From 46cf220e2cdcf1f0359eff30e3fea868159b4c26 Mon Sep 17 00:00:00 2001 From: c9s Date: Tue, 12 Apr 2022 15:53:40 +0800 Subject: [PATCH] implement market data subscription --- pkg/grpc/server.go | 44 +++- pkg/pb/bbgo.pb.go | 598 ++++++++++++++++++++++---------------------- pkg/pb/bbgo.proto | 3 +- pkg/types/stream.go | 1 + 4 files changed, 350 insertions(+), 296 deletions(-) diff --git a/pkg/grpc/server.go b/pkg/grpc/server.go index 02ca3f314..139636bd0 100644 --- a/pkg/grpc/server.go +++ b/pkg/grpc/server.go @@ -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 } diff --git a/pkg/pb/bbgo.pb.go b/pkg/pb/bbgo.pb.go index 8445b5850..e4785e78a 100644 --- a/pkg/pb/bbgo.pb.go +++ b/pkg/pb/bbgo.pb.go @@ -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{ 0x65, 0x73, 0x74, 0x12, 0x38, 0x0a, 0x0d, 0x73, 0x75, 0x62, 0x73, 0x63, 0x72, 0x69, 0x70, 0x74, 0x69, 0x6f, 0x6e, 0x73, 0x18, 0x01, 0x20, 0x03, 0x28, 0x0b, 0x32, 0x12, 0x2e, 0x62, 0x62, 0x67, 0x6f, 0x2e, 0x53, 0x75, 0x62, 0x73, 0x63, 0x72, 0x69, 0x70, 0x74, 0x69, 0x6f, 0x6e, 0x52, 0x0d, - 0x73, 0x75, 0x62, 0x73, 0x63, 0x72, 0x69, 0x70, 0x74, 0x69, 0x6f, 0x6e, 0x73, 0x22, 0x81, 0x01, + 0x73, 0x75, 0x62, 0x73, 0x63, 0x72, 0x69, 0x70, 0x74, 0x69, 0x6f, 0x6e, 0x73, 0x22, 0x9d, 0x01, 0x0a, 0x0c, 0x53, 0x75, 0x62, 0x73, 0x63, 0x72, 0x69, 0x70, 0x74, 0x69, 0x6f, 0x6e, 0x12, 0x1a, 0x0a, 0x08, 0x65, 0x78, 0x63, 0x68, 0x61, 0x6e, 0x67, 0x65, 0x18, 0x01, 0x20, 0x01, 0x28, 0x09, 0x52, 0x08, 0x65, 0x78, 0x63, 0x68, 0x61, 0x6e, 0x67, 0x65, 0x12, 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0x6e, 0x73, 0x65, 0x22, 0x00, 0x42, 0x07, 0x5a, 0x05, 0x2e, 0x2e, 0x2f, 0x70, + 0x62, 0x62, 0x06, 0x70, 0x72, 0x6f, 0x74, 0x6f, 0x33, } var ( diff --git a/pkg/pb/bbgo.proto b/pkg/pb/bbgo.proto index 7c336a685..677166625 100644 --- a/pkg/pb/bbgo.proto +++ b/pkg/pb/bbgo.proto @@ -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 { diff --git a/pkg/types/stream.go b/pkg/types/stream.go index 8d90cd479..a45a2d3fc 100644 --- a/pkg/types/stream.go +++ b/pkg/types/stream.go @@ -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"`