mirror of
https://github.com/c9s/bbgo.git
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Merge pull request #523 from c9s/fix/grpc-user-data-stream-subscribe
fix: grpc: fix user data stream subscribe
This commit is contained in:
Yo-An Lin
GitHub
commit
4d2919b54f
3
evans/userDataService/subscribe_binance.json
Normal file
3
evans/userDataService/subscribe_binance.json
Normal file
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@ -0,0 +1,3 @@
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{
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"session": "binance"
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}
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@ -4,7 +4,10 @@ import (
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"fmt"
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"strconv"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/pb"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -65,6 +68,49 @@ func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event p
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}
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}
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func toOrderType(orderType pb.OrderType) types.OrderType {
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switch orderType {
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case pb.OrderType_MARKET:
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return types.OrderTypeMarket
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case pb.OrderType_LIMIT:
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return types.OrderTypeLimit
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}
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log.Warnf("unexpected order type: %v", orderType)
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return types.OrderTypeLimit
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}
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func toSide(side pb.Side) types.SideType {
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switch side {
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case pb.Side_BUY:
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return types.SideTypeBuy
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case pb.Side_SELL:
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return types.SideTypeSell
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}
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log.Warnf("unexpected side type: %v", side)
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return types.SideTypeBuy
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}
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func toSubmitOrders(pbOrders []*pb.SubmitOrder) (submitOrders []types.SubmitOrder) {
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for _, pbOrder := range pbOrders {
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submitOrders = append(submitOrders, types.SubmitOrder{
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ClientOrderID: pbOrder.ClientOrderId,
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Symbol: pbOrder.Symbol,
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Side: toSide(pbOrder.Side),
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Type: toOrderType(pbOrder.OrderType),
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Price: fixedpoint.MustNewFromString(pbOrder.Price),
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Quantity: fixedpoint.MustNewFromString(pbOrder.Quantity),
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StopPrice: fixedpoint.MustNewFromString(pbOrder.StopPrice),
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TimeInForce: "",
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})
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}
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return submitOrders
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}
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func transBalances(session *bbgo.ExchangeSession, balances types.BalanceMap) (pbBalances []*pb.Balance) {
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for _, b := range balances {
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pbBalances = append(pbBalances, &pb.Balance{
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@ -16,6 +16,60 @@ import (
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"github.com/c9s/bbgo/pkg/types"
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)
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type TradingService struct {
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Config *bbgo.Config
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Environ *bbgo.Environment
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Trader *bbgo.Trader
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pb.UnimplementedTradingServiceServer
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}
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func (s *TradingService) SubmitOrder(ctx context.Context, request *pb.SubmitOrderRequest) (*pb.SubmitOrderResponse, error) {
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sessionName := request.Session
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if len(sessionName) == 0 {
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return nil, fmt.Errorf("session name can not be empty")
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}
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session, ok := s.Environ.Session(sessionName)
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if !ok {
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return nil, fmt.Errorf("session %s not found", sessionName)
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}
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submitOrders := toSubmitOrders(request.SubmitOrders)
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for i := range submitOrders {
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if market, ok := session.Market(submitOrders[i].Symbol); ok {
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submitOrders[i].Market = market
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} else {
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log.Warnf("session %s market %s not found", sessionName, submitOrders[i].Symbol)
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}
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}
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createdOrders, err := session.Exchange.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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return nil, err
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}
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_ = createdOrders
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return nil, nil
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}
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func (s *TradingService) CancelOrder(ctx context.Context, request *pb.CancelOrderRequest) (*pb.CancelOrderResponse, error) {
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panic("implement me")
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}
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func (s *TradingService) QueryOrder(ctx context.Context, request *pb.QueryOrderRequest) (*pb.QueryOrderResponse, error) {
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panic("implement me")
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}
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func (s *TradingService) QueryOrders(ctx context.Context, request *pb.QueryOrdersRequest) (*pb.QueryOrdersResponse, error) {
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panic("implement me")
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}
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func (s *TradingService) QueryTrades(ctx context.Context, request *pb.QueryTradesRequest) (*pb.QueryTradesResponse, error) {
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panic("implement me")
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}
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type UserDataService struct {
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Config *bbgo.Config
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Environ *bbgo.Environment
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@ -25,54 +79,77 @@ type UserDataService struct {
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}
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func (s *UserDataService) Subscribe(request *pb.UserDataRequest, server pb.UserDataService_SubscribeServer) error {
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streamPool := map[string]types.Stream{}
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for sessionName, session := range s.Environ.Sessions() {
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if request.Session == sessionName {
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userDataStream := session.Exchange.NewStream()
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userDataStream.OnOrderUpdate(func(order types.Order) {
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err := server.Send(&pb.UserData{
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Channel: pb.Channel_ORDER,
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Event: pb.Event_UPDATE,
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Orders: []*pb.Order{transOrder(session, order)},
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})
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if err != nil {
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log.WithError(err).Errorf("grpc: can not send user data")
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}
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})
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userDataStream.OnTradeUpdate(func(trade types.Trade) {
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err := server.Send(&pb.UserData{
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Channel: pb.Channel_TRADE,
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Event: pb.Event_UPDATE,
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Trades: []*pb.Trade{transTrade(session, trade)},
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})
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if err != nil {
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log.WithError(err).Errorf("grpc: can not send user data")
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}
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})
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userDataStream.OnBalanceUpdate(func(balances types.BalanceMap) {
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err := server.Send(&pb.UserData{
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Channel: pb.Channel_BALANCE,
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Event: pb.Event_UPDATE,
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Balances: transBalances(session, balances),
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})
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if err != nil {
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log.WithError(err).Errorf("grpc: can not send user data")
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}
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})
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streamPool[ sessionName ] = userDataStream
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}
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sessionName := request.Session
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if len(sessionName) == 0 {
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return fmt.Errorf("session name can not be empty")
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}
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<-server.Context().Done()
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session, ok := s.Environ.Session(sessionName)
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if !ok {
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return fmt.Errorf("session %s not found", sessionName)
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}
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userDataStream := session.Exchange.NewStream()
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userDataStream.OnOrderUpdate(func(order types.Order) {
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err := server.Send(&pb.UserData{
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Channel: pb.Channel_ORDER,
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Event: pb.Event_UPDATE,
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Orders: []*pb.Order{transOrder(session, order)},
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})
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if err != nil {
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log.WithError(err).Errorf("grpc: can not send user data")
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}
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})
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userDataStream.OnTradeUpdate(func(trade types.Trade) {
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err := server.Send(&pb.UserData{
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Channel: pb.Channel_TRADE,
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Event: pb.Event_UPDATE,
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Trades: []*pb.Trade{transTrade(session, trade)},
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})
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if err != nil {
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log.WithError(err).Errorf("grpc: can not send user data")
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}
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})
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balanceHandler := func(balances types.BalanceMap) {
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err := server.Send(&pb.UserData{
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Channel: pb.Channel_BALANCE,
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Event: pb.Event_UPDATE,
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Balances: transBalances(session, balances),
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})
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if err != nil {
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log.WithError(err).Errorf("grpc: can not send user data")
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}
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}
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userDataStream.OnBalanceUpdate(balanceHandler)
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userDataStream.OnBalanceSnapshot(balanceHandler)
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ctx := server.Context()
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balances, err := session.Exchange.QueryAccountBalances(ctx)
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if err != nil {
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return err
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}
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err = server.Send(&pb.UserData{
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Channel: pb.Channel_BALANCE,
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Event: pb.Event_SNAPSHOT,
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Balances: transBalances(session, balances),
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})
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if err != nil {
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log.WithError(err).Errorf("grpc: can not send user data")
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}
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go userDataStream.Connect(ctx)
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defer func() {
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for _, stream := range streamPool {
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if err := stream.Close(); err != nil {
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log.WithError(err).Errorf("user data stream close error")
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}
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if err := userDataStream.Close(); err != nil {
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log.WithError(err).Errorf("user data stream close error")
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}
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}()
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<-ctx.Done()
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return nil
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}
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@ -1231,15 +1231,16 @@ type SubmitOrder struct {
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sizeCache protoimpl.SizeCache
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unknownFields protoimpl.UnknownFields
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Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
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Symbol string `protobuf:"bytes,2,opt,name=symbol,proto3" json:"symbol,omitempty"`
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Side Side `protobuf:"varint,3,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"`
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Quantity float64 `protobuf:"fixed64,4,opt,name=quantity,proto3" json:"quantity,omitempty"`
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Price float64 `protobuf:"fixed64,5,opt,name=price,proto3" json:"price,omitempty"`
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StopPrice float64 `protobuf:"fixed64,6,opt,name=stop_price,json=stopPrice,proto3" json:"stop_price,omitempty"`
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OrderType OrderType `protobuf:"varint,7,opt,name=order_type,json=orderType,proto3,enum=bbgo.OrderType" json:"order_type,omitempty"`
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ClientOrderId string `protobuf:"bytes,8,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"`
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GroupId int64 `protobuf:"varint,9,opt,name=group_id,json=groupId,proto3" json:"group_id,omitempty"`
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Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
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Exchange string `protobuf:"bytes,2,opt,name=exchange,proto3" json:"exchange,omitempty"`
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Symbol string `protobuf:"bytes,3,opt,name=symbol,proto3" json:"symbol,omitempty"`
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Side Side `protobuf:"varint,4,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"`
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Price string `protobuf:"bytes,6,opt,name=price,proto3" json:"price,omitempty"`
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Quantity string `protobuf:"bytes,5,opt,name=quantity,proto3" json:"quantity,omitempty"`
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StopPrice string `protobuf:"bytes,7,opt,name=stop_price,json=stopPrice,proto3" json:"stop_price,omitempty"`
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OrderType OrderType `protobuf:"varint,8,opt,name=order_type,json=orderType,proto3,enum=bbgo.OrderType" json:"order_type,omitempty"`
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ClientOrderId string `protobuf:"bytes,9,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"`
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GroupId int64 `protobuf:"varint,10,opt,name=group_id,json=groupId,proto3" json:"group_id,omitempty"`
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}
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func (x *SubmitOrder) Reset() {
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@ -1274,6 +1275,13 @@ func (*SubmitOrder) Descriptor() ([]byte, []int) {
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return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{12}
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}
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func (x *SubmitOrder) GetSession() string {
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if x != nil {
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return x.Session
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}
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return ""
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}
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func (x *SubmitOrder) GetExchange() string {
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if x != nil {
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return x.Exchange
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@ -1295,25 +1303,25 @@ func (x *SubmitOrder) GetSide() Side {
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return Side_BUY
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}
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func (x *SubmitOrder) GetQuantity() float64 {
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if x != nil {
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return x.Quantity
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}
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return 0
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}
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func (x *SubmitOrder) GetPrice() float64 {
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func (x *SubmitOrder) GetPrice() string {
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if x != nil {
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return x.Price
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}
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return 0
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return ""
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}
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func (x *SubmitOrder) GetStopPrice() float64 {
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func (x *SubmitOrder) GetQuantity() string {
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if x != nil {
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return x.Quantity
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}
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return ""
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}
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func (x *SubmitOrder) GetStopPrice() string {
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if x != nil {
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return x.StopPrice
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}
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return 0
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return ""
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}
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func (x *SubmitOrder) GetOrderType() OrderType {
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@ -1343,11 +1351,12 @@ type Balance struct {
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sizeCache protoimpl.SizeCache
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unknownFields protoimpl.UnknownFields
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Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
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Currency string `protobuf:"bytes,2,opt,name=currency,proto3" json:"currency,omitempty"`
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Available string `protobuf:"bytes,3,opt,name=available,proto3" json:"available,omitempty"`
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Locked string `protobuf:"bytes,4,opt,name=locked,proto3" json:"locked,omitempty"`
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Borrowed string `protobuf:"bytes,5,opt,name=borrowed,proto3" json:"borrowed,omitempty"`
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Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
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Exchange string `protobuf:"bytes,2,opt,name=exchange,proto3" json:"exchange,omitempty"`
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Currency string `protobuf:"bytes,3,opt,name=currency,proto3" json:"currency,omitempty"`
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Available string `protobuf:"bytes,4,opt,name=available,proto3" json:"available,omitempty"`
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Locked string `protobuf:"bytes,5,opt,name=locked,proto3" json:"locked,omitempty"`
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Borrowed string `protobuf:"bytes,6,opt,name=borrowed,proto3" json:"borrowed,omitempty"`
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}
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func (x *Balance) Reset() {
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@ -1382,6 +1391,13 @@ func (*Balance) Descriptor() ([]byte, []int) {
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return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{13}
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}
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func (x *Balance) GetSession() string {
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if x != nil {
|
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return x.Session
|
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}
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return ""
|
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}
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func (x *Balance) GetExchange() string {
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if x != nil {
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return x.Exchange
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|
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@ -1422,7 +1438,8 @@ type SubmitOrderRequest struct {
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sizeCache protoimpl.SizeCache
|
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unknownFields protoimpl.UnknownFields
|
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|
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SubmitOrder *SubmitOrder `protobuf:"bytes,1,opt,name=submit_order,json=submitOrder,proto3" json:"submit_order,omitempty"`
|
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Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
|
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SubmitOrders []*SubmitOrder `protobuf:"bytes,2,rep,name=submit_orders,json=submitOrders,proto3" json:"submit_orders,omitempty"`
|
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}
|
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|
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func (x *SubmitOrderRequest) Reset() {
|
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|
|
@ -1457,9 +1474,16 @@ func (*SubmitOrderRequest) Descriptor() ([]byte, []int) {
|
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return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{14}
|
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}
|
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|
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func (x *SubmitOrderRequest) GetSubmitOrder() *SubmitOrder {
|
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func (x *SubmitOrderRequest) GetSession() string {
|
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if x != nil {
|
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return x.SubmitOrder
|
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return x.Session
|
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}
|
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return ""
|
||||
}
|
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|
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func (x *SubmitOrderRequest) GetSubmitOrders() []*SubmitOrder {
|
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if x != nil {
|
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return x.SubmitOrders
|
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}
|
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return nil
|
||||
}
|
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|
|
@ -1469,8 +1493,9 @@ type SubmitOrderResponse struct {
|
|||
sizeCache protoimpl.SizeCache
|
||||
unknownFields protoimpl.UnknownFields
|
||||
|
||||
Order *Order `protobuf:"bytes,1,opt,name=order,proto3" json:"order,omitempty"`
|
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Error *Error `protobuf:"bytes,2,opt,name=error,proto3" json:"error,omitempty"`
|
||||
Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
|
||||
Orders []*Order `protobuf:"bytes,2,rep,name=orders,proto3" json:"orders,omitempty"`
|
||||
Error *Error `protobuf:"bytes,3,opt,name=error,proto3" json:"error,omitempty"`
|
||||
}
|
||||
|
||||
func (x *SubmitOrderResponse) Reset() {
|
||||
|
|
@ -1505,9 +1530,16 @@ func (*SubmitOrderResponse) Descriptor() ([]byte, []int) {
|
|||
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{15}
|
||||
}
|
||||
|
||||
func (x *SubmitOrderResponse) GetOrder() *Order {
|
||||
func (x *SubmitOrderResponse) GetSession() string {
|
||||
if x != nil {
|
||||
return x.Order
|
||||
return x.Session
|
||||
}
|
||||
return ""
|
||||
}
|
||||
|
||||
func (x *SubmitOrderResponse) GetOrders() []*Order {
|
||||
if x != nil {
|
||||
return x.Orders
|
||||
}
|
||||
return nil
|
||||
}
|
||||
|
|
@ -1524,7 +1556,7 @@ type CancelOrderRequest struct {
|
|||
sizeCache protoimpl.SizeCache
|
||||
unknownFields protoimpl.UnknownFields
|
||||
|
||||
Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
|
||||
Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
|
||||
Id string `protobuf:"bytes,2,opt,name=id,proto3" json:"id,omitempty"`
|
||||
ClientOrderId string `protobuf:"bytes,3,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"`
|
||||
}
|
||||
|
|
@ -1561,9 +1593,9 @@ func (*CancelOrderRequest) Descriptor() ([]byte, []int) {
|
|||
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{16}
|
||||
}
|
||||
|
||||
func (x *CancelOrderRequest) GetExchange() string {
|
||||
func (x *CancelOrderRequest) GetSession() string {
|
||||
if x != nil {
|
||||
return x.Exchange
|
||||
return x.Session
|
||||
}
|
||||
return ""
|
||||
}
|
||||
|
|
@ -1642,7 +1674,7 @@ type QueryOrderRequest struct {
|
|||
sizeCache protoimpl.SizeCache
|
||||
unknownFields protoimpl.UnknownFields
|
||||
|
||||
Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
|
||||
Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
|
||||
Id string `protobuf:"bytes,2,opt,name=id,proto3" json:"id,omitempty"`
|
||||
ClientOrderId string `protobuf:"bytes,3,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"`
|
||||
}
|
||||
|
|
@ -1679,9 +1711,9 @@ func (*QueryOrderRequest) Descriptor() ([]byte, []int) {
|
|||
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{18}
|
||||
}
|
||||
|
||||
func (x *QueryOrderRequest) GetExchange() string {
|
||||
func (x *QueryOrderRequest) GetSession() string {
|
||||
if x != nil {
|
||||
return x.Exchange
|
||||
return x.Session
|
||||
}
|
||||
return ""
|
||||
}
|
||||
|
|
@ -1760,7 +1792,7 @@ type QueryOrdersRequest struct {
|
|||
sizeCache protoimpl.SizeCache
|
||||
unknownFields protoimpl.UnknownFields
|
||||
|
||||
Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"`
|
||||
Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
|
||||
Symbol string `protobuf:"bytes,2,opt,name=symbol,proto3" json:"symbol,omitempty"`
|
||||
State []string `protobuf:"bytes,3,rep,name=state,proto3" json:"state,omitempty"`
|
||||
OrderBy string `protobuf:"bytes,4,opt,name=order_by,json=orderBy,proto3" json:"order_by,omitempty"`
|
||||
|
|
@ -1803,9 +1835,9 @@ func (*QueryOrdersRequest) Descriptor() ([]byte, []int) {
|
|||
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{20}
|
||||
}
|
||||
|
||||
func (x *QueryOrdersRequest) GetExchange() string {
|
||||
func (x *QueryOrdersRequest) GetSession() string {
|
||||
if x != nil {
|
||||
return x.Exchange
|
||||
return x.Session
|
||||
}
|
||||
return ""
|
||||
}
|
||||
|
|
@ -2506,209 +2538,215 @@ var file_pkg_pb_bbgo_proto_rawDesc = []byte{
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var (
|
||||
|
|
@ -2780,8 +2818,8 @@ var file_pkg_pb_bbgo_proto_depIdxs = []int32{
|
|||
3, // 18: bbgo.Order.order_type:type_name -> bbgo.OrderType
|
||||
2, // 19: bbgo.SubmitOrder.side:type_name -> bbgo.Side
|
||||
3, // 20: bbgo.SubmitOrder.order_type:type_name -> bbgo.OrderType
|
||||
16, // 21: bbgo.SubmitOrderRequest.submit_order:type_name -> bbgo.SubmitOrder
|
||||
15, // 22: bbgo.SubmitOrderResponse.order:type_name -> bbgo.Order
|
||||
16, // 21: bbgo.SubmitOrderRequest.submit_orders:type_name -> bbgo.SubmitOrder
|
||||
15, // 22: bbgo.SubmitOrderResponse.orders:type_name -> bbgo.Order
|
||||
5, // 23: bbgo.SubmitOrderResponse.error:type_name -> bbgo.Error
|
||||
15, // 24: bbgo.CancelOrderResponse.order:type_name -> bbgo.Order
|
||||
5, // 25: bbgo.CancelOrderResponse.error:type_name -> bbgo.Error
|
||||
|
|
|
|||
|
|
@ -160,37 +160,41 @@ message Order {
|
|||
}
|
||||
|
||||
message SubmitOrder {
|
||||
string exchange = 1;
|
||||
string symbol = 2;
|
||||
Side side = 3;
|
||||
double quantity = 4;
|
||||
double price = 5;
|
||||
double stop_price = 6;
|
||||
OrderType order_type = 7;
|
||||
string client_order_id = 8;
|
||||
int64 group_id = 9;
|
||||
string session = 1;
|
||||
string exchange = 2;
|
||||
string symbol = 3;
|
||||
Side side = 4;
|
||||
string price = 6;
|
||||
string quantity = 5;
|
||||
string stop_price = 7;
|
||||
OrderType order_type = 8;
|
||||
string client_order_id = 9;
|
||||
int64 group_id = 10;
|
||||
}
|
||||
|
||||
// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=account-response
|
||||
message Balance {
|
||||
string exchange = 1;
|
||||
string currency = 2;
|
||||
string available = 3;
|
||||
string locked = 4;
|
||||
string borrowed = 5;
|
||||
string session = 1;
|
||||
string exchange = 2;
|
||||
string currency = 3;
|
||||
string available = 4;
|
||||
string locked = 5;
|
||||
string borrowed = 6;
|
||||
}
|
||||
|
||||
message SubmitOrderRequest {
|
||||
SubmitOrder submit_order = 1;
|
||||
string session = 1;
|
||||
repeated SubmitOrder submit_orders = 2;
|
||||
}
|
||||
|
||||
message SubmitOrderResponse {
|
||||
Order order = 1;
|
||||
Error error = 2;
|
||||
string session = 1;
|
||||
repeated Order orders = 2;
|
||||
Error error = 3;
|
||||
}
|
||||
|
||||
message CancelOrderRequest {
|
||||
string exchange = 1;
|
||||
string session = 1;
|
||||
string id = 2;
|
||||
string client_order_id = 3;
|
||||
}
|
||||
|
|
@ -201,7 +205,7 @@ message CancelOrderResponse {
|
|||
}
|
||||
|
||||
message QueryOrderRequest {
|
||||
string exchange = 1;
|
||||
string session = 1;
|
||||
string id = 2;
|
||||
string client_order_id = 3;
|
||||
}
|
||||
|
|
@ -212,7 +216,7 @@ message QueryOrderResponse {
|
|||
}
|
||||
|
||||
message QueryOrdersRequest {
|
||||
string exchange = 1;
|
||||
string session = 1;
|
||||
string symbol = 2;
|
||||
repeated string state = 3;
|
||||
string order_by = 4;
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user