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Refine BybitEnumParser for Bybit #2107

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merged 3 commits into from
Dec 14, 2024
Merged

Refine BybitEnumParser for Bybit #2107

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dd9cd27
Refine `BybitEnumParser` for Bybit
sunlei Dec 14, 2024
ac55a2f
Refine `BybitEnumParser` for Bybit
sunlei Dec 14, 2024
fa96783
Refine `BybitEnumParser` for Bybit
sunlei Dec 14, 2024
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64 changes: 29 additions & 35 deletions nautilus_trader/adapters/bybit/common/enums.py
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Original file line number Diff line number Diff line change
Expand Up @@ -245,10 +245,10 @@ class BybitEndpointType(Enum):
def check_dict_keys(key, data):
try:
return data[key]
except KeyError:
except KeyError as exec:
raise RuntimeError(
f"Unrecognized Bybit {key} not found in {data}",
)
) from exec


class BybitEnumParser:
Expand Down Expand Up @@ -506,6 +506,23 @@ def __init__(self) -> None:
TimeInForce.FOK,
}

# trigger direction
self.trigger_direction_map_buy = {
OrderType.STOP_MARKET: BybitTriggerDirection.RISES_TO,
OrderType.STOP_LIMIT: BybitTriggerDirection.RISES_TO,
OrderType.MARKET_IF_TOUCHED: BybitTriggerDirection.RISES_TO,
OrderType.TRAILING_STOP_MARKET: BybitTriggerDirection.RISES_TO,
OrderType.LIMIT_IF_TOUCHED: BybitTriggerDirection.FALLS_TO,
}

self.trigger_direction_map_sell = {
OrderType.STOP_MARKET: BybitTriggerDirection.FALLS_TO,
OrderType.STOP_LIMIT: BybitTriggerDirection.FALLS_TO,
OrderType.MARKET_IF_TOUCHED: BybitTriggerDirection.FALLS_TO,
OrderType.TRAILING_STOP_MARKET: BybitTriggerDirection.FALLS_TO,
OrderType.LIMIT_IF_TOUCHED: BybitTriggerDirection.RISES_TO,
}

def parse_bybit_order_status(
self,
order_type: OrderType,
Expand Down Expand Up @@ -537,50 +554,27 @@ def parse_bybit_order_type(
def parse_nautilus_time_in_force(self, time_in_force: TimeInForce) -> BybitTimeInForce:
try:
return self.nautilus_to_bybit_time_in_force[time_in_force]
except KeyError:
except KeyError as exec:
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To align with Rust, we standardized on using as e for the exception variable name. (I'll refactor this after merging.)

raise RuntimeError(
f"unrecognized Bybit time in force, was {time_in_force_to_str(time_in_force)}", # pragma: no cover
)
) from exec

def parse_nautilus_trigger_type(self, trigger_type: TriggerType) -> BybitTriggerType:
return check_dict_keys(trigger_type, self.nautilus_to_bybit_trigger_type)

def parse_bybit_trigger_type(self, trigger_type: BybitTriggerType) -> TriggerType:
return check_dict_keys(trigger_type, self.bybit_to_nautilus_trigger_type)

def parse_trigger_direction( # noqa: C901 (too complex)
def parse_trigger_direction(
self,
order_type: OrderType,
order_side: OrderSide,
) -> BybitTriggerDirection | None:
if order_side == OrderSide.BUY:
match order_type:
case OrderType.STOP_MARKET:
return BybitTriggerDirection.RISES_TO
case OrderType.STOP_LIMIT:
return BybitTriggerDirection.RISES_TO
case OrderType.MARKET_IF_TOUCHED:
return BybitTriggerDirection.RISES_TO
case OrderType.TRAILING_STOP_MARKET:
return BybitTriggerDirection.RISES_TO
case OrderType.LIMIT_IF_TOUCHED:
return BybitTriggerDirection.FALLS_TO
case _:
return None
else: # SELL
match order_type:
case OrderType.STOP_MARKET:
return BybitTriggerDirection.FALLS_TO
case OrderType.STOP_LIMIT:
return BybitTriggerDirection.FALLS_TO
case OrderType.MARKET_IF_TOUCHED:
return BybitTriggerDirection.FALLS_TO
case OrderType.TRAILING_STOP_MARKET:
return BybitTriggerDirection.FALLS_TO
case OrderType.LIMIT_IF_TOUCHED:
return BybitTriggerDirection.RISES_TO
case _:
return None
return (
self.trigger_direction_map_buy.get(order_type)
if order_side == OrderSide.BUY
else self.trigger_direction_map_sell.get(order_type)
)

def parse_bybit_kline(self, bar_type: BarType) -> BybitKlineInterval:
try:
Expand All @@ -593,7 +587,7 @@ def parse_bybit_kline(self, bar_type: BarType) -> BybitKlineInterval:
raise ValueError(
f"Bybit incorrect aggregation {aggregation}", # pragma: no cover
)
except KeyError:
except KeyError as exec:
raise RuntimeError(
f"unrecognized Bybit bar type, was {bar_type}", # pragma: no cover
)
) from exec
61 changes: 61 additions & 0 deletions tests/integration_tests/adapters/bybit/test_parsing.py
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Original file line number Diff line number Diff line change
Expand Up @@ -17,8 +17,10 @@

from nautilus_trader.adapters.bybit.common.enums import BybitEnumParser
from nautilus_trader.adapters.bybit.common.enums import BybitOrderSide
from nautilus_trader.adapters.bybit.common.enums import BybitTriggerDirection
from nautilus_trader.model.data import BarType
from nautilus_trader.model.enums import OrderSide
from nautilus_trader.model.enums import OrderType
from nautilus_trader.test_kit.providers import TestInstrumentProvider


Expand Down Expand Up @@ -145,3 +147,62 @@ def test_parse_nautilus_order_side(
# ) -> None:
# result = self._enum_parser.parse_nautilus_order_status(order_status)
# assert result == bybit_order_status

@pytest.mark.parametrize(
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Amazing, thank you 🙏

("order_type", "expected_direction_buy"),
[
(OrderType.STOP_MARKET, BybitTriggerDirection.RISES_TO),
(OrderType.STOP_LIMIT, BybitTriggerDirection.RISES_TO),
(OrderType.MARKET_IF_TOUCHED, BybitTriggerDirection.RISES_TO),
(OrderType.TRAILING_STOP_MARKET, BybitTriggerDirection.RISES_TO),
(OrderType.LIMIT_IF_TOUCHED, BybitTriggerDirection.FALLS_TO),
(OrderType.MARKET, None),
(OrderType.LIMIT, None),
],
)
def test_parse_trigger_direction_buy_orders(self, order_type, expected_direction_buy):
# Arrange & Act
result = self._enum_parser.parse_trigger_direction(
order_type=order_type,
order_side=OrderSide.BUY,
)

# Assert
assert result == expected_direction_buy

@pytest.mark.parametrize(
("order_type", "expected_direction_sell"),
[
(OrderType.STOP_MARKET, BybitTriggerDirection.FALLS_TO),
(OrderType.STOP_LIMIT, BybitTriggerDirection.FALLS_TO),
(OrderType.MARKET_IF_TOUCHED, BybitTriggerDirection.FALLS_TO),
(OrderType.TRAILING_STOP_MARKET, BybitTriggerDirection.FALLS_TO),
(OrderType.LIMIT_IF_TOUCHED, BybitTriggerDirection.RISES_TO),
(OrderType.MARKET, None),
(OrderType.LIMIT, None),
],
)
def test_parse_trigger_direction_sell_orders(self, order_type, expected_direction_sell):
# Arrange & Act
result = self._enum_parser.parse_trigger_direction(
order_type=order_type,
order_side=OrderSide.SELL,
)

# Assert
assert result == expected_direction_sell

def test_parse_trigger_direction_unsupported_order_types(self):
# Arrange & Act
result_buy = self._enum_parser.parse_trigger_direction(
order_type=OrderType.MARKET,
order_side=OrderSide.BUY,
)
result_sell = self._enum_parser.parse_trigger_direction(
order_type=OrderType.MARKET,
order_side=OrderSide.SELL,
)

# Assert
assert result_buy is None
assert result_sell is None
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