package grpc import ( "fmt" "strconv" log "github.com/sirupsen/logrus" "git.qtrade.icu/lychiyu/bbgo/pkg/bbgo" "git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint" "git.qtrade.icu/lychiyu/bbgo/pkg/pb" "git.qtrade.icu/lychiyu/bbgo/pkg/types" ) func toSubscriptions(sub *pb.Subscription) (types.Subscription, error) { switch sub.Channel { case pb.Channel_TRADE: return types.Subscription{ Symbol: sub.Symbol, Channel: types.MarketTradeChannel, }, nil case pb.Channel_BOOK: return types.Subscription{ Symbol: sub.Symbol, Channel: types.BookChannel, Options: types.SubscribeOptions{ Depth: types.Depth(sub.Depth), }, }, nil case pb.Channel_KLINE: return types.Subscription{ Symbol: sub.Symbol, Channel: types.KLineChannel, Options: types.SubscribeOptions{ Interval: types.Interval(sub.Interval), }, }, nil } return types.Subscription{}, fmt.Errorf("unsupported subscription channel: %s", sub.Channel) } func transPriceVolume(srcPvs types.PriceVolumeSlice) (pvs []*pb.PriceVolume) { for _, srcPv := range srcPvs { pvs = append(pvs, &pb.PriceVolume{ Price: srcPv.Price.String(), Volume: srcPv.Volume.String(), }) } return pvs } func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event pb.Event) *pb.MarketData { return &pb.MarketData{ Session: session.Name, Exchange: session.ExchangeName.String(), Symbol: book.Symbol, Channel: pb.Channel_BOOK, Event: event, Depth: &pb.Depth{ Exchange: session.ExchangeName.String(), Symbol: book.Symbol, Asks: transPriceVolume(book.Asks), Bids: transPriceVolume(book.Bids), }, } } func toOrderType(orderType pb.OrderType) types.OrderType { switch orderType { case pb.OrderType_MARKET: return types.OrderTypeMarket case pb.OrderType_LIMIT: return types.OrderTypeLimit } log.Warnf("unexpected order type: %v", orderType) return types.OrderTypeLimit } func toSide(side pb.Side) types.SideType { switch side { case pb.Side_BUY: return types.SideTypeBuy case pb.Side_SELL: return types.SideTypeSell } log.Warnf("unexpected side type: %v", side) return types.SideTypeBuy } func toSubmitOrders(pbOrders []*pb.SubmitOrder) (submitOrders []types.SubmitOrder) { for _, pbOrder := range pbOrders { submitOrders = append(submitOrders, types.SubmitOrder{ ClientOrderID: pbOrder.ClientOrderId, Symbol: pbOrder.Symbol, Side: toSide(pbOrder.Side), Type: toOrderType(pbOrder.OrderType), Price: fixedpoint.MustNewFromString(pbOrder.Price), Quantity: fixedpoint.MustNewFromString(pbOrder.Quantity), StopPrice: fixedpoint.MustNewFromString(pbOrder.StopPrice), TimeInForce: "", }) } return submitOrders } func transBalances(session *bbgo.ExchangeSession, balances types.BalanceMap) (pbBalances []*pb.Balance) { for _, b := range balances { pbBalances = append(pbBalances, &pb.Balance{ Exchange: session.ExchangeName.String(), Currency: b.Currency, Available: b.Available.String(), Locked: b.Locked.String(), }) } return pbBalances } func transTrade(session *bbgo.ExchangeSession, trade types.Trade) *pb.Trade { return &pb.Trade{ Session: session.Name, Exchange: trade.Exchange.String(), Symbol: trade.Symbol, Id: strconv.FormatUint(trade.ID, 10), Price: trade.Price.String(), Quantity: trade.Quantity.String(), CreatedAt: trade.Time.UnixMilli(), Side: transSide(trade.Side), FeeCurrency: trade.FeeCurrency, Fee: trade.Fee.String(), Maker: trade.IsMaker, } } func transMarketTrade(session *bbgo.ExchangeSession, marketTrade types.Trade) *pb.MarketData { return &pb.MarketData{ Session: session.Name, Exchange: session.ExchangeName.String(), Symbol: marketTrade.Symbol, Channel: pb.Channel_TRADE, Event: pb.Event_UPDATE, Trades: []*pb.Trade{ { Exchange: marketTrade.Exchange.String(), Symbol: marketTrade.Symbol, Id: strconv.FormatUint(marketTrade.ID, 10), Price: marketTrade.Price.String(), Quantity: marketTrade.Quantity.String(), CreatedAt: marketTrade.Time.UnixMilli(), Side: transSide(marketTrade.Side), FeeCurrency: marketTrade.FeeCurrency, Fee: marketTrade.Fee.String(), Maker: marketTrade.IsMaker, }, }, } } func transSide(side types.SideType) pb.Side { switch side { case types.SideTypeBuy: return pb.Side_BUY case types.SideTypeSell: return pb.Side_SELL } return pb.Side_SELL } func transOrderType(orderType types.OrderType) pb.OrderType { switch orderType { case types.OrderTypeLimit: return pb.OrderType_LIMIT case types.OrderTypeMarket: return pb.OrderType_MARKET case types.OrderTypeStopLimit: return pb.OrderType_STOP_LIMIT case types.OrderTypeStopMarket: return pb.OrderType_STOP_MARKET } return pb.OrderType_LIMIT } func transOrder(session *bbgo.ExchangeSession, order types.Order) *pb.Order { return &pb.Order{ Exchange: order.Exchange.String(), Symbol: order.Symbol, Id: strconv.FormatUint(order.OrderID, 10), Side: transSide(order.Side), OrderType: transOrderType(order.Type), Price: order.Price.String(), StopPrice: order.StopPrice.String(), Status: string(order.Status), CreatedAt: order.CreationTime.UnixMilli(), Quantity: order.Quantity.String(), ExecutedQuantity: order.ExecutedQuantity.String(), ClientOrderId: order.ClientOrderID, GroupId: int64(order.GroupID), } } func transKLine(session *bbgo.ExchangeSession, kline types.KLine) *pb.KLine { return &pb.KLine{ Session: session.Name, Exchange: kline.Exchange.String(), Symbol: kline.Symbol, Open: kline.Open.String(), High: kline.High.String(), Low: kline.Low.String(), Close: kline.Close.String(), Volume: kline.Volume.String(), QuoteVolume: kline.QuoteVolume.String(), StartTime: kline.StartTime.UnixMilli(), EndTime: kline.StartTime.UnixMilli(), Closed: kline.Closed, } } func transKLineResponse(session *bbgo.ExchangeSession, kline types.KLine) *pb.MarketData { return &pb.MarketData{ Session: session.Name, Exchange: kline.Exchange.String(), Symbol: kline.Symbol, Channel: pb.Channel_KLINE, Event: pb.Event_UPDATE, Kline: transKLine(session, kline), SubscribedAt: 0, } }