Added klines, liquidations, tickers and trades to be recorded. Bundled the stats as cli argument.

trade_handler.go

@@ -0,0 +1,131 @@
+package main
+
+import (
+	"encoding/json"
+	"fmt"
+	"log"
+	"strconv"
+	"time"
+)
+
+// TradeHandler handles publicTrade stream messages, feeding the trade aggregator and writer.
+type TradeHandler struct {
+	cfg        Config
+	storage    *StreamStorage
+	tickCh     chan Tick
+	aggregator *Aggregator
+	writer     *Writer
+}
+
+// NewTradeHandler initializes the trade handler, tick channel, aggregator, and writer.
+func NewTradeHandler(cfg Config, sm *StorageManager) (*TradeHandler, error) {
+	ss := sm.GetStreamStorage("trades")
+	if ss == nil {
+		return nil, fmt.Errorf("trades stream storage not found")
+	}
+
+	tickCh := make(chan Tick, cfg.TickChannelBuffer)
+
+	// Aggregator uses trade features.db
+	featDB, err := OpenDBWithAutoVacuum(ss.DBPath("features.db"))
+	if err != nil {
+		return nil, fmt.Errorf("open trade features db: %w", err)
+	}
+
+	var lastPrice float64
+	err = featDB.QueryRow(`
+		SELECT close_price FROM five_second_features 
+		ORDER BY timestamp DESC LIMIT 1
+	`).Scan(&lastPrice)
+	if err != nil {
+		lastPrice = 0
+	}
+
+	agg := &Aggregator{
+		featDB:    featDB,
+		lastPrice: lastPrice,
+	}
+
+	hotDB, err := OpenDBWithAutoVacuum(ss.DBPath("hot_ticks.db"))
+	if err != nil {
+		featDB.Close()
+		return nil, fmt.Errorf("open hot_ticks db: %w", err)
+	}
+	hotDB.SetMaxOpenConns(1)
+
+	w := &Writer{
+		tickCh:    tickCh,
+		hotDB:     hotDB,
+		batchSize: cfg.WriterBatchSize,
+		flushMs:   cfg.WriterFlushIntervalMs,
+	}
+
+	return &TradeHandler{
+		cfg:        cfg,
+		storage:    ss,
+		tickCh:     tickCh,
+		aggregator: agg,
+		writer:     w,
+	}, nil
+}
+
+func (th *TradeHandler) Topics() []string {
+	return []string{fmt.Sprintf("publicTrade.%s", th.cfg.Symbol)}
+}
+
+func (th *TradeHandler) HandleMessage(data []byte) {
+	var msg BybitWSMessage
+	if err := json.Unmarshal(data, &msg); err != nil {
+		return
+	}
+
+	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("[trade_handler] bad price %q: %v", raw.P, err)
+			continue
+		}
+
+		volume, err := strconv.ParseFloat(raw.V, 64)
+		if err != nil {
+			log.Printf("[trade_handler] bad volume %q: %v", raw.V, err)
+			continue
+		}
+
+		tick := Tick{
+			TradeID:    raw.I,
+			Seq:        raw.Seq,
+			TradeTS:    raw.T,
+			MessageTS:  msg.TS,
+			RecvTS:     recvTS,
+			Symbol:     raw.S,
+			Side:       raw.SD,
+			Price:      price,
+			Volume:     volume,
+			TickDir:    raw.L,
+			BlockTrade: raw.BT,
+			RPI:        raw.RPI,
+		}
+
+		// Feed feature generator
+		th.aggregator.ProcessTick(tick)
+
+		// Feed writer
+		select {
+		case th.tickCh <- tick:
+		default:
+			log.Println("[trade_handler] WARNING: tick channel full, dropping tick")
+		}
+	}
+}
+
+func (th *TradeHandler) Close() {
+	th.aggregator.Close()
+	close(th.tickCh)
+}