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