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bybit simple market maker

License: MIT License

Python 100.00%

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bybit-smm's Issues

Klines websocket pushing incorrect data, causing duplicate timestamps (affects all klines indicators)

Can you explain better this bug? I have been trying to repreduce it, but without any success until now!

Unintended complex numbers output

Just as a heads up in the v2 alpha branch in smm/quote_generators/plain.py.
You allow negative numbers as input.

    def generate_orders(self, skew: float, spread: float) -> List:
        if skew > 0.0:
            return self.generate_positive_skew_quotes(skew, spread)
        elif skew <= 0.0:
            return self.generate_negative_skew_quotes(skew, spread)

Negative skew values will be used in:

        half_spread = spread / 2
        aggressiveness = self.params["aggressiveness"] * (skew**0.5)

        best_bid_price = self.mid - (half_spread * (1.0 - aggressiveness))
        best_ask_price = best_bid_price + spread

This will cause unintended issues. Best shown by an example.

skew = -0.99
with_skew_var = 0.5 * (skew**0.5)

print("with skew var", with_skew_var)
print("with skew var",type(with_skew_var))


without_skew_var = 0.5 * (-0.99**0.5)
print("\n")
print("without skew var", without_skew_var)
print("without skew var",type(without_skew_var))

Output:

with skew var (3.0462704501111267e-17+0.49749371855331j)
with skew var <class 'complex'>


without skew var -0.49749371855331
without skew var <class 'float'>

Afaik interprets python the one with the skew variable used as: (-0.99)**0.5.
While interpreting the one without the var used as: -(0.99**0.5).
Raising a negative number to a fractional exponent results in a complex number rather than the expected float.

Have you not yet encountered this? I haven't looked at the skew calcs in depth yet and I know it's still a WIP maybe the current skew calcs will never output negative skew or the skew value is coming from somewhere else idk.

Orderbooks resetting book on every update regardless if its a snapshot or delta message

Below is from the bybit orderbook handler but saw the same thing in the binance one.
on snapshot or update_id representing a snapshot message ob is reset using snapshot data

                self.update_id = new_update_id
                self.bids = np.array(data["b"], dtype=np.float64)
                self.asks = np.array(data["a"], dtype=np.float64)
                self.orderbook.refresh(self.asks, self.bids)

Makes sense, note self.update_id is set (probably to 1 because of snapshot).

Then if message is not snapshot and not update_id 1 (so perhaps "delta" and 1234). We then check if 1234 > self.update_id which is probably still 1 from the last snapshot reset. So any delta msg will then reset bids or asks if it has any data for them.
self.bids = np.array(data["b"], dtype=np.float64) for example

Is this intented? Surely you would want to update your book on delta messages rather than overwriting one or both sides entirely?
Afaik current implementation only works if you get a full book update on delta messages but then whats the snapshot for?
I thought usually delta message only contains data for bids/asks that actually had a change in p or q in any way.
Anyways love to hear your thoughts I might just be missing something simple!

    def process(self, recv: Dict) -> None:
        try:
            data = recv["data"]
            new_update_id = int(data["u"])
            update_type = recv["type"]

            if new_update_id == 1 or update_type == "snapshot":
                self.update_id = new_update_id
                self.bids = np.array(data["b"], dtype=np.float64)
                self.asks = np.array(data["a"], dtype=np.float64)
                self.orderbook.refresh(self.asks, self.bids)

            elif new_update_id > self.update_id:
                self.update_id = new_update_id

                if len(data.get("b", [])) > 0:
                    self.bids = np.array(data["b"], dtype=np.float64)
                    self.orderbook.update_bids(self.bids)

                if len(data.get("a", [])) > 0:
                    self.asks = np.array(data["a"], dtype=np.float64)
                    self.orderbook.update_asks(self.asks)

        except Exception as e:
            raise Exception(f"Orderbook Process :: {e}")

Invalid request

Hi, I was able to start the bot but facing an issue with the request. Here is the callback.

2024-04-09 13:00:01.263755: Starting data feeds...
2024-04-09 13:00:08.875183: Connected to ['position', 'order'] bybit feeds...
2024-04-09 13:00:10.722021: Connected to ['orderbook.500.ETHUSDT', 'orderbook.1.ETHUSDT', 'publicTrade.ETHUSDT', 'tickers.ETHUSDT', 'kline.1.ETHUSDT'] bybit feeds...
2024-04-09 13:00:10.877842: Starting strategy...
2024-04-09 13:00:48.918788: Error: 10002/invalid request, please check your server timestamp or recv_window param. req_timestamp[1712638815956],server_timestamp[1712638849231],recv_window[5000] | Endpoint: /v5/order/create-batch
2024-04-09 13:00:54.584375: Error: 10002/invalid request, please check your server timestamp or recv_window param. req_timestamp[1712638849922],server_timestamp[1712638855248],recv_window[5000] | Endpoint: /v5/order/cancel-all
2024-04-09 13:02:17.384118: Error: 10002/invalid request, please check your server timestamp or recv_window param. req_timestamp[1712638877054],server_timestamp[1712638938078],recv_window[5000] | Endpoint: /v5/order/cancel-all

Invalid request

2024-04-09 13:00:01.263755: Starting data feeds...
2024-04-09 13:00:08.875183: Connected to ['position', 'order'] bybit feeds...
2024-04-09 13:00:10.722021: Connected to ['orderbook.500.ETHUSDT', 'orderbook.1.ETHUSDT', 'publicTrade.ETHUSDT', 'tickers.ETHUSDT', 'kline.1.ETHUSDT'] bybit feeds...
2024-04-09 13:00:10.877842: Starting strategy...
2024-04-09 13:00:48.918788: Error: 10002/invalid request, please check your server timestamp or recv_window param. req_timestamp[1712638815956],server_timestamp[1712638849231],recv_window[5000] | Endpoint: /v5/order/create-batch
2024-04-09 13:00:54.584375: Error: 10002/invalid request, please check your server timestamp or recv_window param. req_timestamp[1712638849922],server_timestamp[1712638855248],recv_window[5000] | Endpoint: /v5/order/cancel-all
2024-04-09 13:02:17.384118: Error: 10002/invalid request, please check your server timestamp or recv_window param. req_timestamp[1712638877054],server_timestamp[1712638938078],recv_window[5000] | Endpoint: /v5/order/cancel-all

OMS: self.ss.buffer missing

Greetings!
Wonder why in these lines of code you do such comparison and what is the value to use for it, since there is no self.ss.buffer in SharedState.py?
Thanks in advance!

OMS: amend_orders func
https://github.com/beatzxbt/bybit-smm/blob/56c803b25b836de459f6876b96f473b7c7cea82c/src/strategy/oms.py#L83C13-L83C59

OMS: 5th check
https://github.com/beatzxbt/bybit-smm/blob/56c803b25b836de459f6876b96f473b7c7cea82c/src/strategy/oms.py#L178C13-L178C60

np.log() is utilized inversely

master branch : bybit-smm\src\strategy\features\mark_spread.py
def : log_price_difference

beatzxbt / bybit-smm Goto Github PK

bybit-smm's People

Contributors

Stargazers

Watchers

Forkers

bybit-smm's Issues

Klines websocket pushing incorrect data, causing duplicate timestamps (affects all klines indicators)

Unintended complex numbers output

Orderbooks resetting book on every update regardless if its a snapshot or delta message

Invalid request

Invalid request

OMS: self.ss.buffer missing

np.log() is utilized inversely

please add spoofing

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