Bybit: Add FundingRate and OrderBook Support (#601)

* latest libs

* funding and order book

* Update ExchangeSharp.csproj

Author: jacobjthompson

src/ExchangeSharp/API/Exchanges/Bybit/ExchangeBybitAPI.cs

@@ -42,7 +42,7 @@ private ExchangeBybitAPI()
             RequestContentType = "application/json";
             WebSocketOrderBookType = WebSocketOrderBookType.FullBookFirstThenDeltas;
 
-            RateLimit = new RateGate(100, TimeSpan.FromMinutes(1));
+            RateLimit = new RateGate(500, TimeSpan.FromMinutes(1));
         }
 
         public override Task<string> ExchangeMarketSymbolToGlobalMarketSymbolAsync(string marketSymbol)
@@ -560,6 +560,46 @@ protected override async Task<Dictionary<string, decimal>> OnGetAmountsAvailable
         {
             return await DoGetAmountsAsync("available_balance");
         }
+        protected override async Task<ExchangeOrderBook> OnGetOrderBookAsync(string marketSymbol, int maxCount = 100)
+        {
+            /*
+            {
+                "ret_code": 0,                              // return code
+                "ret_msg": "OK",                            // error message
+                "ext_code": "",                             // additional error code
+                "ext_info": "",                             // additional error info
+                "result": [
+                    {
+                        "symbol": "BTCUSD",                 // symbol
+                        "price": "9487",                    // price
+                        "size": 336241,                     // size (in USD contracts)
+                        "side": "Buy"                       // side
+                    },
+                    {
+                        "symbol": "BTCUSD",                 // symbol
+                        "price": "9487.5",                  // price
+                        "size": 522147,                     // size (in USD contracts)
+                        "side": "Sell"                      // side
+                    }
+                ],
+                "time_now": "1567108756.834357"             // UTC timestamp
+            }
+            */
+            var tokens = CheckRetCode(await DoMakeJsonRequestAsync<JToken>($"/v2/public/orderBook/L2?symbol={marketSymbol}"));
+            var orderBook = new ExchangeOrderBook();
+            foreach (var token in tokens) 
+            {
+                var orderPrice = new ExchangeOrderPrice();
+                orderPrice.Price = token["price"].ConvertInvariant<decimal>();
+                orderPrice.Amount = token["size"].ConvertInvariant<decimal>();
+                if (token["side"].ToStringInvariant() == "Sell")
+                    orderBook.Asks.Add(orderPrice.Price, orderPrice);
+                else
+                    orderBook.Bids.Add(orderPrice.Price, orderPrice);
+            }
+
+            return orderBook;
+        }
 
         public async Task<IEnumerable<ExchangePosition>> GetCurrentPositionsAsync()
         {
@@ -620,6 +660,64 @@ public async Task<IEnumerable<ExchangePosition>> GetCurrentPositionsAsync()
             return positions;
         }
 
+        public async Task<ExchangeFunding> GetCurrentFundingRateAsync(string marketSymbol)
+        {
+            /*
+            {
+                "ret_code": 0,
+                "ret_msg": "ok",
+                "ext_code": "",
+                "result": {
+                    "symbol": "BTCUSD",
+                    "funding_rate": "0.00010000",
+                    "funding_rate_timestamp": 1577433600
+                },
+                "ext_info": null,
+                "time_now": "1577445586.446797",
+                "rate_limit_status": 119,
+                "rate_limit_reset_ms": 1577445586454,
+                "rate_limit": 120
+            }
+            */
+            JToken token = CheckRetCode(await DoMakeJsonRequestAsync<JToken>($"/v2/public/funding/prev-funding-rate?symbol={marketSymbol}"));
+            var funding = new ExchangeFunding();
+            funding.MarketSymbol = token["symbol"].ToStringInvariant();
+            funding.Rate = token["funding_rate"].ConvertInvariant<decimal>();
+            // funding.TimeStamp = Convert.ToDateTime(TimeSpan.FromSeconds(token["funding_rate_timestamp"].ConvertInvariant<int>()));
+            funding.TimeStamp = CryptoUtility.UnixTimeStampToDateTimeSeconds(token["funding_rate_timestamp"].ConvertInvariant<int>());
+
+            return funding;
+        }
+
+        public async Task<ExchangeFunding> GetPredictedFundingRateAsync(string marketSymbol)
+        {
+            /*
+            {
+                "ret_code": 0,
+                "ret_msg": "ok",
+                "ext_code": "",
+                "result": {
+                    "predicted_funding_rate": 0.0001,
+                    "predicted_funding_fee": 0
+                },
+                "ext_info": null,
+                "time_now": "1577447415.583259",
+                "rate_limit_status": 118,
+                "rate_limit_reset_ms": 1577447415590,
+                "rate_limit": 120
+            }
+            */
+            var extraParams = new Dictionary<string, object>();
+            extraParams["symbol"] = marketSymbol;
+            var queryString = await GetAuthenticatedQueryString(extraParams);
+            JToken token = CheckRetCode(await DoMakeJsonRequestAsync<JToken>($"/v2/private/funding/predicted-funding?" + queryString, BaseUrl, null, "GET"));
+            var funding = new ExchangeFunding();
+            funding.MarketSymbol = marketSymbol;
+            funding.Rate = token["predicted_funding_rate"].ConvertInvariant<decimal>();
+
+            return funding;
+        }
+
         private async Task<IEnumerable<ExchangeOrderResult>> DoGetOrderDetailsAsync(string orderId, string marketSymbol = null)
         {
             var extraParams = new Dictionary<string, object>();

src/ExchangeSharp/Model/ExchangeFunding.cs

@@ -0,0 +1,35 @@
+/*
+MIT LICENSE
+
+Copyright 2021 Digital Ruby, LLC - http://www.digitalruby.com
+
+Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
+*/
+
+using System;
+
+namespace ExchangeSharp
+{
+    /// <summary>Exchange funding information</summary>
+    public sealed class ExchangeFunding
+    {
+        /// <summary>
+        /// The market symbol.
+        /// </summary>
+        public string MarketSymbol { get; set; }
+
+        /// <summary>
+        /// Funding Rate
+        /// </summary>
+        public decimal Rate { get; set; }
+
+        /// <summary>
+        /// TimeStamp
+        /// </summary>
+        public DateTime TimeStamp { get; set; }
+    }
+}