Add L1BOOK support for BYBIT

cryptofeed/exchanges/bybit.py

@@ -17,16 +17,17 @@
 from yapic import json
 
 from cryptofeed.connection import AsyncConnection, RestEndpoint, Routes, WebsocketEndpoint
-from cryptofeed.defines import BID, ASK, BUY, BYBIT, CANCELLED, CANCELLING, CANDLES, FAILED, FILLED, FUNDING, L2_BOOK, LIMIT, LIQUIDATIONS, MAKER, MARKET, OPEN, PARTIAL, SELL, SUBMITTING, TAKER, TRADES, OPEN_INTEREST, INDEX, ORDER_INFO, FILLS, FUTURES, PERPETUAL, SPOT, TICKER
+from cryptofeed.defines import BID, ASK, BUY, BYBIT, CANCELLED, CANCELLING, CANDLES, FAILED, FILLED, FUNDING, L1_BOOK, L2_BOOK, LIMIT, LIQUIDATIONS, MAKER, MARKET, OPEN, PARTIAL, SELL, SUBMITTING, TAKER, TRADES, OPEN_INTEREST, INDEX, ORDER_INFO, FILLS, FUTURES, PERPETUAL, SPOT, TICKER
 from cryptofeed.feed import Feed
-from cryptofeed.types import OrderBook, Trade, Index, OpenInterest, Funding, OrderInfo, Fill, Candle, Liquidation, Ticker
+from cryptofeed.types import OrderBook, Trade, Index, OpenInterest, Funding, OrderInfo, Fill, Candle, Liquidation, Ticker, L1Book
 
 LOG = logging.getLogger('feedhandler')
 
 
 class Bybit(Feed):
     id = BYBIT
     websocket_channels = {
+        L1_BOOK: '',
         L2_BOOK: '',  # Assigned in self.subscribe
         TRADES: 'publicTrade',
         FILLS: 'execution',
@@ -39,8 +40,8 @@ class Bybit(Feed):
         TICKER: 'tickers'
     }
     websocket_endpoints = [
-        WebsocketEndpoint('wss://stream.bybit.com/v5/public/linear', instrument_filter=('TYPE', (FUTURES, PERPETUAL)), channel_filter=(websocket_channels[L2_BOOK], websocket_channels[TRADES], websocket_channels[INDEX], websocket_channels[OPEN_INTEREST], websocket_channels[FUNDING], websocket_channels[CANDLES], websocket_channels[LIQUIDATIONS], websocket_channels[TICKER]), sandbox='wss://stream-testnet.bybit.com/v5/public/linear', options={'compression': None}),
-        WebsocketEndpoint('wss://stream.bybit.com/v5/public/spot', instrument_filter=('TYPE', (SPOT)), channel_filter=(websocket_channels[L2_BOOK], websocket_channels[TRADES], websocket_channels[CANDLES],), sandbox='wss://stream-testnet.bybit.com/v5/public/spot', options={'compression': None}),
+        WebsocketEndpoint('wss://stream.bybit.com/v5/public/linear', instrument_filter=('TYPE', (FUTURES, PERPETUAL)), channel_filter=(websocket_channels[L1_BOOK], websocket_channels[L2_BOOK], websocket_channels[TRADES], websocket_channels[INDEX], websocket_channels[OPEN_INTEREST], websocket_channels[FUNDING], websocket_channels[CANDLES], websocket_channels[LIQUIDATIONS], websocket_channels[TICKER]), sandbox='wss://stream-testnet.bybit.com/v5/public/linear', options={'compression': None}),
+        WebsocketEndpoint('wss://stream.bybit.com/v5/public/spot', instrument_filter=('TYPE', (SPOT)), channel_filter=(websocket_channels[L1_BOOK], websocket_channels[L2_BOOK], websocket_channels[TRADES], websocket_channels[CANDLES],), sandbox='wss://stream-testnet.bybit.com/v5/public/spot', options={'compression': None}),
         WebsocketEndpoint('wss://stream.bybit.com/realtime_private', channel_filter=(websocket_channels[ORDER_INFO], websocket_channels[FILLS]), instrument_filter=('QUOTE', ('USDT',)), sandbox='wss://stream-testnet.bybit.com/realtime_private', options={'compression': None}),
     ]
     rest_endpoints = [
@@ -231,6 +232,8 @@ async def message_handler(self, msg: str, conn, timestamp: float):
                 LOG.error("%s: Error from exchange %s", conn.uuid, msg)
         elif msg["topic"].startswith('publicTrade'):
             await self._trade(msg, timestamp, market)
+        elif msg["topic"].startswith('orderbook.1'):
+            await self._top_of_book(msg, timestamp, market)
         elif msg["topic"].startswith('orderbook'):
             await self._book(msg, timestamp, market)
         elif msg['topic'].startswith('kline'):
@@ -279,6 +282,13 @@ async def subscribe(self, connection: AsyncConnection):
                             PERPETUAL: "orderbook.200",
                         }
                         sub = [f"{l2_book_channel[sym.type]}.{pair}"]
+                    elif self.exchange_channel_to_std(chan) == L1_BOOK:
+                        l1_book_channel = {
+                            SPOT: "orderbook.1",
+                            FUTURES: "orderbook.1",
+                            PERPETUAL: "orderbook.1",
+                        }
+                        sub = [f"{l1_book_channel[sym.type]}.{pair}"]
                     else:
                         sub = [f"{chan}.{pair}"]
 
@@ -404,6 +414,46 @@ async def _book(self, msg: dict, timestamp: float, market: str):
 
         await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=self.timestamp_normalize(int(msg['ts'])), raw=msg, delta=delta)
 
+    async def _top_of_book(self, msg: dict, timestamp: float, market: str):
+        '''
+        {
+            'topic': 'orderbook.1.BTCUSDT',
+            'type': 'snapshot',
+            'ts': 1749822878982,
+            'data': {
+                's': 'BTCUSDT',
+                'b': [['104714.40', '0.727']],
+                'a': [['104714.50', '16.541']],
+                'u': 58267067,
+                'seq': 416909700197
+            },
+            'cts': 1749822878980
+        }
+        '''
+        pair = msg['topic'].split('.')[-1]
+        update_type = msg['type']
+        data = msg['data']
+
+        if market == 'spot':
+            pair = self.convert_to_spot_name(self, data['s'])
+            if not pair:
+                return
+
+        symbol = self.exchange_symbol_to_std_symbol(pair)
+
+        if update_type == 'snapshot':
+            l1 = L1Book(
+                self.id,
+                symbol,
+                Decimal(data['b'][0][0]) if 'b' in data else Decimal(0),
+                Decimal(data['b'][0][1]) if 'b' in data else Decimal(0),
+                Decimal(data['a'][0][0]) if 'a' in data else Decimal(0),
+                Decimal(data['a'][0][1]) if 'a' in data else Decimal(0),
+                int(msg['ts']),
+                raw=msg
+            )
+            await self.callback(L1_BOOK, l1, timestamp)
+
     async def _ticker_open_interest_funding_index(self, msg: dict, timestamp: float, conn: AsyncConnection):
         '''
         {

cryptofeed/feed.py

@@ -14,7 +14,7 @@
 from cryptofeed.callback import Callback
 from cryptofeed.connection import AsyncConnection, HTTPAsyncConn, WSAsyncConn
 from cryptofeed.connection_handler import ConnectionHandler
-from cryptofeed.defines import BALANCES, CANDLES, FUNDING, INDEX, L2_BOOK, L3_BOOK, LIQUIDATIONS, OPEN_INTEREST, ORDER_INFO, POSITIONS, TICKER, TRADES, FILLS
+from cryptofeed.defines import BALANCES, CANDLES, FUNDING, INDEX, L1_BOOK, L2_BOOK, L3_BOOK, LIQUIDATIONS, OPEN_INTEREST, ORDER_INFO, POSITIONS, TICKER, TRADES, FILLS
 from cryptofeed.exceptions import BidAskOverlapping
 from cryptofeed.exchange import Exchange
 from cryptofeed.types import OrderBook
@@ -125,6 +125,7 @@ def __init__(self, candle_interval='1m', candle_closed_only=True, timeout=120, t
         self._l2_book = {}
         self.callbacks = {FUNDING: Callback(None),
                           INDEX: Callback(None),
+                          L1_BOOK: Callback(None),
                           L2_BOOK: Callback(None),
                           L3_BOOK: Callback(None),
                           LIQUIDATIONS: Callback(None),

cryptofeed/types.pyx

@@ -132,6 +132,60 @@ cdef class Ticker:
     def __hash__(self):
         return hash(self.__repr__())
 
+cdef class L1Book:
+    cdef readonly str exchange
+    cdef readonly str symbol
+    cdef readonly object bid
+    cdef readonly object bid_size
+    cdef readonly object ask
+    cdef readonly object ask_size
+    cdef readonly object timestamp
+    cdef readonly object raw
+
+    def __init__(self, exchange, symbol, bid, bid_size, ask, ask_size, timestamp, raw=None):
+        assert isinstance(bid, Decimal)
+        assert isinstance(bid_size, Decimal)
+        assert isinstance(ask, Decimal)
+        assert isinstance(ask_size, Decimal)
+        assert timestamp is None or isinstance(timestamp, float)
+
+        self.exchange = exchange
+        self.symbol = symbol
+        self.bid = bid
+        self.bid_size = bid_size
+        self.ask = ask
+        self.ask_size = ask_size
+        self.timestamp = timestamp
+        self.raw = raw
+
+    @staticmethod
+    def from_dict(data: dict) -> L1Book:
+        return L1Book(
+            data['exchange'],
+            data['symbol'],
+            Decimal(data['bid']),
+            Decimal(data['bid_size']),
+            Decimal(data['ask']),
+            Decimal(data['ask_size']),
+            data['timestamp']
+        )
+
+    cpdef dict to_dict(self, numeric_type=None, none_to=False):
+        if numeric_type is None:
+            data = {'exchange': self.exchange, 'symbol': self.symbol, 'bid': self.bid, 'bid_size': self.bid_size, 'ask': self.ask, 'ask_size': self.ask_size, 'timestamp': self.timestamp}
+        else:
+            data = {'exchange': self.exchange, 'symbol': self.symbol, 'bid': numeric_type(self.bid), 'bid_size': numeric_type(self.bid_size), 'ask': numeric_type(self.ask), 'ask_size': numeric_type(self.ask_size), 'timestamp': self.timestamp}
+        return data if not none_to else convert_none_values(data, none_to)
+
+    def __repr__(self):
+        return f"exchange: {self.exchange} symbol: {self.symbol} bid: {self.bid} bid_size: {self.bid_size} ask: {self.ask} ask_size: {self.ask_size} timestamp: {self.timestamp}"
+
+    def __eq__(self, cmp):
+        return self.exchange == cmp.exchange and self.symbol == cmp.symbol and self.bid == cmp.bid and self.bid_size == cmp.bid_size and self.ask == cmp.ask and self.ask_size == cmp.ask_size and self.timestamp == cmp.timestamp
+
+    def __hash__(self):
+        return hash(self.__repr__())
+
 
 cdef class Liquidation:
     cdef readonly str exchange
@@ -623,49 +677,6 @@ cdef class Balance:
     def __hash__(self):
         return hash(self.__repr__())
 
-
-cdef class L1Book:
-    cdef readonly str exchange
-    cdef readonly str symbol
-    cdef readonly object bid_price
-    cdef readonly object bid_size
-    cdef readonly object ask_price
-    cdef readonly object ask_size
-    cdef readonly double timestamp
-    cdef readonly dict raw
-
-    def __init__(self, exchange, symbol, bid_price, bid_size, ask_price, ask_size, timestamp, raw=None):
-        assert isinstance(bid_price, Decimal)
-        assert isinstance(bid_size, Decimal)
-        assert isinstance(ask_price, Decimal)
-        assert isinstance(ask_size, Decimal)
-
-        self.exchange = exchange
-        self.symbol = symbol
-        self.bid_price = bid_price
-        self.bid_size = bid_size
-        self.ask_price = ask_price
-        self.ask_size = ask_size
-        self.timestamp = timestamp
-        self.raw = raw
-
-    cpdef dict to_dict(self, numeric_type=None, none_to=False):
-        if numeric_type is None:
-            data = {'exchange': self.exchange, 'symbol': self.symbol, 'bid_price': self.bid_price, 'bid_size': self.bid_size, 'ask_price': self.ask_price, 'ask_size': self.ask_size, 'timestamp': self.timestamp}
-        else:
-            data = {'exchange': self.exchange, 'symbol': self.symbol, 'bid_price': numeric_type(self.bid_price), 'bid_size': numeric_type(self.bid_size), 'ask_price': numeric_type(self.ask_price), 'ask_size': numeric_type(self.ask_size), 'timestamp': self.timestamp}
-        return data if not none_to else convert_none_values(data, none_to)
-
-    def __repr__(self):
-        return f'exchange: {self.exchange} symbol: {self.symbol} bid_price: {self.bid_price} bid_size: {self.bid_size}, ask_price: {self.ask_price} ask_size: {self.ask_size} timestamp: {self.timestamp}'
-
-    def __eq__(self, cmp):
-        return self.exchange == cmp.exchange and self.symbol == cmp.symbol and self.bid_price == cmp.bid_price and self.bid_size == cmp.bid_size and self.ask_price == cmp.ask_price and self.ask_size == cmp.ask_size and self.timestamp == cmp.timestamp
-
-    def __hash__(self):
-        return hash(self.__repr__())
-
-
 cdef class Transaction:
     cdef readonly str exchange
     cdef readonly str currency

sample_data/BYBIT.0

@@ -1,2 +1,2 @@
 https://api.bybit.com/v2/public/symbols -> 1618677785.481953: {"ret_code":0,"ret_msg":"OK","ext_code":"","ext_info":"","result":[{"name":"BTCUSD","alias":"BTCUSD","status":"Trading","base_currency":"BTC","quote_currency":"USD","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":100,"leverage_step":"0.01"},"price_filter":{"min_price":"0.5","max_price":"999999.5","tick_size":"0.5"},"lot_size_filter":{"max_trading_qty":1000000,"min_trading_qty":1,"qty_step":1}},{"name":"ETHUSD","alias":"ETHUSD","status":"Trading","base_currency":"ETH","quote_currency":"USD","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":50,"leverage_step":"0.01"},"price_filter":{"min_price":"0.05","max_price":"99999.95","tick_size":"0.05"},"lot_size_filter":{"max_trading_qty":1000000,"min_trading_qty":1,"qty_step":1}},{"name":"EOSUSD","alias":"EOSUSD","status":"Trading","base_currency":"EOS","quote_currency":"USD","price_scale":3,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":50,"leverage_step":"0.01"},"price_filter":{"min_price":"0.001","max_price":"1999.999","tick_size":"0.001"},"lot_size_filter":{"max_trading_qty":1000000,"min_trading_qty":1,"qty_step":1}},{"name":"XRPUSD","alias":"XRPUSD","status":"Trading","base_currency":"XRP","quote_currency":"USD","price_scale":4,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":50,"leverage_step":"0.01"},"price_filter":{"min_price":"0.0001","max_price":"199.9999","tick_size":"0.0001"},"lot_size_filter":{"max_trading_qty":1000000,"min_trading_qty":1,"qty_step":1}},{"name":"BTCUSDT","alias":"BTCUSDT","status":"Trading","base_currency":"BTC","quote_currency":"USDT","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":100,"leverage_step":"0.01"},"price_filter":{"min_price":"0.5","max_price":"999999.5","tick_size":"0.5"},"lot_size_filter":{"max_trading_qty":100,"min_trading_qty":0.001,"qty_step":0.001}},{"name":"BCHUSDT","alias":"BCHUSDT","status":"Trading","base_currency":"BCH","quote_currency":"USDT","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":50,"leverage_step":"0.01"},"price_filter":{"min_price":"0.5","max_price":"100000","tick_size":"0.05"},"lot_size_filter":{"max_trading_qty":600,"min_trading_qty":0.01,"qty_step":0.01}},{"name":"ETHUSDT","alias":"ETHUSDT","status":"Trading","base_currency":"ETH","quote_currency":"USDT","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":50,"leverage_step":"0.01"},"price_filter":{"min_price":"0.5","max_price":"100000","tick_size":"0.05"},"lot_size_filter":{"max_trading_qty":1000,"min_trading_qty":0.01,"qty_step":0.01}},{"name":"LTCUSDT","alias":"LTCUSDT","status":"Trading","base_currency":"LTC","quote_currency":"USDT","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":25,"leverage_step":"0.01"},"price_filter":{"min_price":"0.01","max_price":"20000","tick_size":"0.01"},"lot_size_filter":{"max_trading_qty":2000,"min_trading_qty":0.1,"qty_step":0.1}},{"name":"LINKUSDT","alias":"LINKUSDT","status":"Trading","base_currency":"LINK","quote_currency":"USDT","price_scale":3,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":25,"leverage_step":"0.01"},"price_filter":{"min_price":"0.001","max_price":"2000","tick_size":"0.001"},"lot_size_filter":{"max_trading_qty":10000,"min_trading_qty":0.1,"qty_step":0.1}},{"name":"XTZUSDT","alias":"XTZUSDT","status":"Trading","base_currency":"XTZ","quote_currency":"USDT","price_scale":3,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":25,"leverage_step":"0.01"},"price_filter":{"min_price":"0.001","max_price":"2000","tick_size":"0.001"},"lot_size_filter":{"max_trading_qty":20000,"min_trading_qty":0.1,"qty_step":0.1}},{"name":"ADAUSDT","alias":"ADAUSDT","status":"Trading","base_currency":"ADA","quote_currency":"USDT","price_scale":4,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":25,"leverage_step":"0.01"},"price_filter":{"min_price":"0.0001","max_price":"200","tick_size":"0.0001"},"lot_size_filter":{"max_trading_qty":240000,"min_trading_qty":1,"qty_step":1}},{"name":"DOTUSDT","alias":"DOTUSDT","status":"Trading","base_currency":"DOT","quote_currency":"USDT","price_scale":3,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":25,"leverage_step":"0.01"},"price_filter":{"min_price":"0.005","max_price":"10000","tick_size":"0.005"},"lot_size_filter":{"max_trading_qty":15000,"min_trading_qty":0.1,"qty_step":0.1}},{"name":"UNIUSDT","alias":"UNIUSDT","status":"Trading","base_currency":"UNI","quote_currency":"USDT","price_scale":4,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":25,"leverage_step":"0.01"},"price_filter":{"min_price":"0.0001","max_price":"1000","tick_size":"0.0001"},"lot_size_filter":{"max_trading_qty":10000,"min_trading_qty":0.1,"qty_step":0.1}},{"name":"BTCUSDU21","alias":"BTCUSD0924","status":"Trading","base_currency":"BTC","quote_currency":"USD","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":100,"leverage_step":"0.01"},"price_filter":{"min_price":"0.5","max_price":"999999.5","tick_size":"0.5"},"lot_size_filter":{"max_trading_qty":1000000,"min_trading_qty":1,"qty_step":1}},{"name":"BTCUSDM21","alias":"BTCUSD0625","status":"Trading","base_currency":"BTC","quote_currency":"USD","price_scale":2,"taker_fee":"0.00075","maker_fee":"-0.00025","leverage_filter":{"min_leverage":1,"max_leverage":100,"leverage_step":"0.01"},"price_filter":{"min_price":"0.5","max_price":"999999.5","tick_size":"0.5"},"lot_size_filter":{"max_trading_qty":1000000,"min_trading_qty":1,"qty_step":1}}],"time_now":"1618677785.322543"}
-configuration: {"trades":["BCH-USDT-PERP","XTZ-USDT-PERP","UNI-USDT-PERP","EOS-USD-PERP","LTC-USDT-PERP","DOT-USDT-PERP","LINK-USDT-PERP","ADA-USDT-PERP","ETH-USDT-PERP","BTC-USD-PERP"],"l2_book":["BCH-USDT-PERP","XTZ-USDT-PERP","UNI-USDT-PERP","EOS-USD-PERP","LTC-USDT-PERP","DOT-USDT-PERP","LINK-USDT-PERP","ADA-USDT-PERP","ETH-USDT-PERP","BTC-USD-PERP"]}
+configuration: {"trades":["BCH-USDT-PERP","XTZ-USDT-PERP","UNI-USDT-PERP","EOS-USD-PERP","LTC-USDT-PERP","DOT-USDT-PERP","LINK-USDT-PERP","ADA-USDT-PERP","ETH-USDT-PERP","BTC-USD-PERP"],"l1_book":["BAND-USDT-PERP","RAD-USDT-PERP","SNT-USDT-PERP","OP-USDC","TUSD-USDT","KCS-USDT","CPOOL-USDT","ARB-USDC","MASA-USDT","AIOZ-USDT-PERP"],"l2_book":["BCH-USDT-PERP","XTZ-USDT-PERP","UNI-USDT-PERP","EOS-USD-PERP","LTC-USDT-PERP","DOT-USDT-PERP","LINK-USDT-PERP","ADA-USDT-PERP","ETH-USDT-PERP","BTC-USD-PERP"]}