292 lines
11 KiB
Python
292 lines
11 KiB
Python
"""Bybit exchange subclass"""
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import logging
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from datetime import datetime, timedelta
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from typing import Any
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import ccxt
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from freqtrade.constants import BuySell
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from freqtrade.enums import MarginMode, PriceType, TradingMode
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from freqtrade.exceptions import DDosProtection, ExchangeError, OperationalException, TemporaryError
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from freqtrade.exchange import Exchange
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from freqtrade.exchange.common import retrier
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from freqtrade.exchange.exchange_types import CcxtOrder, FtHas
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from freqtrade.util.datetime_helpers import dt_now, dt_ts
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logger = logging.getLogger(__name__)
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class Bybit(Exchange):
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"""
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Bybit exchange class. Contains adjustments needed for Freqtrade to work
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with this exchange.
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Please note that this exchange is not included in the list of exchanges
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officially supported by the Freqtrade development team. So some features
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may still not work as expected.
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"""
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unified_account = False
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_ft_has: FtHas = {
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"ohlcv_has_history": True,
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"order_time_in_force": ["GTC", "FOK", "IOC", "PO"],
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"ws_enabled": True,
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"trades_has_history": False, # Endpoint doesn't support pagination
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"exchange_has_overrides": {
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# Bybit spot does not support fetch_order
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# Unless the account is unified.
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# TODO: Can be removed once bybit fully forces all accounts to unified mode.
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"fetchOrder": False,
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},
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}
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_ft_has_futures: FtHas = {
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"ohlcv_has_history": True,
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"mark_ohlcv_timeframe": "4h",
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"funding_fee_timeframe": "8h",
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"funding_fee_candle_limit": 200,
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"stoploss_on_exchange": True,
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"stoploss_order_types": {"limit": "limit", "market": "market"},
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# bybit response parsing fails to populate stopLossPrice
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"stop_price_prop": "stopPrice",
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"stop_price_type_field": "triggerBy",
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"stop_price_type_value_mapping": {
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PriceType.LAST: "LastPrice",
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PriceType.MARK: "MarkPrice",
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PriceType.INDEX: "IndexPrice",
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},
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"exchange_has_overrides": {
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"fetchOrder": True,
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},
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}
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_supported_trading_mode_margin_pairs: list[tuple[TradingMode, MarginMode]] = [
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# TradingMode.SPOT always supported and not required in this list
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# (TradingMode.FUTURES, MarginMode.CROSS),
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(TradingMode.FUTURES, MarginMode.ISOLATED)
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]
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@property
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def _ccxt_config(self) -> dict:
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# Parameters to add directly to ccxt sync/async initialization.
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# ccxt defaults to swap mode.
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config = {}
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if self.trading_mode == TradingMode.SPOT:
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config.update({"options": {"defaultType": "spot"}})
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config.update(super()._ccxt_config)
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return config
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def market_is_future(self, market: dict[str, Any]) -> bool:
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main = super().market_is_future(market)
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# For ByBit, we'll only support USDT markets for now.
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return main and market["settle"] == "USDT"
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@retrier
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def additional_exchange_init(self) -> None:
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"""
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Additional exchange initialization logic.
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.api will be available at this point.
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Must be overridden in child methods if required.
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"""
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try:
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if not self._config["dry_run"]:
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if self.trading_mode == TradingMode.FUTURES:
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position_mode = self._api.set_position_mode(False)
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self._log_exchange_response("set_position_mode", position_mode)
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is_unified = self._api.is_unified_enabled()
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# Returns a tuple of bools, first for margin, second for Account
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if is_unified and len(is_unified) > 1 and is_unified[1]:
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self.unified_account = True
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logger.info(
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"Bybit: Unified account. Assuming dedicated subaccount for this bot."
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)
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else:
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self.unified_account = False
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logger.info("Bybit: Standard account.")
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.OperationFailed, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f"Error in additional_exchange_init due to {e.__class__.__name__}. Message: {e}"
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) from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _lev_prep(self, pair: str, leverage: float, side: BuySell, accept_fail: bool = False):
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if self.trading_mode != TradingMode.SPOT:
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params = {"leverage": leverage}
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self.set_margin_mode(pair, self.margin_mode, accept_fail=True, params=params)
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self._set_leverage(leverage, pair, accept_fail=True)
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def _get_params(
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self,
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side: BuySell,
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ordertype: str,
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leverage: float,
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reduceOnly: bool,
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time_in_force: str = "GTC",
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) -> dict:
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params = super()._get_params(
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side=side,
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ordertype=ordertype,
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leverage=leverage,
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reduceOnly=reduceOnly,
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time_in_force=time_in_force,
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)
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
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params["position_idx"] = 0
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return params
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def _order_needs_price(self, side: BuySell, ordertype: str) -> bool:
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# Bybit requires price for market orders - but only for classic accounts,
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# and only in spot mode
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return (
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ordertype != "market"
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or (
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side == "buy" and not self.unified_account and self.trading_mode == TradingMode.SPOT
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)
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or self._ft_has.get("marketOrderRequiresPrice", False)
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)
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def dry_run_liquidation_price(
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self,
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pair: str,
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open_rate: float, # Entry price of position
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is_short: bool,
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amount: float,
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stake_amount: float,
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leverage: float,
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wallet_balance: float, # Or margin balance
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open_trades: list,
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) -> float | None:
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"""
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Important: Must be fetching data from cached values as this is used by backtesting!
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PERPETUAL:
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bybit:
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https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?language=en_US&id=000001067
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https://www.bybit.com/en/help-center/article/Liquidation-Price-Calculation-under-Isolated-Mode-Unified-Trading-Account#b
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Long:
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Liquidation Price = (
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Entry Price - [(Initial Margin - Maintenance Margin)/Contract Quantity]
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- (Extra Margin Added/Contract Quantity))
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Short:
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Liquidation Price = (
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Entry Price + [(Initial Margin - Maintenance Margin)/Contract Quantity]
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+ (Extra Margin Added/Contract Quantity))
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Implementation Note: Extra margin is currently not used.
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:param pair: Pair to calculate liquidation price for
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:param open_rate: Entry price of position
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:param is_short: True if the trade is a short, false otherwise
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:param amount: Absolute value of position size incl. leverage (in base currency)
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:param stake_amount: Stake amount - Collateral in settle currency.
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:param leverage: Leverage used for this position.
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:param wallet_balance: Amount of margin_mode in the wallet being used to trade
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Cross-Margin Mode: crossWalletBalance
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Isolated-Margin Mode: isolatedWalletBalance
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:param open_trades: List of other open trades in the same wallet
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"""
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market = self.markets[pair]
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mm_ratio, _ = self.get_maintenance_ratio_and_amt(pair, stake_amount)
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode == MarginMode.ISOLATED:
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if market["inverse"]:
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raise OperationalException("Freqtrade does not yet support inverse contracts")
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position_value = amount * open_rate
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initial_margin = position_value / leverage
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maintenance_margin = position_value * mm_ratio
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margin_diff_per_contract = (initial_margin - maintenance_margin) / amount
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# See docstring - ignores extra margin!
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if is_short:
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return open_rate + margin_diff_per_contract
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else:
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return open_rate - margin_diff_per_contract
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading"
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)
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def get_funding_fees(
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self, pair: str, amount: float, is_short: bool, open_date: datetime
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) -> float:
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"""
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Fetch funding fees, either from the exchange (live) or calculates them
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based on funding rate/mark price history
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:param pair: The quote/base pair of the trade
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:param is_short: trade direction
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:param amount: Trade amount
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:param open_date: Open date of the trade
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:return: funding fee since open_date
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:raises: ExchangeError if something goes wrong.
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"""
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# Bybit does not provide "applied" funding fees per position.
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if self.trading_mode == TradingMode.FUTURES:
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try:
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return self._fetch_and_calculate_funding_fees(pair, amount, is_short, open_date)
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except ExchangeError:
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logger.warning(f"Could not update funding fees for {pair}.")
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return 0.0
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def fetch_orders(
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self, pair: str, since: datetime, params: dict | None = None
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) -> list[CcxtOrder]:
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"""
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Fetch all orders for a pair "since"
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:param pair: Pair for the query
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:param since: Starting time for the query
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"""
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# On bybit, the distance between since and "until" can't exceed 7 days.
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# we therefore need to split the query into multiple queries.
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orders = []
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while since < dt_now():
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until = since + timedelta(days=7, minutes=-1)
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orders += super().fetch_orders(pair, since, params={"until": dt_ts(until)})
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since = until
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return orders
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def fetch_order(self, order_id: str, pair: str, params: dict | None = None) -> CcxtOrder:
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if self.exchange_has("fetchOrder"):
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# Set acknowledged to True to avoid ccxt exception
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params = {"acknowledged": True}
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order = super().fetch_order(order_id, pair, params)
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if not order:
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order = self.fetch_order_emulated(order_id, pair, {})
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if (
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order.get("status") == "canceled"
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and order.get("filled") == 0.0
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and order.get("remaining") == 0.0
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):
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# Canceled orders will have "remaining=0" on bybit.
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order["remaining"] = None
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return order
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@retrier
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def get_leverage_tiers(self) -> dict[str, list[dict]]:
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"""
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Cache leverage tiers for 1 day, since they are not expected to change often, and
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bybit requires pagination to fetch all tiers.
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"""
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# Load cached tiers
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tiers_cached = self.load_cached_leverage_tiers(
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self._config["stake_currency"], timedelta(days=1)
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)
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if tiers_cached:
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return tiers_cached
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# Fetch tiers from exchange
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tiers = super().get_leverage_tiers()
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self.cache_leverage_tiers(tiers, self._config["stake_currency"])
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return tiers
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