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grpc: integrate market trade

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This commit is contained in:
c9s 2022-04-13 11:52:51 +08:00
parent b57c94fe12
commit 12ce854150
4 changed files with 296 additions and 256 deletions
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2
pkg/cmd/run.go
View File

@ -32,7 +32,7 @@ func init() {
RunCmd.Flags().String("webserver-bind", ":8080", "webserver binding")
RunCmd.Flags().Bool("enable-grpc", false, "enable grpc server")
RunCmd.Flags().String("grpc-bind", ":6688", "grpc server binding")
RunCmd.Flags().String("grpc-bind", ":50051", "grpc server binding")
RunCmd.Flags().String("cpu-profile", "", "cpu profile")
RunCmd.Flags().Bool("setup", false, "use setup mode")

59
pkg/grpc/server.go
View File

@ -4,6 +4,7 @@ import (
"context"
"fmt"
"net"
"strconv"
"time"
"github.com/pkg/errors"
@ -74,6 +75,12 @@ func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataSer
stream.Subscribe(sub.Channel, sub.Symbol, sub.Options)
}
stream.OnMarketTrade(func(trade types.Trade) {
if err := server.Send(transMarketTrade(session, trade)); err != nil {
log.WithError(err).Error("grpc stream send error")
}
})
stream.OnBookSnapshot(func(book types.SliceOrderBook) {
if err := server.Send(transBook(session, book, pb.Event_SNAPSHOT)); err != nil {
log.WithError(err).Error("grpc stream send error")
@ -94,12 +101,21 @@ func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataSer
streamPool[sessionName] = stream
}
for sessionName, stream := range streamPool {
log.Infof("connecting stream %s", sessionName)
for _, stream := range streamPool {
go stream.Connect(server.Context())
}
return nil
defer func() {
for _, stream := range streamPool {
if err := stream.Close(); err != nil {
log.WithError(err).Errorf("stream close error")
}
}
}()
ctx := server.Context()
<-ctx.Done()
return ctx.Err()
}
func (s *Server) QueryKLines(ctx context.Context, request *pb.QueryKLinesRequest) (*pb.QueryKLinesResponse, error) {
@ -190,7 +206,7 @@ func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event p
Exchange: session.ExchangeName.String(),
Symbol: book.Symbol,
Channel: pb.Channel_BOOK,
Event: event, // pb.Event_UPDATE
Event: event,
Depth: &pb.Depth{
Exchange: session.ExchangeName.String(),
Symbol: book.Symbol,
@ -200,6 +216,41 @@ func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event p
}
}
func transMarketTrade(session *bbgo.ExchangeSession, marketTrade types.Trade) *pb.SubscribeResponse {
return &pb.SubscribeResponse{
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.Float64(),
Volume: marketTrade.Quantity.Float64(),
CreatedAt: marketTrade.Time.UnixMilli(),
Side: transSide(marketTrade.Side),
Fee: marketTrade.Fee.Float64(),
FeeCurrency: marketTrade.FeeCurrency,
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 transKLine(session *bbgo.ExchangeSession, kline types.KLine) *pb.SubscribeResponse {
return &pb.SubscribeResponse{
Session: session.Name,

490
pkg/pb/bbgo.pb.go
View File

@ -1,7 +1,7 @@
// Code generated by protoc-gen-go. DO NOT EDIT.
// versions:
// protoc-gen-go v1.28.0
// protoc v3.19.4
// protoc-gen-go v1.26.0
// protoc v3.19.3
// source: pkg/pb/bbgo.proto
package pb
@ -763,7 +763,6 @@ type Trade struct {
Fee float64 `protobuf:"fixed64,8,opt,name=fee,proto3" json:"fee,omitempty"`
FeeCurrency string `protobuf:"bytes,9,opt,name=fee_currency,json=feeCurrency,proto3" json:"fee_currency,omitempty"`
Maker bool `protobuf:"varint,10,opt,name=maker,proto3" json:"maker,omitempty"`
Trend string `protobuf:"bytes,11,opt,name=trend,proto3" json:"trend,omitempty"`
}
func (x *Trade) Reset() {
@ -868,13 +867,6 @@ func (x *Trade) GetMaker() bool {
return false
}
func (x *Trade) GetTrend() string {
if x != nil {
return x.Trend
}
return ""
}
// https://maicoin.github.io/max-websocket-docs/#/public_ticker?id=success-response
type Ticker struct {
state protoimpl.MessageState
@ -2328,7 +2320,7 @@ var file_pkg_pb_bbgo_proto_rawDesc = []byte{
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@ -2344,254 +2336,252 @@ var file_pkg_pb_bbgo_proto_rawDesc = []byte{
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}
var (

1
pkg/pb/bbgo.proto
View File

@ -122,7 +122,6 @@ message Trade {
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