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bybit.py
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import asyncio
import hashlib
import hmac
import json
from time import time
from urllib.parse import urlencode
import aiohttp
import numpy as np
from dateutil import parser
from pure_funcs import ts_to_date, sort_dict_keys
from passivbot import print_, Bot
from njit_funcs import calc_long_pnl, calc_shrt_pnl
def first_capitalized(s: str):
return s[0].upper() + s[1:].lower()
def format_tick(tick: dict) -> dict:
return {'trade_id': int(tick['id']),
'price': float(tick['price']),
'qty': float(tick['qty']),
'timestamp': date_to_ts(tick['time']),
'is_buyer_maker': tick['side'] == 'Sell'}
def date_to_ts(date: str):
return parser.parse(date).timestamp() * 1000
class Bybit(Bot):
def __init__(self, config: dict):
self.exchange = 'bybit'
self.min_notional = 0.0
super().__init__(config)
self.base_endpoint = 'https://api.bybit.com'
self.endpoints = {}
self.session = aiohttp.ClientSession(headers={'referer': 'passivbotbybit'})
def init_market_type(self):
if self.symbol.endswith('USDT'):
print('linear perpetual')
self.market_type += '_linear_perpetual'
self.inverse = self.config['inverse'] = False
self.endpoints = {'position': '/private/linear/position/list',
'open_orders': '/private/linear/order/search',
'create_order': '/private/linear/order/create',
'cancel_order': '/private/linear/order/cancel',
'ticks': '/public/linear/recent-trading-records',
'fills': '/private/linear/trade/execution/list',
'pnls': '/private/linear/trade/closed-pnl/list',
'ohlcvs': '/public/linear/kline',
'websocket': 'wss://stream.bybit.com/realtime_public',
'created_at_key': 'created_time'}
else:
self.inverse = self.config['inverse'] = True
if self.symbol.endswith('USD'):
print('inverse perpetual')
self.market_type += '_inverse_perpetual'
self.endpoints = {'position': '/v2/private/position/list',
'open_orders': '/v2/private/order',
'create_order': '/v2/private/order/create',
'cancel_order': '/v2/private/order/cancel',
'ticks': '/v2/public/trading-records',
'fills': '/v2/private/execution/list',
'pnls': '/v2/private/trade/closed-pnl/list',
'ohlcvs': '/v2/public/kline/list',
'websocket': 'wss://stream.bybit.com/realtime',
'created_at_key': 'created_at'}
self.hedge_mode = self.config['hedge_mode'] = False
else:
print('inverse futures')
self.market_type += '_inverse_futures'
self.endpoints = {'position': '/futures/private/position/list',
'open_orders': '/futures/private/order',
'create_order': '/futures/private/order/create',
'cancel_order': '/futures/private/order/cancel',
'ticks': '/v2/public/trading-records',
'fills': '/futures/private/execution/list',
'pnls': '/futures/private/trade/closed-pnl/list',
'ohlcvs': '/v2/public/kline/list',
'websocket': 'wss://stream.bybit.com/realtime',
'created_at_key': 'created_at'}
self.endpoints['balance'] = '/v2/private/wallet/balance'
def determine_pos_side(self, o: dict) -> str:
side = o['side'].lower()
if side == 'buy':
if 'entry' in o['order_link_id']:
position_side = 'long'
elif 'close' in o['order_link_id']:
position_side = 'shrt'
else:
position_side = 'both'
else:
if 'entry' in o['order_link_id']:
position_side = 'shrt'
elif 'close' in o['order_link_id']:
position_side = 'long'
else:
position_side = 'both'
return position_side
async def _init(self):
info = await self.public_get('/v2/public/symbols')
for e in info['result']:
if e['name'] == self.symbol:
break
else:
raise Exception(f'symbol missing {self.symbol}')
self.max_leverage = e['leverage_filter']['max_leverage']
self.coin = e['base_currency']
self.quot = e['quote_currency']
self.price_step = self.config['price_step'] = float(e['price_filter']['tick_size'])
self.qty_step = self.config['qty_step'] = float(e['lot_size_filter']['qty_step'])
self.min_qty = self.config['min_qty'] = float(e['lot_size_filter']['min_trading_qty'])
self.min_cost = self.config['min_cost'] = 0.0
self.init_market_type()
self.margin_coin = self.coin if self.inverse else self.quot
await super()._init()
await self.init_order_book()
await self.update_position()
async def init_order_book(self):
ticker = await self.private_get('/v2/public/tickers', {'symbol': self.symbol})
self.ob = [float(ticker['result'][0]['bid_price']), float(ticker['result'][0]['ask_price'])]
self.price = float(ticker['result'][0]['last_price'])
async def fetch_open_orders(self) -> [dict]:
fetched = await self.private_get(self.endpoints['open_orders'], {'symbol': self.symbol})
return [{'order_id': elm['order_id'],
'custom_id': elm['order_link_id'],
'symbol': elm['symbol'],
'price': float(elm['price']),
'qty': float(elm['qty']),
'side': elm['side'].lower(),
'position_side': self.determine_pos_side(elm),
'timestamp': date_to_ts(elm[self.endpoints['created_at_key']])}
for elm in fetched['result']]
async def public_get(self, url: str, params: dict = {}) -> dict:
async with self.session.get(self.base_endpoint + url, params=params) as response:
result = await response.text()
return json.loads(result)
async def private_(self, type_: str, url: str, params: dict = {}) -> dict:
timestamp = int(time() * 1000)
params.update({'api_key': self.key, 'timestamp': timestamp})
for k in params:
if type(params[k]) == bool:
params[k] = 'true' if params[k] else 'false'
elif type(params[k]) == float:
params[k] = str(params[k])
params['sign'] = hmac.new(self.secret.encode('utf-8'),
urlencode(sort_dict_keys(params)).encode('utf-8'),
hashlib.sha256).hexdigest()
async with getattr(self.session, type_)(self.base_endpoint + url, params=params) as response:
result = await response.text()
return json.loads(result)
async def private_get(self, url: str, params: dict = {}) -> dict:
return await self.private_('get', url, params)
async def private_post(self, url: str, params: dict = {}) -> dict:
return await self.private_('post', url, params)
async def fetch_position(self) -> dict:
position = {}
if 'linear_perpetual' in self.market_type:
fetched, bal = await asyncio.gather(
self.private_get(self.endpoints['position'], {'symbol': self.symbol}),
self.private_get(self.endpoints['balance'], {'coin': self.quot})
)
long_pos = [e for e in fetched['result'] if e['side'] == 'Buy'][0]
shrt_pos = [e for e in fetched['result'] if e['side'] == 'Sell'][0]
position['wallet_balance'] = float(bal['result'][self.quot]['wallet_balance'])
else:
fetched, bal = await asyncio.gather(
self.private_get(self.endpoints['position'], {'symbol': self.symbol}),
self.private_get(self.endpoints['balance'], {'coin': self.coin})
)
position['wallet_balance'] = float(bal['result'][self.coin]['wallet_balance'])
if 'inverse_perpetual' in self.market_type:
if fetched['result']['side'] == 'Buy':
long_pos = fetched['result']
shrt_pos = {'size': 0.0, 'entry_price': 0.0, 'leverage': 0.0, 'liq_price': 0.0}
else:
long_pos = {'size': 0.0, 'entry_price': 0.0, 'leverage': 0.0, 'liq_price': 0.0}
shrt_pos = fetched['result']
elif 'inverse_futures' in self.market_type:
long_pos = [e['data'] for e in fetched['result'] if e['data']['position_idx'] == 1][0]
shrt_pos = [e['data'] for e in fetched['result'] if e['data']['position_idx'] == 2][0]
position['long'] = {'size': float(long_pos['size']),
'price': float(long_pos['entry_price']),
'leverage': float(long_pos['leverage']),
'liquidation_price': float(long_pos['liq_price'])}
position['shrt'] = {'size': -float(shrt_pos['size']),
'price': float(shrt_pos['entry_price']),
'leverage': float(shrt_pos['leverage']),
'liquidation_price': float(shrt_pos['liq_price'])}
position['long']['upnl'] = calc_long_pnl(position['long']['price'], self.price,
position['long']['size'], self.xk['inverse'],
self.xk['c_mult']) \
if position['long']['price'] != 0.0 else 0.0
position['shrt']['upnl'] = calc_shrt_pnl(position['shrt']['price'], self.price,
position['shrt']['size'], self.xk['inverse'],
self.xk['c_mult']) \
if position['shrt']['price'] != 0.0 else 0.0
upnl = position['long']['upnl'] + position['shrt']['upnl']
position['equity'] = position['wallet_balance'] + upnl
return position
async def execute_order(self, order: dict) -> dict:
params = {'symbol': self.symbol,
'side': first_capitalized(order['side']),
'order_type': first_capitalized(order['type']),
'qty': float(order['qty']) if 'linear_perpetual' in self.market_type else int(order['qty']),
'close_on_trigger': False}
if self.hedge_mode:
params['position_idx'] = 1 if order['position_side'] == 'long' else 2
if 'linear_perpetual' in self.market_type:
params['reduce_only'] = 'close' in order['custom_id']
else:
params['position_idx'] = 0
params['reduce_only'] = 'close' in order['custom_id']
if params['order_type'] == 'Limit':
params['time_in_force'] = 'PostOnly'
params['price'] = str(order['price'])
else:
params['time_in_force'] = 'GoodTillCancel'
params['order_link_id'] = \
f"{order['custom_id']}_{str(int(time() * 1000))[8:]}_{int(np.random.random() * 1000)}"
o = await self.private_post(self.endpoints['create_order'], params)
if o['result']:
return {'symbol': o['result']['symbol'],
'side': o['result']['side'].lower(),
'position_side': order['position_side'],
'type': o['result']['order_type'].lower(),
'qty': o['result']['qty'],
'price': o['result']['price']}
else:
return o, order
async def execute_cancellation(self, order: dict) -> [dict]:
o = await self.private_post(self.endpoints['cancel_order'],
{'symbol': self.symbol, 'order_id': order['order_id']})
return {'symbol': self.symbol, 'side': order['side'],
'position_side': order['position_side'],
'qty': order['qty'], 'price': order['price']}
async def fetch_ticks(self, from_id: int = None, do_print: bool = True):
params = {'symbol': self.symbol, 'limit': 1000}
if from_id is not None:
params['from'] = max(0, from_id)
try:
ticks = await self.public_get(self.endpoints['ticks'], params)
except Exception as e:
print('error fetching ticks', e)
return []
try:
trades = list(map(format_tick, ticks['result']))
if do_print:
print_(['fetched trades', self.symbol, trades[0]['trade_id'],
ts_to_date(float(trades[0]['timestamp']) / 1000)])
except:
trades = []
if do_print:
print_(['fetched no new trades', self.symbol])
return trades
async def fetch_ohlcvs(self, start_time: int = None, interval='1m', limit=200):
# m -> minutes; h -> hours; d -> days; w -> weeks; M -> months
interval_map = {'1m': 1, '3m': 3, '5m': 5, '15m': 15, '30m': 30, '1h': 60, '2h': 120, '4h': 240, '6h': 360,
'12h': 720, '1d': 'D', '1w': 'W', '1M': 'M'}
assert interval in interval_map
params = {'symbol': self.symbol, 'interval': interval_map[interval], 'limit': limit}
if start_time is None:
server_time = await self.public_get('/v2/public/time')
if type(interval_map[interval]) == str:
minutes = {'D': 1, 'W': 7, 'M': 30}[interval_map[interval]] * 60 * 24
else:
minutes = interval_map[interval]
params['from'] = int(round(float(server_time['time_now']))) - 60 * minutes * limit
else:
params['from'] = int(start_time / 1000)
fetched = await self.public_get(self.endpoints['ohlcvs'], params)
return [{**{'timestamp': e['open_time'] * 1000},
**{k: float(e[k]) for k in ['open', 'high', 'low', 'close', 'volume']}}
for e in fetched['result']]
async def fetch_fills(self, limit: int = 200, from_id: int = None, start_time: int = None, end_time: int = None):
return []
ffills, fpnls = await asyncio.gather(self.private_get(self.endpoints['fills'], {'symbol': self.symbol, 'limit': limit}),
self.private_get(self.endpoints['pnls'], {'symbol': self.symbol, 'limit': 50}))
return ffills, fpnls
try:
fills = []
for x in fetched['result']['data'][::-1]:
qty, price = float(x['order_qty']), float(x['price'])
if not qty or not price:
continue
fill = {'symbol': x['symbol'],
'id': str(x['exec_id']),
'order_id': str(x['order_id']),
'side': x['side'].lower(),
'price': price,
'qty': qty,
'realized_pnl': 0.0,
'cost': (cost := qty / price if self.inverse else qty * price),
'fee_paid': float(x['exec_fee']),
'fee_token': self.margin_coin,
'timestamp': int(x['trade_time_ms']),
'position_side': self.determine_pos_side(x),
'is_maker': x['fee_rate'] < 0.0}
fills.append(fill)
return fills
except Exception as e:
print('error fetching fills', e)
return []
print('ntufnt')
return fetched
print('fetch_fills not implemented for Bybit')
return []
async def init_exchange_config(self):
try:
# set cross mode
if 'inverse_futures' in self.market_type:
res = await asyncio.gather(
self.private_post('/futures/private/position/leverage/save',
{'symbol': self.symbol, 'position_idx': 1,
'buy_leverage': 0, 'sell_leverage': 0}),
self.private_post('/futures/private/position/leverage/save',
{'symbol': self.symbol, 'position_idx': 2,
'buy_leverage': 0, 'sell_leverage': 0})
)
print(res)
res = await self.private_post('/futures/private/position/switch-mode',
{'symbol': self.symbol, 'mode': 3})
print(res)
elif 'linear_perpetual' in self.market_type:
res = await self.private_post('/private/linear/position/switch-isolated',
{'symbol': self.symbol, 'is_isolated': False,
'buy_leverage': 0,
'sell_leverage': 0})
elif 'inverse_perpetual' in self.market_type:
res = await self.private_post('/v2/private/position/leverage/save',
{'symbol': self.symbol, 'leverage': 0})
print(res)
except Exception as e:
print(e)
def standardize_websocket_ticks(self, data: dict) -> [dict]:
ticks = []
for e in data['data']:
try:
ticks.append({'timestamp': int(e['trade_time_ms']), 'price': float(e['price']), 'qty': float(e['size']),
'is_buyer_maker': e['side'] == 'Sell'})
except Exception as ex:
print('error in websocket tick', e, ex)
return ticks
async def subscribe_ws(self, ws):
params = {'op': 'subscribe', 'args': ['trade.' + self.symbol]}
await ws.send(json.dumps(params))
async def transfer(self, type_: str, amount: float, asset: str = 'USDT'):
return {'code': '-1', 'msg': 'Transferring funds not supported for Bybit'}