mirror of
https://github.com/c9s/bbgo.git
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148 lines
5.9 KiB
Python
148 lines
5.9 KiB
Python
from typing import Iterator
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from typing import List
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from typing import Tuple
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import bbgo_pb2
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import bbgo_pb2_grpc
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from .data import ErrorMessage
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from .data import KLine
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from .data import MarketDataEvent
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from .data import Subscription
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from .data import UserDataEvent
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class UserDataService(object):
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def __init__(self, stub: bbgo_pb2_grpc.UserDataServiceStub) -> None:
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self.stub = stub
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def subscribe(self, session: str) -> Iterator[UserDataEvent]:
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request = bbgo_pb2.UserDataRequest(session)
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response_iter = self.stub.Subscribe(request)
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for response in response_iter:
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yield UserDataEvent.from_pb(response)
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class MarketService(object):
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def __init__(self, stub: bbgo_pb2_grpc.MarketDataServiceStub) -> None:
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self.stub = stub
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def subscribe(self, subscriptions: List[Subscription]) -> Iterator[MarketDataEvent]:
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request = bbgo_pb2.SubscribeRequest(subscriptions=[s.to_pb() for s in subscriptions])
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response_iter = self.stub.Subscribe(request)
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for response in response_iter:
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yield MarketDataEvent.from_pb(response)
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def query_klines(self,
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exchange: str,
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symbol: str,
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limit: int = 30,
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interval: str = '1m',
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start_time: int = None,
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end_time: int = None) -> Tuple[List[KLine], ErrorMessage]:
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request = bbgo_pb2.QueryKLinesRequest(exchange=exchange,
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symbol=symbol,
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limit=limit,
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interval=interval,
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start_time=start_time,
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end_time=end_time)
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response = self.stub.QueryKLines(request)
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klines = []
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for kline in response.klines:
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klines.append(KLine.from_pb(kline))
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error = ErrorMessage.from_pb(response.error)
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return klines, error
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class TradingService(object):
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def __init__(self, stub: bbgo_pb2_grpc.TradingServiceStub):
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self.stub = stub
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def submit_order(self,
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exchange: str,
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symbol: str,
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side: bbgo_pb2.Side,
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quantity: float,
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order_type: bbgo_pb2.OrderType,
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price: float = None,
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stop_price: float = None,
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client_order_id: float = None,
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group_id: float = None) -> bbgo_pb2.Order:
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submit_order = bbgo_pb2.SubmitOrder(exchange=exchange,
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symbol=symbol,
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side=side,
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quantity=quantity,
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order_type=order_type,
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price=price,
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stop_price=stop_price,
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client_order_id=client_order_id,
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group_id=group_id)
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request = bbgo_pb2.SubmitOrderRequest(submit_order=submit_order)
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response = self.stub.SubmitOrder(request)
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return response
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def cancel_order(self, exchange: str, order_id: int, client_order_id: int = None) -> bbgo_pb2.CancelOrderResponse:
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request = bbgo_pb2.CancelOrderRequest(exchange=exchange, id=order_id, client_order_id=client_order_id)
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response = self.stub.CancelOrder(request)
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return response
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def query_order(self, order_id: int = None, client_order_id: int = None) -> bbgo_pb2.QueryOrderResponse:
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request = bbgo_pb2.QueryOrderRequest(id=order_id, client_order_id=client_order_id)
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response = self.stub.QueryOrder(request)
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return response
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def query_orders(self,
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exchange: str,
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symbol: str,
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states: List[str] = None,
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order_by: str = 'asc',
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group_id: int = None,
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pagination: bool = True,
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page: int = 0,
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limit: int = 100,
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offset: int = 0) -> bbgo_pb2.QueryOrdersResponse:
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# set default value to ['wait', 'convert']
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states = states or ['wait', 'convert']
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request = bbgo_pb2.QueryOrdersRequest(exchange=exchange,
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symbol=symbol,
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states=states,
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order_by=order_by,
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group_id=group_id,
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pagination=pagination,
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page=page,
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limit=limit,
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offset=offset)
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reponse = self.stub.QueryOrders(request)
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return reponse
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def query_trades(self,
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exchange: str,
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symbol: str,
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timestamp: int,
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order_by: str = 'asc',
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pagination: bool = True,
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page: int = 1,
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limit: int = 100,
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offset: int = 0) -> bbgo_pb2.QueryTradesResponse:
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request = bbgo_pb2.QueryTradesRequest(exchange=exchange,
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symbol=symbol,
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timestamp=timestamp,
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order_by=order_by,
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pagination=pagination,
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page=page,
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limit=limit,
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offset=offset)
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response = self.stub.QueryTrades(request)
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return response
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