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}
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var (
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pairs currency.Pairs
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allPairs []InstrumentInfo
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allPairs []*InstrumentInfo
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response *InstrumentsInfo
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)
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var nextPageCursor string
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@@ -1630,27 +1630,79 @@ func (e *Exchange) UpdateOrderExecutionLimits(ctx context.Context, a asset.Item)
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return fmt.Errorf("%s %w", a, asset.ErrNotSupported)
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}
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l := make([]limits.MinMaxLevel, 0, len(allInstrumentsInfo.List))
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for x := range allInstrumentsInfo.List {
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if allInstrumentsInfo.List[x].Status != "Trading" {
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continue
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}
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symbol := allInstrumentsInfo.List[x].transformSymbol(a)
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for _, inst := range allInstrumentsInfo.List {
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symbol := inst.transformSymbol(a)
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pair, err := e.MatchSymbolWithAvailablePairs(symbol, a, true)
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if err != nil {
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log.Warnf(log.ExchangeSys, "%s unable to load limits for %s %v, pair data missing", e.Name, a, symbol)
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continue
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}
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priceDivisor := 1.0
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if symbol[:2] == "10" { // handle 1000SHIBUSDT, 1000PEPEUSDT etc; screen 1INCHUSDT
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for _, r := range symbol[1:] {
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if r != '0' {
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break
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}
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priceDivisor *= 10
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}
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}
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var delistingAt time.Time
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var delistedAt time.Time
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var delivery time.Time
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if !inst.DeliveryTime.Time().IsZero() {
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switch a {
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case asset.Options:
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delivery = inst.DeliveryTime.Time()
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case asset.USDTMarginedFutures, asset.CoinMarginedFutures, asset.USDCMarginedFutures:
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switch inst.ContractType {
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case "LinearFutures", "InverseFutures":
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delivery = inst.DeliveryTime.Time()
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default:
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delistedAt = inst.DeliveryTime.Time()
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// Not entirely accurate but from docs the system will use the average index price in the last
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// 30 minutes before the delisting time. See: https://www.bybit.com/en/help-center/article/Bybit-Derivatives-Delisting-Mechanism-DDM
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delistingAt = delistedAt.Add(-30 * time.Minute)
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}
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case asset.Spot:
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// asset.Spot does not return a delivery time and there is no API field for delisting time
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log.Warnf(log.ExchangeSys, "%s %s: delivery time returned for spot asset", e.Name, pair)
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}
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}
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baseStepAmount := inst.LotSizeFilter.QuantityStep.Float64()
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if a == asset.Spot {
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baseStepAmount = inst.LotSizeFilter.BasePrecision.Float64()
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}
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maxBaseAmount := inst.LotSizeFilter.MaxOrderQuantity.Float64()
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if a != asset.Spot && a != asset.Options {
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maxBaseAmount = inst.LotSizeFilter.MaxMarketOrderQuantity.Float64()
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}
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minQuoteAmount := inst.LotSizeFilter.MinOrderAmount.Float64()
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if a != asset.Spot {
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minQuoteAmount = inst.LotSizeFilter.MinNotionalValue.Float64()
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}
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l = append(l, limits.MinMaxLevel{
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Key: key.NewExchangeAssetPair(e.Name, a, pair),
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MinimumBaseAmount: allInstrumentsInfo.List[x].LotSizeFilter.MinOrderQty.Float64(),
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MaximumBaseAmount: allInstrumentsInfo.List[x].LotSizeFilter.MaxOrderQty.Float64(),
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MinPrice: allInstrumentsInfo.List[x].PriceFilter.MinPrice.Float64(),
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MaxPrice: allInstrumentsInfo.List[x].PriceFilter.MaxPrice.Float64(),
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PriceStepIncrementSize: allInstrumentsInfo.List[x].PriceFilter.TickSize.Float64(),
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AmountStepIncrementSize: allInstrumentsInfo.List[x].LotSizeFilter.BasePrecision.Float64(),
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QuoteStepIncrementSize: allInstrumentsInfo.List[x].LotSizeFilter.QuotePrecision.Float64(),
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MinimumQuoteAmount: allInstrumentsInfo.List[x].LotSizeFilter.MinOrderQty.Float64() * allInstrumentsInfo.List[x].PriceFilter.MinPrice.Float64(),
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MaximumQuoteAmount: allInstrumentsInfo.List[x].LotSizeFilter.MaxOrderQty.Float64() * allInstrumentsInfo.List[x].PriceFilter.MaxPrice.Float64(),
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MinimumBaseAmount: inst.LotSizeFilter.MinOrderQuantity.Float64(),
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MaximumBaseAmount: maxBaseAmount,
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MinPrice: inst.PriceFilter.MinPrice.Float64(),
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MaxPrice: inst.PriceFilter.MaxPrice.Float64(),
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PriceStepIncrementSize: inst.PriceFilter.TickSize.Float64(),
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AmountStepIncrementSize: baseStepAmount,
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QuoteStepIncrementSize: inst.LotSizeFilter.QuotePrecision.Float64(),
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MinimumQuoteAmount: minQuoteAmount,
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MaximumQuoteAmount: inst.LotSizeFilter.MaxOrderAmount.Float64(),
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Delisting: delistingAt,
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Delisted: delistedAt,
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Expiry: delivery,
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PriceDivisor: priceDivisor,
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Listed: inst.LaunchTime.Time(),
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MultiplierDecimal: 1, // All assets on Bybit are 1x
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})
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}
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return limits.Load(l)
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@@ -1780,7 +1832,7 @@ func (e *Exchange) GetFuturesContractDetails(ctx context.Context, item asset.Ite
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}
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resp := make([]futures.Contract, 0, len(inverseContracts.List)+len(linearContracts.List))
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var instruments []InstrumentInfo
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var instruments []*InstrumentInfo
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for i := range linearContracts.List {
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if linearContracts.List[i].SettleCoin != "USDC" {
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continue
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@@ -1859,7 +1911,7 @@ func (e *Exchange) GetFuturesContractDetails(ctx context.Context, item asset.Ite
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}
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resp := make([]futures.Contract, 0, len(inverseContracts.List)+len(linearContracts.List))
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var instruments []InstrumentInfo
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var instruments []*InstrumentInfo
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for i := range linearContracts.List {
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if linearContracts.List[i].SettleCoin != "USDT" {
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continue
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