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grpc: convert order

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This commit is contained in:
c9s 2022-04-13 15:29:23 +08:00
parent 8e81716d2a
commit a93a91546d
4 changed files with 466 additions and 379 deletions
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33
pkg/grpc/convert.go
View File

@ -100,6 +100,39 @@ func transSide(side types.SideType) pb.Side {
return pb.Side_SELL return pb.Side_SELL
} }
func transOrderType(orderType types.OrderType) pb.OrderType {
switch orderType {
case types.OrderTypeLimit:
return pb.OrderType_LIMIT
case types.OrderTypeMarket:
return pb.OrderType_MARKET
case types.OrderTypeStopLimit:
return pb.OrderType_STOP_LIMIT
case types.OrderTypeStopMarket:
return pb.OrderType_STOP_MARKET
}
return pb.OrderType_LIMIT
}
func transOrder(session *bbgo.ExchangeSession, order types.Order) *pb.Order {
return &pb.Order{
Exchange: order.Exchange.String(),
Symbol: order.Symbol,
Id: strconv.FormatUint(order.OrderID, 10),
Side: transSide(order.Side),
OrderType: transOrderType(order.Type),
Price: order.Price.String(),
StopPrice: order.StopPrice.String(),
Status: string(order.Status),
CreatedAt: order.CreationTime.UnixMilli(),
Quantity: order.Quantity.String(),
ExecutedQuantity: order.ExecutedQuantity.String(),
ClientOrderId: order.ClientOrderID,
GroupId: 0,
}
}
func transKLine(session *bbgo.ExchangeSession, kline types.KLine) *pb.KLine { func transKLine(session *bbgo.ExchangeSession, kline types.KLine) *pb.KLine {
return &pb.KLine{ return &pb.KLine{
Session: session.Name, Session: session.Name,

74
pkg/grpc/server.go
View File

@ -1,10 +1,10 @@
package grpc package grpc
import ( import (
"context"
"fmt" "fmt"
"net" "net"
"time" "time"
"context"
"github.com/pkg/errors" "github.com/pkg/errors"
log "github.com/sirupsen/logrus" log "github.com/sirupsen/logrus"
@ -16,20 +16,57 @@ import (
"github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/types"
) )
type Server struct { type UserDataService struct {
Config *bbgo.Config
Environ *bbgo.Environment
Trader *bbgo.Trader
pb.UnimplementedUserDataServiceServer
}
func (s *UserDataService) Subscribe(request *pb.UserDataRequest, server pb.UserDataService_SubscribeServer) error {
for sessionName, session := range s.Environ.Sessions() {
if request.Session == sessionName {
userDataStream := session.Exchange.NewStream()
userDataStream.OnOrderUpdate(func(order types.Order) {
err := server.Send(&pb.UserData{
Channel: pb.Channel_ORDER,
Event: pb.Event_UPDATE,
Orders: nil,
})
if err != nil {
log.WithError(err).Errorf("grpc: can not send user data")
}
})
userDataStream.OnTradeUpdate(func(trade types.Trade) {
err := server.Send(&pb.UserData{
Channel: pb.Channel_TRADE,
Event: pb.Event_UPDATE,
Trades: []*pb.Trade{},
})
if err != nil {
log.WithError(err).Errorf("grpc: can not send user data")
}
})
userDataStream.OnBalanceUpdate(func(balances types.BalanceMap) {
})
}
}
<-server.Context().Done()
return nil
}
type MarketDataService struct {
Config *bbgo.Config Config *bbgo.Config
Environ *bbgo.Environment Environ *bbgo.Environment
Trader *bbgo.Trader Trader *bbgo.Trader
pb.UnimplementedMarketDataServiceServer pb.UnimplementedMarketDataServiceServer
pb.UnimplementedUserDataServiceServer
} }
func (s *Server) SubscribeUserData(empty *pb.Empty, server pb.UserDataService_SubscribeServer) error { func (s *MarketDataService) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataService_SubscribeServer) error {
return nil
}
func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataService_SubscribeServer) error {
exchangeSubscriptions := map[string][]types.Subscription{} exchangeSubscriptions := map[string][]types.Subscription{}
for _, sub := range request.Subscriptions { for _, sub := range request.Subscriptions {
session, ok := s.Environ.Session(sub.Exchange) session, ok := s.Environ.Session(sub.Exchange)
@ -103,7 +140,7 @@ func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataSer
return ctx.Err() return ctx.Err()
} }
func (s *Server) QueryKLines(ctx context.Context, request *pb.QueryKLinesRequest) (*pb.QueryKLinesResponse, error) { func (s *MarketDataService) QueryKLines(ctx context.Context, request *pb.QueryKLinesRequest) (*pb.QueryKLinesResponse, error) {
exchangeName, err := types.ValidExchangeName(request.Exchange) exchangeName, err := types.ValidExchangeName(request.Exchange)
if err != nil { if err != nil {
return nil, err return nil, err
@ -147,6 +184,12 @@ func (s *Server) QueryKLines(ctx context.Context, request *pb.QueryKLinesRequest
return nil, nil return nil, nil
} }
type Server struct {
Config *bbgo.Config
Environ *bbgo.Environment
Trader *bbgo.Trader
}
func (s *Server) ListenAndServe(bind string) error { func (s *Server) ListenAndServe(bind string) error {
conn, err := net.Listen("tcp", bind) conn, err := net.Listen("tcp", bind)
if err != nil { if err != nil {
@ -154,7 +197,17 @@ func (s *Server) ListenAndServe(bind string) error {
} }
var grpcServer = grpc.NewServer() var grpcServer = grpc.NewServer()
pb.RegisterMarketDataServiceServer(grpcServer, s) pb.RegisterMarketDataServiceServer(grpcServer, &MarketDataService{
Config: s.Config,
Environ: s.Environ,
Trader: s.Trader,
})
pb.RegisterUserDataServiceServer(grpcServer, &UserDataService{
Config: s.Config,
Environ: s.Environ,
Trader: s.Trader,
})
reflection.Register(grpcServer) reflection.Register(grpcServer)
@ -164,4 +217,3 @@ func (s *Server) ListenAndServe(bind string) error {
return nil return nil
} }

709
pkg/pb/bbgo.pb.go
View File

@ -89,6 +89,7 @@ const (
Channel_TICKER Channel = 2 Channel_TICKER Channel = 2
Channel_KLINE Channel = 3 Channel_KLINE Channel = 3
Channel_BALANCE Channel = 4 Channel_BALANCE Channel = 4
Channel_ORDER Channel = 5
) )
// Enum value maps for Channel. // Enum value maps for Channel.
@ -99,6 +100,7 @@ var (
2: "TICKER", 2: "TICKER",
3: "KLINE", 3: "KLINE",
4: "BALANCE", 4: "BALANCE",
5: "ORDER",
} }
Channel_value = map[string]int32{ Channel_value = map[string]int32{
"BOOK": 0, "BOOK": 0,
@ -106,6 +108,7 @@ var (
"TICKER": 2, "TICKER": 2,
"KLINE": 3, "KLINE": 3,
"BALANCE": 4, "BALANCE": 4,
"ORDER": 5,
} }
) )
@ -385,11 +388,13 @@ type UserData struct {
sizeCache protoimpl.SizeCache sizeCache protoimpl.SizeCache
unknownFields protoimpl.UnknownFields unknownFields protoimpl.UnknownFields
Channel Channel `protobuf:"varint,1,opt,name=channel,proto3,enum=bbgo.Channel" json:"channel,omitempty"` // trade, order, balance Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"`
Event Event `protobuf:"varint,2,opt,name=event,proto3,enum=bbgo.Event" json:"event,omitempty"` // snapshot, update ... Exchange string `protobuf:"bytes,2,opt,name=exchange,proto3" json:"exchange,omitempty"`
Balances []*Balance `protobuf:"bytes,3,rep,name=balances,proto3" json:"balances,omitempty"` Channel Channel `protobuf:"varint,3,opt,name=channel,proto3,enum=bbgo.Channel" json:"channel,omitempty"` // trade, order, balance
Trades []*Trade `protobuf:"bytes,4,rep,name=trades,proto3" json:"trades,omitempty"` Event Event `protobuf:"varint,4,opt,name=event,proto3,enum=bbgo.Event" json:"event,omitempty"` // snapshot, update ...
Orders []*Order `protobuf:"bytes,5,rep,name=orders,proto3" json:"orders,omitempty"` Balances []*Balance `protobuf:"bytes,5,rep,name=balances,proto3" json:"balances,omitempty"`
Trades []*Trade `protobuf:"bytes,6,rep,name=trades,proto3" json:"trades,omitempty"`
Orders []*Order `protobuf:"bytes,7,rep,name=orders,proto3" json:"orders,omitempty"`
} }
func (x *UserData) Reset() { func (x *UserData) Reset() {
@ -424,6 +429,20 @@ func (*UserData) Descriptor() ([]byte, []int) {
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{3} return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{3}
} }
func (x *UserData) GetSession() string {
if x != nil {
return x.Session
}
return ""
}
func (x *UserData) GetExchange() string {
if x != nil {
return x.Exchange
}
return ""
}
func (x *UserData) GetChannel() Channel { func (x *UserData) GetChannel() Channel {
if x != nil { if x != nil {
return x.Channel return x.Channel
@ -1066,16 +1085,14 @@ type Order struct {
Id string `protobuf:"bytes,3,opt,name=id,proto3" json:"id,omitempty"` Id string `protobuf:"bytes,3,opt,name=id,proto3" json:"id,omitempty"`
Side Side `protobuf:"varint,4,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"` Side Side `protobuf:"varint,4,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"`
OrderType OrderType `protobuf:"varint,5,opt,name=order_type,json=orderType,proto3,enum=bbgo.OrderType" json:"order_type,omitempty"` OrderType OrderType `protobuf:"varint,5,opt,name=order_type,json=orderType,proto3,enum=bbgo.OrderType" json:"order_type,omitempty"`
Price float64 `protobuf:"fixed64,6,opt,name=price,proto3" json:"price,omitempty"` Price string `protobuf:"bytes,6,opt,name=price,proto3" json:"price,omitempty"`
StopPrice float64 `protobuf:"fixed64,7,opt,name=stop_price,json=stopPrice,proto3" json:"stop_price,omitempty"` StopPrice string `protobuf:"bytes,7,opt,name=stop_price,json=stopPrice,proto3" json:"stop_price,omitempty"`
AvgPrice float64 `protobuf:"fixed64,8,opt,name=avg_price,json=avgPrice,proto3" json:"avg_price,omitempty"`
Status string `protobuf:"bytes,9,opt,name=status,proto3" json:"status,omitempty"` Status string `protobuf:"bytes,9,opt,name=status,proto3" json:"status,omitempty"`
CreatedAt int64 `protobuf:"varint,10,opt,name=created_at,json=createdAt,proto3" json:"created_at,omitempty"` Quantity string `protobuf:"bytes,11,opt,name=quantity,proto3" json:"quantity,omitempty"`
Quantity float64 `protobuf:"fixed64,11,opt,name=quantity,proto3" json:"quantity,omitempty"` ExecutedQuantity string `protobuf:"bytes,12,opt,name=executed_quantity,json=executedQuantity,proto3" json:"executed_quantity,omitempty"`
ExecutedVolume float64 `protobuf:"fixed64,12,opt,name=executed_volume,json=executedVolume,proto3" json:"executed_volume,omitempty"`
TradesCount int64 `protobuf:"varint,13,opt,name=trades_count,json=tradesCount,proto3" json:"trades_count,omitempty"`
ClientOrderId string `protobuf:"bytes,14,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"` ClientOrderId string `protobuf:"bytes,14,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"`
GroupId int64 `protobuf:"varint,15,opt,name=group_id,json=groupId,proto3" json:"group_id,omitempty"` GroupId int64 `protobuf:"varint,15,opt,name=group_id,json=groupId,proto3" json:"group_id,omitempty"`
CreatedAt int64 `protobuf:"varint,10,opt,name=created_at,json=createdAt,proto3" json:"created_at,omitempty"`
} }
func (x *Order) Reset() { func (x *Order) Reset() {
@ -1145,25 +1162,18 @@ func (x *Order) GetOrderType() OrderType {
return OrderType_MARKET return OrderType_MARKET
} }
func (x *Order) GetPrice() float64 { func (x *Order) GetPrice() string {
if x != nil { if x != nil {
return x.Price return x.Price
} }
return 0 return ""
} }
func (x *Order) GetStopPrice() float64 { func (x *Order) GetStopPrice() string {
if x != nil { if x != nil {
return x.StopPrice return x.StopPrice
} }
return 0 return ""
}
func (x *Order) GetAvgPrice() float64 {
if x != nil {
return x.AvgPrice
}
return 0
} }
func (x *Order) GetStatus() string { func (x *Order) GetStatus() string {
@ -1173,32 +1183,18 @@ func (x *Order) GetStatus() string {
return "" return ""
} }
func (x *Order) GetCreatedAt() int64 { func (x *Order) GetQuantity() string {
if x != nil {
return x.CreatedAt
}
return 0
}
func (x *Order) GetQuantity() float64 {
if x != nil { if x != nil {
return x.Quantity return x.Quantity
} }
return 0 return ""
} }
func (x *Order) GetExecutedVolume() float64 { func (x *Order) GetExecutedQuantity() string {
if x != nil { if x != nil {
return x.ExecutedVolume return x.ExecutedQuantity
} }
return 0 return ""
}
func (x *Order) GetTradesCount() int64 {
if x != nil {
return x.TradesCount
}
return 0
} }
func (x *Order) GetClientOrderId() string { func (x *Order) GetClientOrderId() string {
@ -1215,6 +1211,13 @@ func (x *Order) GetGroupId() int64 {
return 0 return 0
} }
func (x *Order) GetCreatedAt() int64 {
if x != nil {
return x.CreatedAt
}
return 0
}
type SubmitOrder struct { type SubmitOrder struct {
state protoimpl.MessageState state protoimpl.MessageState
sizeCache protoimpl.SizeCache sizeCache protoimpl.SizeCache
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} }
var ( var (

13
pkg/pb/bbgo.proto
View File

@ -38,6 +38,7 @@ enum Channel {
TICKER = 2; TICKER = 2;
KLINE = 3; KLINE = 3;
BALANCE = 4; BALANCE = 4;
ORDER = 5;
} }
enum Side { enum Side {
@ -147,16 +148,14 @@ message Order {
string id = 3; string id = 3;
Side side = 4; Side side = 4;
OrderType order_type = 5; OrderType order_type = 5;
double price = 6; string price = 6;
double stop_price = 7; string stop_price = 7;
double avg_price = 8;
string status = 9; string status = 9;
int64 created_at = 10; string quantity = 11;
double quantity = 11; string executed_quantity = 12;
double executed_volume = 12;
int64 trades_count = 13;
string client_order_id = 14; string client_order_id = 14;
int64 group_id = 15; int64 group_id = 15;
int64 created_at = 10;
} }
message SubmitOrder { message SubmitOrder {