From f15f4e1aac89cbcf00f903708d8c93ad202615b2 Mon Sep 17 00:00:00 2001 From: c9s Date: Fri, 15 Apr 2022 14:53:50 +0800 Subject: [PATCH] grpc: add trading service --- pkg/grpc/convert.go | 46 +++++ pkg/grpc/server.go | 54 +++++ pkg/pb/bbgo.pb.go | 471 +++++++++++++++++++++++--------------------- pkg/pb/bbgo.proto | 44 +++-- 4 files changed, 374 insertions(+), 241 deletions(-) diff --git a/pkg/grpc/convert.go b/pkg/grpc/convert.go index 6dc3225df..cce9e77cc 100644 --- a/pkg/grpc/convert.go +++ b/pkg/grpc/convert.go @@ -4,7 +4,10 @@ import ( "fmt" "strconv" + log "github.com/sirupsen/logrus" + "github.com/c9s/bbgo/pkg/bbgo" + "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/pb" "github.com/c9s/bbgo/pkg/types" ) @@ -65,6 +68,49 @@ func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event p } } +func toOrderType(orderType pb.OrderType) types.OrderType { + switch orderType { + case pb.OrderType_MARKET: + return types.OrderTypeMarket + case pb.OrderType_LIMIT: + return types.OrderTypeLimit + + } + + log.Warnf("unexpected order type: %v", orderType) + return types.OrderTypeLimit +} + +func toSide(side pb.Side) types.SideType { + switch side { + case pb.Side_BUY: + return types.SideTypeBuy + case pb.Side_SELL: + return types.SideTypeSell + + } + + log.Warnf("unexpected side type: %v", side) + return types.SideTypeBuy +} + +func toSubmitOrders(pbOrders []*pb.SubmitOrder) (submitOrders []types.SubmitOrder) { + for _, pbOrder := range pbOrders { + submitOrders = append(submitOrders, types.SubmitOrder{ + ClientOrderID: pbOrder.ClientOrderId, + Symbol: pbOrder.Symbol, + Side: toSide(pbOrder.Side), + Type: toOrderType(pbOrder.OrderType), + Price: fixedpoint.MustNewFromString(pbOrder.Price), + Quantity: fixedpoint.MustNewFromString(pbOrder.Quantity), + StopPrice: fixedpoint.MustNewFromString(pbOrder.StopPrice), + TimeInForce: "", + }) + } + + return submitOrders +} + func transBalances(session *bbgo.ExchangeSession, balances types.BalanceMap) (pbBalances []*pb.Balance) { for _, b := range balances { pbBalances = append(pbBalances, &pb.Balance{ diff --git a/pkg/grpc/server.go b/pkg/grpc/server.go index c3c370ee7..131991ac4 100644 --- a/pkg/grpc/server.go +++ b/pkg/grpc/server.go @@ -16,6 +16,60 @@ import ( "github.com/c9s/bbgo/pkg/types" ) +type TradingService struct { + Config *bbgo.Config + Environ *bbgo.Environment + Trader *bbgo.Trader + + pb.UnimplementedTradingServiceServer +} + +func (s *TradingService) SubmitOrder(ctx context.Context, request *pb.SubmitOrderRequest) (*pb.SubmitOrderResponse, error) { + sessionName := request.Session + + if len(sessionName) == 0 { + return nil, fmt.Errorf("session name can not be empty") + } + + session, ok := s.Environ.Session(sessionName) + if !ok { + return nil, fmt.Errorf("session %s not found", sessionName) + } + + submitOrders := toSubmitOrders(request.SubmitOrders) + for i := range submitOrders { + if market, ok := session.Market(submitOrders[i].Symbol); ok { + submitOrders[i].Market = market + } else { + log.Warnf("session %s market %s not found", sessionName, submitOrders[i].Symbol) + } + } + + createdOrders, err := session.Exchange.SubmitOrders(ctx, submitOrders...) + if err != nil { + return nil, err + } + _ = createdOrders + + return nil, nil +} + +func (s *TradingService) CancelOrder(ctx context.Context, request *pb.CancelOrderRequest) (*pb.CancelOrderResponse, error) { + panic("implement me") +} + +func (s *TradingService) QueryOrder(ctx context.Context, request *pb.QueryOrderRequest) (*pb.QueryOrderResponse, error) { + panic("implement me") +} + +func (s *TradingService) QueryOrders(ctx context.Context, request *pb.QueryOrdersRequest) (*pb.QueryOrdersResponse, error) { + panic("implement me") +} + +func (s *TradingService) QueryTrades(ctx context.Context, request *pb.QueryTradesRequest) (*pb.QueryTradesResponse, error) { + panic("implement me") +} + type UserDataService struct { Config *bbgo.Config Environ *bbgo.Environment diff --git a/pkg/pb/bbgo.pb.go b/pkg/pb/bbgo.pb.go index a49300b42..cd5378a6b 100644 --- a/pkg/pb/bbgo.pb.go +++ b/pkg/pb/bbgo.pb.go @@ -1231,15 +1231,16 @@ type SubmitOrder struct { sizeCache protoimpl.SizeCache unknownFields protoimpl.UnknownFields - Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"` - Symbol string `protobuf:"bytes,2,opt,name=symbol,proto3" json:"symbol,omitempty"` - Side Side `protobuf:"varint,3,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"` - Quantity float64 `protobuf:"fixed64,4,opt,name=quantity,proto3" json:"quantity,omitempty"` - Price float64 `protobuf:"fixed64,5,opt,name=price,proto3" json:"price,omitempty"` - StopPrice float64 `protobuf:"fixed64,6,opt,name=stop_price,json=stopPrice,proto3" json:"stop_price,omitempty"` - OrderType OrderType `protobuf:"varint,7,opt,name=order_type,json=orderType,proto3,enum=bbgo.OrderType" json:"order_type,omitempty"` - ClientOrderId string `protobuf:"bytes,8,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"` - GroupId int64 `protobuf:"varint,9,opt,name=group_id,json=groupId,proto3" json:"group_id,omitempty"` + Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"` + Exchange string `protobuf:"bytes,2,opt,name=exchange,proto3" json:"exchange,omitempty"` + Symbol string `protobuf:"bytes,3,opt,name=symbol,proto3" json:"symbol,omitempty"` + Side Side `protobuf:"varint,4,opt,name=side,proto3,enum=bbgo.Side" json:"side,omitempty"` + Quantity float64 `protobuf:"fixed64,5,opt,name=quantity,proto3" json:"quantity,omitempty"` + Price float64 `protobuf:"fixed64,6,opt,name=price,proto3" json:"price,omitempty"` + StopPrice float64 `protobuf:"fixed64,7,opt,name=stop_price,json=stopPrice,proto3" json:"stop_price,omitempty"` + OrderType OrderType `protobuf:"varint,8,opt,name=order_type,json=orderType,proto3,enum=bbgo.OrderType" json:"order_type,omitempty"` + ClientOrderId string `protobuf:"bytes,9,opt,name=client_order_id,json=clientOrderId,proto3" json:"client_order_id,omitempty"` + GroupId int64 `protobuf:"varint,10,opt,name=group_id,json=groupId,proto3" json:"group_id,omitempty"` } func (x *SubmitOrder) Reset() { @@ -1274,6 +1275,13 @@ func (*SubmitOrder) Descriptor() ([]byte, []int) { return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{12} } +func (x *SubmitOrder) GetSession() string { + if x != nil { + return x.Session + } + return "" +} + func (x *SubmitOrder) GetExchange() string { if x != nil { return x.Exchange @@ -1343,11 +1351,12 @@ type Balance struct { sizeCache protoimpl.SizeCache unknownFields protoimpl.UnknownFields - Exchange string `protobuf:"bytes,1,opt,name=exchange,proto3" json:"exchange,omitempty"` - Currency string `protobuf:"bytes,2,opt,name=currency,proto3" json:"currency,omitempty"` - Available string `protobuf:"bytes,3,opt,name=available,proto3" json:"available,omitempty"` - Locked string `protobuf:"bytes,4,opt,name=locked,proto3" json:"locked,omitempty"` - Borrowed string `protobuf:"bytes,5,opt,name=borrowed,proto3" json:"borrowed,omitempty"` + Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"` + Exchange string `protobuf:"bytes,2,opt,name=exchange,proto3" json:"exchange,omitempty"` + Currency string `protobuf:"bytes,3,opt,name=currency,proto3" json:"currency,omitempty"` + Available string `protobuf:"bytes,4,opt,name=available,proto3" json:"available,omitempty"` + Locked string `protobuf:"bytes,5,opt,name=locked,proto3" json:"locked,omitempty"` + Borrowed string `protobuf:"bytes,6,opt,name=borrowed,proto3" json:"borrowed,omitempty"` } func (x *Balance) Reset() { @@ -1382,6 +1391,13 @@ func (*Balance) Descriptor() ([]byte, []int) { return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{13} } +func (x *Balance) GetSession() string { + if x != nil { + return x.Session + } + return "" +} + func (x *Balance) GetExchange() string { if x != nil { return x.Exchange @@ -1422,7 +1438,8 @@ type SubmitOrderRequest struct { sizeCache protoimpl.SizeCache unknownFields protoimpl.UnknownFields - SubmitOrder *SubmitOrder `protobuf:"bytes,1,opt,name=submit_order,json=submitOrder,proto3" json:"submit_order,omitempty"` + Session string `protobuf:"bytes,1,opt,name=session,proto3" json:"session,omitempty"` + SubmitOrders []*SubmitOrder `protobuf:"bytes,2,rep,name=submit_orders,json=submitOrders,proto3" json:"submit_orders,omitempty"` } func (x *SubmitOrderRequest) Reset() { @@ -1457,9 +1474,16 @@ func (*SubmitOrderRequest) Descriptor() ([]byte, []int) { return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{14} } -func (x *SubmitOrderRequest) GetSubmitOrder() *SubmitOrder { +func (x *SubmitOrderRequest) GetSession() string { if x != nil { - return x.SubmitOrder + return x.Session + } + return "" +} + +func (x *SubmitOrderRequest) GetSubmitOrders() []*SubmitOrder { + if x != nil { + return x.SubmitOrders } return nil } @@ -1524,7 +1548,7 @@ 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 +1585,9 @@ 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 +1666,7 @@ 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 +1703,9 @@ 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 +1784,7 @@ 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 +1827,9 @@ 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 +2530,214 @@ var file_pkg_pb_bbgo_proto_rawDesc = []byte{ 0x12, 0x19, 0x0a, 0x08, 0x67, 0x72, 0x6f, 0x75, 0x70, 0x5f, 0x69, 0x64, 0x18, 0x0f, 0x20, 0x01, 0x28, 0x03, 0x52, 0x07, 0x67, 0x72, 0x6f, 0x75, 0x70, 0x49, 0x64, 0x12, 0x1d, 0x0a, 0x0a, 0x63, 0x72, 0x65, 0x61, 0x74, 0x65, 0x64, 0x5f, 0x61, 0x74, 0x18, 0x0a, 0x20, 0x01, 0x28, 0x03, 0x52, - 0x09, 0x63, 0x72, 0x65, 0x61, 0x74, 0x65, 0x64, 0x41, 0x74, 0x22, 0xa5, 0x02, 0x0a, 0x0b, 0x53, - 0x75, 0x62, 0x6d, 0x69, 0x74, 0x4f, 0x72, 0x64, 0x65, 0x72, 0x12, 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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; + double quantity = 5; + double price = 6; + double 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;