bbgo_origin/pkg/pb/bbgo.proto

syntax = "proto3";

package pb;

option go_package = "../pb";

service BBGO {
    // should support streaming
    rpc SubscribeKLine(SubscribeKLineRequest) returns (stream SubscribeKLineResponse) {}
    rpc SubscribeOrderBook(SubscribeOrderBookRequest) returns (stream SubscribeOrderBookResponse) {}
    rpc SubscribeUserData(SubscribeUserDataRequest) returns (stream SubscribeUserDataResponse) {}

    // request-response
    rpc CreateOrder(CreateOrderRequest) returns (CreateOrderResponse) {}
    rpc CancelOrder(CancelOrderRequest) returns (CancelOrderResponse) {}
    rpc QueryOrder(QueryOrderRequest) returns (QueryOrderResponse) {}
    rpc QueryOpenOrders(QueryOpenOrdersRequest) returns (QueryOpenOrdersResponse) {}
    rpc QueryTrades(QueryTradesRequest) returns (QueryTradesResponse) {}
}

message SubscribeKLineRequest {
    string exchange = 1;
    string symbol = 2;
    string interval = 3;
    int64 limit = 4;
    uint64 since = 5;
}

message SubscribeKLineResponse {
    string exchange = 1;
    string symbol = 2;
    repeated KLine klines = 3;
}

message KLine {
    int64 timestamp = 1;
    double open = 2;
    double high = 3;
    double low = 4;
    double close = 5;
    double volume = 6;
}

message SubscribeOrderBookRequest {
    string symbol = 1;
    optional int64 limit = 2;
}

message SubscribeOrderBookResponse {
    int64 timestamp = 1;
    string symbol = 2;
    repeated PriceVolume bids = 3;
    repeated PriceVolume asks = 4;
}

message PriceVolume {
    int64 price = 1;
    int64 volume = 2;
}

message SubscribeUserDataRequest {
    repeated BalanceRequest balance_requests = 1;
}

message BalanceRequest {
    string exchange = 1;
    string currency = 2;
}

message SubscribeUserDataResponse {
    repeated Balance balances = 1;
    repeated Order orders = 2;
}

message Balance {
    string exchange = 1;
    string currency = 2;
    double quantity = 3;
    double available = 4;
}

message CreateOrderRequest {
    string exchange = 1;
    string symbol = 2;
    string side = 3;   // buy, sell
    string order = 4;  // limit, limit maker, market, stop limit, stop market, ioc limit
    double quantity = 5;
    double price = 6;
    optional double stop_price = 7;
    optional string time_in_force = 8;  // GTC, IOC, FOK
}

message CreateOrderResponse {
    bool ok = 1;
    Order order = 2;
}

message CancelOrderRequest {
    string order_id = 1;
}

message CancelOrderResponse {
    bool ok = 1;
}

message QueryOrderRequest {
    string order_id = 1;
}

message QueryOrderResponse {
    bool exists = 1;
    Order order = 2;
}

message Order {
    string order_id = 1;
    string exchange = 2;
    string symbol = 3;
    string side = 4;   // buy, sell
    string order = 5;  // limit, limit maker, market, stop limit, stop market, ioc limit
    double quantity = 6;
    double price = 7;
    double stop_price = 8;
    string time_in_force = 9;  // GTC, IOC, FOK

    string order_status = 10;  // new, filled, partially filled, canceled, rejected
    double executed_quantity = 11;
    bool isWorking = 12;
    int64 creation_time = 13;
    int64 update_time = 14;
}

message QueryOpenOrdersRequest {
    string order_id = 1;
}

message QueryOpenOrdersResponse {
    bool exists = 1;
    Order order = 2;
}

message QueryTradesRequest {
    string exchange = 1;
    string symbol = 2;
    int64 since = 3;
    int64 until = 4;
    optional int64 order_id = 5;
}

message QueryTradesResponse {
    repeated Trade trades = 1;
}

message Trade {
    string order_id = 1;
    string exchange = 2;
    string symbol = 3;
    string side = 4;  // buy, sell
    double quantity = 5;
    double quote_quantity = 6;
    double price = 7;
    bool is_buyer = 8;
    bool is_maker = 9;
    int64 trade_at = 10;
    double fee = 11;
    string fee_currency = 12;
}