qbtrade/pkg/pb/bbgo.proto

syntax = "proto3";

package qbtrade;

option go_package = "../pb";

service MarketDataService {
  rpc Subscribe(SubscribeRequest) returns (stream MarketData) {}
  rpc QueryKLines(QueryKLinesRequest) returns (QueryKLinesResponse) {}
}

service UserDataService {
  rpc Subscribe(UserDataRequest) returns (stream UserData) {}
}

service TradingService {
  // request-response
  rpc SubmitOrder(SubmitOrderRequest) returns (SubmitOrderResponse) {}
  rpc CancelOrder(CancelOrderRequest) returns (CancelOrderResponse) {}
  rpc QueryOrder(QueryOrderRequest) returns (QueryOrderResponse) {}
  rpc QueryOrders(QueryOrdersRequest) returns (QueryOrdersResponse) {}
  rpc QueryTrades(QueryTradesRequest) returns (QueryTradesResponse) {}
}

enum Event {
  UNKNOWN = 0;
  SUBSCRIBED = 1;
  UNSUBSCRIBED = 2;
  SNAPSHOT = 3;
  UPDATE = 4;
  AUTHENTICATED = 5;
  ERROR = 99;
}

enum Channel {
  BOOK = 0;
  TRADE = 1;
  TICKER = 2;
  KLINE = 3;
  BALANCE = 4;
  ORDER = 5;
}

enum Side {
  BUY = 0;
  SELL = 1;
}

enum OrderType {
  MARKET = 0;
  LIMIT = 1;
  STOP_MARKET = 2;
  STOP_LIMIT = 3;
  POST_ONLY = 4;
  IOC_LIMIT = 5;
}

message Empty {}

message Error {
  int64 error_code = 1;
  string error_message = 2;
}

message UserDataRequest {
  string session = 1;
}

message UserData {
  string session = 1;
  string exchange = 2;
  Channel channel = 3;  // trade, order, balance
  Event event = 4;      // snapshot, update ...
  repeated Balance balances = 5;
  repeated Trade trades = 6;
  repeated Order orders = 7;
}

message SubscribeRequest {
  repeated Subscription subscriptions = 1;
}

message Subscription {
  string exchange = 1;
  Channel channel = 2;  // book, trade, ticker
  string symbol = 3;
  string depth = 4; // depth is for book, valid values are full, medium, 1, 5 and 20
  string interval = 5; // interval is for kline channel
}

message MarketData {
  string session = 1;
  string exchange = 2;
  string symbol = 3;
  Channel channel = 4;  // book, trade, ticker, user
  Event event = 5;      // snapshot or update
  Depth depth = 6; // depth: used by book
  KLine kline = 7;
  Ticker ticker = 9; // market ticker
  repeated Trade trades = 8; // market trades
  int64 subscribed_at = 12;
  Error error = 13;
}


message Depth {
  string exchange = 1;
  string symbol = 2;
  repeated PriceVolume asks = 3;
  repeated PriceVolume bids = 4;
}

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

// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=trade-response
// https://maicoin.github.io/max-websocket-docs/#/public_trade?id=success-response
message Trade {
  string session = 1;
  string exchange = 2;
  string symbol = 3;
  string id = 4;
  string price = 5;
  string quantity = 6;
  int64 created_at = 7;
  Side side = 8;
  string fee_currency = 9;
  string fee = 10;
  bool maker = 11;
}

// https://maicoin.github.io/max-websocket-docs/#/public_ticker?id=success-response
message Ticker {
  string exchange = 1;
  string symbol = 2;
  double open = 3;
  double high = 4;
  double low = 5;
  double close = 6;
  double volume = 7;
}

// https://maicoin.github.io/max-websocket-docs/#/private_channels?id=snapshot
message Order {
  string exchange = 1;
  string symbol = 2;
  string id = 3;
  Side side = 4;
  OrderType order_type = 5;
  string price = 6;
  string stop_price = 7;
  string status = 9;
  string quantity = 11;
  string executed_quantity = 12;
  string client_order_id = 14;
  int64 group_id = 15;
  int64 created_at = 10;
}

message SubmitOrder {
  string session = 1;
  string exchange = 2;
  string symbol = 3;
  Side side = 4;
  string price = 6;
  string quantity = 5;
  string 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 session = 1;
  string exchange = 2;
  string currency = 3;
  string available = 4;
  string locked = 5;
  string borrowed = 6;
}

message SubmitOrderRequest {
  string session = 1;
  repeated SubmitOrder submit_orders = 2;
}

message SubmitOrderResponse {
  string session = 1;
  repeated Order orders = 2;
  Error error = 3;
}

message CancelOrderRequest {
  string session = 1;
  string order_id = 2;
  string client_order_id = 3;
}

message CancelOrderResponse {
  Order order = 1;
  Error error = 2;
}

message QueryOrderRequest {
  string session = 1;
  string id = 2;
  string client_order_id = 3;
}

message QueryOrderResponse {
  Order order = 1;
  Error error = 2;
}

message QueryOrdersRequest {
  string session = 1;
  string symbol = 2;
  repeated string state = 3;
  string order_by = 4;
  int64 group_id = 5;
  bool pagination = 6;
  int64 page = 7;
  int64 limit = 8;
  int64 offset = 9;
}

message QueryOrdersResponse {
  repeated Order orders = 1;
  Error error = 2;
}

message QueryTradesRequest {
  string exchange = 1;
  string symbol = 2;
  int64 timestamp = 3;
  int64 from = 4;
  int64 to = 5;
  string order_by = 6;
  bool pagination = 7;
  int64 page = 8;
  int64 limit = 9;
  int64 offset = 10;
}

message QueryTradesResponse {
  repeated Trade trades = 1;
  Error error = 2;
}

message QueryKLinesRequest {
  string exchange = 1;
  string symbol = 2;
  string interval = 3;  // time period of K line in minute
  int64 start_time = 4;
  int64 end_time = 5;
  int64 limit = 6;
}

message QueryKLinesResponse {
  repeated KLine klines = 1;
  Error error = 2;
}

message KLine {
  string session = 1;
  string exchange = 2;
  string symbol = 3;
  string open = 4;
  string high = 5;
  string low = 6;
  string close = 7;
  string volume = 8;
  string quote_volume = 9;
  int64 start_time = 10;
  int64 end_time = 11;
  bool closed = 12;
}