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grpc: implement book stream

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This commit is contained in:
c9s 2022-04-12 16:55:42 +08:00
parent 46cf220e2c
commit fb5703bf13
4 changed files with 511 additions and 385 deletions
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90
pkg/grpc/server.go
View File

@ -6,6 +6,7 @@ import (
"net"
"github.com/pkg/errors"
log "github.com/sirupsen/logrus"
"google.golang.org/grpc"
"google.golang.org/grpc/reflection"
@ -30,13 +31,14 @@ func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataSer
return fmt.Errorf("exchange %s not found", sub.Exchange)
}
switch types.Channel(sub.Channel) {
case types.MarketTradeChannel:
// TODO
case types.BookTickerChannel:
// TODO
switch sub.Channel {
case pb.Channel_TRADE:
exchangeSubscriptions[session.Name] = append(exchangeSubscriptions[session.Name], types.Subscription{
Symbol: sub.Symbol,
Channel: types.MarketTradeChannel,
})
case types.BookChannel:
case pb.Channel_BOOK:
exchangeSubscriptions[session.Name] = append(exchangeSubscriptions[session.Name], types.Subscription{
Symbol: sub.Symbol,
Channel: types.BookChannel,
@ -44,7 +46,8 @@ func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataSer
Depth: types.Depth(sub.Depth),
},
})
case types.KLineChannel:
case pb.Channel_KLINE:
exchangeSubscriptions[session.Name] = append(exchangeSubscriptions[session.Name], types.Subscription{
Symbol: sub.Symbol,
Channel: types.KLineChannel,
@ -56,12 +59,31 @@ func (s *Server) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataSer
}
for sessionName, subs := range exchangeSubscriptions {
if session, ok := s.Environ.Session(sessionName) ; ok {
if session, ok := s.Environ.Session(sessionName); ok {
stream := session.Exchange.NewStream()
stream.SetPublicOnly()
for _, sub := range subs {
stream.Subscribe(sub.Channel, sub.Symbol, sub.Options)
}
stream.OnBookSnapshot(func(book types.SliceOrderBook) {
if err := server.Send(transBook(session, book, pb.Event_SNAPSHOT)); err != nil {
log.WithError(err).Error("grpc stream send error")
}
})
stream.OnBookUpdate(func(book types.SliceOrderBook) {
if err := server.Send(transBook(session, book, pb.Event_UPDATE)); err != nil {
log.WithError(err).Error("grpc stream send error")
}
})
stream.OnKLineClosed(func(kline types.KLine) {
err := server.Send(transKLine(session, kline))
if err != nil {
log.WithError(err).Error("grpc stream send error")
}
})
go stream.Connect(server.Context())
}
}
@ -94,7 +116,7 @@ func (s *Server) QueryKLines(ctx context.Context, request *pb.QueryKLinesRequest
response.Klines = append(response.Klines, &pb.KLine{
Exchange: kline.Exchange.String(),
Symbol: kline.Symbol,
Timestamp: kline.StartTime.Unix(),
StartTime: kline.StartTime.UnixMilli(),
Open: kline.Open.Float64(),
High: kline.High.Float64(),
Low: kline.Low.Float64(),
@ -128,3 +150,53 @@ func (s *Server) ListenAndServe(bind string) error {
return nil
}
func transPriceVolume(srcPvs types.PriceVolumeSlice) (pvs []*pb.PriceVolume) {
for _, srcPv := range srcPvs {
pvs = append(pvs, &pb.PriceVolume{
Price: srcPv.Price.String(),
Volume: srcPv.Volume.String(),
})
}
return pvs
}
func transBook(session *bbgo.ExchangeSession, book types.SliceOrderBook, event pb.Event) *pb.SubscribeResponse {
return &pb.SubscribeResponse{
Session: session.Name,
Exchange: session.ExchangeName.String(),
Symbol: book.Symbol,
Channel: pb.Channel_BOOK,
Event: event, // pb.Event_UPDATE
Depth: &pb.Depth{
Exchange: session.ExchangeName.String(),
Symbol: book.Symbol,
Asks: transPriceVolume(book.Asks),
Bids: transPriceVolume(book.Bids),
},
}
}
func transKLine(session *bbgo.ExchangeSession, kline types.KLine) *pb.SubscribeResponse {
return &pb.SubscribeResponse{
Session: session.Name,
Exchange: kline.Exchange.String(),
Symbol: kline.Symbol,
Channel: pb.Channel_KLINE,
Event: pb.Event_UPDATE,
Kline: &pb.KLine{
Session: session.Name,
Exchange: kline.Exchange.String(),
Symbol: kline.Symbol,
Open: kline.Open.Float64(),
High: kline.High.Float64(),
Low: kline.Low.Float64(),
Close: kline.Close.Float64(),
Volume: kline.Volume.Float64(),
QuoteVolume: kline.QuoteVolume.Float64(),
StartTime: kline.StartTime.UnixMilli(),
EndTime: kline.StartTime.UnixMilli(),
},
SubscribedAt: 0,
}
}

764
pkg/pb/bbgo.pb.go
View File

@ -106,6 +106,7 @@ const (
Channel_TRADE Channel = 1
Channel_TICKER Channel = 2
Channel_USER Channel = 3
Channel_KLINE Channel = 4
)
// Enum value maps for Channel.
@ -115,12 +116,14 @@ var (
1: "TRADE",
2: "TICKER",
3: "USER",
4: "KLINE",
}
Channel_value = map[string]int32{
"BOOK": 0,
"TRADE": 1,
"TICKER": 2,
"USER": 3,
"KLINE": 4,
}
)
@ -479,17 +482,19 @@ type SubscribeResponse 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"`
Channel Channel `protobuf:"varint,3,opt,name=channel,proto3,enum=bbgo.Channel" json:"channel,omitempty"` // book, trade, ticker, user
Event Event `protobuf:"varint,4,opt,name=event,proto3,enum=bbgo.Event" json:"event,omitempty"` // snapshot, update, order_snapshot, ...
Depth *Depth `protobuf:"bytes,5,opt,name=depth,proto3" json:"depth,omitempty"`
Trades []*Trade `protobuf:"bytes,6,rep,name=trades,proto3" json:"trades,omitempty"`
Ticker *Ticker `protobuf:"bytes,7,opt,name=ticker,proto3" json:"ticker,omitempty"`
Orders []*Order `protobuf:"bytes,8,rep,name=orders,proto3" json:"orders,omitempty"`
Balances []*Balance `protobuf:"bytes,9,rep,name=balances,proto3" json:"balances,omitempty"`
SubscribedAt int64 `protobuf:"varint,10,opt,name=subscribed_at,json=subscribedAt,proto3" json:"subscribed_at,omitempty"`
Error *Error `protobuf:"bytes,11,opt,name=error,proto3" json:"error,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"`
Channel Channel `protobuf:"varint,4,opt,name=channel,proto3,enum=bbgo.Channel" json:"channel,omitempty"` // book, trade, ticker, user
Event Event `protobuf:"varint,5,opt,name=event,proto3,enum=bbgo.Event" json:"event,omitempty"` // snapshot, update, order_snapshot, ...
Depth *Depth `protobuf:"bytes,6,opt,name=depth,proto3" json:"depth,omitempty"` // depth: used by book
Kline *KLine `protobuf:"bytes,7,opt,name=kline,proto3" json:"kline,omitempty"`
Trades []*Trade `protobuf:"bytes,8,rep,name=trades,proto3" json:"trades,omitempty"`
Ticker *Ticker `protobuf:"bytes,9,opt,name=ticker,proto3" json:"ticker,omitempty"`
Orders []*Order `protobuf:"bytes,10,rep,name=orders,proto3" json:"orders,omitempty"`
Balances []*Balance `protobuf:"bytes,11,rep,name=balances,proto3" json:"balances,omitempty"`
SubscribedAt int64 `protobuf:"varint,12,opt,name=subscribed_at,json=subscribedAt,proto3" json:"subscribed_at,omitempty"`
Error *Error `protobuf:"bytes,13,opt,name=error,proto3" json:"error,omitempty"`
}
func (x *SubscribeResponse) Reset() {
@ -524,6 +529,13 @@ func (*SubscribeResponse) Descriptor() ([]byte, []int) {
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{4}
}
func (x *SubscribeResponse) GetSession() string {
if x != nil {
return x.Session
}
return ""
}
func (x *SubscribeResponse) GetExchange() string {
if x != nil {
return x.Exchange
@ -559,6 +571,13 @@ func (x *SubscribeResponse) GetDepth() *Depth {
return nil
}
func (x *SubscribeResponse) GetKline() *KLine {
if x != nil {
return x.Kline
}
return nil
}
func (x *SubscribeResponse) GetTrades() []*Trade {
if x != nil {
return x.Trades
@ -677,8 +696,8 @@ type PriceVolume struct {
sizeCache protoimpl.SizeCache
unknownFields protoimpl.UnknownFields
Price int64 `protobuf:"varint,1,opt,name=price,proto3" json:"price,omitempty"`
Volume int64 `protobuf:"varint,2,opt,name=volume,proto3" json:"volume,omitempty"`
Price string `protobuf:"bytes,1,opt,name=price,proto3" json:"price,omitempty"`
Volume string `protobuf:"bytes,2,opt,name=volume,proto3" json:"volume,omitempty"`
}
func (x *PriceVolume) Reset() {
@ -713,18 +732,18 @@ func (*PriceVolume) Descriptor() ([]byte, []int) {
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{6}
}
func (x *PriceVolume) GetPrice() int64 {
func (x *PriceVolume) GetPrice() string {
if x != nil {
return x.Price
}
return 0
return ""
}
func (x *PriceVolume) GetVolume() int64 {
func (x *PriceVolume) GetVolume() string {
if x != nil {
return x.Volume
}
return 0
return ""
}
// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=trade-response
@ -2112,15 +2131,17 @@ type KLine 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"`
Timestamp int64 `protobuf:"varint,3,opt,name=timestamp,proto3" json:"timestamp,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"`
Open float64 `protobuf:"fixed64,4,opt,name=open,proto3" json:"open,omitempty"`
High float64 `protobuf:"fixed64,5,opt,name=high,proto3" json:"high,omitempty"`
Low float64 `protobuf:"fixed64,6,opt,name=low,proto3" json:"low,omitempty"`
Close float64 `protobuf:"fixed64,7,opt,name=close,proto3" json:"close,omitempty"`
Volume float64 `protobuf:"fixed64,8,opt,name=volume,proto3" json:"volume,omitempty"`
QuoteVolume float64 `protobuf:"fixed64,9,opt,name=quote_volume,json=quoteVolume,proto3" json:"quote_volume,omitempty"`
StartTime int64 `protobuf:"varint,10,opt,name=start_time,json=startTime,proto3" json:"start_time,omitempty"`
EndTime int64 `protobuf:"varint,11,opt,name=end_time,json=endTime,proto3" json:"end_time,omitempty"`
}
func (x *KLine) Reset() {
@ -2155,6 +2176,13 @@ func (*KLine) Descriptor() ([]byte, []int) {
return file_pkg_pb_bbgo_proto_rawDescGZIP(), []int{24}
}
func (x *KLine) GetSession() string {
if x != nil {
return x.Session
}
return ""
}
func (x *KLine) GetExchange() string {
if x != nil {
return x.Exchange
@ -2169,13 +2197,6 @@ func (x *KLine) GetSymbol() string {
return ""
}
func (x *KLine) GetTimestamp() int64 {
if x != nil {
return x.Timestamp
}
return 0
}
func (x *KLine) GetOpen() float64 {
if x != nil {
return x.Open
@ -2218,6 +2239,20 @@ func (x *KLine) GetQuoteVolume() float64 {
return 0
}
func (x *KLine) GetStartTime() int64 {
if x != nil {
return x.StartTime
}
return 0
}
func (x *KLine) GetEndTime() int64 {
if x != nil {
return x.EndTime
}
return 0
}
var File_pkg_pb_bbgo_proto protoreflect.FileDescriptor
var file_pkg_pb_bbgo_proto_rawDesc = []byte{
@ -2242,303 +2277,311 @@ var file_pkg_pb_bbgo_proto_rawDesc = []byte{
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}
var (
@ -2592,52 +2635,53 @@ var file_pkg_pb_bbgo_proto_depIdxs = []int32{
1, // 2: bbgo.SubscribeResponse.channel:type_name -> bbgo.Channel
0, // 3: bbgo.SubscribeResponse.event:type_name -> bbgo.Event
9, // 4: bbgo.SubscribeResponse.depth:type_name -> bbgo.Depth
11, // 5: bbgo.SubscribeResponse.trades:type_name -> bbgo.Trade
12, // 6: bbgo.SubscribeResponse.ticker:type_name -> bbgo.Ticker
13, // 7: bbgo.SubscribeResponse.orders:type_name -> bbgo.Order
15, // 8: bbgo.SubscribeResponse.balances:type_name -> bbgo.Balance
5, // 9: bbgo.SubscribeResponse.error:type_name -> bbgo.Error
10, // 10: bbgo.Depth.asks:type_name -> bbgo.PriceVolume
10, // 11: bbgo.Depth.bids:type_name -> bbgo.PriceVolume
2, // 12: bbgo.Trade.side:type_name -> bbgo.Side
2, // 13: bbgo.Order.side:type_name -> bbgo.Side
3, // 14: bbgo.Order.order_type:type_name -> bbgo.OrderType
2, // 15: bbgo.SubmitOrder.side:type_name -> bbgo.Side
3, // 16: bbgo.SubmitOrder.order_type:type_name -> bbgo.OrderType
14, // 17: bbgo.SubmitOrderRequest.submit_order:type_name -> bbgo.SubmitOrder
13, // 18: bbgo.SubmitOrderResponse.order:type_name -> bbgo.Order
5, // 19: bbgo.SubmitOrderResponse.error:type_name -> bbgo.Error
13, // 20: bbgo.CancelOrderResponse.order:type_name -> bbgo.Order
5, // 21: bbgo.CancelOrderResponse.error:type_name -> bbgo.Error
13, // 22: bbgo.QueryOrderResponse.order:type_name -> bbgo.Order
5, // 23: bbgo.QueryOrderResponse.error:type_name -> bbgo.Error
13, // 24: bbgo.QueryOrdersResponse.orders:type_name -> bbgo.Order
5, // 25: bbgo.QueryOrdersResponse.error:type_name -> bbgo.Error
11, // 26: bbgo.QueryTradesResponse.trades:type_name -> bbgo.Trade
5, // 27: bbgo.QueryTradesResponse.error:type_name -> bbgo.Error
28, // 28: bbgo.QueryKLinesResponse.klines:type_name -> bbgo.KLine
5, // 29: bbgo.QueryKLinesResponse.error:type_name -> bbgo.Error
6, // 30: bbgo.MarketDataService.Subscribe:input_type -> bbgo.SubscribeRequest
26, // 31: bbgo.MarketDataService.QueryKLines:input_type -> bbgo.QueryKLinesRequest
4, // 32: bbgo.UserDataService.SubscribeUserData:input_type -> bbgo.Empty
16, // 33: bbgo.TradingService.SubmitOrder:input_type -> bbgo.SubmitOrderRequest
18, // 34: bbgo.TradingService.CancelOrder:input_type -> bbgo.CancelOrderRequest
20, // 35: bbgo.TradingService.QueryOrder:input_type -> bbgo.QueryOrderRequest
22, // 36: bbgo.TradingService.QueryOrders:input_type -> bbgo.QueryOrdersRequest
24, // 37: bbgo.TradingService.QueryTrades:input_type -> bbgo.QueryTradesRequest
8, // 38: bbgo.MarketDataService.Subscribe:output_type -> bbgo.SubscribeResponse
27, // 39: bbgo.MarketDataService.QueryKLines:output_type -> bbgo.QueryKLinesResponse
8, // 40: bbgo.UserDataService.SubscribeUserData:output_type -> bbgo.SubscribeResponse
17, // 41: bbgo.TradingService.SubmitOrder:output_type -> bbgo.SubmitOrderResponse
19, // 42: bbgo.TradingService.CancelOrder:output_type -> bbgo.CancelOrderResponse
21, // 43: bbgo.TradingService.QueryOrder:output_type -> bbgo.QueryOrderResponse
23, // 44: bbgo.TradingService.QueryOrders:output_type -> bbgo.QueryOrdersResponse
25, // 45: bbgo.TradingService.QueryTrades:output_type -> bbgo.QueryTradesResponse
38, // [38:46] is the sub-list for method output_type
30, // [30:38] is the sub-list for method input_type
30, // [30:30] is the sub-list for extension type_name
30, // [30:30] is the sub-list for extension extendee
0, // [0:30] is the sub-list for field type_name
28, // 5: bbgo.SubscribeResponse.kline:type_name -> bbgo.KLine
11, // 6: bbgo.SubscribeResponse.trades:type_name -> bbgo.Trade
12, // 7: bbgo.SubscribeResponse.ticker:type_name -> bbgo.Ticker
13, // 8: bbgo.SubscribeResponse.orders:type_name -> bbgo.Order
15, // 9: bbgo.SubscribeResponse.balances:type_name -> bbgo.Balance
5, // 10: bbgo.SubscribeResponse.error:type_name -> bbgo.Error
10, // 11: bbgo.Depth.asks:type_name -> bbgo.PriceVolume
10, // 12: bbgo.Depth.bids:type_name -> bbgo.PriceVolume
2, // 13: bbgo.Trade.side:type_name -> bbgo.Side
2, // 14: bbgo.Order.side:type_name -> bbgo.Side
3, // 15: bbgo.Order.order_type:type_name -> bbgo.OrderType
2, // 16: bbgo.SubmitOrder.side:type_name -> bbgo.Side
3, // 17: bbgo.SubmitOrder.order_type:type_name -> bbgo.OrderType
14, // 18: bbgo.SubmitOrderRequest.submit_order:type_name -> bbgo.SubmitOrder
13, // 19: bbgo.SubmitOrderResponse.order:type_name -> bbgo.Order
5, // 20: bbgo.SubmitOrderResponse.error:type_name -> bbgo.Error
13, // 21: bbgo.CancelOrderResponse.order:type_name -> bbgo.Order
5, // 22: bbgo.CancelOrderResponse.error:type_name -> bbgo.Error
13, // 23: bbgo.QueryOrderResponse.order:type_name -> bbgo.Order
5, // 24: bbgo.QueryOrderResponse.error:type_name -> bbgo.Error
13, // 25: bbgo.QueryOrdersResponse.orders:type_name -> bbgo.Order
5, // 26: bbgo.QueryOrdersResponse.error:type_name -> bbgo.Error
11, // 27: bbgo.QueryTradesResponse.trades:type_name -> bbgo.Trade
5, // 28: bbgo.QueryTradesResponse.error:type_name -> bbgo.Error
28, // 29: bbgo.QueryKLinesResponse.klines:type_name -> bbgo.KLine
5, // 30: bbgo.QueryKLinesResponse.error:type_name -> bbgo.Error
6, // 31: bbgo.MarketDataService.Subscribe:input_type -> bbgo.SubscribeRequest
26, // 32: bbgo.MarketDataService.QueryKLines:input_type -> bbgo.QueryKLinesRequest
4, // 33: bbgo.UserDataService.SubscribeUserData:input_type -> bbgo.Empty
16, // 34: bbgo.TradingService.SubmitOrder:input_type -> bbgo.SubmitOrderRequest
18, // 35: bbgo.TradingService.CancelOrder:input_type -> bbgo.CancelOrderRequest
20, // 36: bbgo.TradingService.QueryOrder:input_type -> bbgo.QueryOrderRequest
22, // 37: bbgo.TradingService.QueryOrders:input_type -> bbgo.QueryOrdersRequest
24, // 38: bbgo.TradingService.QueryTrades:input_type -> bbgo.QueryTradesRequest
8, // 39: bbgo.MarketDataService.Subscribe:output_type -> bbgo.SubscribeResponse
27, // 40: bbgo.MarketDataService.QueryKLines:output_type -> bbgo.QueryKLinesResponse
8, // 41: bbgo.UserDataService.SubscribeUserData:output_type -> bbgo.SubscribeResponse
17, // 42: bbgo.TradingService.SubmitOrder:output_type -> bbgo.SubmitOrderResponse
19, // 43: bbgo.TradingService.CancelOrder:output_type -> bbgo.CancelOrderResponse
21, // 44: bbgo.TradingService.QueryOrder:output_type -> bbgo.QueryOrderResponse
23, // 45: bbgo.TradingService.QueryOrders:output_type -> bbgo.QueryOrdersResponse
25, // 46: bbgo.TradingService.QueryTrades:output_type -> bbgo.QueryTradesResponse
39, // [39:47] is the sub-list for method output_type
31, // [31:39] is the sub-list for method input_type
31, // [31:31] is the sub-list for extension type_name
31, // [31:31] is the sub-list for extension extendee
0, // [0:31] is the sub-list for field type_name
}
func init() { file_pkg_pb_bbgo_proto_init() }

38
pkg/pb/bbgo.proto
View File

@ -44,6 +44,7 @@ enum Channel {
TRADE = 1;
TICKER = 2;
USER = 3;
KLINE = 4;
}
enum Side {
@ -80,19 +81,22 @@ message Subscription {
}
message SubscribeResponse {
string exchange = 1;
string symbol = 2;
Channel channel = 3; // book, trade, ticker, user
Event event = 4; // snapshot, update, order_snapshot, ...
Depth depth = 5;
repeated Trade trades = 6;
Ticker ticker = 7;
repeated Order orders = 8;
repeated Balance balances = 9;
int64 subscribed_at = 10;
Error error = 11;
string session = 1;
string exchange = 2;
string symbol = 3;
Channel channel = 4; // book, trade, ticker, user
Event event = 5; // snapshot, update, order_snapshot, ...
Depth depth = 6; // depth: used by book
KLine kline = 7;
repeated Trade trades = 8;
Ticker ticker = 9;
repeated Order orders = 10;
repeated Balance balances = 11;
int64 subscribed_at = 12;
Error error = 13;
}
message Depth {
string exchange = 1;
string symbol = 2;
@ -101,8 +105,8 @@ message Depth {
}
message PriceVolume {
int64 price = 1;
int64 volume = 2;
string price = 1;
string volume = 2;
}
// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=trade-response
@ -251,13 +255,15 @@ message QueryKLinesResponse {
}
message KLine {
string exchange = 1;
string symbol = 2;
int64 timestamp = 3;
string session = 1;
string exchange = 2;
string symbol = 3;
double open = 4;
double high = 5;
double low = 6;
double close = 7;
double volume = 8;
double quote_volume = 9;
int64 start_time = 10;
int64 end_time = 11;
}

4
pkg/types/time.go
View File

@ -162,6 +162,10 @@ func (t Time) Unix() int64 {
return time.Time(t).Unix()
}
func (t Time) UnixMilli() int64 {
return time.Time(t).UnixMilli()
}
func (t Time) After(time2 time.Time) bool {
return time.Time(t).After(time2)
}