Files
Cerbero-mcp/src/cerbero_mcp/exchanges/bybit/client.py
T

683 lines
24 KiB
Python

from __future__ import annotations
import asyncio
from typing import Any
from pybit.unified_trading import HTTP
from cerbero_mcp.common import indicators as ind
from cerbero_mcp.common import microstructure as micro
def _f(v: Any) -> float | None:
try:
return float(v)
except (TypeError, ValueError):
return None
def _i(v: Any) -> int | None:
try:
return int(v)
except (TypeError, ValueError):
return None
class BybitClient:
def __init__(
self,
api_key: str,
api_secret: str,
testnet: bool = True,
http: Any | None = None,
base_url: str | None = None,
) -> None:
self.api_key = api_key
self.api_secret = api_secret
self.testnet = testnet
# pybit HTTP non accetta `endpoint` come kwarg (vedi _V5HTTPManager.__init__:
# solo `domain`/`tld`/`testnet`). Override URL applicato post-init
# sovrascrivendo l'attributo `endpoint` dell'istanza HTTP.
self.base_url = base_url
if http is None:
http = HTTP(
api_key=api_key,
api_secret=api_secret,
testnet=testnet,
)
if base_url:
http.endpoint = base_url
self._http = http
async def _run(self, fn, /, **kwargs):
return await asyncio.to_thread(fn, **kwargs)
@staticmethod
def _parse_ticker(row: dict) -> dict:
return {
"symbol": row.get("symbol"),
"last_price": _f(row.get("lastPrice")),
"mark_price": _f(row.get("markPrice")),
"bid": _f(row.get("bid1Price")),
"ask": _f(row.get("ask1Price")),
"volume_24h": _f(row.get("volume24h")),
"turnover_24h": _f(row.get("turnover24h")),
"funding_rate": _f(row.get("fundingRate")),
"open_interest": _f(row.get("openInterest")),
}
async def get_ticker(self, symbol: str, category: str = "linear") -> dict:
resp = await self._run(
self._http.get_tickers, category=category, symbol=symbol
)
rows = (resp.get("result") or {}).get("list") or []
if not rows:
return {"symbol": symbol, "error": "not_found"}
return self._parse_ticker(rows[0])
async def get_ticker_batch(
self, symbols: list[str], category: str = "linear"
) -> dict[str, dict]:
out: dict[str, dict] = {}
for sym in symbols:
out[sym] = await self.get_ticker(sym, category=category)
return out
async def get_orderbook(
self, symbol: str, category: str = "linear", limit: int = 50
) -> dict:
resp = await self._run(
self._http.get_orderbook, category=category, symbol=symbol, limit=limit
)
r = resp.get("result") or {}
return {
"symbol": r.get("s"),
"bids": [[float(p), float(q)] for p, q in (r.get("b") or [])],
"asks": [[float(p), float(q)] for p, q in (r.get("a") or [])],
"timestamp": r.get("ts"),
}
async def get_historical(
self,
symbol: str,
category: str = "linear",
interval: str = "60",
start: int | None = None,
end: int | None = None,
limit: int = 1000,
) -> dict:
kwargs = dict(
category=category,
symbol=symbol,
interval=interval,
limit=limit,
)
if start is not None:
kwargs["start"] = start
if end is not None:
kwargs["end"] = end
resp = await self._run(self._http.get_kline, **kwargs)
rows = (resp.get("result") or {}).get("list") or []
rows_sorted = sorted(rows, key=lambda r: int(r[0]))
candles = [
{
"timestamp": int(r[0]),
"open": float(r[1]),
"high": float(r[2]),
"low": float(r[3]),
"close": float(r[4]),
"volume": float(r[5]),
}
for r in rows_sorted
]
return {"symbol": symbol, "candles": candles}
async def get_indicators(
self,
symbol: str,
category: str = "linear",
indicators: list[str] | None = None,
interval: str = "60",
start: int | None = None,
end: int | None = None,
) -> dict:
indicators = indicators or ["rsi", "atr", "macd", "adx"]
historical = await self.get_historical(
symbol, category=category, interval=interval, start=start, end=end
)
candles = historical.get("candles", [])
closes = [c["close"] for c in candles]
highs = [c["high"] for c in candles]
lows = [c["low"] for c in candles]
out: dict[str, Any] = {"symbol": symbol, "category": category}
for name in indicators:
n = name.lower()
if n == "sma":
out["sma"] = ind.sma(closes, 20)
elif n == "rsi":
out["rsi"] = ind.rsi(closes)
elif n == "atr":
out["atr"] = ind.atr(highs, lows, closes)
elif n == "macd":
out["macd"] = ind.macd(closes)
elif n == "adx":
out["adx"] = ind.adx(highs, lows, closes)
else:
out[n] = None
return out
async def get_funding_rate(self, symbol: str, category: str = "linear") -> dict:
resp = await self._run(
self._http.get_tickers, category=category, symbol=symbol
)
rows = (resp.get("result") or {}).get("list") or []
if not rows:
return {"symbol": symbol, "error": "not_found"}
row = rows[0]
return {
"symbol": row.get("symbol"),
"funding_rate": _f(row.get("fundingRate")),
"next_funding_time": _i(row.get("nextFundingTime")),
}
async def get_funding_history(
self, symbol: str, category: str = "linear", limit: int = 100
) -> dict:
resp = await self._run(
self._http.get_funding_rate_history,
category=category, symbol=symbol, limit=limit,
)
rows = (resp.get("result") or {}).get("list") or []
hist = [
{
"timestamp": int(r.get("fundingRateTimestamp", 0)),
"rate": float(r.get("fundingRate", 0)),
}
for r in rows
]
return {"symbol": symbol, "history": hist}
async def get_open_interest(
self,
symbol: str,
category: str = "linear",
interval: str = "5min",
limit: int = 288,
) -> dict:
resp = await self._run(
self._http.get_open_interest,
category=category, symbol=symbol, intervalTime=interval, limit=limit,
)
rows = (resp.get("result") or {}).get("list") or []
points = [
{
"timestamp": int(r.get("timestamp", 0)),
"oi": float(r.get("openInterest", 0)),
}
for r in rows
]
current_oi = points[0]["oi"] if points else None
return {
"symbol": symbol,
"category": category,
"interval": interval,
"current_oi": current_oi,
"points": points,
}
async def get_instruments(self, category: str = "linear", symbol: str | None = None) -> dict:
kwargs: dict[str, Any] = {"category": category}
if symbol:
kwargs["symbol"] = symbol
resp = await self._run(self._http.get_instruments_info, **kwargs)
rows = (resp.get("result") or {}).get("list") or []
instruments = []
for r in rows:
pf = r.get("priceFilter") or {}
lf = r.get("lotSizeFilter") or {}
instruments.append({
"symbol": r.get("symbol"),
"status": r.get("status"),
"base_coin": r.get("baseCoin"),
"quote_coin": r.get("quoteCoin"),
"tick_size": _f(pf.get("tickSize")),
"qty_step": _f(lf.get("qtyStep")),
"min_qty": _f(lf.get("minOrderQty")),
})
return {"category": category, "instruments": instruments}
async def get_option_chain(self, base_coin: str, expiry: str | None = None) -> dict:
kwargs: dict[str, Any] = {"category": "option", "baseCoin": base_coin.upper()}
resp = await self._run(self._http.get_instruments_info, **kwargs)
rows = (resp.get("result") or {}).get("list") or []
options = []
for r in rows:
delivery = r.get("deliveryTime")
if expiry and expiry not in r.get("symbol", ""):
continue
options.append({
"symbol": r.get("symbol"),
"base_coin": r.get("baseCoin"),
"settle_coin": r.get("settleCoin"),
"type": r.get("optionsType"),
"launch_time": int(r.get("launchTime", 0)),
"delivery_time": int(delivery) if delivery else None,
})
return {"base_coin": base_coin.upper(), "options": options}
async def get_positions(
self, category: str = "linear", settle_coin: str = "USDT"
) -> list[dict]:
kwargs: dict[str, Any] = {"category": category}
if category in ("linear", "inverse"):
kwargs["settleCoin"] = settle_coin
resp = await self._run(self._http.get_positions, **kwargs)
rows = (resp.get("result") or {}).get("list") or []
out = []
for r in rows:
out.append({
"symbol": r.get("symbol"),
"side": r.get("side"),
"size": _f(r.get("size")),
"entry_price": _f(r.get("avgPrice")),
"unrealized_pnl": _f(r.get("unrealisedPnl")),
"leverage": _f(r.get("leverage")),
"liquidation_price": _f(r.get("liqPrice")),
"position_value": _f(r.get("positionValue")),
})
return out
async def get_account_summary(self, account_type: str = "UNIFIED") -> dict:
resp = await self._run(
self._http.get_wallet_balance, accountType=account_type
)
rows = (resp.get("result") or {}).get("list") or []
if not rows:
return {"error": "no_account"}
a = rows[0]
coins = []
for c in a.get("coin") or []:
coins.append({
"coin": c.get("coin"),
"wallet_balance": _f(c.get("walletBalance")),
"equity": _f(c.get("equity")),
})
return {
"account_type": a.get("accountType"),
"equity": _f(a.get("totalEquity")),
"wallet_balance": _f(a.get("totalWalletBalance")),
"margin_balance": _f(a.get("totalMarginBalance")),
"available_balance": _f(a.get("totalAvailableBalance")),
"unrealized_pnl": _f(a.get("totalPerpUPL")),
"coins": coins,
}
async def get_trade_history(
self, category: str = "linear", limit: int = 50
) -> list[dict]:
resp = await self._run(
self._http.get_executions, category=category, limit=limit
)
rows = (resp.get("result") or {}).get("list") or []
return [
{
"symbol": r.get("symbol"),
"side": r.get("side"),
"size": _f(r.get("execQty")),
"price": _f(r.get("execPrice")),
"fee": _f(r.get("execFee")),
"timestamp": _i(r.get("execTime")),
"order_id": r.get("orderId"),
}
for r in rows
]
async def get_open_orders(
self,
category: str = "linear",
symbol: str | None = None,
settle_coin: str = "USDT",
) -> list[dict]:
kwargs: dict[str, Any] = {"category": category}
if category in ("linear", "inverse") and not symbol:
kwargs["settleCoin"] = settle_coin
if symbol:
kwargs["symbol"] = symbol
resp = await self._run(self._http.get_open_orders, **kwargs)
rows = (resp.get("result") or {}).get("list") or []
return [
{
"order_id": r.get("orderId"),
"symbol": r.get("symbol"),
"side": r.get("side"),
"qty": _f(r.get("qty")),
"price": _f(r.get("price")),
"type": r.get("orderType"),
"status": r.get("orderStatus"),
"reduce_only": bool(r.get("reduceOnly")),
}
for r in rows
]
async def get_orderbook_imbalance(
self,
symbol: str,
category: str = "linear",
depth: int = 10,
) -> dict:
"""Microstructure: bid/ask imbalance ratio + microprice + slope."""
ob = await self.get_orderbook(symbol=symbol, category=category, limit=max(depth, 50))
result = micro.orderbook_imbalance(ob.get("bids") or [], ob.get("asks") or [], depth=depth)
return {
"symbol": symbol,
"category": category,
"depth": depth,
**result,
"timestamp": ob.get("timestamp"),
}
async def get_basis_term_structure(self, asset: str) -> dict:
"""Basis curve futures (dated) vs perp + spot. Filtra contratti future
BTCUSDT / ETHUSDT con scadenza, calcola annualized basis per ognuno.
"""
import datetime as _dt
asset = asset.upper()
spot = await self.get_ticker(f"{asset}USDT", category="spot")
perp = await self.get_ticker(f"{asset}USDT", category="linear")
sp = spot.get("last_price")
pp = perp.get("last_price")
# Lista futures dated (linear/inverse)
instr = await self.get_instruments(category="linear")
items = (instr.get("instruments") or [])
futures = [
x for x in items
if x.get("symbol", "").startswith(f"{asset}-") or x.get("symbol", "").startswith(f"{asset}USDT-")
]
rows: list[dict[str, Any]] = []
if sp:
now_ms = int(_dt.datetime.now(_dt.UTC).timestamp() * 1000)
for f in futures[:10]:
tk = await self.get_ticker(f["symbol"], category="linear")
fp = tk.get("last_price")
expiry_ms = f.get("delivery_time")
if not fp or not expiry_ms:
continue
days = max((int(expiry_ms) - now_ms) / 86_400_000, 1)
basis_pct = 100.0 * (fp - sp) / sp
annualized = basis_pct * 365.0 / days
rows.append({
"symbol": f["symbol"],
"expiry_ms": int(expiry_ms),
"days_to_expiry": round(days, 2),
"future_price": fp,
"basis_pct": round(basis_pct, 4),
"annualized_basis_pct": round(annualized, 4),
})
rows.sort(key=lambda r: r["days_to_expiry"])
return {
"asset": asset,
"spot_price": sp,
"perp_price": pp,
"perp_basis_pct": round(100.0 * (pp - sp) / sp, 4) if (sp and pp) else None,
"term_structure": rows,
"data_timestamp": _dt.datetime.now(_dt.UTC).isoformat(),
}
async def get_basis_spot_perp(self, asset: str) -> dict:
asset = asset.upper()
symbol = f"{asset}USDT"
spot = await self.get_ticker(symbol, category="spot")
perp = await self.get_ticker(symbol, category="linear")
sp = spot.get("last_price")
pp = perp.get("last_price")
basis_abs = basis_pct = None
if sp and pp:
basis_abs = pp - sp
basis_pct = 100.0 * basis_abs / sp
return {
"asset": asset,
"symbol": symbol,
"spot_price": sp,
"perp_price": pp,
"basis_abs": basis_abs,
"basis_pct": basis_pct,
"funding_rate": perp.get("funding_rate"),
}
def _envelope(self, resp: dict, payload: dict) -> dict:
code = resp.get("retCode", 0)
if code != 0:
return {"error": resp.get("retMsg", "bybit_error"), "code": code}
return payload
async def place_order(
self,
category: str,
symbol: str,
side: str,
qty: float,
order_type: str = "Limit",
price: float | None = None,
tif: str = "GTC",
reduce_only: bool = False,
position_idx: int | None = None,
) -> dict:
kwargs: dict[str, Any] = {
"category": category,
"symbol": symbol,
"side": side,
"qty": str(qty),
"orderType": order_type,
"timeInForce": tif,
"reduceOnly": reduce_only,
}
if price is not None:
kwargs["price"] = str(price)
if position_idx is not None:
kwargs["positionIdx"] = position_idx
if category == "option":
import uuid
kwargs["orderLinkId"] = f"cerbero-{uuid.uuid4().hex[:16]}"
resp = await self._run(self._http.place_order, **kwargs)
r = resp.get("result") or {}
return self._envelope(resp, {
"order_id": r.get("orderId"),
"order_link_id": r.get("orderLinkId"),
"status": "submitted",
})
async def place_combo_order(
self,
category: str,
legs: list[dict[str, Any]],
) -> dict:
"""Atomic multi-leg via /v5/order/create-batch (Bybit option only).
Bybit supporta batch_order solo su category='option'. Per perp/linear
usare loop di place_order (non atomic).
legs: [{symbol, side, qty, order_type, price?, tif?, reduce_only?}].
"""
if category != "option":
raise ValueError("place_combo_order: Bybit batch_order è disponibile solo su category='option'")
if len(legs) < 2:
raise ValueError("combo requires at least 2 legs")
import uuid
request: list[dict[str, Any]] = []
for leg in legs:
entry: dict[str, Any] = {
"symbol": leg["symbol"],
"side": leg["side"],
"qty": str(leg["qty"]),
"orderType": leg.get("order_type", "Limit"),
"timeInForce": leg.get("tif", "GTC"),
"reduceOnly": leg.get("reduce_only", False),
"orderLinkId": f"cerbero-{uuid.uuid4().hex[:16]}",
}
if leg.get("price") is not None:
entry["price"] = str(leg["price"])
request.append(entry)
resp = await self._run(self._http.place_batch_order, category=category, request=request)
result_list = (resp.get("result") or {}).get("list") or []
orders = [
{
"order_id": r.get("orderId"),
"order_link_id": r.get("orderLinkId"),
"status": "submitted",
}
for r in result_list
]
return self._envelope(resp, {"orders": orders})
async def amend_order(
self,
category: str,
symbol: str,
order_id: str,
new_qty: float | None = None,
new_price: float | None = None,
) -> dict:
kwargs: dict[str, Any] = {
"category": category,
"symbol": symbol,
"orderId": order_id,
}
if new_qty is not None:
kwargs["qty"] = str(new_qty)
if new_price is not None:
kwargs["price"] = str(new_price)
resp = await self._run(self._http.amend_order, **kwargs)
r = resp.get("result") or {}
return self._envelope(resp, {
"order_id": r.get("orderId", order_id),
"status": "amended",
})
async def cancel_order(
self, category: str, symbol: str, order_id: str
) -> dict:
resp = await self._run(
self._http.cancel_order,
category=category, symbol=symbol, orderId=order_id,
)
r = resp.get("result") or {}
return self._envelope(resp, {
"order_id": r.get("orderId", order_id),
"status": "cancelled",
})
async def cancel_all_orders(
self, category: str, symbol: str | None = None
) -> dict:
kwargs: dict[str, Any] = {"category": category}
if symbol:
kwargs["symbol"] = symbol
resp = await self._run(self._http.cancel_all_orders, **kwargs)
r = resp.get("result") or {}
ids = [x.get("orderId") for x in (r.get("list") or [])]
return self._envelope(resp, {
"cancelled_ids": ids,
"count": len(ids),
})
async def set_stop_loss(
self, category: str, symbol: str, stop_loss: float,
position_idx: int = 0,
) -> dict:
resp = await self._run(
self._http.set_trading_stop,
category=category, symbol=symbol,
stopLoss=str(stop_loss), positionIdx=position_idx,
)
return self._envelope(resp, {
"symbol": symbol, "stop_loss": stop_loss,
"status": "stop_loss_set",
})
async def set_take_profit(
self, category: str, symbol: str, take_profit: float,
position_idx: int = 0,
) -> dict:
resp = await self._run(
self._http.set_trading_stop,
category=category, symbol=symbol,
takeProfit=str(take_profit), positionIdx=position_idx,
)
return self._envelope(resp, {
"symbol": symbol, "take_profit": take_profit,
"status": "take_profit_set",
})
async def close_position(self, category: str, symbol: str) -> dict:
positions = await self.get_positions(category=category)
target = next((p for p in positions if p["symbol"] == symbol and (p["size"] or 0) > 0), None)
if not target:
return {"error": "no_open_position", "symbol": symbol}
close_side = "Sell" if target["side"] == "Buy" else "Buy"
return await self.place_order(
category=category,
symbol=symbol,
side=close_side,
qty=target["size"],
order_type="Market",
reduce_only=True,
tif="IOC",
)
async def set_leverage(
self, category: str, symbol: str, leverage: int
) -> dict:
resp = await self._run(
self._http.set_leverage,
category=category, symbol=symbol,
buyLeverage=str(leverage), sellLeverage=str(leverage),
)
return self._envelope(resp, {
"symbol": symbol, "leverage": leverage,
"status": "leverage_set",
})
async def switch_position_mode(
self, category: str, symbol: str, mode: str
) -> dict:
mode_code = 3 if mode.lower() == "hedge" else 0
resp = await self._run(
self._http.switch_position_mode,
category=category, symbol=symbol, mode=mode_code,
)
return self._envelope(resp, {
"symbol": symbol, "mode": mode,
"status": "mode_switched",
})
async def transfer_asset(
self,
coin: str,
amount: float,
from_type: str,
to_type: str,
) -> dict:
import uuid
resp = await self._run(
self._http.create_internal_transfer,
transferId=str(uuid.uuid4()),
coin=coin,
amount=str(amount),
fromAccountType=from_type,
toAccountType=to_type,
)
r = resp.get("result") or {}
return self._envelope(resp, {
"transfer_id": r.get("transferId"),
"coin": coin,
"amount": amount,
"status": "submitted",
})