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implement market data subscription

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This commit is contained in:
c9s 2022-04-12 15:53:40 +08:00
parent 4ed753bad6
commit 46cf220e2c
4 changed files with 350 additions and 296 deletions
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44
pkg/grpc/server.go
View File

@ -2,6 +2,7 @@ package grpc
import (
"context"
"fmt"
"net"
"github.com/pkg/errors"
@ -22,7 +23,48 @@ type Server struct {
}
func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataService_SubscribeServer) error {
panic("implement me")
exchangeSubscriptions := map[string][]types.Subscription{}
for _, sub := range request.Subscriptions {
session, ok := s.Environ.Session(sub.Exchange)
if !ok {
return fmt.Errorf("exchange %s not found", sub.Exchange)
}
switch types.Channel(sub.Channel) {
case types.MarketTradeChannel:
// TODO
case types.BookTickerChannel:
// TODO
case types.BookChannel:
exchangeSubscriptions[session.Name] = append(exchangeSubscriptions[session.Name], types.Subscription{
Symbol: sub.Symbol,
Channel: types.BookChannel,
Options: types.SubscribeOptions{
Depth: types.Depth(sub.Depth),
},
})
case types.KLineChannel:
exchangeSubscriptions[session.Name] = append(exchangeSubscriptions[session.Name], types.Subscription{
Symbol: sub.Symbol,
Channel: types.KLineChannel,
Options: types.SubscribeOptions{
Interval: sub.Interval,
},
})
}
}
for sessionName, subs := range exchangeSubscriptions {
if session, ok := s.Environ.Session(sessionName) ; ok {
stream := session.Exchange.NewStream()
stream.SetPublicOnly()
for _, sub := range subs {
stream.Subscribe(sub.Channel, sub.Symbol, sub.Options)
}
}
}
return nil
}

598
pkg/pb/bbgo.pb.go
View File

@ -403,7 +403,8 @@ type Subscription struct {
Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
Channel Channel `protobuf:"varint,2,opt,name=channel,proto3,enum=bbgo.Channel" json:"channel,omitempty"` // book, trade, ticker
Symbol string `protobuf:"bytes,3,opt,name=symbol,proto3" json:"symbol,omitempty"`
Depth int64 `protobuf:"varint,4,opt,name=depth,proto3" json:"depth,omitempty"`
Depth string `protobuf:"bytes,4,opt,name=depth,proto3" json:"depth,omitempty"` // depth is for book, valid values are full, medium, 1, 5 and 20
Interval string `protobuf:"bytes,5,opt,name=interval,proto3" json:"interval,omitempty"` // interval is for kline channel
}
func (x *Subscription) Reset() {
@ -459,11 +460,18 @@ func (x *Subscription) GetSymbol() string {
return ""
}
func (x *Subscription) GetDepth() int64 {
func (x *Subscription) GetDepth() string {
if x != nil {
return x.Depth
}
return 0
return ""
}
func (x *Subscription) GetInterval() string {
if x != nil {
return x.Interval
}
return ""
}
type SubscribeResponse struct {
@ -2224,7 +2232,7 @@ var file_pkg_pb_bbgo_proto_rawDesc = []byte{
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}
var (

3
pkg/pb/bbgo.proto
View File

@ -75,7 +75,8 @@ message Subscription {
string exchange = 1;
Channel channel = 2; // book, trade, ticker
string symbol = 3;
int64 depth = 4;
string depth = 4; // depth is for book, valid values are full, medium, 1, 5 and 20
string interval = 5; // interval is for kline channel
}
message SubscribeResponse {

1
pkg/types/stream.go
View File

@ -409,6 +409,7 @@ const (
// SubscribeOptions provides the standard stream options
type SubscribeOptions struct {
// TODO: change to Interval type later
Interval string `json:"interval,omitempty"`
Depth Depth `json:"depth,omitempty"`
Speed Speed `json:"speed,omitempty"`