Add max_reconnection_tries to data client config for dYdX (#2066)

Add support for stop limit and stop market orders

nautilus_trader/adapters/dydx/config.py

@@ -36,12 +36,16 @@ class DYDXDataClientConfig(LiveDataClientConfig, frozen=True):
         If the client is connecting to the dYdX testnet API.
     update_instruments_interval_mins: PositiveInt or None, default 60
         The interval (minutes) between reloading instruments from the venue.
+    max_reconnection_tries: int, default 3
+        The number of retries to reconnect the websocket connection if the
+        connection is broken.
 
     """
 
     wallet_address: str | None = None
     is_testnet: bool = False
     update_instruments_interval_mins: PositiveInt | None = 60
+    max_ws_reconnection_tries: int | None = 3
 
 
 class DYDXExecClientConfig(LiveExecClientConfig, frozen=True):

nautilus_trader/adapters/dydx/data.py

@@ -133,6 +133,7 @@ def __init__(
             handler_reconnect=None,
             base_url=ws_base_url,
             loop=loop,
+            max_reconnection_tries=config.max_ws_reconnection_tries,
         )
 
         # HTTP API

nautilus_trader/adapters/dydx/execution.py

@@ -974,7 +974,7 @@ async def _submit_order_list(self, command: SubmitOrderList) -> None:
         for order in command.order_list.orders:
             await self._submit_order_single(order=order)
 
-    async def _submit_order_single(self, order) -> None:
+    async def _submit_order_single(self, order: Order) -> None:
         """
         Submit a single order.
         """
@@ -1057,6 +1057,8 @@ async def _submit_order_single(self, order) -> None:
         order_type_map = {
             OrderType.LIMIT: DYDXGRPCOrderType.LIMIT,
             OrderType.MARKET: DYDXGRPCOrderType.MARKET,
+            OrderType.STOP_MARKET: DYDXGRPCOrderType.STOP_MARKET,
+            OrderType.STOP_LIMIT: DYDXGRPCOrderType.STOP_LIMIT,
         }
         order_side_map = {
             OrderSide.NO_ORDER_SIDE: DYDXOrder.Side.SIDE_UNSPECIFIED,
@@ -1071,11 +1073,18 @@ async def _submit_order_single(self, order) -> None:
         }
 
         price = 0
+        trigger_price = None
 
         if order.order_type == OrderType.LIMIT:
             price = order.price.as_double()
         elif order.order_type == OrderType.MARKET:
             price = 0
+        elif order.order_type == OrderType.STOP_LIMIT:
+            price = order.price.as_double()
+            trigger_price = order.trigger_price.as_double()
+        elif order.order_type == OrderType.STOP_MARKET:
+            price = 0
+            trigger_price = order.trigger_price.as_double()
         else:
             rejection_reason = (
                 f"Cannot submit order: order type `{order.order_type}` not (yet) supported"
@@ -1100,6 +1109,7 @@ async def _submit_order_single(self, order) -> None:
             post_only=order.is_post_only,
             good_til_block=good_til_block,
             good_til_block_time=good_til_date_secs,
+            trigger_price=trigger_price,
         )
 
         await self._place_order(order_msg=order_msg, order=order)

nautilus_trader/adapters/dydx/grpc/order_builder.py

@@ -240,7 +240,7 @@ def create_order(
         good_til_block: int | None = None,
         good_til_block_time: int | None = None,
         execution: OrderExecution = OrderExecution.DEFAULT,
-        conditional_order_trigger_subticks: int = 0,
+        trigger_price: float | None = None,
     ) -> Order:
         """
         Create a new Order instance.
@@ -271,7 +271,9 @@ def create_order(
             not yet filled.
         execution : OrderExecution, default OrderExecution.DEFAULT
             OrderExecution enum: DEFAULT, IOC, FOK or POST_ONLY
-        conditional_order_trigger_subticks : int, default value is 0.
+        trigger_price : float, optional.
+            The price of the conditional limit order. Only applicable to STOP_LIMIT,
+            STOP_MARKET, TAKE_PROFIT_MARKET or TAKE_PROFIT_LIMIT orders.
 
         """
         order_time_in_force = OrderHelper.calculate_time_in_force(
@@ -282,6 +284,10 @@ def create_order(
         )
         client_metadata = OrderHelper.calculate_client_metadata(order_type)
         condition_type = OrderHelper.calculate_condition_type(order_type)
+        conditional_order_trigger_subticks = 0
+
+        if trigger_price is not None:
+            conditional_order_trigger_subticks = self.calculate_subticks(trigger_price)
 
         return Order(
             order_id=order_id,

nautilus_trader/adapters/dydx/websocket/client.py

@@ -52,6 +52,9 @@ class DYDXWebsocketClient:
         The event loop for the client.
     subscription_rate_limit_per_second : int, default 2
         The maximum number of subscription message to send to the venue.
+    max_reconnection_tries: int, default 3
+        The number of retries to reconnect the websocket connection if the
+        connection is broken.
 
     """
 
@@ -63,6 +66,7 @@ def __init__(
         handler_reconnect: Callable[..., Awaitable[None]] | None,
         loop: asyncio.AbstractEventLoop,
         subscription_rate_limit_per_second: int = 2,
+        max_reconnection_tries: int | None = 3,
     ) -> None:
         """
         Provide a dYdX streaming WebSocket client.
@@ -77,6 +81,7 @@ def __init__(
         self._is_running = False
         self._subscriptions: set[tuple[str, str]] = set()
         self._subscription_rate_limit_per_second = subscription_rate_limit_per_second
+        self._max_reconnection_tries = max_reconnection_tries
         self._msg_timestamp = self._clock.utc_now()
         self._msg_timeout_secs: int = 60
         self._reconnect_task: asyncio.Task | None = None
@@ -145,6 +150,7 @@ async def connect(self) -> None:
             heartbeat=10,
             headers=[],
             ping_handler=self._handle_ping,
+            max_reconnection_tries=self._max_reconnection_tries,
         )
         client = await WebSocketClient.connect(
             config=config,

nautilus_trader/core/nautilus_pyo3.pyi

@@ -2770,6 +2770,7 @@ class WebSocketConfig:
         heartbeat: int | None = None,
         heartbeat_msg: str | None = None,
         ping_handler: Callable[..., Any] | None = None,
+        max_reconnection_tries: int | None = None,
     ) -> None: ...
 
 class WebSocketClient: