Add Bybit exchange with simple support for IOrderBookSource only

Author: shaynevanasperen

Crypto.Websocket.Extensions.sln.DotSettings

@@ -13,6 +13,7 @@
 	<s:Boolean x:Key="/Default/UserDictionary/Words/=BTCEUR/@EntryIndexedValue">True</s:Boolean>
 	<s:Boolean x:Key="/Default/UserDictionary/Words/=BTCUSD/@EntryIndexedValue">True</s:Boolean>
 	<s:Boolean x:Key="/Default/UserDictionary/Words/=btcusdt/@EntryIndexedValue">True</s:Boolean>
+	<s:Boolean x:Key="/Default/UserDictionary/Words/=Bybit/@EntryIndexedValue">True</s:Boolean>
 	<s:Boolean x:Key="/Default/UserDictionary/Words/=Coinbase/@EntryIndexedValue">True</s:Boolean>
 	<s:Boolean x:Key="/Default/UserDictionary/Words/=Cryptocurrency/@EntryIndexedValue">True</s:Boolean>
 	<s:Boolean x:Key="/Default/UserDictionary/Words/=Delimeter/@EntryIndexedValue">True</s:Boolean>

src/Crypto.Websocket.Extensions/Crypto.Websocket.Extensions.csproj

@@ -29,6 +29,7 @@
 		<PackageReference Include="Bitfinex.Client.Websocket" Version="4.2.0" />
 		<PackageReference Include="Bitmex.Client.Websocket" Version="3.2.1" />
 		<PackageReference Include="Bitstamp.Client.Websocket" Version="1.1.1" />
+		<PackageReference Include="Bybit.Client.Websocket" Version="1.0.1" />
 		<PackageReference Include="Coinbase.Client.Websocket" Version="2.2.1" />
 		<PackageReference Include="Luno.Client.Websocket" Version="8.0.1" />
 		<PackageReference Include="Valr.Client.Websocket" Version="5.3.0" />

src/Crypto.Websocket.Extensions/OrderBooks/Sources/BybitOrderBookSource.cs

@@ -0,0 +1,139 @@
+using System;
+using System.Collections.Generic;
+using System.Globalization;
+using System.Linq;
+using System.Threading.Tasks;
+using Bybit.Client.Websocket.Client;
+using Bybit.Client.Websocket.Responses;
+using Crypto.Websocket.Extensions.Core.Models;
+using Crypto.Websocket.Extensions.Core.OrderBooks;
+using Crypto.Websocket.Extensions.Core.OrderBooks.Models;
+using Crypto.Websocket.Extensions.Core.OrderBooks.Sources;
+using Crypto.Websocket.Extensions.Core.Validations;
+using Microsoft.Extensions.Logging;
+
+namespace Crypto.Websocket.Extensions.OrderBooks.Sources
+{
+	/// <summary>
+	/// Bybit order book source - based on snapshot plus diffs
+	/// </summary>
+	public class BybitOrderBookSource : OrderBookSourceBase
+	{
+		private IBybitPublicWebsocketClient _client = null!;
+		private IDisposable? _snapshotSubscription;
+		private IDisposable? _updateSubscription;
+
+		/// <inheritdoc />
+		public BybitOrderBookSource(IBybitPublicWebsocketClient client, ILogger logger) : base(logger)
+		{
+			ChangeClient(client);
+		}
+
+		/// <inheritdoc />
+		public override string ExchangeName => "bybit";
+
+		/// <summary>
+		/// Change client and resubscribe to the new streams
+		/// </summary>
+		public void ChangeClient(IBybitPublicWebsocketClient client)
+		{
+			CryptoValidations.ValidateInput(client, nameof(client));
+
+			_client = client;
+			_snapshotSubscription?.Dispose();
+			_updateSubscription?.Dispose();
+			Subscribe();
+		}
+
+		/// <inheritdoc />
+		public override void Dispose()
+		{
+			base.Dispose();
+			_snapshotSubscription?.Dispose();
+		}
+
+		private void Subscribe()
+		{
+			_snapshotSubscription = _client.Streams.OrderBookSnapshotStream.Subscribe(HandleSnapshot);
+			_updateSubscription = _client.Streams.OrderBookDeltaStream.Subscribe(HandleDelta);
+		}
+
+		private void HandleSnapshot(OrderBookSnapshotResponse response)
+		{
+			// received snapshot, convert and stream
+			var levels = ConvertLevels(response);
+			var bulk = new OrderBookLevelBulk(OrderBookAction.Insert, levels, CryptoOrderBookType.L2);
+			FillBulk(response, bulk);
+			StreamSnapshot(bulk);
+		}
+
+		private void HandleDelta(OrderBookDeltaResponse response)
+		{
+			BufferData(response);
+		}
+
+		private static OrderBookLevel[] ConvertLevels(OrderBookResponse response)
+		{
+			var bids = response.Data.Bids
+				.Select(x => ConvertLevel(x, CryptoOrderSide.Bid, response.Data.Symbol))
+				.ToArray();
+			var asks = response.Data.Asks
+				.Select(x => ConvertLevel(x, CryptoOrderSide.Ask, response.Data.Symbol))
+				.ToArray();
+			return bids.Concat(asks).ToArray();
+		}
+
+		private static OrderBookLevel ConvertLevel(double[] x, CryptoOrderSide side, string pair)
+		{
+			return new
+			(
+				x[0].ToString(CultureInfo.InvariantCulture),
+				side,
+				x[0],
+				x[1],
+				null,
+				pair
+			);
+		}
+
+		private static OrderBookAction RecognizeAction(OrderBookLevel level) => level.Amount > 0 ? OrderBookAction.Update : OrderBookAction.Delete;
+
+		/// <inheritdoc />
+		protected override Task<OrderBookLevelBulk?> LoadSnapshotInternal(string? pair, int count = 1000) => Task.FromResult<OrderBookLevelBulk?>(null);
+
+		private IEnumerable<OrderBookLevelBulk> ConvertDiff(OrderBookDeltaResponse response)
+		{
+			var levels = ConvertLevels(response);
+			var group = levels.GroupBy(RecognizeAction).ToArray();
+			foreach (var actionGroup in group)
+			{
+				var bulk = new OrderBookLevelBulk(actionGroup.Key, actionGroup.ToArray(), CryptoOrderBookType.L2);
+				FillBulk(response, bulk);
+				yield return bulk;
+			}
+		}
+
+		private void FillBulk(OrderBookResponse response, OrderBookLevelBulk bulk)
+		{
+			bulk.ExchangeName = ExchangeName;
+			bulk.ServerTimestamp = response.CreatedTimestamp;
+			bulk.ServerSequence = response.Data.Sequence;
+		}
+
+		/// <inheritdoc />
+		protected override OrderBookLevelBulk[] ConvertData(object[] data)
+		{
+			var result = new List<OrderBookLevelBulk>();
+			foreach (var response in data)
+			{
+				if (response is not OrderBookDeltaResponse orderBookDeltaResponse)
+					continue;
+
+				var converted = ConvertDiff(orderBookDeltaResponse);
+				result.AddRange(converted);
+			}
+
+			return result.ToArray();
+		}
+	}
+}