Add sandbox example for Bybit (#1659)

Author: davidsblom

examples/sandbox/bybit_sandbox.py

@@ -0,0 +1,149 @@
+#!/usr/bin/env python3
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------
+
+import asyncio
+from decimal import Decimal
+
+from nautilus_trader.adapters.bybit.common.constants import BYBIT_ALL_PRODUCTS
+from nautilus_trader.adapters.bybit.common.enums import BybitProductType
+from nautilus_trader.adapters.bybit.config import BybitDataClientConfig
+from nautilus_trader.adapters.bybit.factories import BybitLiveDataClientFactory
+from nautilus_trader.adapters.bybit.factories import get_bybit_http_client
+from nautilus_trader.adapters.bybit.factories import get_bybit_instrument_provider
+from nautilus_trader.adapters.sandbox.config import SandboxExecutionClientConfig
+from nautilus_trader.adapters.sandbox.execution import SandboxExecutionClient
+from nautilus_trader.adapters.sandbox.factory import SandboxLiveExecClientFactory
+from nautilus_trader.common.component import LiveClock
+from nautilus_trader.config import InstrumentProviderConfig
+from nautilus_trader.config import LoggingConfig
+from nautilus_trader.config import TradingNodeConfig
+from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMaker
+from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMakerConfig
+from nautilus_trader.live.node import TradingNode
+from nautilus_trader.model.data import BarType
+from nautilus_trader.model.identifiers import InstrumentId
+from nautilus_trader.model.identifiers import TraderId
+
+
+# fmt: on
+
+
+# *** THIS IS A TEST STRATEGY WITH NO ALPHA ADVANTAGE WHATSOEVER. ***
+# *** IT IS NOT INTENDED TO BE USED TO TRADE LIVE WITH REAL MONEY. ***
+
+
+async def main():
+    """
+    Show how to run a strategy in a sandbox for the Bybit venue.
+    """
+    # Connect to Bybit client early to load all instruments
+    clock = LiveClock()
+    client = get_bybit_http_client(clock=clock)
+
+    product_types = BYBIT_ALL_PRODUCTS
+    instrument_provider_config = InstrumentProviderConfig(load_all=True)
+    provider = get_bybit_instrument_provider(
+        client=client,
+        clock=clock,
+        product_types=product_types,
+        config=instrument_provider_config,
+    )
+    await provider.load_all_async()
+
+    instruments = provider.list_all()
+
+    # Need to manually set instruments for sandbox exec client
+    SandboxExecutionClient.INSTRUMENTS = instruments
+
+    # Set up the execution clients (required per venue)
+    venues = {str(instrument.venue) for instrument in instruments}
+
+    exec_clients = {}
+    for venue in venues:
+        exec_clients[venue] = SandboxExecutionClientConfig(
+            venue=venue,
+            starting_balances=["10_000 USDT", "10 ETH"],
+            instrument_provider=instrument_provider_config,
+            account_type="MARGIN",
+            oms_type="NETTING",
+        )
+
+    # Configure the trading node
+    config_node = TradingNodeConfig(
+        trader_id=TraderId("TESTER-001"),
+        logging=LoggingConfig(
+            log_level="INFO",
+            # log_level_file="DEBUG",
+            # log_file_format="json",
+            log_colors=True,
+            use_pyo3=True,
+        ),
+        data_clients={
+            "BYBIT": BybitDataClientConfig(
+                api_key=None,  # 'BYBIT_API_KEY' env var
+                api_secret=None,  # 'BYBIT_API_SECRET' env var
+                instrument_provider=instrument_provider_config,
+                product_types=[BybitProductType.LINEAR],
+                testnet=False,  # If client uses the testnet
+            ),
+        },
+        exec_clients=exec_clients,
+        timeout_connection=30.0,
+        timeout_reconciliation=10.0,
+        timeout_portfolio=10.0,
+        timeout_disconnection=10.0,
+        timeout_post_stop=5.0,
+    )
+
+    # Instantiate the node with a configuration
+    node = TradingNode(config=config_node)
+
+    # Configure your strategy
+    strat_config = VolatilityMarketMakerConfig(
+        instrument_id=InstrumentId.from_str("ETHUSDT-LINEAR.BYBIT"),
+        external_order_claims=[InstrumentId.from_str("ETHUSDT-LINEAR.BYBIT")],
+        bar_type=BarType.from_str("ETHUSDT-LINEAR.BYBIT-1-MINUTE-LAST-EXTERNAL"),
+        atr_period=20,
+        atr_multiple=6.0,
+        trade_size=Decimal("0.010"),
+        # manage_gtd_expiry=True,
+    )
+    # Instantiate your strategy
+    strategy = VolatilityMarketMaker(config=strat_config)
+
+    # Add your strategies and modules
+    node.trader.add_strategy(strategy)
+
+    # Register client factories with the node
+    for data_client in config_node.data_clients:
+        node.add_data_client_factory(data_client, BybitLiveDataClientFactory)
+
+    for exec_client in config_node.exec_clients:
+        node.add_exec_client_factory(exec_client, SandboxLiveExecClientFactory)
+
+    node.build()
+
+    try:
+        await node.run_async()
+    finally:
+        await node.stop_async()
+        await asyncio.sleep(1)
+        node.dispose()
+
+
+# Stop and dispose of the node with SIGINT/CTRL+C
+if __name__ == "__main__":
+    asyncio.run(main())