bbgo_origin/pkg/pb/bbgo.proto

syntax = "proto3";

package pb;

option go_package = "../pb";

service BBGO {
    // should support streaming
    rpc Subscribe(SubscribeRequest) returns (stream SubscribeResponse) {}
    rpc SubscribeUserData(Empty) returns (stream SubscribeResponse) {}

    // request-response
    rpc SubmitOrder(SubmitOrderRequest) returns (SubmitOrderResponse) {}
    rpc CancelOrder(CancelOrderRequest) returns (CancelOrderResponse) {}
    rpc QueryOrder(QueryOrderRequest) returns (QueryOrderResponse) {}
    rpc QueryOrders(QueryOrdersRequest) returns (QueryOrdersResponse) {}
    rpc QueryTrades(QueryTradesRequest) returns (QueryTradesResponse) {}
    rpc QueryKLines(QueryKLinesRequest) returns (QueryKLinesResponse) {}
}

enum Event {
    ERROR = 0;
    SUBSCRIBED = 1;
    UNSUBSCRIBED = 2;
    SNAPSHOT = 3;
    UPDATE = 4;
    AUTHENTICATED = 5;
    ORDER_SNAPSHOT = 6;
    ORDER_UPDATE = 7;
    TRADE_SNAPSHOT = 8;
    TRADE_UPDATE = 9;
    ACCOUNT_SNAPSHOT = 10;
    ACCOUNT_UPDATE = 11;
}

enum Channel {
    BOOK = 0;
    TRADE = 1;
    TICKER = 2;
    USER = 3;
}

enum Side {
    BUY = 0;
    SELL = 1;
}

enum OrderType {
    MARKET = 0;
    LIMIT = 1;
    STOP_MARKET = 2;
    STOP_LIMIT = 3;
    POST_ONLY = 4;
    IOC_LIMIT = 5;
}

message Empty {}

message Error {
    int64 error_code = 1;
    string error_message = 2;
}

message SubscribeRequest {
    repeated Subscription subscriptions = 1;
}

message Subscription {
    string exchange = 1;
    Channel channel = 2;  // book, trade, ticker
    string symbol = 3;
    int64 depth = 4;
}

message SubscribeResponse {
    string exchange = 1;
    string symbol = 2;
    Channel channel = 3;  // book, trade, ticker, user
    Event event = 4;      // snapshot, update, order_snapshot, ...
    Depth depth = 5;
    repeated Trade trades = 6;
    Ticker ticker = 7;
    repeated Order orders = 8;
    repeated Balance balances = 9;
    int64 subscribed_at = 10;
    Error error = 11;
}

message Depth {
    string exchange = 1;
    string symbol = 2;
    repeated PriceVolume asks = 3;
    repeated PriceVolume bids = 4;
}

message PriceVolume {
    int64 price = 1;
    int64 volume = 2;
}

// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=trade-response
// https://maicoin.github.io/max-websocket-docs/#/public_trade?id=success-response
message Trade {
    string exchange = 1;
    string symbol = 2;
    string id = 3;
    double price = 4;
    double volume = 5;
    int64 created_at = 6;
    Side side = 7;
    double fee = 8;
    string fee_currency = 9;
    bool maker = 10;
    string trend = 11;
}

// https://maicoin.github.io/max-websocket-docs/#/public_ticker?id=success-response
message Ticker {
    string exchange = 1;
    string symbol = 2;
    double open = 3;
    double high = 4;
    double low = 5;
    double close = 6;
    double volume = 7;
}

// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=snapshot
message Order {
    string exchange = 1;
    string symbol = 2;
    string id = 3;
    Side side = 4;
    OrderType order_type = 5;
    double price = 6;
    double stop_price = 7;
    double avg_price = 8;
    string status = 9;
    int64 created_at = 10;
    double quantity = 11;
    double executed_volume = 12;
    int64 trades_count = 13;
    string client_order_id = 14;
    int64 group_id = 15;
}

message SubmitOrder {
    string exchange = 1;
    string symbol = 2;
    Side side = 3;
    double quantity = 4;
    double price = 5;
    double stop_price = 6;
    OrderType order_type = 7;
    string client_order_id = 8;
    int64 group_id = 9;
}

// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=account-response
message Balance {
    string exchange = 1;
    string currency = 2;
    double available = 3;
    double locked = 4;
}

message SubmitOrderRequest {
    SubmitOrder submit_order = 1;
}

message SubmitOrderResponse {
    Order order = 1;
    Error error = 2;
}

message CancelOrderRequest {
    string exchange = 1;
    string id = 2;
    string client_order_id = 3;
}

message CancelOrderResponse {
    Order order = 1;
    Error error = 2;
}

message QueryOrderRequest {
    string exchange = 1;
    string id = 2;
    string client_order_id = 3;
}

message QueryOrderResponse {
    Order order = 1;
    Error error = 2;
}

message QueryOrdersRequest {
    string exchange = 1;
    string symbol = 2;
    repeated string state = 3;
    string order_by = 4;
    int64 group_id = 5;
    bool pagination = 6;
    int64 page = 7;
    int64 limit = 8;
    int64 offset = 9;
}

message QueryOrdersResponse {
    repeated Order orders = 1;
    Error error = 2;
}

message QueryTradesRequest {
    string exchange = 1;
    string symbol = 2;
    int64 timestamp = 3;
    int64 from = 4;
    int64 to = 5;
    string order_by = 6;
    bool pagination = 7;
    int64 page = 8;
    int64 limit = 9;
    int64 offset = 10;
}

message QueryTradesResponse {
    repeated Trade trades = 1;
    Error error = 2;
}

message QueryKLinesRequest {
    string exchange = 1;
    string symbol = 2;
    int64 limit = 3;
    int64 interval = 4;  // time period of K line in minute
    int64 timestamp = 5;
}

message QueryKLinesResponse {
    repeated KLine klines = 1;
    Error error = 2;
}

message KLine {
    string exchange = 1;
    string symbol = 2;
    int64 timestamp = 3;
    double open = 4;
    double high = 5;
    double low = 6;
    double close = 7;
    double volume = 8;
    double quote_volume = 9;
}