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Merge branch 'dev_tcp_client_chengxin' into 'feature_tcp_client'
【ADD】openapi c++ sdk 增加pb格式的数据 See merge request server/openapi/openapi-cpp-sdk!11
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‎include/openapi_pb/pb_file/AssetData.proto‎

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syntax = "proto3";
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package tigeropen.push.pb;
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message AssetData {
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string account = 1; // user account
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string currency = 2; // currency. USD, HKD, etc.
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string segType = 3; // Securities Category C: (Commodities Futures), S: (Securities Stocks)
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double availableFunds = 4; // available funds, overnight liquidity
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double excessLiquidity = 5; // excess liquidity, used to represent intraday risk value.
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double netLiquidation = 6; // Total Assets (Net Liquidation Value)
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double equityWithLoan = 7; // Equity with loan value (asset with loan value) - Securities Segment: Cash Value + Stock Value - Futures Segment: Cash Value - Maintenance Margin
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double buyingPower = 8; // buying power. An estimation of how many more dollars you can buy in stock assets. Only apply to stock segment
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double cashBalance = 9; // Cash amount. Sum of current cash balances in all currencies
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double grossPositionValue = 10; // total value of securities
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double initMarginReq = 11; // initial margin requirement
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double maintMarginReq = 12; // maintenance margin requirement
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uint64 timestamp = 13;
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}

‎include/openapi_pb/pb_file/KlineData.proto‎

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syntax = "proto3";
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package tigeropen.push.pb;
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message KlineData {
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int64 time = 1; // bar timestamp.
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float open = 2; // The first transaction price of current minute.
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float high = 3; // The highest price of current minute.
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float low = 4; // The lowest price of current minute.
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float close = 5; // The last transaction price in the current minute
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float avg = 6; // The average price of current minute.
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int64 volume = 7; // Cumulative trading volume in current minute.
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int32 count = 8; // The number of transaction in current minute.
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string symbol = 9; // symbol
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double amount = 10; // Cumulative turnover in current minute.
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uint64 serverTimestamp = 11;
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}

‎include/openapi_pb/pb_file/OptionTopData.proto‎

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syntax = "proto3";
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package tigeropen.push.pb;
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message OptionTopData {
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string market = 1;
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int64 timestamp = 2;
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repeated TopData topData = 3;
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message TopData {
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string targetName = 1; // bigOrder, volume, amount, openInt
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repeated BigOrder bigOrder = 2; // large order(bigOrder)
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repeated OptionItem item = 3; // target value top list(volume, amount, openInt)
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}
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message BigOrder {
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string symbol = 1;
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string expiry = 2; // formate:yyyyMMdd
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string strike = 3; // strike price
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string right = 4; // CALL/PUT
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string dir = 5; // BUY/SELL
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double volume = 6; // target value: volume > 1000
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double price = 7; // trade price
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double amount = 8; // trade amount
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int64 tradeTime = 9;// trade timestamp
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}
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message OptionItem {
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string symbol = 1;
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string expiry = 2; // formate:yyyyMMdd
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string strike = 3; // strike price
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string right = 4; // CALL/PUT
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double totalAmount = 5; // total trade amount
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double totalVolume = 6; // total trade volume
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double totalOpenInt = 7; // open interest
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double volumeToOpenInt = 8; // Volume to Open Interest
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double latestPrice = 9; // option latest price
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int64 updateTime = 10; // uptate timestamp
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}
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}

‎include/openapi_pb/pb_file/OrderStatusData.proto‎

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syntax = "proto3";
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package tigeropen.push.pb;
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message OrderStatusData {
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sint64 id = 1; // unique order id
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string account = 2; // user account
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string symbol = 3;
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string expiry = 4; // for options, formate:yyyyMMdd
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string strike = 5; // for options
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string right = 6; // for options
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string identifier = 7;
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uint32 multiplier = 8; // multiplier for futures, options, warrants and CBBC
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string action = 9; // BUY or SELL
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string market = 10; // market. US, HK, etc.
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string currency = 11; // currency. USD, HKD, etc.
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string segType = 12; // Securities Category C: (Commodities Futures), S: (Securities Stocks)
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string secType = 13; // STK Stocks, OPT Options, WAR Warrants, IOPT CBBC, CASH FOREX, FUT Futures, FOP Future Options
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string orderType = 14; // order type
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bool isLong = 15;
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sint64 totalQuantity = 16; // total quantity
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sint32 totalQuantityScale = 17; // total quantity scale
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sint64 filledQuantity = 18; // filled quantity
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sint32 filledQuantityScale = 19; // filled quantity scale
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double avgFillPrice = 20; // average price at which the orders got filled
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double limitPrice = 21; // limit price（required when orderType is 'LMT'）
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double stopPrice = 22; // stop price（required when orderType is 'STP'）
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double realizedPnl = 23; // realized profit and loss
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string status = 24; // order status
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string replaceStatus = 25; // order replace status
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string cancelStatus = 26; // order cancel status
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bool outsideRth = 27; // if trade outside regular trading hours (only applicable to U.S. market)
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bool canModify = 28;
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bool canCancel = 29;
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bool liquidation = 30;
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string name = 31; // symbol name
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string source = 32; // order source(from 'OpenApi', or not)
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string errorMsg = 33; // error message
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string attrDesc = 34; // order description
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float commissionAndFee = 35; // commission and fee
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uint64 openTime = 36; // timestamp when the order is placed
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uint64 timestamp = 37;
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string userMark = 38;
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double totalCashAmount = 39;
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double filledCashAmount = 40;
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double gst = 41;
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}

‎include/openapi_pb/pb_file/OrderTransactionData.proto‎

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syntax = "proto3";
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package tigeropen.push.pb;
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message OrderTransactionData {
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sint64 id = 1; // transact id
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sint64 orderId = 2; // unique order id
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string account = 3; // user account
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string symbol = 4;
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string identifier = 5;
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uint32 multiplier = 6; // multiplier for futures, options, warrants and CBBC
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string action = 7; // BUY or SELL
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string market = 8; // market. US, HK, etc.
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string currency = 9; // currency. USD, HKD, etc.
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string segType = 10; // Securities Category C: (Commodities Futures), S: (Securities Stocks)
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string secType = 11; // STK Stocks, OPT Options, WAR Warrants, IOPT CBBC, CASH FOREX, FUT Futures, FOP Future Options
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double filledPrice = 12; // filled price
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sint64 filledQuantity = 13; // filled quantity
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uint64 createTime = 14;
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uint64 updateTime = 15;
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uint64 transactTime = 16; // transact time
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uint64 timestamp = 17;
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}

‎include/openapi_pb/pb_file/PositionData.proto‎

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syntax = "proto3";
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package tigeropen.push.pb;
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message PositionData {
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string account = 1; // user account
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string symbol = 2;
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string expiry = 3; // for options
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string strike = 4; // for options
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string right = 5; // for options
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string identifier = 6;
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uint32 multiplier = 7; // multiplier for futures, options, warrants and CBBC
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string market = 8; // market. US, HK, etc.
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string currency = 9; // currency. USD, HKD, etc.
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string segType = 10; // Securities Category C: (Commodities Futures), S: (Securities Stocks)
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string secType = 11; // STK Stocks, OPT Options, WAR Warrants, IOPT CBBC, CASH FOREX, FUT Futures, FOP Future Options
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sint64 position = 12; // total position
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sint32 positionScale = 13; // total position scale
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double averageCost = 14; // average holding cost
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double latestPrice = 15; // last price of the asset
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double marketValue = 16; // market value of the asset
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double unrealizedPnl = 17; // unrealized profit and loss
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string name = 18; // symbol name
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uint64 timestamp = 19;
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sint64 saleable = 20; // saleable quantity for Chinese A-share market stocks
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double positionQty = 21; // total position quantity
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double salableQty = 22; // saleable quantity
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}

‎include/openapi_pb/pb_file/PushData.proto‎

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syntax = "proto3";
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import public "SocketCommon.proto";
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import public "OrderStatusData.proto";
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import public "PositionData.proto";
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import public "AssetData.proto";
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import public "QuoteData.proto";
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import public "QuoteDepthData.proto";
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import public "TradeTickData.proto";
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import public "OrderTransactionData.proto";
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import public "StockTopData.proto";
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import public "OptionTopData.proto";
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import public "KlineData.proto";
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import public "TickData.proto";
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package tigeropen.push.pb;
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message PushData {
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SocketCommon.DataType dataType = 1;
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oneof body {
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QuoteData quoteData = 2;
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QuoteDepthData quoteDepthData = 3;
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TradeTickData tradeTickData = 4;
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PositionData positionData = 5;
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AssetData assetData = 6;
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OrderStatusData orderStatusData = 7;
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OrderTransactionData orderTransactionData = 8;
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StockTopData stockTopData = 9;
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OptionTopData optionTopData = 10;
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KlineData klineData = 11;
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TickData tickData = 12;
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}
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}

‎include/openapi_pb/pb_file/QuoteBBOData.proto‎

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syntax = "proto3";
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import public "SocketCommon.proto";
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package tigeropen.push.pb;
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message QuoteBBOData {
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string symbol = 1;
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SocketCommon.QuoteType type = 2; // BBO
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uint64 timestamp = 3;
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double askPrice = 17;
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sint64 askSize = 18;
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uint64 askTimestamp = 19; // Pre/Post-Mkt data not support
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double bidPrice = 20;
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sint64 bidSize = 21;
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uint64 bidTimestamp = 22; // Pre/Post-Mkt data not support
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}

‎include/openapi_pb/pb_file/QuoteBasicData.proto‎

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syntax = "proto3";
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import public "SocketCommon.proto";
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import public "QuoteData.proto";
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package tigeropen.push.pb;
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message QuoteBasicData {
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string symbol = 1;
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SocketCommon.QuoteType type = 2; // BASIC/BBO
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uint64 timestamp = 3;
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uint64 serverTimestamp = 4;
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double avgPrice = 5; // Options data not support
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double latestPrice = 6; //
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uint64 latestPriceTimestamp = 7; // Pre/Post-Mkt data not support
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string latestTime = 8; //
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double preClose = 9; //
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sint64 volume = 10; //
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double amount = 11; // Futures and Options data not support
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double open = 12; // Pre/Post-Mkt data not support
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double high = 13; // Pre/Post-Mkt data not support
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double low = 14; // Pre/Post-Mkt data not support
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string hourTradingTag = 15; // Pre/Post-Mkt
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string marketStatus = 16;
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string identifier = 23; // only Options support
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sint64 openInt = 24; // open interest, only Options support
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uint64 tradeTime = 25; // latest trad time, only Futures support
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double preSettlement = 26; // previous settlement price, only Futures support
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float minTick = 27; // min tick, only Futures support
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// minute data: price, average price, time, volume
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QuoteData.Minute mi = 28;
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}

‎include/openapi_pb/pb_file/QuoteData.proto‎

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syntax = "proto3";
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package tigeropen.push.pb;
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import "SocketCommon.proto";
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message QuoteData {
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string symbol = 1;
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SocketCommon.QuoteType type = 2; // ALL/BASIC/BBO
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uint64 timestamp = 3;
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uint64 serverTimestamp = 4;
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double avgPrice = 5; // Options data not support
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double latestPrice = 6; // required when type is 'BASIC'
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uint64 latestPriceTimestamp = 7; // required when type is 'BASIC', Pre/Post-Mkt data not support
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string latestTime = 8; // required when type is 'BASIC'
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double preClose = 9; // required when type is 'BASIC'
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sint64 volume = 10; // required when type is 'BASIC'
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double amount = 11; // required when type is 'BASIC', Futures and Options data not support
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double open = 12; // required when symbol in HK market
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double high = 13; // required when symbol in HK market
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double low = 14; // required when symbol in HK market
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string hourTradingTag = 15; // Pre/Post-Mkt
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string marketStatus = 16;
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double askPrice = 17; // required when type is 'BBO'
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sint64 askSize = 18; // required when type is 'BBO'
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uint64 askTimestamp = 19; // Pre/Post-Mkt data not support
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double bidPrice = 20; // required when type is 'BBO'
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sint64 bidSize = 21; // required when type is 'BBO'
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uint64 bidTimestamp = 22; // Pre/Post-Mkt data not support
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string identifier = 23; // only Options support
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sint64 openInt = 24; // open interest, only Options support
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uint64 tradeTime = 25; // latest trad time, only Futures support
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double preSettlement = 26; // previous settlement price, only Futures support
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float minTick = 27; // min tick, only Futures support
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// minute data: price, average price, time, volume
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Minute mi = 28;
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message Minute {
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double p = 1; // last price of the minute bar
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double a = 2; // average price of the minute bar
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uint64 t = 3; // timestamp of the minute bar
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sint64 v = 4; // trading volume of the minute bar
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double o = 5; // open price of the minute bar
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double h = 6; // highest price of the minute bar
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double l = 7; // lowest price of the minute bar
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}
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}

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