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Enhance the lotSizeFilter field for Bybit #2166

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Merged
merged 3 commits into from
Jan 2, 2025
Merged

Enhance the lotSizeFilter field for Bybit #2166

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6304a41
Enhance the `lotSizeFilter` field for Bybit
sunlei Jan 2, 2025
4d0a77b
Fix tests
sunlei Jan 2, 2025
eac027d
Enhance the `lotSizeFilter` field for Bybit
sunlei Jan 2, 2025
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27 changes: 19 additions & 8 deletions nautilus_trader/adapters/bybit/schemas/common.py
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Original file line number Diff line number Diff line change
Expand Up @@ -57,21 +57,32 @@ class SpotPriceFilter(msgspec.Struct):
tickSize: str


class LotSizeFilter(msgspec.Struct):
class SpotLotSizeFilter(msgspec.Struct):
basePrecision: str
quotePrecision: str
minOrderQty: str
maxOrderQty: str
minOrderAmt: str
maxOrderAmt: str


class LinearLotSizeFilter(msgspec.Struct):
# Maximum order quantity
maxOrderQty: str
# Minimum order quantity
minOrderQty: str
# The step to increase/reduce order quantity
qtyStep: str
# Maximum order qty for PostOnly order
postOnlyMaxOrderQty: str | None = None
postOnlyMaxOrderQty: str
maxMktOrderQty: str
minNotionalValue: str


class SpotLotSizeFilter(msgspec.Struct):
basePrecision: str
quotePrecision: str
minOrderQty: str
class OptionLotSizeFilter(msgspec.Struct):
# Maximum order quantity
maxOrderQty: str
minOrderAmt: str
maxOrderAmt: str
# Minimum order quantity
minOrderQty: str
# The step to increase/reduce order quantity
qtyStep: str
9 changes: 5 additions & 4 deletions nautilus_trader/adapters/bybit/schemas/instrument.py
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Expand Up @@ -25,8 +25,9 @@
from nautilus_trader.adapters.bybit.schemas.account.fee_rate import BybitFeeRate
from nautilus_trader.adapters.bybit.schemas.common import BybitListResultWithCursor
from nautilus_trader.adapters.bybit.schemas.common import LeverageFilter
from nautilus_trader.adapters.bybit.schemas.common import LinearLotSizeFilter
from nautilus_trader.adapters.bybit.schemas.common import LinearPriceFilter
from nautilus_trader.adapters.bybit.schemas.common import LotSizeFilter
from nautilus_trader.adapters.bybit.schemas.common import OptionLotSizeFilter
from nautilus_trader.adapters.bybit.schemas.common import SpotLotSizeFilter
from nautilus_trader.adapters.bybit.schemas.common import SpotPriceFilter
from nautilus_trader.core.datetime import millis_to_nanos
Expand Down Expand Up @@ -112,7 +113,7 @@ class BybitInstrumentLinear(msgspec.Struct):
priceScale: str
leverageFilter: LeverageFilter
priceFilter: LinearPriceFilter
lotSizeFilter: LotSizeFilter
lotSizeFilter: LinearLotSizeFilter
unifiedMarginTrade: bool
fundingInterval: int
settleCoin: str
Expand Down Expand Up @@ -217,7 +218,7 @@ class BybitInstrumentInverse(msgspec.Struct):
priceScale: str
leverageFilter: LeverageFilter
priceFilter: LinearPriceFilter
lotSizeFilter: LotSizeFilter
lotSizeFilter: LinearLotSizeFilter
unifiedMarginTrade: bool
fundingInterval: int
settleCoin: str
Expand Down Expand Up @@ -320,7 +321,7 @@ class BybitInstrumentOption(msgspec.Struct):
deliveryTime: str
deliveryFeeRate: str
priceFilter: LinearPriceFilter
lotSizeFilter: LotSizeFilter
lotSizeFilter: OptionLotSizeFilter

def parse_to_instrument(
self,
Expand Down
6 changes: 4 additions & 2 deletions ...integration_tests/adapters/bybit/resources/http_responses/linear/instrument_btc_usdt.json
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Expand Up @@ -27,7 +27,9 @@
"maxOrderQty": "100.000",
"minOrderQty": "0.001",
"qtyStep": "0.001",
"postOnlyMaxOrderQty": "1000.000"
"postOnlyMaxOrderQty": "1000.000",
"maxMktOrderQty": "500.000",
"minNotionalValue": "5"
},
"unifiedMarginTrade": true,
"fundingInterval": 480,
Expand All @@ -36,4 +38,4 @@
]
},
"time": 1694668718723
}
}
10 changes: 7 additions & 3 deletions tests/integration_tests/adapters/bybit/resources/http_responses/linear/instruments.json
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Original file line number Diff line number Diff line change
Expand Up @@ -27,7 +27,9 @@
"maxOrderQty": "100.000",
"minOrderQty": "0.001",
"qtyStep": "0.001",
"postOnlyMaxOrderQty": "1000.000"
"postOnlyMaxOrderQty": "1000.000",
"maxMktOrderQty": "500.000",
"minNotionalValue": "5"
},
"unifiedMarginTrade": true,
"fundingInterval": 480,
Expand Down Expand Up @@ -57,7 +59,9 @@
"maxOrderQty": "1500.00",
"minOrderQty": "0.01",
"qtyStep": "0.01",
"postOnlyMaxOrderQty": "15000.00"
"postOnlyMaxOrderQty": "15000.00",
"maxMktOrderQty": "500.000",
"minNotionalValue": "5"
},
"unifiedMarginTrade": true,
"fundingInterval": 480,
Expand All @@ -66,4 +70,4 @@
]
},
"time": 1694668718723
}
}
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