Save all data available from the ws stream.

types.go

@@ -1,25 +1,41 @@
 package main
 
-// Tick represents a single raw trade event from the Bybit WebSocket.
+// Tick represents a single trade event persisted into hot storage.
 type Tick struct {
-	Timestamp int64   // Epoch millisecond timestamp
-	Price     float64 // Transacted trade price
-	Volume    float64 // Trade quantity
-	Side      string  // "Buy" or "Sell"
+	// Exchange identifiers
+	TradeID string
+	Seq     int64
+
+	// Timing
+	TradeTS int64 // Bybit trade timestamp (T)
+	MessageTS int64
+	RecvTS  int64 // Local receive timestamp
+
+	// Trade data
+	Symbol string
+	Side   string
+	Price  float64
+	Volume float64
+
+	// Exchange metadata
+	TickDir    string // L
+	BlockTrade bool   // BT
+	RPI        bool   // RPI
 }
 
-// FeatureBucket holds aggregated 5-second feature data ready for insertion into features.db.
+
+// FeatureBucket holds aggregated 5-second feature data.
 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
-	VWAP        float64 // Volume-Weighted Average Price in the bucket
+	Timestamp   int64
+	LogReturn   float64
+	RealizedVol float64
+	OFI         float64
+	VolumeSum   float64
+	ClosePrice  float64
+	VWAP        float64
 }
 
-// BybitWSMessage represents the top-level WebSocket message from Bybit V5 publicTrade.
+// Top-level websocket message.
 type BybitWSMessage struct {
 	Topic string          `json:"topic"`
 	Type  string          `json:"type"`
@@ -27,13 +43,22 @@ type BybitWSMessage struct {
 	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.
+// Raw trade from Bybit publicTrade stream.
 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
+	T int64 `json:"T"`
+
+	S  string `json:"s"`
+	SD string `json:"S"`
+
+	V string `json:"v"`
+	P string `json:"p"`
+
+	L string `json:"L"`
+
+	I string `json:"i"`
+
+	BT  bool `json:"BT"`
+	RPI bool `json:"RPI"`
+
+	Seq int64 `json:"seq"`
 }