mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
grpc: separate market data message and user data message
This commit is contained in:
parent
ec6a94e485
commit
8e81716d2a
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@ -49,8 +49,8 @@ func transPriceVolume(srcPvs types.PriceVolumeSlice) (pvs []*pb.PriceVolume) {
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return pvs
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return pvs
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}
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}
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func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event pb.Event) *pb.SubscribeResponse {
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func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event pb.Event) *pb.MarketData {
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return &pb.SubscribeResponse{
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return &pb.MarketData{
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Session: session.Name,
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Session: session.Name,
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Exchange: session.ExchangeName.String(),
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Exchange: session.ExchangeName.String(),
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Symbol: book.Symbol,
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Symbol: book.Symbol,
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@ -65,8 +65,8 @@ func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event p
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}
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}
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}
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}
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func transMarketTrade(session *bbgo.ExchangeSession, marketTrade types.Trade) *pb.SubscribeResponse {
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func transMarketTrade(session *bbgo.ExchangeSession, marketTrade types.Trade) *pb.MarketData {
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return &pb.SubscribeResponse{
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return &pb.MarketData{
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Session: session.Name,
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Session: session.Name,
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Exchange: session.ExchangeName.String(),
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Exchange: session.ExchangeName.String(),
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Symbol: marketTrade.Symbol,
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Symbol: marketTrade.Symbol,
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@ -100,27 +100,31 @@ func transSide(side types.SideType) pb.Side {
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return pb.Side_SELL
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return pb.Side_SELL
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}
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}
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func transKLine(session *bbgo.ExchangeSession, kline types.KLine) *pb.SubscribeResponse {
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func transKLine(session *bbgo.ExchangeSession, kline types.KLine) *pb.KLine {
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return &pb.SubscribeResponse{
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return &pb.KLine{
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Session: session.Name,
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Session: session.Name,
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Exchange: kline.Exchange.String(),
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Exchange: kline.Exchange.String(),
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Symbol: kline.Symbol,
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Symbol: kline.Symbol,
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Channel: pb.Channel_KLINE,
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Open: kline.Open.String(),
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Event: pb.Event_UPDATE,
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High: kline.High.String(),
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Kline: &pb.KLine{
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Low: kline.Low.String(),
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Session: session.Name,
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Close: kline.Close.String(),
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Exchange: kline.Exchange.String(),
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Volume: kline.Volume.String(),
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Symbol: kline.Symbol,
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QuoteVolume: kline.QuoteVolume.String(),
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Open: kline.Open.String(),
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StartTime: kline.StartTime.UnixMilli(),
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High: kline.High.String(),
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EndTime: kline.StartTime.UnixMilli(),
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Low: kline.Low.String(),
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Closed: kline.Closed,
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Close: kline.Close.String(),
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}
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Volume: kline.Volume.String(),
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}
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QuoteVolume: kline.QuoteVolume.String(),
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StartTime: kline.StartTime.UnixMilli(),
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func transKLineResponse(session *bbgo.ExchangeSession, kline types.KLine) *pb.MarketData {
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EndTime: kline.StartTime.UnixMilli(),
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return &pb.MarketData{
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Closed: kline.Closed,
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Session: session.Name,
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},
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Exchange: kline.Exchange.String(),
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Symbol: kline.Symbol,
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Channel: pb.Channel_KLINE,
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Event: pb.Event_UPDATE,
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Kline: transKLine(session, kline),
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SubscribedAt: 0,
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SubscribedAt: 0,
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}
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}
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}
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}
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@ -22,6 +22,11 @@ type Server struct {
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Trader *bbgo.Trader
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Trader *bbgo.Trader
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pb.UnimplementedMarketDataServiceServer
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pb.UnimplementedMarketDataServiceServer
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pb.UnimplementedUserDataServiceServer
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}
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func (s *Server) SubscribeUserData(empty *pb.Empty, server pb.UserDataService_SubscribeServer) error {
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return nil
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}
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}
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func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataService_SubscribeServer) error {
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func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataService_SubscribeServer) error {
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@ -73,7 +78,7 @@ func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataSer
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}
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}
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})
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})
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stream.OnKLineClosed(func(kline types.KLine) {
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stream.OnKLineClosed(func(kline types.KLine) {
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err := server.Send(transKLine(session, kline))
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err := server.Send(transKLineResponse(session, kline))
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if err != nil {
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if err != nil {
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log.WithError(err).Error("grpc stream send error")
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log.WithError(err).Error("grpc stream send error")
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}
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}
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@ -132,19 +137,7 @@ func (s *Server) QueryKLines(ctx context.Context, request *pb.QueryKLinesRequest
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}
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}
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for _, kline := range klines {
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for _, kline := range klines {
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response.Klines = append(response.Klines, &pb.KLine{
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response.Klines = append(response.Klines, transKLine(session, kline))
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Exchange: kline.Exchange.String(),
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Symbol: kline.Symbol,
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Open: kline.Open.String(),
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High: kline.High.String(),
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Low: kline.Low.String(),
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Close: kline.Close.String(),
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Volume: kline.Volume.String(),
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QuoteVolume: kline.QuoteVolume.String(),
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Closed: kline.Closed,
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StartTime: kline.StartTime.UnixMilli(),
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EndTime: kline.EndTime.UnixMilli(),
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})
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}
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}
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return response, nil
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return response, nil
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1245
pkg/pb/bbgo.pb.go
1245
pkg/pb/bbgo.pb.go
File diff suppressed because it is too large
Load Diff
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@ -5,13 +5,12 @@ package bbgo;
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option go_package = "../pb";
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option go_package = "../pb";
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service MarketDataService {
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service MarketDataService {
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rpc Subscribe(SubscribeRequest) returns (stream SubscribeResponse) {}
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rpc Subscribe(SubscribeRequest) returns (stream MarketData) {}
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rpc QueryKLines(QueryKLinesRequest) returns (QueryKLinesResponse) {}
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rpc QueryKLines(QueryKLinesRequest) returns (QueryKLinesResponse) {}
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}
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}
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service UserDataService {
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service UserDataService {
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// should support streaming
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rpc Subscribe(UserDataRequest) returns (stream UserData) {}
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rpc SubscribeUserData(Empty) returns (stream SubscribeResponse) {}
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}
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}
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service TradingService {
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service TradingService {
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@ -30,12 +29,6 @@ enum Event {
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SNAPSHOT = 3;
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SNAPSHOT = 3;
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UPDATE = 4;
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UPDATE = 4;
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AUTHENTICATED = 5;
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AUTHENTICATED = 5;
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ORDER_SNAPSHOT = 6;
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ORDER_UPDATE = 7;
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TRADE_SNAPSHOT = 8;
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TRADE_UPDATE = 9;
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ACCOUNT_SNAPSHOT = 10;
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ACCOUNT_UPDATE = 11;
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ERROR = 99;
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ERROR = 99;
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}
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}
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@ -43,8 +36,8 @@ enum Channel {
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BOOK = 0;
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BOOK = 0;
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TRADE = 1;
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TRADE = 1;
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TICKER = 2;
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TICKER = 2;
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USER = 3;
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KLINE = 3;
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KLINE = 4;
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BALANCE = 4;
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}
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}
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enum Side {
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enum Side {
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@ -68,6 +61,20 @@ message Error {
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string error_message = 2;
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string error_message = 2;
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}
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}
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message UserDataRequest {
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string session = 1;
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}
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message UserData {
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string session = 1;
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string exchange = 2;
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Channel channel = 3; // trade, order, balance
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Event event = 4; // snapshot, update ...
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repeated Balance balances = 5;
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repeated Trade trades = 6;
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repeated Order orders = 7;
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}
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message SubscribeRequest {
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message SubscribeRequest {
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repeated Subscription subscriptions = 1;
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repeated Subscription subscriptions = 1;
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}
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}
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@ -80,18 +87,16 @@ message Subscription {
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string interval = 5; // interval is for kline channel
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string interval = 5; // interval is for kline channel
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}
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}
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message SubscribeResponse {
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message MarketData {
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string session = 1;
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string session = 1;
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string exchange = 2;
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string exchange = 2;
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string symbol = 3;
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string symbol = 3;
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Channel channel = 4; // book, trade, ticker, user
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Channel channel = 4; // book, trade, ticker, user
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Event event = 5; // snapshot, update, order_snapshot, ...
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Event event = 5; // snapshot or update
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Depth depth = 6; // depth: used by book
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Depth depth = 6; // depth: used by book
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KLine kline = 7;
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KLine kline = 7;
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repeated Trade trades = 8;
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Ticker ticker = 9; // market ticker
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Ticker ticker = 9;
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repeated Trade trades = 8; // market trades
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repeated Order orders = 10;
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repeated Balance balances = 11;
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int64 subscribed_at = 12;
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int64 subscribed_at = 12;
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Error error = 13;
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Error error = 13;
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}
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}
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@ -46,7 +46,7 @@ func (c *marketDataServiceClient) Subscribe(ctx context.Context, in *SubscribeRe
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}
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}
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type MarketDataService_SubscribeClient interface {
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type MarketDataService_SubscribeClient interface {
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Recv() (*SubscribeResponse, error)
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Recv() (*MarketData, error)
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grpc.ClientStream
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grpc.ClientStream
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}
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}
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@ -54,8 +54,8 @@ type marketDataServiceSubscribeClient struct {
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grpc.ClientStream
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grpc.ClientStream
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}
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}
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func (x *marketDataServiceSubscribeClient) Recv() (*SubscribeResponse, error) {
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func (x *marketDataServiceSubscribeClient) Recv() (*MarketData, error) {
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m := new(SubscribeResponse)
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m := new(MarketData)
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if err := x.ClientStream.RecvMsg(m); err != nil {
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if err := x.ClientStream.RecvMsg(m); err != nil {
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return nil, err
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return nil, err
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}
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}
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@ -112,7 +112,7 @@ func _MarketDataService_Subscribe_Handler(srv interface{}, stream grpc.ServerStr
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}
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}
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type MarketDataService_SubscribeServer interface {
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type MarketDataService_SubscribeServer interface {
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Send(*SubscribeResponse) error
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Send(*MarketData) error
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grpc.ServerStream
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grpc.ServerStream
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}
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}
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@ -120,7 +120,7 @@ type marketDataServiceSubscribeServer struct {
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grpc.ServerStream
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grpc.ServerStream
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}
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}
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func (x *marketDataServiceSubscribeServer) Send(m *SubscribeResponse) error {
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func (x *marketDataServiceSubscribeServer) Send(m *MarketData) error {
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return x.ServerStream.SendMsg(m)
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return x.ServerStream.SendMsg(m)
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}
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}
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@ -168,8 +168,7 @@ var MarketDataService_ServiceDesc = grpc.ServiceDesc{
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//
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//
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// For semantics around ctx use and closing/ending streaming RPCs, please refer to https://pkg.go.dev/google.golang.org/grpc/?tab=doc#ClientConn.NewStream.
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// For semantics around ctx use and closing/ending streaming RPCs, please refer to https://pkg.go.dev/google.golang.org/grpc/?tab=doc#ClientConn.NewStream.
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type UserDataServiceClient interface {
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type UserDataServiceClient interface {
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// should support streaming
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Subscribe(ctx context.Context, in *UserDataRequest, opts ...grpc.CallOption) (UserDataService_SubscribeClient, error)
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SubscribeUserData(ctx context.Context, in *Empty, opts ...grpc.CallOption) (UserDataService_SubscribeUserDataClient, error)
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}
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}
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type userDataServiceClient struct {
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type userDataServiceClient struct {
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@ -180,12 +179,12 @@ func NewUserDataServiceClient(cc grpc.ClientConnInterface) UserDataServiceClient
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return &userDataServiceClient{cc}
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return &userDataServiceClient{cc}
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}
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}
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func (c *userDataServiceClient) SubscribeUserData(ctx context.Context, in *Empty, opts ...grpc.CallOption) (UserDataService_SubscribeUserDataClient, error) {
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func (c *userDataServiceClient) Subscribe(ctx context.Context, in *UserDataRequest, opts ...grpc.CallOption) (UserDataService_SubscribeClient, error) {
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stream, err := c.cc.NewStream(ctx, &UserDataService_ServiceDesc.Streams[0], "/bbgo.UserDataService/SubscribeUserData", opts...)
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stream, err := c.cc.NewStream(ctx, &UserDataService_ServiceDesc.Streams[0], "/bbgo.UserDataService/Subscribe", opts...)
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if err != nil {
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if err != nil {
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return nil, err
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return nil, err
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}
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}
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x := &userDataServiceSubscribeUserDataClient{stream}
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x := &userDataServiceSubscribeClient{stream}
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if err := x.ClientStream.SendMsg(in); err != nil {
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if err := x.ClientStream.SendMsg(in); err != nil {
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return nil, err
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return nil, err
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}
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}
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@ -195,17 +194,17 @@ func (c *userDataServiceClient) SubscribeUserData(ctx context.Context, in *Empty
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return x, nil
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return x, nil
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}
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}
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type UserDataService_SubscribeUserDataClient interface {
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type UserDataService_SubscribeClient interface {
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Recv() (*SubscribeResponse, error)
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Recv() (*UserData, error)
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grpc.ClientStream
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grpc.ClientStream
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}
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}
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type userDataServiceSubscribeUserDataClient struct {
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type userDataServiceSubscribeClient struct {
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grpc.ClientStream
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grpc.ClientStream
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}
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}
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func (x *userDataServiceSubscribeUserDataClient) Recv() (*SubscribeResponse, error) {
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func (x *userDataServiceSubscribeClient) Recv() (*UserData, error) {
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m := new(SubscribeResponse)
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m := new(UserData)
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if err := x.ClientStream.RecvMsg(m); err != nil {
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if err := x.ClientStream.RecvMsg(m); err != nil {
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return nil, err
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return nil, err
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}
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}
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@ -216,8 +215,7 @@ func (x *userDataServiceSubscribeUserDataClient) Recv() (*SubscribeResponse, err
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// All implementations must embed UnimplementedUserDataServiceServer
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// All implementations must embed UnimplementedUserDataServiceServer
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// for forward compatibility
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// for forward compatibility
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type UserDataServiceServer interface {
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type UserDataServiceServer interface {
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// should support streaming
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Subscribe(*UserDataRequest, UserDataService_SubscribeServer) error
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SubscribeUserData(*Empty, UserDataService_SubscribeUserDataServer) error
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mustEmbedUnimplementedUserDataServiceServer()
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mustEmbedUnimplementedUserDataServiceServer()
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}
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}
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@ -225,8 +223,8 @@ type UserDataServiceServer interface {
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type UnimplementedUserDataServiceServer struct {
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type UnimplementedUserDataServiceServer struct {
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}
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}
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func (UnimplementedUserDataServiceServer) SubscribeUserData(*Empty, UserDataService_SubscribeUserDataServer) error {
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func (UnimplementedUserDataServiceServer) Subscribe(*UserDataRequest, UserDataService_SubscribeServer) error {
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return status.Errorf(codes.Unimplemented, "method SubscribeUserData not implemented")
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return status.Errorf(codes.Unimplemented, "method Subscribe not implemented")
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}
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}
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func (UnimplementedUserDataServiceServer) mustEmbedUnimplementedUserDataServiceServer() {}
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func (UnimplementedUserDataServiceServer) mustEmbedUnimplementedUserDataServiceServer() {}
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@ -241,24 +239,24 @@ func RegisterUserDataServiceServer(s grpc.ServiceRegistrar, srv UserDataServiceS
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s.RegisterService(&UserDataService_ServiceDesc, srv)
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s.RegisterService(&UserDataService_ServiceDesc, srv)
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}
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}
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func _UserDataService_SubscribeUserData_Handler(srv interface{}, stream grpc.ServerStream) error {
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func _UserDataService_Subscribe_Handler(srv interface{}, stream grpc.ServerStream) error {
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m := new(Empty)
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m := new(UserDataRequest)
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if err := stream.RecvMsg(m); err != nil {
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if err := stream.RecvMsg(m); err != nil {
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return err
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return err
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}
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}
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return srv.(UserDataServiceServer).SubscribeUserData(m, &userDataServiceSubscribeUserDataServer{stream})
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return srv.(UserDataServiceServer).Subscribe(m, &userDataServiceSubscribeServer{stream})
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}
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}
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type UserDataService_SubscribeUserDataServer interface {
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type UserDataService_SubscribeServer interface {
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Send(*SubscribeResponse) error
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Send(*UserData) error
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grpc.ServerStream
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grpc.ServerStream
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}
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}
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type userDataServiceSubscribeUserDataServer struct {
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type userDataServiceSubscribeServer struct {
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grpc.ServerStream
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grpc.ServerStream
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}
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}
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func (x *userDataServiceSubscribeUserDataServer) Send(m *SubscribeResponse) error {
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func (x *userDataServiceSubscribeServer) Send(m *UserData) error {
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return x.ServerStream.SendMsg(m)
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return x.ServerStream.SendMsg(m)
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}
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}
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@ -271,8 +269,8 @@ var UserDataService_ServiceDesc = grpc.ServiceDesc{
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Methods: []grpc.MethodDesc{},
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Methods: []grpc.MethodDesc{},
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Streams: []grpc.StreamDesc{
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Streams: []grpc.StreamDesc{
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{
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{
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StreamName: "SubscribeUserData",
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StreamName: "Subscribe",
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Handler: _UserDataService_SubscribeUserData_Handler,
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Handler: _UserDataService_Subscribe_Handler,
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ServerStreams: true,
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ServerStreams: true,
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},
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},
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},
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},
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