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grpc: translate private trade and balances

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This commit is contained in:
c9s 2022-04-13 19:43:08 +08:00
parent 897dc55dcf
commit 339c72a554
4 changed files with 356 additions and 288 deletions
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52
pkg/grpc/convert.go
View File

@ -65,6 +65,34 @@ func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event p
}
}
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,
@ -117,19 +145,19 @@ func transOrderType(orderType types.OrderType) pb.OrderType {
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(),
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: 0,
ClientOrderId: order.ClientOrderID,
GroupId: int64(order.GroupID),
}
}

36
pkg/grpc/server.go
View File

@ -1,10 +1,10 @@
package grpc
import (
"context"
"fmt"
"net"
"time"
"context"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
@ -25,14 +25,15 @@ type UserDataService struct {
}
func (s *UserDataService) Subscribe(request *pb.UserDataRequest, server pb.UserDataService_SubscribeServer) error {
streamPool := map[string]types.Stream{}
for sessionName, session := range s.Environ.Sessions() {
if request.Session == sessionName {
userDataStream := session.Exchange.NewStream()
userDataStream.OnOrderUpdate(func(order types.Order) {
err := server.Send(&pb.UserData{
Channel: pb.Channel_ORDER,
Event: pb.Event_UPDATE,
Orders: nil,
Channel: pb.Channel_ORDER,
Event: pb.Event_UPDATE,
Orders: []*pb.Order{transOrder(session, order)},
})
if err != nil {
log.WithError(err).Errorf("grpc: can not send user data")
@ -40,21 +41,38 @@ func (s *UserDataService) Subscribe(request *pb.UserDataRequest, server pb.UserD
})
userDataStream.OnTradeUpdate(func(trade types.Trade) {
err := server.Send(&pb.UserData{
Channel: pb.Channel_TRADE,
Event: pb.Event_UPDATE,
Trades: []*pb.Trade{},
Channel: pb.Channel_TRADE,
Event: pb.Event_UPDATE,
Trades: []*pb.Trade{transTrade(session, trade)},
})
if err != nil {
log.WithError(err).Errorf("grpc: can not send user data")
}
})
userDataStream.OnBalanceUpdate(func(balances types.BalanceMap) {
err := server.Send(&pb.UserData{
Channel: pb.Channel_BALANCE,
Event: pb.Event_UPDATE,
Balances: transBalances(session, balances),
})
if err != nil {
log.WithError(err).Errorf("grpc: can not send user data")
}
})
streamPool[ sessionName ] = userDataStream
}
}
<-server.Context().Done()
defer func() {
for _, stream := range streamPool {
if err := stream.Close(); err != nil {
log.WithError(err).Errorf("user data stream close error")
}
}
}()
return nil
}
@ -130,7 +148,7 @@ func (s *MarketDataService) Subscribe(request *pb.SubscribeRequest, server pb.Ma
defer func() {
for _, stream := range streamPool {
if err := stream.Close(); err != nil {
log.WithError(err).Errorf("stream close error")
log.WithError(err).Errorf("market data stream close error")
}
}
}()

530
pkg/pb/bbgo.pb.go
View File

@ -864,16 +864,17 @@ type Trade struct {
sizeCache protoimpl.SizeCache
unknownFields protoimpl.UnknownFields
Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
Symbol string `protobuf:"bytes,2,opt,name=symbol,proto3" json:"symbol,omitempty"`
Id string `protobuf:"bytes,3,opt,name=id,proto3" json:"id,omitempty"`
Price string `protobuf:"bytes,4,opt,name=price,proto3" json:"price,omitempty"`
Quantity string `protobuf:"bytes,5,opt,name=quantity,proto3" json:"quantity,omitempty"`
CreatedAt int64 `protobuf:"varint,6,opt,name=created_at,json=createdAt,proto3" json:"created_at,omitempty"`
Side Side `protobuf:"varint,7,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"`
FeeCurrency string `protobuf:"bytes,8,opt,name=fee_currency,json=feeCurrency,proto3" json:"fee_currency,omitempty"`
Fee string `protobuf:"bytes,9,opt,name=fee,proto3" json:"fee,omitempty"`
Maker bool `protobuf:"varint,10,opt,name=maker,proto3" json:"maker,omitempty"`
Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
Exchange string `protobuf:"bytes,2,opt,name=exchange,proto3" json:"exchange,omitempty"`
Symbol string `protobuf:"bytes,3,opt,name=symbol,proto3" json:"symbol,omitempty"`
Id string `protobuf:"bytes,4,opt,name=id,proto3" json:"id,omitempty"`
Price string `protobuf:"bytes,5,opt,name=price,proto3" json:"price,omitempty"`
Quantity string `protobuf:"bytes,6,opt,name=quantity,proto3" json:"quantity,omitempty"`
CreatedAt int64 `protobuf:"varint,7,opt,name=created_at,json=createdAt,proto3" json:"created_at,omitempty"`
Side Side `protobuf:"varint,8,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"`
FeeCurrency string `protobuf:"bytes,9,opt,name=fee_currency,json=feeCurrency,proto3" json:"fee_currency,omitempty"`
Fee string `protobuf:"bytes,10,opt,name=fee,proto3" json:"fee,omitempty"`
Maker bool `protobuf:"varint,11,opt,name=maker,proto3" json:"maker,omitempty"`
}
func (x *Trade) Reset() {
@ -908,6 +909,13 @@ func (*Trade) Descriptor() ([]byte, []int) {
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{9}
}
func (x *Trade) GetSession() string {
if x != nil {
return x.Session
}
return ""
}
func (x *Trade) GetExchange() string {
if x != nil {
return x.Exchange
@ -1335,10 +1343,11 @@ type Balance struct {
sizeCache protoimpl.SizeCache
unknownFields protoimpl.UnknownFields
Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
Currency string `protobuf:"bytes,2,opt,name=currency,proto3" json:"currency,omitempty"`
Available float64 `protobuf:"fixed64,3,opt,name=available,proto3" json:"available,omitempty"`
Locked float64 `protobuf:"fixed64,4,opt,name=locked,proto3" json:"locked,omitempty"`
Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
Currency string `protobuf:"bytes,2,opt,name=currency,proto3" json:"currency,omitempty"`
Available string `protobuf:"bytes,3,opt,name=available,proto3" json:"available,omitempty"`
Locked string `protobuf:"bytes,4,opt,name=locked,proto3" json:"locked,omitempty"`
Borrowed string `protobuf:"bytes,5,opt,name=borrowed,proto3" json:"borrowed,omitempty"`
}
func (x *Balance) Reset() {
@ -1387,18 +1396,25 @@ func (x *Balance) GetCurrency() string {
return ""
}
func (x *Balance) GetAvailable() float64 {
func (x *Balance) GetAvailable() string {
if x != nil {
return x.Available
}
return 0
return ""
}
func (x *Balance) GetLocked() float64 {
func (x *Balance) GetLocked() string {
if x != nil {
return x.Locked
}
return 0
return ""
}
func (x *Balance) GetBorrowed() string {
if x != nil {
return x.Borrowed
}
return ""
}
type SubmitOrderRequest struct {
@ -2436,259 +2452,263 @@ var file_pkg_pb_bbgo_proto_rawDesc = []byte{
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}
var (

26
pkg/pb/bbgo.proto
View File

@ -118,16 +118,17 @@ message PriceVolume {
// 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;
string price = 4;
string quantity = 5;
int64 created_at = 6;
Side side = 7;
string fee_currency = 8;
string fee = 9;
bool maker = 10;
string session = 1;
string exchange = 2;
string symbol = 3;
string id = 4;
string price = 5;
string quantity = 6;
int64 created_at = 7;
Side side = 8;
string fee_currency = 9;
string fee = 10;
bool maker = 11;
}
// https://maicoin.github.io/max-websocket-docs/#/public_ticker?id=success-response
@ -174,8 +175,9 @@ message SubmitOrder {
message Balance {
string exchange = 1;
string currency = 2;
double available = 3;
double locked = 4;
string available = 3;
string locked = 4;
string borrowed = 5;
}
message SubmitOrderRequest {