Minor data streaming fixes (#9)

* Cleanup timer when there is a WS error * Fix no bid/ask price
QuantConnect · Nov 17, 2023 · 1fe0d9a · 1fe0d9a
1 parent dbfb055
commit 1fe0d9a
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Showing 4 changed files with 27 additions and 4 deletions.
diff --git a/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.Stream.cs b/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.Stream.cs
@@ -33,6 +33,7 @@ private static TestCaseData[] TestParameters
                 return new[]
                 {
                     // valid parameters, for example
+                    new TestCaseData(MCUSDT, Resolution.Second, false),
                     new TestCaseData(BTCUSDT, Resolution.Tick, false),
                     new TestCaseData(BTCUSDT, Resolution.Minute, false),
                     new TestCaseData(BTCUSDT, Resolution.Second, false),

diff --git a/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.cs b/QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.cs
@@ -36,6 +36,7 @@ namespace QuantConnect.BybitBrokerage.Tests
     [TestFixture, Explicit("Requires valid credentials to be setup and run outside USA")]
     public partial class BybitBrokerageTests : BrokerageTests
     {
+        private static Symbol MCUSDT = Symbol.Create("MCUSDT", SecurityType.CryptoFuture, "bybit");
         private static Symbol BTCUSDT = Symbol.Create("BTCUSDT", SecurityType.Crypto, "bybit");
         private BybitApi _client;
         protected override Symbol Symbol { get; } = BTCUSDT;

diff --git a/QuantConnect.BybitBrokerage/BybitBrokerage.Messaging.cs b/QuantConnect.BybitBrokerage/BybitBrokerage.Messaging.cs
@@ -326,6 +326,11 @@ private void HandleOrderBookSnapshot(BybitOrderBookUpdate orderBookUpdate, Bybit
         }
 
         orderBook.BestBidAskUpdated += OnBestBidAskUpdated;
+        if(orderBook.BestBidPrice == 0 && orderBook.BestAskPrice == 0)
+        {
+            // nothing to emit, can happen with illiquid assets
+            return;
+        }
         EmitQuoteTick(symbol, orderBook.BestBidPrice, orderBook.BestBidSize, orderBook.BestAskPrice,
             orderBook.BestAskSize);
     }

diff --git a/QuantConnect.BybitBrokerage/BybitWebSocketWrapper.cs b/QuantConnect.BybitBrokerage/BybitWebSocketWrapper.cs
@@ -31,6 +31,7 @@ public class BybitWebSocketWrapper : WebSocketClientWrapper
     /// </summary>
     protected override void OnOpen()
     {
+        CleanUpTimer();
         _pingTimer = new Timer(TimeSpan.FromSeconds(20).TotalMilliseconds);
         _pingTimer.Elapsed += PingTimerElapsed;
         _pingTimer.Start();
@@ -41,6 +42,24 @@ protected override void OnOpen()
     /// Event invocator for the <see cref="WebSocketClientWrapper.Close"/> event
     /// </summary>
     protected override void OnClose(WebSocketCloseData e)
+    {
+        CleanUpTimer();
+        base.OnClose(e);
+    }
+
+    /// <summary>
+    /// Event invocator for the <see cref="WebSocketClientWrapper.OnError"/> event
+    /// </summary>
+    protected override void OnError(WebSocketError e)
+    {
+        CleanUpTimer();
+        base.OnError(e);
+    }
+
+    /// <summary>
+    /// Helper method to clean up timer if required
+    /// </summary>
+    private void CleanUpTimer()
     {
         if (_pingTimer != null)
         {
@@ -49,11 +68,8 @@ protected override void OnClose(WebSocketCloseData e)
             _pingTimer.Dispose();
             _pingTimer = null;
         }
-
-        base.OnClose(e);
     }
-
-
+
     private void PingTimerElapsed(object sender, ElapsedEventArgs e)
     {
         Send("{\"op\":\"ping\"}");