Add dedicated brokerage for inverse futures

Author: arodus

QuantConnect.BybitBrokerage.Tests/BybitBrokerageTests.cs

@@ -22,6 +22,7 @@
 using QuantConnect.BybitBrokerage.Api;
 using QuantConnect.BybitBrokerage.Models.Enums;
 using QuantConnect.Configuration;
+using QuantConnect.Data;
 using QuantConnect.Interfaces;
 using QuantConnect.Lean.Engine.DataFeeds;
 using QuantConnect.Logging;
@@ -63,8 +64,16 @@ protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISec
             var websocketUrl = Config.Get("bybit-websocket-url", "wss://stream-testnet.bybit.com");
 
             _client = CreateRestApiClient(apiKey, apiSecret, apiUrl);
-            return new BybitBrokerage(apiKey, apiSecret, apiUrl, websocketUrl, algorithm.Object, orderProvider,
-                securityProvider, new AggregationManager(), null);
+
+            return CreateBrokerage(apiKey, apiSecret, apiUrl, websocketUrl, algorithm.Object, orderProvider, securityProvider, new AggregationManager());
+        }
+
+        protected virtual IBrokerage CreateBrokerage(string apiKey, string apiSecret, string apiUrl,
+            string websocketUrl, IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider,
+            IDataAggregator aggregator)
+        {
+            return new BybitBrokerage(apiKey, apiSecret, apiUrl, websocketUrl, algorithm, orderProvider, securityProvider, new AggregationManager(), null);
+
         }
 
         protected virtual decimal TakerFee => BybitFeeModel.TakerNonVIPFee;
@@ -198,8 +207,10 @@ public override void GetAccountHoldings()
             var beforeQuantity = beforeHoldings == null ? 0 : beforeHoldings.Amount;
             var afterQuantity = afterHoldings == null ? 0 : afterHoldings.Amount;
 
+            var fu = afterQuantity - beforeQuantity;
             var fee = order.Quantity * TakerFee;
 
+            
             Assert.AreEqual(GetDefaultQuantity(), afterQuantity - beforeQuantity + fee);
         }
 

QuantConnect.BybitBrokerage.Tests/BybitInverseFuturesBrokerageAdditionalTests.cs

@@ -0,0 +1,36 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using NUnit.Framework;
+using QuantConnect.Brokerages;
+using QuantConnect.Interfaces;
+using QuantConnect.Lean.Engine.DataFeeds;
+
+namespace QuantConnect.BybitBrokerage.Tests
+{
+    [TestFixture, Explicit("Requires valid credentials to be setup and run outside USA")]
+    public class BybitInverseFuturesBrokerageAdditionalTests : BybitBrokerageAdditionalTests
+    {
+        protected override string BrokerageName => nameof(BybitInverseFuturesBrokerage);
+        
+
+        protected override Brokerage CreateBrokerage(IAlgorithm algorithm, string apiKey, string apiSecret,
+            string apiUrl, string websocketUrl)
+        {
+            return new BybitInverseFuturesBrokerage(apiKey, apiSecret, apiUrl, websocketUrl, algorithm, new AggregationManager(),
+                null);
+        }
+    }
+}

QuantConnect.BybitBrokerage.Tests/BybitInverseFuturesBrokerageTests.cs

@@ -13,9 +13,19 @@
  * limitations under the License.
 */
 
+using System;
+using System.Linq;
+using System.Threading;
 using NUnit.Framework;
 using QuantConnect.BybitBrokerage.Models.Enums;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Logging;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
 using QuantConnect.Tests.Brokerages;
+using QuantConnect.Util;
 
 namespace QuantConnect.BybitBrokerage.Tests;
 
@@ -27,10 +37,18 @@ public partial class BybitInverseFuturesBrokerageTests : BybitBrokerageTests
 
     protected override SecurityType SecurityType => SecurityType.Future;
     protected override BybitProductCategory Category => BybitProductCategory.Inverse;
-    protected override decimal TakerFee => 0.00025m;
+    protected override decimal TakerFee => 0.0000015m;
 
     protected override decimal GetDefaultQuantity() => 10m;
 
+    protected override IBrokerage CreateBrokerage(string apiKey, string apiSecret, string apiUrl,
+        string websocketUrl, IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider,
+        IDataAggregator aggregator)
+    {
+        return new BybitInverseFuturesBrokerage(apiKey, apiSecret, apiUrl, websocketUrl, algorithm, orderProvider, securityProvider, new AggregationManager(), null);
+
+    }
+    
     /// <summary>
     /// Provides the data required to test each order type in various cases
     /// </summary>
@@ -88,10 +106,33 @@ public override void LongFromShort(OrderTestParameters parameters)
     {
         base.LongFromShort(parameters);
     }
-
-    [Ignore("The brokerage is shared between different product categories, therefore this test is only required in the base class")]
+    
+    
+    [Test]
     public override void GetAccountHoldings()
     {
-        base.GetAccountHoldings();
+        Log.Trace("");
+        Log.Trace("GET ACCOUNT HOLDINGS");
+        Log.Trace("");
+        var before = Brokerage.GetCashBalance();
+
+        var order = new MarketOrder(Symbol, GetDefaultQuantity(), DateTime.UtcNow);
+        PlaceOrderWaitForStatus(order);
+
+        Thread.Sleep(3000);
+
+        var after = Brokerage.GetCashBalance();
+
+        CurrencyPairUtil.DecomposeCurrencyPair(Symbol, out var baseCurrency, out _);
+        var beforeHoldings = before.FirstOrDefault(x => x.Currency == baseCurrency);
+        var afterHoldings = after.FirstOrDefault(x => x.Currency == baseCurrency);
+
+        var beforeQuantity = beforeHoldings == null ? 0 : beforeHoldings.Amount;
+        var afterQuantity = afterHoldings == null ? 0 : afterHoldings.Amount;
+
+        var fee = 0.00000015m;
+            
+        Assert.AreEqual(0, afterQuantity - beforeQuantity + fee);
     }
+
 }

QuantConnect.BybitBrokerage/Api/BybitAccountApiEndpoint.cs

@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using System;
 using System.Collections.Generic;
 using QuantConnect.Brokerages;
 using QuantConnect.BybitBrokerage.Models;
@@ -42,13 +43,19 @@ public BybitAccountApiEndpoint(ISymbolMapper symbolMapper, string apiPrefix, ISe
     /// <summary>
     /// Obtain wallet balance, query asset information of each currency, and account risk rate information
     /// </summary>
-    /// <param name="category">The product category</param>
+    /// <param name="accountType">The account type to fetch wallet balances for</param>
     /// <returns>The wallet balances</returns>
-    public BybitBalance GetWalletBalances()
+    public BybitBalance GetWalletBalances(BybitAccountType accountType)
     {
+        if (accountType is not (BybitAccountType.Contract or BybitAccountType.Unified))
+        {
+            throw new ArgumentOutOfRangeException(nameof(accountType),
+                "Wallet balances can only be fetched for 'UNIFIED' and 'CONTRACT'");
+        }
+        
         var parameters = new KeyValuePair<string, string>[]
         {
-            new("accountType", "UNIFIED")
+            new("accountType", accountType.ToStringInvariant().ToUpperInvariant())
         };
 
         var result =

QuantConnect.BybitBrokerage/BybitBrokerage.Brokerage.cs

@@ -104,7 +104,7 @@ public override List<Holding> GetAccountHoldings()
     public override List<CashAmount> GetCashBalance()
     {
         return ApiClient.Account
-            .GetWalletBalances().Assets
+            .GetWalletBalances(WalletAccountType).Assets
             .Select(x => new CashAmount(x.WalletBalance, x.Asset)).ToList();
     }
 

QuantConnect.BybitBrokerage/BybitBrokerage.cs

@@ -48,12 +48,6 @@ namespace QuantConnect.BybitBrokerage;
 [BrokerageFactory(typeof(BybitBrokerageFactory))]
 public partial class BybitBrokerage : BaseWebsocketsBrokerage, IDataQueueHandler
 {
-    private static readonly List<BybitProductCategory> SupportedBybitProductCategories = new() { BybitProductCategory.Spot, BybitProductCategory.Linear, BybitProductCategory.Inverse };
-
-    private static readonly List<SecurityType> SuppotedSecurityTypes = new() { SecurityType.Crypto, SecurityType.CryptoFuture };
-
-    private static readonly string MarketName = Market.Bybit;
-
     private readonly Dictionary<BybitProductCategory, BrokerageMultiWebSocketSubscriptionManager> _subscriptionManagers = new();
 
     private IAlgorithm _algorithm;
@@ -63,6 +57,12 @@ public partial class BybitBrokerage : BaseWebsocketsBrokerage, IDataQueueHandler
     private Lazy<BybitApi> _apiClientLazy;
     private BrokerageConcurrentMessageHandler<WebSocketMessage> _messageHandler;
 
+    protected virtual string MarketName => Market.Bybit;
+    protected virtual BybitAccountType WalletAccountType => BybitAccountType.Unified;
+    protected virtual SecurityType[] SuppotedSecurityTypes { get; } = { SecurityType.Crypto, SecurityType.CryptoFuture };
+    protected virtual BybitProductCategory[] SupportedBybitProductCategories { get; } =
+        { BybitProductCategory.Spot, BybitProductCategory.Linear };
+    
     /// <summary>
     /// Order provider
     /// </summary>
@@ -81,7 +81,7 @@ public partial class BybitBrokerage : BaseWebsocketsBrokerage, IDataQueueHandler
     /// <summary>
     /// Parameterless constructor for brokerage
     /// </summary>
-    public BybitBrokerage() : base(MarketName)
+    public BybitBrokerage() : base(Market.Bybit)
     {
     }
 
@@ -120,7 +120,7 @@ public BybitBrokerage(string apiKey, string apiSecret, string restApiUrl, string
     public BybitBrokerage(string apiKey, string apiSecret, string restApiUrl, string webSocketBaseUrl,
         IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider,
         IDataAggregator aggregator, LiveNodePacket job, BybitVIPLevel vipLevel = BybitVIPLevel.VIP0)
-        : base(MarketName)
+        : base(Market.Bybit)
     {
         Initialize(
             webSocketBaseUrl,
@@ -307,8 +307,9 @@ protected virtual bool CanSubscribe(Symbol symbol)
 
         if (baseCanSubscribe && symbol.SecurityType == SecurityType.CryptoFuture)
         {
-            //Can only subscribe to non-future pairs
-            return CurrencyPairUtil.TryDecomposeCurrencyPair(symbol, out _, out var quoteCurrency) && quoteCurrency is "USDT" or "USD";
+            return CurrencyPairUtil.TryDecomposeCurrencyPair(symbol, out _, out var quoteCurrency) &&
+                   (quoteCurrency is "USDT" || SupportedBybitProductCategories.Contains(BybitProductCategory.Inverse) &&
+                       quoteCurrency is "USD");
         }
 
         return baseCanSubscribe;
@@ -457,7 +458,7 @@ private class ModulesReadLicenseRead : QuantConnect.Api.RestResponse
     /// Checks whether the specified symbol is supported by this brokerage by its security type
     /// </summary>
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
-    private static bool IsSupported(Symbol symbol)
+    protected bool IsSupported(Symbol symbol)
     {
         return SuppotedSecurityTypes.Contains(symbol.SecurityType);
     }

QuantConnect.BybitBrokerage/BybitBrokerageFactory.cs

@@ -31,11 +31,6 @@ namespace QuantConnect.BybitBrokerage
     /// </summary>
     public class BybitBrokerageFactory : BrokerageFactory
     {
-        /// <summary>
-        /// The default order book depth for this brokerage
-        /// </summary>
-        protected virtual int DefaultOrderBookDepth => 50;
-
         /// <summary>
         /// Gets the brokerage data required to run the brokerage from configuration/disk
         /// </summary>
@@ -101,12 +96,30 @@ public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algori
             var aggregator = Composer.Instance.GetExportedValueByTypeName<IDataAggregator>(
                 Config.Get("data-aggregator", "QuantConnect.Lean.Engine.DataFeeds.AggregationManager"),
                 forceTypeNameOnExisting: false);
-            var brokerage = new BybitBrokerage(apiKey, apiSecret, apiUrl, wsUrl, algorithm, aggregator, job, vipLevel);
+            var brokerage = CreateBrokerage(apiKey, apiSecret, apiUrl, wsUrl, algorithm, aggregator, job, vipLevel); 
             Composer.Instance.AddPart<IDataQueueHandler>(brokerage);
 
             return brokerage;
         }
 
+        /// <summary>
+        /// Creates a new BybitBrokerage instance
+        /// </summary>
+        /// <param name="apiKey">The api key</param>
+        /// <param name="apiSecret">The api secret</param>
+        /// <param name="apiUrl">The rest api url</param>
+        /// <param name="wsUrl">The web socket base url</param>
+        /// <param name="algorithm">The algorithm instance is required to retrieve account type</param>
+        /// <param name="aggregator">The aggregator for consolidating ticks</param>
+        /// <param name="job">The live job packet</param>
+        /// <param name="vipLevel">Bybit VIP level</param>
+        /// <returns>New BybitBrokerage instance</returns>
+        protected virtual BybitBrokerage CreateBrokerage(string apiKey, string apiSecret, string apiUrl, string wsUrl,
+            IAlgorithm algorithm, IDataAggregator aggregator, LiveNodePacket job, BybitVIPLevel vipLevel)
+        {
+            return new BybitBrokerage(apiKey, apiSecret, apiUrl, wsUrl, algorithm, aggregator, job, vipLevel); 
+        }
+        
         /// <summary>
         /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
         /// </summary>

QuantConnect.BybitBrokerage/BybitInverseFuturesBrokerage.cs

@@ -0,0 +1,81 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Brokerages;
+using QuantConnect.BybitBrokerage.Models.Enums;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Packets;
+using QuantConnect.Securities;
+
+namespace QuantConnect.BybitBrokerage;
+
+/// <summary>
+/// Bybit inverse futures brokerage implementation
+/// </summary>
+[BrokerageFactory(typeof(BybitInverseFuturesBrokerageFactory))]
+public class BybitInverseFuturesBrokerage : BybitBrokerage
+{
+    protected override SecurityType[] SuppotedSecurityTypes { get; } = { SecurityType.Crypto, SecurityType.CryptoFuture };
+    protected override BybitProductCategory[] SupportedBybitProductCategories { get; } = { BybitProductCategory.Inverse };
+    protected override BybitAccountType WalletAccountType => BybitAccountType.Contract;
+
+    /// <summary>
+    /// Parameterless constructor for brokerage
+    /// </summary>
+    public BybitInverseFuturesBrokerage()
+    {
+    }
+    
+    /// <summary>
+    /// Constructor for brokerage
+    /// </summary>
+    /// <param name="apiKey">api key</param>
+    /// <param name="apiSecret">api secret</param>
+    /// <param name="restApiUrl">The rest api url</param>
+    /// <param name="webSocketBaseUrl">The web socket base url</param>
+    /// <param name="algorithm">the algorithm instance is required to retrieve account type</param>
+    /// <param name="aggregator">the aggregator for consolidating ticks</param>
+    /// <param name="job">The live job packet</param>
+    /// <param name="vipLevel">Bybit VIP level</param>
+    public BybitInverseFuturesBrokerage(string apiKey, string apiSecret, string restApiUrl, string webSocketBaseUrl,
+        IAlgorithm algorithm, IDataAggregator aggregator, LiveNodePacket job,
+        BybitVIPLevel vipLevel = BybitVIPLevel.VIP0)
+        : base(apiKey, apiSecret, restApiUrl, webSocketBaseUrl, algorithm, algorithm?.Portfolio?.Transactions,
+            algorithm?.Portfolio, aggregator, job, vipLevel)
+    {
+    }
+
+    /// <summary>
+    /// Constructor for brokerage
+    /// </summary>
+    /// <param name="apiKey">The api key</param>
+    /// <param name="apiSecret">The api secret</param>
+    /// <param name="restApiUrl">The rest api url</param>
+    /// <param name="webSocketBaseUrl">The web socket base url</param>
+    /// <param name="algorithm">The algorithm instance is required to retrieve account type</param>
+    /// <param name="orderProvider">The order provider is required to retrieve orders</param>
+    /// <param name="securityProvider">The security provider is required</param>
+    /// <param name="aggregator">The aggregator for consolidating ticks</param>
+    /// <param name="job">The live job packet</param>
+    /// <param name="vipLevel">Bybit VIP level</param>
+    public BybitInverseFuturesBrokerage(string apiKey, string apiSecret, string restApiUrl, string webSocketBaseUrl,
+        IAlgorithm algorithm, IOrderProvider orderProvider, ISecurityProvider securityProvider,
+        IDataAggregator aggregator, LiveNodePacket job, BybitVIPLevel vipLevel = BybitVIPLevel.VIP0)
+        : base(apiKey, apiSecret, restApiUrl, webSocketBaseUrl, algorithm, orderProvider,
+            securityProvider, aggregator, job, vipLevel)
+    {
+    }
+}