gtat-tech-career-kickstarter-main/proto/order_book.proto

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

import "common.proto";

// ------------------------------------------------------------
// Messages sent to all clients upon logging in with the current
// state of the order book, then upon any changes
// ------------------------------------------------------------

message OnOrderBookCreated {
    int64 order_book_id = 1;
    double tick_size = 2;
    int64 created_timestamp = 3;
}

message OnOrderInserted {
    int64 order_id = 1;
    int64 order_book_id = 2;
    int64 timestamp = 3;
    Side side = 4;
    double price = 5;
    int32 quantity = 6;
    string username = 7;

    repeated int64 trade_ids = 10;
}

message OnOrderCancelled {
    int64 order_id = 1;
    int64 cancellation_timestamp = 2;
}

message OnTrade {
    int64 trade_id = 1;
    int64 order_book_id = 2;
    int64 timestamp = 3;
    int64 buy_order_id = 4;
    int64 sell_order_id = 5;
    double price = 6;
    int32 quantity = 7;
    Side aggressor_side = 8;
}

// ------------------------------------------------------------
// Requests accepted by this service
// ------------------------------------------------------------

message InsertOrderRequest {
    int64 request_id = 1;
    int64 order_book_id = 2;
    Side side = 3;
    double price = 4;
    int32 quantity = 5;
    string username = 6;
    // TODO start with LIMIT order type only
}

message InsertOrderResponse {
    int64 request_id = 1;
    string error_message = 2;

    int64 order_id = 3;
    int64 timestamp = 4;
    repeated int64 trade_ids = 5;
    int32 traded_quantity = 6;
}

message CancelOrderRequest {
    int64 request_id = 1;
    int64 order_book_id = 2;
    int64 order_id = 3;
}

message CancelOrderResponse {
    int64 request_id = 1;
    string error_message = 2;

    int64 cancellation_timestamp = 3;
    int32 remaining_quantity = 4;
}