Merge pull request #475 from crypto-chassis/feat-bybit-v5

feat: upgrade bybit API from v3 to v5
crypto-chassis · Aug 2, 2024 · 5fbf783 · 5fbf783
2 parents 80174c8 + fa26678
commit 5fbf783
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diff --git a/README.md b/README.md
@@ -1,3 +1,5 @@
+# Announcement: We have upgraded bybit API from v3 to v5 due to bybit will discontinue v3 on August 31, 2024. We've moved derivatives support from bybit-derivatives to bybit and updated documentions accordingly (See #specify-instrument-type section). We've also added websocket balance/position realtime update support on bybit. In addition, please use bybit's Unified Trading Account (https://www.bybit.com/en/help-center/article/Introduction-to-Bybit-Unified-Trading-Account) for best API support. Thank you.
+
 <!-- START doctoc generated TOC please keep comment here to allow auto update -->
 <!-- DON'T EDIT THIS SECTION, INSTEAD RE-RUN doctoc TO UPDATE -->
 **Table of Contents**  *generated with [DocToc](https://github.com/thlorenz/doctoc)*
@@ -35,6 +37,7 @@
       - [Override exchange urls](#override-exchange-urls)
       - [Complex request parameters](#complex-request-parameters-1)
       - [Send request by Websocket API](#send-request-by-websocket-api)
+      - [Specify instrument type](#specify-instrument-type)
     - [FIX API](#fix-api)
     - [More Advanced Topics](#more-advanced-topics)
       - [Handle events in "immediate" vs. "batching" mode](#handle-events-in-immediate-vs-batching-mode)
@@ -56,8 +59,8 @@
 * Code closely follows Bloomberg's API: https://www.bloomberg.com/professional/support/api-library/.
 * It is ultra fast thanks to very careful optimizations: move semantics, regex optimization, locality of reference, lock contention minimization, etc.
 * Supported exchanges:
-  * Market Data: ascendex, binance, binance-usds-futures, binance-coin-futures, binance-us, bitfinex, bitget, bitget-futures, bitmart, bitmex, bitstamp, bybit, bybit-derivatives, coinbase, cryptocom, deribit, erisx (Cboe Digital), gateio, gateio-perpetual-futures, gemini, huobi, huobi-usdt-swap, huobi-coin-swap, kraken, kraken-futures, kucoin, kucoin-futures, mexc, mexc-futures, okx, whitebit.
-  * Execution Management: ascendex, binance, binance-usds-futures, binance-coin-futures, binance-us, bitfinex, bitget, bitget-futures, bitmart, bitmex, bitstamp, bybit, bybit-derivatives, coinbase, cryptocom, deribit, erisx (Cboe Digital), gateio, gateio-perpetual-futures, gemini, huobi, huobi-usdt-swap, huobi-coin-swap, kraken, kraken-futures, kucoin, kucoin-futures, mexc, okx.
+  * Market Data: ascendex, binance, binance-usds-futures, binance-coin-futures, binance-us, bitfinex, bitget, bitget-futures, bitmart, bitmex, bitstamp, bybit, coinbase, cryptocom, deribit, erisx (Cboe Digital), gateio, gateio-perpetual-futures, gemini, huobi, huobi-usdt-swap, huobi-coin-swap, kraken, kraken-futures, kucoin, kucoin-futures, mexc, mexc-futures, okx, whitebit.
+  * Execution Management: ascendex, binance, binance-usds-futures, binance-coin-futures, binance-us, bitfinex, bitget, bitget-futures, bitmart, bitmex, bitstamp, bybit, coinbase, cryptocom, deribit, erisx (Cboe Digital), gateio, gateio-perpetual-futures, gemini, huobi, huobi-usdt-swap, huobi-coin-swap, kraken, kraken-futures, kucoin, kucoin-futures, mexc, okx.
   * FIX: coinbase, gemini.
 * A spot market making application is provided as an end-to-end solution for liquidity providers.
 * A single order execution application is provided as an end-to-end solution for executing large orders.
@@ -792,6 +795,14 @@ request.appendParam({
 session.sendRequestByWebsocket(request);
 ```
 
+#### Specify instrument type
+Some exchanges (i.e. bybit) might need instrument type for `Subscription`. Use `Subscription`'s `setInstrumentType` method.
+```
+Subscription subscription("bybit", "BTCUSDT", "MARKET_DEPTH");
+subscription.setInstrumentType("spot");
+session.subscribe(subscription);
+```
+
 ### FIX API
 
 **Objective:**

diff --git a/include/ccapi_cpp/ccapi_macro.h b/include/ccapi_cpp/ccapi_macro.h
@@ -136,9 +136,6 @@
 #ifndef CCAPI_EXCHANGE_NAME_BYBIT
 #define CCAPI_EXCHANGE_NAME_BYBIT "bybit"
 #endif
-#ifndef CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES
-#define CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES "bybit-derivatives"
-#endif
 #ifndef CCAPI_EXCHANGE_NAME_ASCENDEX
 #define CCAPI_EXCHANGE_NAME_ASCENDEX "ascendex"
 #endif
@@ -355,13 +352,9 @@
 #define CCAPI_WEBSOCKET_CRYPTOCOM_CHANNEL_TRADE "trade.{instrument_name}"
 #define CCAPI_WEBSOCKET_CRYPTOCOM_CHANNEL_BOOK "book.{instrument_name}.{depth}"
 #define CCAPI_WEBSOCKET_BYBIT_CHANNEL_TRADE "publicTrade.{symbol}"
-#define CCAPI_WEBSOCKET_BYBIT_CHANNEL_DEPTH "orderbook.{depth}.{symbol}"
+#define CCAPI_WEBSOCKET_BYBIT_CHANNEL_ORDERBOOK "orderbook.{depth}.{symbol}"
 #define CCAPI_WEBSOCKET_BYBIT_CHANNEL_KLINE "kline.{interval}.{symbol}"
 #define CCAPI_WEBSOCKET_BYBIT_CHANNEL_KLINE_2 "kline"
-#define CCAPI_WEBSOCKET_BYBIT_DERIVATIVES_CHANNEL_TRADE "publicTrade.{symbol}"
-#define CCAPI_WEBSOCKET_BYBIT_DERIVATIVES_CHANNEL_ORDERBOOK "orderbook.{depth}.{symbol}"
-#define CCAPI_WEBSOCKET_BYBIT_DERIVATIVES_CHANNEL_KLINE "kline.{interval}.{symbol}"
-#define CCAPI_WEBSOCKET_BYBIT_DERIVATIVES_CHANNEL_KLINE_2 "kline"
 #define CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_TRADES "trades"
 #define CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_BBO "bbo"
 #define CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_DEPTH "depth"
@@ -766,9 +759,6 @@
 #ifndef CCAPI_BYBIT_URL_REST_BASE
 #define CCAPI_BYBIT_URL_REST_BASE "https://api.bybit.com"
 #endif
-#ifndef CCAPI_BYBIT_DERIVATIVES_URL_REST_BASE
-#define CCAPI_BYBIT_DERIVATIVES_URL_REST_BASE "https://api.bybit.com"
-#endif
 #ifndef CCAPI_ASCENDEX_URL_REST_BASE
 #define CCAPI_ASCENDEX_URL_REST_BASE "https://ascendex.com"
 #endif
@@ -895,9 +885,6 @@
 #ifndef CCAPI_BYBIT_URL_WS_BASE
 #define CCAPI_BYBIT_URL_WS_BASE "wss://stream.bybit.com"
 #endif
-#ifndef CCAPI_BYBIT_DERIVATIVES_URL_WS_BASE
-#define CCAPI_BYBIT_DERIVATIVES_URL_WS_BASE "wss://stream.bybit.com"
-#endif
 #ifndef CCAPI_ASCENDEX_URL_WS_BASE
 #define CCAPI_ASCENDEX_URL_WS_BASE "wss://ascendex.com"
 #endif
@@ -1123,12 +1110,6 @@
 #ifndef CCAPI_BYBIT_API_SECRET
 #define CCAPI_BYBIT_API_SECRET "BYBIT_API_SECRET"
 #endif
-#ifndef CCAPI_BYBIT_DERIVATIVES_API_KEY
-#define CCAPI_BYBIT_DERIVATIVES_API_KEY "BYBIT_DERIVATIVES_API_KEY"
-#endif
-#ifndef CCAPI_BYBIT_DERIVATIVES_API_SECRET
-#define CCAPI_BYBIT_DERIVATIVES_API_SECRET "BYBIT_DERIVATIVES_API_SECRET"
-#endif
 #ifndef CCAPI_ASCENDEX_API_KEY
 #define CCAPI_ASCENDEX_API_KEY "ASCENDEX_API_KEY"
 #endif

diff --git a/include/ccapi_cpp/ccapi_session.h b/include/ccapi_cpp/ccapi_session.h
@@ -79,9 +79,6 @@
 #ifdef CCAPI_ENABLE_EXCHANGE_BYBIT
 #include "ccapi_cpp/service/ccapi_market_data_service_bybit.h"
 #endif
-#ifdef CCAPI_ENABLE_EXCHANGE_BYBIT_DERIVATIVES
-#include "ccapi_cpp/service/ccapi_market_data_service_bybit_derivatives.h"
-#endif
 #ifdef CCAPI_ENABLE_EXCHANGE_ASCENDEX
 #include "ccapi_cpp/service/ccapi_market_data_service_ascendex.h"
 #endif
@@ -186,9 +183,6 @@
 #ifdef CCAPI_ENABLE_EXCHANGE_BYBIT
 #include "ccapi_cpp/service/ccapi_execution_management_service_bybit.h"
 #endif
-#ifdef CCAPI_ENABLE_EXCHANGE_BYBIT_DERIVATIVES
-#include "ccapi_cpp/service/ccapi_execution_management_service_bybit_derivatives.h"
-#endif
 #ifdef CCAPI_ENABLE_EXCHANGE_ASCENDEX
 #include "ccapi_cpp/service/ccapi_execution_management_service_ascendex.h"
 #endif
@@ -412,10 +406,6 @@ class Session {
     this->serviceByServiceNameExchangeMap[CCAPI_MARKET_DATA][CCAPI_EXCHANGE_NAME_BYBIT] =
         std::make_shared<MarketDataServiceBybit>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
 #endif
-#ifdef CCAPI_ENABLE_EXCHANGE_BYBIT_DERIVATIVES
-    this->serviceByServiceNameExchangeMap[CCAPI_MARKET_DATA][CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES] =
-        std::make_shared<MarketDataServiceBybitDerivatives>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
-#endif
 #ifdef CCAPI_ENABLE_EXCHANGE_ASCENDEX
     this->serviceByServiceNameExchangeMap[CCAPI_MARKET_DATA][CCAPI_EXCHANGE_NAME_ASCENDEX] =
         std::make_shared<MarketDataServiceAscendex>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
@@ -550,10 +540,6 @@ class Session {
     this->serviceByServiceNameExchangeMap[CCAPI_EXECUTION_MANAGEMENT][CCAPI_EXCHANGE_NAME_BYBIT] =
         std::make_shared<ExecutionManagementServiceBybit>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
 #endif
-#ifdef CCAPI_ENABLE_EXCHANGE_BYBIT_DERIVATIVES
-    this->serviceByServiceNameExchangeMap[CCAPI_EXECUTION_MANAGEMENT][CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES] =
-        std::make_shared<ExecutionManagementServiceBybitDerivatives>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
-#endif
 #ifdef CCAPI_ENABLE_EXCHANGE_ASCENDEX
     this->serviceByServiceNameExchangeMap[CCAPI_EXECUTION_MANAGEMENT][CCAPI_EXCHANGE_NAME_ASCENDEX] =
         std::make_shared<ExecutionManagementServiceAscendex>(this->internalEventHandler, sessionOptions, sessionConfigs, this->serviceContextPtr);
@@ -636,6 +622,22 @@ class Session {
   }
   virtual void subscribe(std::vector<Subscription>& subscriptionList) {
     CCAPI_LOGGER_FUNCTION_ENTER;
+    for (auto& subscription : subscriptionList) {
+      auto exchange = subscription.getExchange();
+      if (exchange == CCAPI_EXCHANGE_NAME_BYBIT) {
+        auto instrumentType = subscription.getInstrumentType();
+        if (instrumentType.empty()) {
+          instrumentType = "spot";
+        }
+        std::vector<std::string> instrumentTypeList = {"spot", "linear", "inverse", "option"};
+        if (std::find(instrumentTypeList.begin(), instrumentTypeList.end(), instrumentType) == instrumentTypeList.end()) {
+          this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::SUBSCRIPTION_FAILURE,
+                        "unsupported exchange instrument types: " + toString(instrumentType) + ". Allowed values: " + toString(instrumentTypeList) + ".");
+          return;
+        }
+        subscription.setInstrumentType(instrumentType);
+      }
+    }
     std::map<std::string, std::vector<Subscription> > subscriptionListByServiceNameMap;
     for (const auto& subscription : subscriptionList) {
       auto serviceName = subscription.getServiceName();
@@ -650,19 +652,10 @@ class Session {
         return;
       }
       if (serviceName == CCAPI_MARKET_DATA) {
-        // std::set<std::string> correlationIdSet;
-        // std::set<std::string> duplicateCorrelationIdSet;
         std::unordered_set<std::string> unsupportedExchangeFieldSet;
-        std::map<std::string, std::vector<Subscription> > subscriptionListByExchangeMap;
         auto exchangeFieldMap = this->sessionConfigs.getExchangeFieldMap();
         CCAPI_LOGGER_DEBUG("exchangeFieldMap = " + toString(exchangeFieldMap));
         for (const auto& subscription : subscriptionList) {
-          // auto correlationId = subscription.getCorrelationId();
-          // if (correlationIdSet.find(correlationId) != correlationIdSet.end()) {
-          //   duplicateCorrelationIdSet.insert(correlationId);
-          // } else {
-          //   correlationIdSet.insert(correlationId);
-          // }
           auto exchange = subscription.getExchange();
           CCAPI_LOGGER_DEBUG("exchange = " + exchange);
           auto field = subscription.getField();
@@ -674,29 +667,16 @@ class Session {
             CCAPI_LOGGER_DEBUG("unsupported exchange " + exchange + ", field = " + field);
             unsupportedExchangeFieldSet.insert(exchange + "|" + field);
           }
-          subscriptionListByExchangeMap[exchange].push_back(subscription);
         }
-        // if (!duplicateCorrelationIdSet.empty()) {
-        //   this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::SUBSCRIPTION_FAILURE,
-        //                 "duplicated correlation ids: " + toString(duplicateCorrelationIdSet));
-        //   return;
-        // }
         if (!unsupportedExchangeFieldSet.empty()) {
           this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::SUBSCRIPTION_FAILURE,
                         "unsupported exchange fields: " + toString(unsupportedExchangeFieldSet));
           return;
         }
+        std::map<std::string, std::vector<Subscription> > subscriptionListByExchangeMap;
         for (const auto& subscription : subscriptionList) {
           auto exchange = subscription.getExchange();
-          if (exchange == CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES) {
-            const auto& instrumentType = subscription.getInstrumentType();
-            std::vector<std::string> instrumentTypeList = {"usdt-contract", "usdc-contract", "usdc-options"};
-            if (std::find(instrumentTypeList.begin(), instrumentTypeList.end(), instrumentType) == instrumentTypeList.end()) {
-              this->onError(Event::Type::SUBSCRIPTION_STATUS, Message::Type::SUBSCRIPTION_FAILURE,
-                            "unsupported exchange instrument types: " + toString(instrumentType) + ". Allowed values: " + toString(instrumentTypeList) + ".");
-              return;
-            }
-          }
+          subscriptionListByExchangeMap[exchange].push_back(subscription);
         }
         CCAPI_LOGGER_TRACE("subscriptionListByExchangeMap = " + toString(subscriptionListByExchangeMap));
         for (auto& subscriptionListByExchange : subscriptionListByExchangeMap) {

diff --git a/include/ccapi_cpp/ccapi_session_configs.h b/include/ccapi_cpp/ccapi_session_configs.h
@@ -146,14 +146,9 @@ class SessionConfigs CCAPI_FINAL {
     };
     std::map<std::string, std::string> fieldWebsocketChannelMapBybit = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_BYBIT_CHANNEL_TRADE},
-        {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_BYBIT_CHANNEL_DEPTH},
+        {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_BYBIT_CHANNEL_ORDERBOOK},
         {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_BYBIT_CHANNEL_KLINE},
     };
-    std::map<std::string, std::string> fieldWebsocketChannelMapBybitDerivatives = {
-        {CCAPI_TRADE, CCAPI_WEBSOCKET_BYBIT_DERIVATIVES_CHANNEL_TRADE},
-        {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_BYBIT_DERIVATIVES_CHANNEL_ORDERBOOK},
-        {CCAPI_CANDLESTICK, CCAPI_WEBSOCKET_BYBIT_DERIVATIVES_CHANNEL_KLINE},
-    };
     std::map<std::string, std::string> fieldWebsocketChannelMapAscendex = {
         {CCAPI_TRADE, CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_TRADES},
         {CCAPI_MARKET_DEPTH, CCAPI_WEBSOCKET_ASCENDEX_CHANNEL_DEPTH},
@@ -258,9 +253,6 @@ class SessionConfigs CCAPI_FINAL {
     for (auto const& fieldWebsocketChannel : fieldWebsocketChannelMapBybit) {
       this->exchangeFieldMap[CCAPI_EXCHANGE_NAME_BYBIT].push_back(fieldWebsocketChannel.first);
     }
-    for (auto const& fieldWebsocketChannel : fieldWebsocketChannelMapBybitDerivatives) {
-      this->exchangeFieldMap[CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES].push_back(fieldWebsocketChannel.first);
-    }
     for (auto const& fieldWebsocketChannel : fieldWebsocketChannelMapAscendex) {
       this->exchangeFieldMap[CCAPI_EXCHANGE_NAME_ASCENDEX].push_back(fieldWebsocketChannel.first);
     }
@@ -312,7 +304,6 @@ class SessionConfigs CCAPI_FINAL {
         {CCAPI_EXCHANGE_NAME_GATEIO_PERPETUAL_FUTURES, fieldWebsocketChannelMapGateioPerpetualFutures},
         {CCAPI_EXCHANGE_NAME_CRYPTOCOM, fieldWebsocketChannelMapCryptocom},
         {CCAPI_EXCHANGE_NAME_BYBIT, fieldWebsocketChannelMapBybit},
-        {CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES, fieldWebsocketChannelMapBybitDerivatives},
         {CCAPI_EXCHANGE_NAME_ASCENDEX, fieldWebsocketChannelMapAscendex},
         {CCAPI_EXCHANGE_NAME_BITGET, fieldWebsocketChannelMapBitget},
         {CCAPI_EXCHANGE_NAME_BITGET_FUTURES, fieldWebsocketChannelMapBitgetFutures},
@@ -350,7 +341,6 @@ class SessionConfigs CCAPI_FINAL {
         {CCAPI_EXCHANGE_NAME_GATEIO_PERPETUAL_FUTURES, CCAPI_GATEIO_PERPETUAL_FUTURES_URL_WS_BASE},
         {CCAPI_EXCHANGE_NAME_CRYPTOCOM, CCAPI_CRYPTOCOM_URL_WS_BASE},
         {CCAPI_EXCHANGE_NAME_BYBIT, CCAPI_BYBIT_URL_WS_BASE},
-        {CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES, CCAPI_BYBIT_DERIVATIVES_URL_WS_BASE},
         {CCAPI_EXCHANGE_NAME_ASCENDEX, CCAPI_ASCENDEX_URL_WS_BASE},
         {CCAPI_EXCHANGE_NAME_BITGET, CCAPI_BITGET_URL_WS_BASE},
         {CCAPI_EXCHANGE_NAME_BITGET_FUTURES, CCAPI_BITGET_FUTURES_URL_WS_BASE},
@@ -389,7 +379,6 @@ class SessionConfigs CCAPI_FINAL {
         {CCAPI_EXCHANGE_NAME_GATEIO_PERPETUAL_FUTURES, CCAPI_GATEIO_PERPETUAL_FUTURES_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_CRYPTOCOM, CCAPI_CRYPTOCOM_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_BYBIT, CCAPI_BYBIT_URL_REST_BASE},
-        {CCAPI_EXCHANGE_NAME_BYBIT_DERIVATIVES, CCAPI_BYBIT_DERIVATIVES_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_ASCENDEX, CCAPI_ASCENDEX_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_BITGET, CCAPI_BITGET_URL_REST_BASE},
         {CCAPI_EXCHANGE_NAME_BITGET_FUTURES, CCAPI_BITGET_FUTURES_URL_REST_BASE},