Initial commit.

2026-07-14 20:56:34 +03:00
commit 6a58f1ba7e
11 changed files with 1114 additions and 0 deletions
@@ -0,0 +1,143 @@
+package main
+
+import (
+	"context"
+	"encoding/json"
+	"fmt"
+	"log"
+	"strconv"
+	"time"
+
+	"nhooyr.io/websocket"
+)
+
+// Ingestor connects to the Bybit V5 WebSocket, parses trade messages,
+// sends ticks to the writer channel, and feeds ticks to the aggregator.
+type Ingestor struct {
+	cfg        Config
+	tickCh     chan<- Tick
+	aggregator *Aggregator
+}
+
+// NewIngestor creates an Ingestor wired to the tick channel and aggregator.
+func NewIngestor(cfg Config, tickCh chan<- Tick, agg *Aggregator) *Ingestor {
+	return &Ingestor{
+		cfg:        cfg,
+		tickCh:     tickCh,
+		aggregator: agg,
+	}
+}
+
+// Run connects to the WebSocket and processes messages until ctx is cancelled.
+// It automatically reconnects on connection failures.
+func (ing *Ingestor) Run(ctx context.Context) {
+	log.Println("[ingestor] Starting WebSocket ingestor...")
+	defer log.Println("[ingestor] Ingestor stopped.")
+
+	for {
+		select {
+		case <-ctx.Done():
+			return
+		default:
+		}
+
+		if err := ing.connectAndConsume(ctx); err != nil {
+			if ctx.Err() != nil {
+				return // Context cancelled, clean exit
+			}
+			log.Printf("[ingestor] Connection error: %v. Reconnecting in 5s...", err)
+			select {
+			case <-time.After(5 * time.Second):
+			case <-ctx.Done():
+				return
+			}
+		}
+	}
+}
+
+func (ing *Ingestor) connectAndConsume(ctx context.Context) error {
+	url := ing.cfg.WebSocketURL
+	log.Printf("[ingestor] Connecting to %s ...", url)
+
+	conn, _, err := websocket.Dial(ctx, url, nil)
+	if err != nil {
+		return fmt.Errorf("dial: %w", err)
+	}
+	defer conn.CloseNow()
+
+	// Set a generous read limit for large trade batches (up to 1024 trades per message)
+	conn.SetReadLimit(1 << 20) // 1 MB
+
+	// Subscribe to public trades
+	topic := fmt.Sprintf("publicTrade.%s", ing.cfg.Symbol)
+	subMsg := map[string]interface{}{
+		"op":   "subscribe",
+		"args": []string{topic},
+	}
+	subJSON, _ := json.Marshal(subMsg)
+
+	if err := conn.Write(ctx, websocket.MessageText, subJSON); err != nil {
+		return fmt.Errorf("subscribe: %w", err)
+	}
+	log.Printf("[ingestor] Subscribed to %s", topic)
+
+	// Read loop
+	for {
+		select {
+		case <-ctx.Done():
+			conn.Close(websocket.StatusNormalClosure, "shutting down")
+			return nil
+		default:
+		}
+
+		_, data, err := conn.Read(ctx)
+		if err != nil {
+			return fmt.Errorf("read: %w", err)
+		}
+
+		ing.handleMessage(data)
+	}
+}
+
+func (ing *Ingestor) handleMessage(data []byte) {
+	var msg BybitWSMessage
+	if err := json.Unmarshal(data, &msg); err != nil {
+		// Could be a subscription confirmation or ping/pong — ignore
+		return
+	}
+
+	// Only process trade data messages
+	if msg.Data == nil || len(msg.Data) == 0 {
+		return
+	}
+
+	for _, raw := range msg.Data {
+		price, err := strconv.ParseFloat(raw.P, 64)
+		if err != nil {
+			log.Printf("[ingestor] bad price %q: %v", raw.P, err)
+			continue
+		}
+		volume, err := strconv.ParseFloat(raw.V, 64)
+		if err != nil {
+			log.Printf("[ingestor] bad volume %q: %v", raw.V, err)
+			continue
+		}
+
+		tick := Tick{
+			Timestamp: raw.T,
+			Price:     price,
+			Volume:    volume,
+			Side:      raw.SD,
+		}
+
+		// Feed to aggregator (5s feature bucketing) inline
+		ing.aggregator.ProcessTick(tick)
+
+		// Send to writer channel (non-blocking drop if channel full)
+		select {
+		case ing.tickCh <- tick:
+		default:
+			log.Println("[ingestor] WARNING: tick channel full, dropping tick")
+		}
+	}
+}