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Add Trade message and support streaming

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なるみ 2022-02-16 11:41:33 +08:00
parent 307042025f
commit 3fe6fbf514
1 changed files with 41 additions and 19 deletions
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60
pkg/protobuf/bbgo.proto
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@ -7,8 +7,8 @@ option go_package = "pkg/protobuf";
service BBGO {
// should support streaming
rpc SubscribeKLine(SubscribeKLineRequest) returns (stream SubscribeKLineResponse) {}
rpc SubscribeOrderBook(SubscribeOrderBookRequest) returns (SubscribeOrderBookResponse) {}
rpc SubscribeUserData(SubscribeUserDataRequest) returns (SubscribeUserDataResponse) {}
rpc SubscribeOrderBook(SubscribeOrderBookRequest) returns (stream SubscribeOrderBookResponse) {}
rpc SubscribeUserData(SubscribeUserDataRequest) returns (stream SubscribeUserDataResponse) {}
// request-response
rpc CreateOrder(CreateOrderRequest) returns (CreateOrderResponse) {}
@ -29,7 +29,7 @@ message SubscribeKLineRequest {
message SubscribeKLineResponse {
string exchange = 1;
string symbol = 2;
KLine kline = 3;
repeated KLine klines = 3;
}
message KLine {
@ -42,7 +42,7 @@ message KLine {
}
message SubscribeOrderBookRequest {
string Symbol = 1;
string symbol = 1;
optional int64 limit = 2;
}
@ -59,7 +59,7 @@ message PriceVolume {
}
message SubscribeUserDataRequest {
repeated BalanceRequest balanceRequests = 1;
repeated BalanceRequest balance_requests = 1;
}
message BalanceRequest {
@ -86,8 +86,8 @@ message CreateOrderRequest {
string order = 4; // limit, limit maker, market, stop limit, stop market, ioc limit
double quantity = 5;
double price = 6;
optional double stopPrice = 7;
optional string timeInForce = 8; // GTC, IOC, FOK
optional double stop_price = 7;
optional string time_in_force = 8; // GTC, IOC, FOK
}
message CreateOrderResponse {
@ -96,7 +96,7 @@ message CreateOrderResponse {
}
message CancelOrderRequest {
string orderID = 1;
string order_id = 1;
}
message CancelOrderResponse {
@ -104,7 +104,7 @@ message CancelOrderResponse {
}
message QueryOrderRequest {
string orderID = 1;
string order_id = 1;
}
message QueryOrderResponse {
@ -113,26 +113,31 @@ message QueryOrderResponse {
}
message Order {
string orderID = 1;
string order_id = 1;
string exchange = 2;
string symbol = 3;
string side = 4; // buy, sell
string order = 5; // limit, limit maker, market, stop limit, stop market, ioc limit
double quantity = 6;
double price = 7;
double stopPrice = 8;
string timeInForce = 9; // GTC, IOC, FOK
double stop_price = 8;
string time_in_force = 9; // GTC, IOC, FOK
string orderStatus = 10; // new, filled, partially filled, canceled, rejected
double executedQuantity = 11;
string order_status = 10; // new, filled, partially filled, canceled, rejected
double executed_quantity = 11;
bool isWorking = 12;
int64 creationTime = 13;
int64 updateTime = 14;
int64 creation_time = 13;
int64 update_time = 14;
}
message QueryOpenOrdersRequest {}
message QueryOpenOrdersRequest {
string order_id = 1;
}
message QueryOpenOrdersResponse {}
message QueryOpenOrdersResponse {
bool exists = 1;
Order order = 2;
}
message QueryTradesRequest {
string exchange = 1;
@ -142,4 +147,21 @@ message QueryTradesRequest {
optional int64 order_id = 5;
}
message QueryTradesResponse {}
message QueryTradesResponse {
repeated Trade trades = 1;
}
message Trade {
string order_id = 1;
string exchange = 2;
string symbol = 3;
string side = 4; // buy, sell
double quantity = 5;
double quote_quantity = 6;
double price = 7;
bool is_buyer = 8;
bool is_maker = 9;
int64 trade_at = 10;
double fee = 11;
string fee_currency = 12;
}