gtat-tech-career-kickstarter-main/solution/proto/info.proto

syntax = "proto3";
package optiver.exchange.info;

import "common.proto";

// ------------------------------------------------------------
// Internal management messages (used by admin service)
// ------------------------------------------------------------

message CreateInstrumentRequest {
    int64 request_id = 1;
    Instrument instrument = 2;
    int64 order_book_id = 3;
}

message CreateInstrumentResponse {
    int64 request_id = 1;
    string error_message = 2;
    int64 created_timestamp = 3;
}

// ------------------------------------------------------------
// Messages sent to all connected clients with the current
// state of the service, then upon any changes
// ------------------------------------------------------------

// Upon connection, all active instruments are sent to client. Any new instrument is sent on creation.
message OnInstrument {
    Instrument instrument = 1;
    int64 created_timestamp = 2;
    double tick_size = 3;
    int64 order_book_id = 4;
}

// ------------------------------------------------------------
// Subscription service to an instrument's order book
// ------------------------------------------------------------

enum SubscriptionType {
    TOP_OF_BOOK = 0;
    PRICE_DEPTH_BOOK = 1;
}

message OrderBookSubscribeRequest {
    int64 request_id = 1;
    string instrument_symbol = 2;
    SubscriptionType subscription_type = 3;
}

message OrderBookSubscribeResponse {
    int64 request_id = 1;
    string error_message = 2;
}

message PriceLevel {
    double price = 1;
    int32 quantity = 2;
}

message OnTopOfBook {
    string instrument_symbol = 1;
    int64 timestamp = 2;
    PriceLevel best_bid = 3;
    PriceLevel best_ask = 4;
}

message OnPriceDepthBook {
    string instrument_symbol = 1;
    int64 timestamp = 2;
    repeated PriceLevel bids = 3;
    repeated PriceLevel asks = 4;
}

message OnTrade {
    int64 trade_id = 1;
    string instrument_symbol = 2;
    int64 timestamp = 3;
    double price = 4;
    int32 quantity = 5;
    Side aggressor_side = 6;
}