Implement _subscribe_instrument for dYdX and Bybit (#2636)

Author: davidsblom

nautilus_trader/adapters/bybit/data.py

@@ -55,10 +55,14 @@
 from nautilus_trader.data.messages import RequestQuoteTicks
 from nautilus_trader.data.messages import RequestTradeTicks
 from nautilus_trader.data.messages import SubscribeBars
+from nautilus_trader.data.messages import SubscribeInstrument
+from nautilus_trader.data.messages import SubscribeInstruments
 from nautilus_trader.data.messages import SubscribeOrderBook
 from nautilus_trader.data.messages import SubscribeQuoteTicks
 from nautilus_trader.data.messages import SubscribeTradeTicks
 from nautilus_trader.data.messages import UnsubscribeBars
+from nautilus_trader.data.messages import UnsubscribeInstrument
+from nautilus_trader.data.messages import UnsubscribeInstruments
 from nautilus_trader.data.messages import UnsubscribeOrderBook
 from nautilus_trader.data.messages import UnsubscribeQuoteTicks
 from nautilus_trader.data.messages import UnsubscribeTradeTicks
@@ -273,6 +277,57 @@ async def _update_instruments(self, interval_mins: int) -> None:
         except asyncio.CancelledError:
             self._log.debug("Canceled task 'update_instruments'")
 
+    async def _subscribe_instruments(self, command: SubscribeInstruments) -> None:
+        """
+        Subscribe to instruments updates.
+
+        Parameters
+        ----------
+        command : SubscribeInstruments
+            The command to subscribe to instruments.
+
+        """
+        self._log.info("Skipping subscribe_instruments, Bybit subscribes automatically")
+
+    async def _subscribe_instrument(self, command: SubscribeInstrument) -> None:
+        """
+        Subscribe to instrument updates.
+
+        Parameters
+        ----------
+        command : SubscribeInstrument
+            The command to subscribe to instrument.
+
+        """
+        self._log.info("Skipping subscribe_instrument, Bybit subscribes automatically")
+
+    async def _unsubscribe_instruments(
+        self,
+        command: UnsubscribeInstruments,
+    ) -> None:
+        """
+        Unsubscribe from instruments updates.
+
+        Parameters
+        ----------
+        command : UnsubscribeInstruments
+            The command to unsubscribe from instruments updates.
+
+        """
+        self._log.info("Skipping unsubscribe_instruments, not applicable for Bybit")
+
+    async def _unsubscribe_instrument(self, command: UnsubscribeInstrument) -> None:
+        """
+        Unsubscribe from instrument updates.
+
+        Parameters
+        ----------
+        command : UnsubscribeInstrument
+            The command to unsubscribe from instrument updates.
+
+        """
+        self._log.info("Skipping unsubscribe_instrument, not applicable for Bybit")
+
     async def _subscribe_order_book_deltas(self, command: SubscribeOrderBook) -> None:
         if command.book_type == BookType.L3_MBO:
             self._log.error(

nautilus_trader/adapters/dydx/data.py

@@ -48,10 +48,14 @@
 from nautilus_trader.common.enums import LogColor
 from nautilus_trader.data.messages import RequestBars
 from nautilus_trader.data.messages import SubscribeBars
+from nautilus_trader.data.messages import SubscribeInstrument
+from nautilus_trader.data.messages import SubscribeInstruments
 from nautilus_trader.data.messages import SubscribeOrderBook
 from nautilus_trader.data.messages import SubscribeQuoteTicks
 from nautilus_trader.data.messages import SubscribeTradeTicks
 from nautilus_trader.data.messages import UnsubscribeBars
+from nautilus_trader.data.messages import UnsubscribeInstrument
+from nautilus_trader.data.messages import UnsubscribeInstruments
 from nautilus_trader.data.messages import UnsubscribeOrderBook
 from nautilus_trader.data.messages import UnsubscribeQuoteTicks
 from nautilus_trader.data.messages import UnsubscribeTradeTicks
@@ -152,8 +156,8 @@ def __init__(
             base_url=ws_base_url,
             loop=loop,
             max_send_retries=config.max_retries or 3,
-            delay_initial_ms=config.retry_delay_initial_ms or 1_000,
-            delay_max_ms=config.retry_delay_max_ms or 10_000,
+            delay_initial_ms=config.retry_delay_initial_ms or 100,
+            delay_max_ms=config.retry_delay_max_ms or 5_000,
             backoff_factor=2,
         )
 
@@ -773,6 +777,57 @@ def _handle_markets_subscribed(self, raw: bytes) -> None:
         except Exception as e:
             self._log.exception(f"Failed to parse market channel data: {raw.decode()}", e)
 
+    async def _subscribe_instruments(self, command: SubscribeInstruments) -> None:
+        """
+        Subscribe to instruments updates.
+
+        Parameters
+        ----------
+        command : SubscribeInstruments
+            The command to subscribe to instruments.
+
+        """
+        self._log.info("Skipping subscribe_instruments, dYdX subscribes automatically")
+
+    async def _subscribe_instrument(self, command: SubscribeInstrument) -> None:
+        """
+        Subscribe to instrument updates.
+
+        Parameters
+        ----------
+        command : SubscribeInstrument
+            The command to subscribe to instrument.
+
+        """
+        self._log.info("Skipping subscribe_instrument, dYdX subscribes automatically")
+
+    async def _unsubscribe_instruments(
+        self,
+        command: UnsubscribeInstruments,
+    ) -> None:
+        """
+        Unsubscribe from instruments updates.
+
+        Parameters
+        ----------
+        command : UnsubscribeInstruments
+            The command to unsubscribe from instruments updates.
+
+        """
+        self._log.info("Skipping unsubscribe_instruments, not applicable for dYdX")
+
+    async def _unsubscribe_instrument(self, command: UnsubscribeInstrument) -> None:
+        """
+        Unsubscribe from instrument updates.
+
+        Parameters
+        ----------
+        command : UnsubscribeInstrument
+            The command to unsubscribe from instrument updates.
+
+        """
+        self._log.info("Skipping unsubscribe_instrument, not applicable for dYdX")
+
     async def _subscribe_trade_ticks(self, command: SubscribeTradeTicks) -> None:
         dydx_symbol = DYDXSymbol(command.instrument_id.symbol.value)
         await self._ws_client.subscribe_trades(dydx_symbol.raw_symbol)

nautilus_trader/adapters/dydx/websocket/client.py

@@ -162,8 +162,8 @@ async def connect(self) -> None:
         self._retry_manager_pool = RetryManagerPool[None](
             pool_size=100,
             max_retries=self._max_send_retries or 0,
-            delay_initial_ms=self._delay_initial_ms or 1_000,
-            delay_max_ms=self._delay_max_ms or 10_000,
+            delay_initial_ms=self._delay_initial_ms or 100,
+            delay_max_ms=self._delay_max_ms or 5_000,
             backoff_factor=self._backoff_factor or 2,
             logger=self._log,
             exc_types=(WebSocketClientError,),