GxWireFormat.proto

/* Copyright 2024 Automated Algo (www.automatedalgo.com)

This file is part of Automated Algo's "Apex" project.

Apex is free software: you can redistribute it and/or modify it under the terms
of the GNU Lesser General Public License as published by the Free Software
Foundation, either version 3 of the License, or (at your option) any later
version.

Apex is distributed in the hope that it will be useful, but WITHOUT ANY
WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A
PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details.

You should have received a copy of the GNU Lesser General Public License along
with Apex. If not, see <https://www.gnu.org/licenses/>.
*/



// Comment
syntax = "proto3";
package apex.pb;

enum Side {
    side_none = 0;
    side_buy = 1;
    side_sell = 2;
}

// Note: this should be identical to the C++ enum
enum Exchange {
  exchange_none = 0;
  exchange_binance = 1;
  exchange_binance_usdfut = 2;
  exchange_binance_coinfut = 3;
}

enum RunMode {
     runmode_none = 0;
     runmode_sim = 1;
     runmode_live = 2;
}


enum OrderState {
    orderstate_none = 0;
    orderstate_init = 1;
    orderstate_submitted = 2;
    orderstate_live = 3;
    orderstate_closed = 4;
}

enum CloseReason {
    closereason_none = 0;
    closereason_expired = 1;
    closereason_rejected = 2;
    closereason_canceled = 3;
    closereason_filled = 4;
}


enum OrderType {
    ordertype_none = 0;
    ordertype_limit = 1;
    ordertype_market = 2;
}


message LogonRequest {
}

message LogonReply {
    string error = 1;
}

message OmLogonRequest {
    RunMode run_mode = 1;
    string strategy_id = 2;
}

message OmLogonReply {
    string error = 1;
}


message SubscribeTicks {
    string symbol = 1;
    Exchange exchange = 2;
}

message SubscribeWallet {
    Exchange exchange = 1;
}

message WalletUpdate {
    Exchange exchange = 1;
    string symbol = 2;
    double position = 3;
}

message TickTrade {
    Exchange exchange = 1;
    string symbol = 2;
    double price = 3;
    double size = 4;
    Side side = 5;
}

message TickTop {
    Exchange exchange = 1;
    string symbol = 2;
    double ask_price = 3;
    double ask_qty = 4;
    double bid_price = 5;
    double bid_qty = 6;
    uint64 rt = 7;  // receive time
}

message NewOrder {
    Exchange exchange = 1;
    string symbol = 2;

    double price = 3;
    double size = 4;

    Side side = 5;

    // TODO: change these to ints
    uint32 tif = 6;
    OrderType type = 7;

    string order_id = 8;
}

// maybe this should just be an int, so that
// I can place the MsgType in there.
enum OrderUpdateReason {
    UNSOLICITED = 0;
    NEW_ORDER_ACK = 1;
    CANCEL_ORDER_ACK = 2;
}

message OrderExecution {
    string order_id = 1;
    uint32 order_state = 2;
    uint32 close_reason = 3;
    string ext_order_id = 4;
    OrderUpdateReason reason = 5;
}


message CancelOrder {
    Exchange exchange = 1;
    string symbol = 2;
    string order_id = 3;
    string ext_order_id=4;
}

message CancelOrderReply {
    string order_id = 1;
    uint32 order_state = 2;
    uint32 close_reason = 3;
    string ext_order_id = 4;
}


message Error {
    uint32 orig_request_type = 1;
    string code = 2;
    string text = 3;
}


message OrderFill {
    Exchange exchange = 1;
    string symbol = 2;
    string order_id = 3;
    double price = 4;
    double size = 5;
    bool fully_filled = 6;
    uint64 recv_time = 7;
}