package grpc import ( "context" "fmt" "net" "strconv" "time" "github.com/pkg/errors" log "github.com/sirupsen/logrus" "google.golang.org/grpc" "google.golang.org/grpc/reflection" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/pb" "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 } resp := &pb.SubmitOrderResponse{ Session: sessionName, Orders: nil, } for _, createdOrder := range createdOrders { resp.Orders = append(resp.Orders, transOrder(session, createdOrder)) } return resp, nil } func (s *TradingService) CancelOrder(ctx context.Context, request *pb.CancelOrderRequest) (*pb.CancelOrderResponse, 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) } uuidOrderID := "" orderID, err := strconv.ParseUint(request.OrderId, 10, 64) if err != nil { // TODO: validate uuid uuidOrderID = request.OrderId } session.Exchange.CancelOrders(ctx, types.Order{ SubmitOrder: types.SubmitOrder{ ClientOrderID: request.ClientOrderId, }, OrderID: orderID, UUID: uuidOrderID, }) resp := &pb.CancelOrderResponse{} return resp, nil } 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 Trader *bbgo.Trader pb.UnimplementedUserDataServiceServer } func (s *UserDataService) Subscribe(request *pb.UserDataRequest, server pb.UserDataService_SubscribeServer) error { sessionName := request.Session if len(sessionName) == 0 { return fmt.Errorf("session name can not be empty") } session, ok := s.Environ.Session(sessionName) if !ok { return fmt.Errorf("session %s not found", 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: []*pb.Order{transOrder(session, order)}, }) 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{transTrade(session, trade)}, }) if err != nil { log.WithError(err).Errorf("grpc: can not send user data") } }) balanceHandler := func(balances types.BalanceMap) { err := server.Send(&pb.UserData{ Channel: pb.Channel_BALANCE, Event: pb.Event_UPDATE, Balances: transBalances(session, balances), }) if err != nil { log.WithError(err).Errorf("grpc: can not send user data") } } userDataStream.OnBalanceUpdate(balanceHandler) userDataStream.OnBalanceSnapshot(balanceHandler) ctx := server.Context() balances, err := session.Exchange.QueryAccountBalances(ctx) if err != nil { return err } err = server.Send(&pb.UserData{ Channel: pb.Channel_BALANCE, Event: pb.Event_SNAPSHOT, Balances: transBalances(session, balances), }) if err != nil { log.WithError(err).Errorf("grpc: can not send user data") } go userDataStream.Connect(ctx) defer func() { if err := userDataStream.Close(); err != nil { log.WithError(err).Errorf("user data stream close error") } }() <-ctx.Done() return nil } type MarketDataService struct { Config *bbgo.Config Environ *bbgo.Environment Trader *bbgo.Trader pb.UnimplementedMarketDataServiceServer } func (s *MarketDataService) Subscribe(request *pb.SubscribeRequest, server pb.MarketDataService_SubscribeServer) error { exchangeSubscriptions := map[string][]types.Subscription{} for _, sub := range request.Subscriptions { session, ok := s.Environ.Session(sub.Exchange) if !ok { return fmt.Errorf("exchange %s not found", sub.Exchange) } ss, err := toSubscriptions(sub) if err != nil { return err } exchangeSubscriptions[session.Name] = append(exchangeSubscriptions[session.Name], ss) } streamPool := map[string]types.Stream{} for sessionName, subs := range exchangeSubscriptions { session, ok := s.Environ.Session(sessionName) if !ok { log.Errorf("session %s not found", sessionName) continue } stream := session.Exchange.NewStream() stream.SetPublicOnly() for _, sub := range subs { log.Infof("%s subscribe %s %s %+v", sessionName, sub.Channel, sub.Symbol, sub.Options) stream.Subscribe(sub.Channel, sub.Symbol, sub.Options) } stream.OnMarketTrade(func(trade types.Trade) { if err := server.Send(transMarketTrade(session, trade)); err != nil { log.WithError(err).Error("grpc stream send error") } }) 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(transKLineResponse(session, kline)) if err != nil { log.WithError(err).Error("grpc stream send error") } }) streamPool[sessionName] = stream } for _, stream := range streamPool { go stream.Connect(server.Context()) } defer func() { for _, stream := range streamPool { if err := stream.Close(); err != nil { log.WithError(err).Errorf("market data stream close error") } } }() ctx := server.Context() <-ctx.Done() return ctx.Err() } func (s *MarketDataService) QueryKLines(ctx context.Context, request *pb.QueryKLinesRequest) (*pb.QueryKLinesResponse, error) { exchangeName, err := types.ValidExchangeName(request.Exchange) if err != nil { return nil, err } for _, session := range s.Environ.Sessions() { if session.ExchangeName == exchangeName { response := &pb.QueryKLinesResponse{ Klines: nil, Error: nil, } options := types.KLineQueryOptions{ Limit: int(request.Limit), } endTime := time.Now() if request.EndTime != 0 { endTime = time.Unix(request.EndTime, 0) } options.EndTime = &endTime if request.StartTime != 0 { startTime := time.Unix(request.StartTime, 0) options.StartTime = &startTime } klines, err := session.Exchange.QueryKLines(ctx, request.Symbol, types.Interval(request.Interval), options) if err != nil { return nil, err } for _, kline := range klines { response.Klines = append(response.Klines, transKLine(session, kline)) } return response, nil } } return nil, nil } type Server struct { Config *bbgo.Config Environ *bbgo.Environment Trader *bbgo.Trader } func (s *Server) ListenAndServe(bind string) error { conn, err := net.Listen("tcp", bind) if err != nil { return errors.Wrapf(err, "failed to bind network at %s", bind) } var grpcServer = grpc.NewServer() pb.RegisterMarketDataServiceServer(grpcServer, &MarketDataService{ Config: s.Config, Environ: s.Environ, Trader: s.Trader, }) pb.RegisterTradingServiceServer(grpcServer, &TradingService{ 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) if err := grpcServer.Serve(conn); err != nil { return errors.Wrap(err, "failed to serve grpc connections") } return nil }