Initial commit.

types.go

@@ -0,0 +1,38 @@
+package main
+
+// Tick represents a single raw trade event from the Bybit WebSocket.
+type Tick struct {
+	Timestamp int64   // Epoch millisecond timestamp
+	Price     float64 // Transacted trade price
+	Volume    float64 // Trade quantity
+	Side      string  // "Buy" or "Sell"
+}
+
+// FeatureBucket holds aggregated 5-second feature data ready for insertion into features.db.
+type FeatureBucket struct {
+	Timestamp   int64   // Epoch millisecond (start of 5s bucket)
+	LogReturn   float64 // ln(Price_end / Price_start)
+	RealizedVol float64 // Volatility of ticks inside the bucket
+	OFI         float64 // Net volume (Buy volume - Sell volume)
+	VolumeSum   float64 // Total volume exchanged
+	ClosePrice  float64 // Final transaction price in the bucket
+}
+
+// BybitWSMessage represents the top-level WebSocket message from Bybit V5 publicTrade.
+type BybitWSMessage struct {
+	Topic string          `json:"topic"`
+	Type  string          `json:"type"`
+	TS    int64           `json:"ts"`
+	Data  []BybitTradeRaw `json:"data"`
+}
+
+// BybitTradeRaw represents a single trade object within the Bybit WebSocket data array.
+// Price and Volume arrive as strings from the API and need conversion.
+type BybitTradeRaw struct {
+	T  int64  `json:"T"`  // Timestamp (ms) that the order is filled
+	S  string `json:"s"`  // Symbol name
+	SD string `json:"S"`  // Side of taker: "Buy" or "Sell"
+	V  string `json:"v"`  // Trade size (string)
+	P  string `json:"p"`  // Trade price (string)
+	I  string `json:"i"`  // Trade ID
+}