grpc: add trading service

This commit is contained in:
c9s 2022-04-15 14:53:50 +08:00
parent 84d4f312fa
commit f15f4e1aac
4 changed files with 374 additions and 241 deletions

View File

@ -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{

View File

@ -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

View File

@ -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{
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0x33,
}
var (
@ -2780,7 +2809,7 @@ 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
16, // 21: bbgo.SubmitOrderRequest.submit_orders:type_name -> bbgo.SubmitOrder
15, // 22: bbgo.SubmitOrderResponse.order:type_name -> bbgo.Order
5, // 23: bbgo.SubmitOrderResponse.error:type_name -> bbgo.Error
15, // 24: bbgo.CancelOrderResponse.order:type_name -> bbgo.Order

View File

@ -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;
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;