bybit_btcusdt_ingest/types.go

package main

// Tick represents a single trade event persisted into hot storage.
type Tick struct {
	// 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.
type FeatureBucket struct {
	Timestamp   int64
	LogReturn   float64
	RealizedVol float64
	OFI         float64
	VolumeSum   float64
	ClosePrice  float64
	VWAP        float64
}

// Top-level websocket message (used for topic extraction and trade parsing).
type BybitWSMessage struct {
	Topic string          `json:"topic"`
	Type  string          `json:"type"`
	TS    int64           `json:"ts"`
	Data  []BybitTradeRaw `json:"data"`
}

// Raw trade from Bybit publicTrade stream.
type BybitTradeRaw struct {
	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"`
}

// --- MessageHandler interface for multi-stream support ---

// MessageHandler is implemented by each stream handler (trades, ticker, klines, etc.)
type MessageHandler interface {
	// Topics returns the list of Bybit WebSocket topics this handler subscribes to.
	Topics() []string
	// HandleMessage processes a raw WebSocket message routed by topic.
	HandleMessage(data []byte)
	// Close gracefully shuts down the handler, flushing any pending data.
	Close()
}

// --- Ticker types ---

// BybitTickerMessage is the WebSocket response for the tickers stream.
type BybitTickerMessage struct {
	Topic string         `json:"topic"`
	Type  string         `json:"type"` // "snapshot" or "delta"
	TS    int64          `json:"ts"`
	CS    int64          `json:"cs"`
	Data  BybitTickerRaw `json:"data"`
}

// BybitTickerRaw holds the fields from a Bybit ticker push (linear/inverse).
type BybitTickerRaw struct {
	Symbol          string `json:"symbol"`
	LastPrice       string `json:"lastPrice"`
	Bid1Price       string `json:"bid1Price"`
	Bid1Size        string `json:"bid1Size"`
	Ask1Price       string `json:"ask1Price"`
	Ask1Size        string `json:"ask1Size"`
	HighPrice24h    string `json:"highPrice24h"`
	LowPrice24h     string `json:"lowPrice24h"`
	Volume24h       string `json:"volume24h"`
	Turnover24h     string `json:"turnover24h"`
	MarkPrice       string `json:"markPrice"`
	IndexPrice      string `json:"indexPrice"`
	OpenInterest    string `json:"openInterest"`
	FundingRate     string `json:"fundingRate"`
	NextFundingTime string `json:"nextFundingTime"`
	Price24hPcnt    string `json:"price24hPcnt"`
}

// TickerSnapshot is a parsed ticker snapshot row for hot DB storage.
type TickerSnapshot struct {
	Timestamp    int64
	LastPrice    float64
	Bid1Price    float64
	Bid1Size     float64
	Ask1Price    float64
	Ask1Size     float64
	MarkPrice    float64
	IndexPrice   float64
	OpenInterest float64
	FundingRate  float64
	Volume24h    float64
	Turnover24h  float64
}

// TickerFeature holds derived features computed from ticker snapshots.
type TickerFeature struct {
	Timestamp        int64
	Spread           float64
	SpreadBps        float64
	MidPrice         float64
	OIChange         float64
	FundingRate      float64
	MarkIndexBasis   float64
	BidAskImbalance  float64
}

// --- Kline types ---

// BybitKlineMessage is the WebSocket response for the kline stream.
type BybitKlineMessage struct {
	Topic string          `json:"topic"`
	Type  string          `json:"type"`
	TS    int64           `json:"ts"`
	Data  []BybitKlineRaw `json:"data"`
}

// BybitKlineRaw holds the fields from a single kline (candle) push.
type BybitKlineRaw struct {
	Start     int64  `json:"start"`
	End       int64  `json:"end"`
	Interval  string `json:"interval"`
	Open      string `json:"open"`
	Close     string `json:"close"`
	High      string `json:"high"`
	Low       string `json:"low"`
	Volume    string `json:"volume"`
	Turnover  string `json:"turnover"`
	Confirm   bool   `json:"confirm"`
	Timestamp int64  `json:"timestamp"`
}

// Kline is a parsed kline row for hot DB storage.
type Kline struct {
	StartTime int64
	EndTime   int64
	Interval  string
	Open      float64
	High      float64
	Low       float64
	Close     float64
	Volume    float64
	Turnover  float64
	Confirmed bool
}

// KlineFeature holds derived features computed from kline data.
type KlineFeature struct {
	Timestamp  int64
	Interval   string
	BodyRatio  float64
	UpperWick  float64
	LowerWick  float64
	LogReturn  float64
	Volume     float64
	Turnover   float64
}

// --- Orderbook types ---

// BybitOrderbookMessage is the WebSocket response for the orderbook stream.
type BybitOrderbookMessage struct {
	Topic string             `json:"topic"`
	Type  string             `json:"type"` // "snapshot" or "delta"
	TS    int64              `json:"ts"`
	Data  BybitOrderbookData `json:"data"`
}

// BybitOrderbookData holds the bids/asks arrays from an orderbook push.
type BybitOrderbookData struct {
	S   string     `json:"s"`   // Symbol
	B   [][]string `json:"b"`   // Bids: [[price, size], ...]
	A   [][]string `json:"a"`   // Asks: [[price, size], ...]
	U   int64      `json:"u"`   // Update ID
	Seq int64      `json:"seq"`
}

// OrderbookLevel represents a single price level in the order book.
type OrderbookLevel struct {
	Price float64
	Size  float64
}

// OrderbookFeature holds derived features computed from orderbook snapshots.
type OrderbookFeature struct {
	Timestamp          int64
	Spread             float64
	MidPrice           float64
	BidDepth5          float64
	AskDepth5          float64
	BidDepth20         float64
	AskDepth20         float64
	DepthImbalance5    float64
	DepthImbalance20   float64
	WeightedMid        float64
	VWAP10             float64
}

// --- Liquidation types ---

// BybitLiquidationMessage is the WebSocket response for the allLiquidation stream.
type BybitLiquidationMessage struct {
	Topic string                 `json:"topic"`
	Type  string                 `json:"type"`
	TS    int64                  `json:"ts"`
	Data  BybitLiquidationData   `json:"data"`
}

// BybitLiquidationData holds the fields from a single liquidation event.
type BybitLiquidationData struct {
	T  int64  `json:"T"`  // Timestamp ms
	S  string `json:"s"`  // Symbol
	SD string `json:"S"`  // Side: "Buy" (long liq) or "Sell" (short liq)
	V  string `json:"v"`  // Quantity
	P  string `json:"p"`  // Bankruptcy price
}

// Liquidation is a parsed liquidation event for hot DB storage.
type Liquidation struct {
	Timestamp int64
	Side      string
	Price     float64
	Quantity  float64
	Value     float64 // price * quantity
}

// LiquidationFeature holds aggregated liquidation features for a 5-second bucket.
type LiquidationFeature struct {
	Timestamp    int64
	CountTotal   int
	CountLong    int
	CountShort   int
	VolumeTotal  float64
	VolumeLong   float64
	VolumeShort  float64
	ValueTotal   float64
	ValueLong    float64
	ValueShort   float64
	AvgPrice     float64
	NetValue     float64
}