Save all data available from the ws stream.

websocket.go

@@ -101,22 +101,26 @@ func (ing *Ingestor) connectAndConsume(ctx context.Context) error {
 
 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
+		// subscription confirmations, pings, etc.
 		return
 	}
 
-	// Only process trade data messages
-	if msg.Data == nil || len(msg.Data) == 0 {
+	if len(msg.Data) == 0 {
 		return
 	}
 
+	recvTS := time.Now().UnixMilli()
+
 	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)
@@ -124,16 +128,31 @@ func (ing *Ingestor) handleMessage(data []byte) {
 		}
 
 		tick := Tick{
-			Timestamp: raw.T,
-			Price:     price,
-			Volume:    volume,
-			Side:      raw.SD,
+			// IDs
+			TradeID: raw.I,
+			Seq:     raw.Seq,
+
+			// Timing
+			TradeTS:   raw.T,
+			MessageTS: msg.TS,
+			RecvTS:    recvTS,
+
+			// Trade data
+			Symbol: raw.S,
+			Side:   raw.SD,
+			Price:  price,
+			Volume: volume,
+
+			// Metadata
+			TickDir:    raw.L,
+			BlockTrade: raw.BT,
+			RPI:        raw.RPI,
 		}
 
-		// Feed to aggregator (5s feature bucketing) inline
+		// Feed feature generator
 		ing.aggregator.ProcessTick(tick)
 
-		// Send to writer channel (non-blocking drop if channel full)
+		// Feed writer
 		select {
 		case ing.tickCh <- tick:
 		default: