tardis-dev/src/mappers/bybit.ts

Convenient access to tick-level historical and real-time cryptocurrency market data via Node.js

import { asNumberIfValid, upperCaseSymbols } from '../handy'
import { BookChange, BookTicker, DerivativeTicker, Exchange, Liquidation, OptionSummary, Trade } from '../types'
import { Mapper, PendingTickerInfoHelper } from './mapper'

// v5 https://bybit-exchange.github.io/docs/v5/ws/connect

export class BybitV5TradesMapper implements Mapper<'bybit' | 'bybit-spot' | 'bybit-options', Trade> {
  constructor(private readonly _exchange: Exchange) {}

  canHandle(message: BybitV5Trade) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('publicTrade.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'publicTrade',
        symbols
      } as const
    ]
  }

  *map(message: BybitV5Trade, localTimestamp: Date): IterableIterator<Trade> {
    for (const trade of message.data) {
      yield {
        type: 'trade',
        symbol: trade.s,
        exchange: this._exchange,
        id: trade.i,
        price: Number(trade.p),
        amount: Number(trade.v),
        side: trade.S == 'Buy' ? 'buy' : trade.S === 'Sell' ? 'sell' : 'unknown',
        timestamp: new Date(trade.T),
        localTimestamp
      }
    }
  }
}

export class BybitV5BookChangeMapper implements Mapper<'bybit' | 'bybit-spot' | 'bybit-options', BookChange> {
  constructor(protected readonly _exchange: Exchange, private readonly _depth: number) {}

  canHandle(message: BybitV5OrderBookMessage) {
    if (message.topic === undefined) {
      return false
    }
    return message.topic.startsWith(`orderbook.${this._depth}.`)
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)
    return [
      {
        channel: `orderbook.${this._depth}`,
        symbols
      } as const
    ]
  }

  *map(message: BybitV5OrderBookMessage, localTimestamp: Date) {
    yield {
      type: 'book_change',
      symbol: message.data.s,
      exchange: this._exchange,
      isSnapshot: message.type === 'snapshot',
      bids: message.data.b.map(this._mapBookLevel),
      asks: message.data.a.map(this._mapBookLevel),
      timestamp: new Date(message.ts),
      localTimestamp
    } as const
  }

  private _mapBookLevel(level: [string, string]) {
    return { price: Number(level[0]), amount: Number(level[1]) }
  }
}

export class BybitV5BookTickerMapper implements Mapper<'bybit' | 'bybit-spot', BookTicker> {
  private _snapshots: {
    [key: string]: {
      askAmount: number | undefined
      askPrice: number | undefined
      bidPrice: number | undefined
      bidAmount: number | undefined
    }
  } = {}

  constructor(protected readonly _exchange: Exchange) {}

  canHandle(message: BybitV5OrderBookMessage) {
    if (message.topic === undefined) {
      return false
    }
    return message.topic.startsWith(`orderbook.1.`)
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)
    return [
      {
        channel: 'orderbook.1',
        symbols
      } as const
    ]
  }

  *map(message: BybitV5OrderBookMessage, localTimestamp: Date) {
    const bestAsk = message.data.a.filter((ask) => ask[1] != '0')[0]
    const bestBid = message.data.b.filter((bid) => bid[1] != '0')[0]

    if (message.type === 'snapshot') {
      this._snapshots[message.data.s] = {
        askAmount: bestAsk !== undefined ? Number(bestAsk[1]) : undefined,
        askPrice: bestAsk !== undefined ? Number(bestAsk[0]) : undefined,
        bidPrice: bestBid !== undefined ? Number(bestBid[0]) : undefined,
        bidAmount: bestBid !== undefined ? Number(bestBid[1]) : undefined
      }
    }

    const matchingSnapshot = this._snapshots[message.data.s]
    if (!matchingSnapshot) {
      return
    }

    const bookTicker: BookTicker = {
      type: 'book_ticker',
      symbol: message.data.s,
      exchange: this._exchange,
      askAmount: bestAsk !== undefined ? Number(bestAsk[1]) : matchingSnapshot.askAmount,
      askPrice: bestAsk !== undefined ? Number(bestAsk[0]) : matchingSnapshot.askPrice,
      bidPrice: bestBid !== undefined ? Number(bestBid[0]) : matchingSnapshot.bidPrice,
      bidAmount: bestBid !== undefined ? Number(bestBid[1]) : matchingSnapshot.bidAmount,
      timestamp: new Date(message.ts),
      localTimestamp: localTimestamp
    }

    this._snapshots[message.data.s] = {
      askAmount: bookTicker.askAmount,
      askPrice: bookTicker.askPrice,
      bidPrice: bookTicker.bidPrice,
      bidAmount: bookTicker.bidAmount
    }

    yield bookTicker
  }
}

export class BybitV5DerivativeTickerMapper implements Mapper<'bybit', DerivativeTicker> {
  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()

  canHandle(message: BybitV5DerivTickerMessage) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('tickers.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'tickers',
        symbols
      } as const
    ]
  }

  *map(message: BybitV5DerivTickerMessage, localTimestamp: Date): IterableIterator<DerivativeTicker> {
    const instrumentInfo = message.data

    const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(instrumentInfo.symbol, 'bybit')

    if (instrumentInfo.fundingRate !== undefined && instrumentInfo.fundingRate !== '') {
      pendingTickerInfo.updateFundingRate(Number(instrumentInfo.fundingRate))
    }

    if (instrumentInfo.nextFundingTime !== undefined && instrumentInfo.nextFundingTime !== '') {
      pendingTickerInfo.updateFundingTimestamp(new Date(Number(instrumentInfo.nextFundingTime)))
    }

    if (instrumentInfo.indexPrice !== undefined && instrumentInfo.indexPrice !== '') {
      pendingTickerInfo.updateIndexPrice(Number(instrumentInfo.indexPrice))
    }

    if (instrumentInfo.markPrice !== undefined && instrumentInfo.markPrice !== '') {
      pendingTickerInfo.updateMarkPrice(Number(instrumentInfo.markPrice))
    }

    if (instrumentInfo.openInterest !== undefined && instrumentInfo.openInterest !== '') {
      pendingTickerInfo.updateOpenInterest(Number(instrumentInfo.openInterest))
    }

    if (instrumentInfo.lastPrice !== undefined && instrumentInfo.lastPrice !== '') {
      pendingTickerInfo.updateLastPrice(Number(instrumentInfo.lastPrice))
    }

    pendingTickerInfo.updateTimestamp(new Date(message.ts))

    if (pendingTickerInfo.hasChanged()) {
      yield pendingTickerInfo.getSnapshot(localTimestamp)
    }
  }
}

export class BybitV5LiquidationsMapper implements Mapper<'bybit', Liquidation> {
  constructor(private readonly _exchange: Exchange) {}
  canHandle(message: BybitV5LiquidationMessage) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('liquidation.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'liquidation',
        symbols
      } as const
    ]
  }

  *map(message: BybitV5LiquidationMessage, localTimestamp: Date): IterableIterator<Liquidation> {
    // from bybit telegram: When "side":"Buy", a long position was liquidated. Will fix the docs.

    const bybitLiquidation = message.data
    const liquidation: Liquidation = {
      type: 'liquidation',
      symbol: bybitLiquidation.symbol,
      exchange: this._exchange,
      id: undefined,
      price: Number(bybitLiquidation.price),
      amount: Number(bybitLiquidation.size),
      side: bybitLiquidation.side == 'Buy' ? 'sell' : 'buy',
      timestamp: new Date(message.ts),
      localTimestamp
    }

    yield liquidation
  }
}

export class BybitV5AllLiquidationsMapper implements Mapper<'bybit', Liquidation> {
  constructor(private readonly _exchange: Exchange) {}
  canHandle(message: BybitV5AllLiquidationMessage) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('allLiquidation.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'allLiquidation',
        symbols
      } as const
    ]
  }

  *map(message: BybitV5AllLiquidationMessage, localTimestamp: Date): IterableIterator<Liquidation> {
    for (const bybitLiquidation of message.data) {
      const liquidation: Liquidation = {
        type: 'liquidation',
        symbol: bybitLiquidation.s,
        exchange: this._exchange,
        id: undefined,
        price: Number(bybitLiquidation.p),
        amount: Number(bybitLiquidation.v),
        //  from bybit docs  Position side. Buy,Sell. When you receive a Buy update, this means that a long position has been liquidated
        side: bybitLiquidation.S == 'Buy' ? 'sell' : 'buy',
        timestamp: new Date(bybitLiquidation.T),
        localTimestamp
      }

      yield liquidation
    }
  }
}
export class BybitV5OptionSummaryMapper implements Mapper<'bybit-options', OptionSummary> {
  canHandle(message: BybitV5OptionTickerMessage) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('tickers.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'tickers',
        symbols
      } as const
    ]
  }

  *map(message: BybitV5OptionTickerMessage, localTimestamp: Date) {
    const symbolParts = message.data.symbol.split('-')

    const isPut = symbolParts[3] === 'P'

    const strikePrice = Number(symbolParts[2])

    const expirationDate = new Date(symbolParts[1] + 'Z')
    expirationDate.setUTCHours(8)

    const optionSummary: OptionSummary = {
      type: 'option_summary',
      symbol: message.data.symbol,
      exchange: 'bybit-options',
      optionType: isPut ? 'put' : 'call',
      strikePrice,
      expirationDate,

      bestBidPrice: asNumberIfValid(message.data.bidPrice),
      bestBidAmount: asNumberIfValid(message.data.bidSize),
      bestBidIV: asNumberIfValid(message.data.bidIv),

      bestAskPrice: asNumberIfValid(message.data.askPrice),
      bestAskAmount: asNumberIfValid(message.data.askSize),
      bestAskIV: asNumberIfValid(message.data.askIv),

      lastPrice: asNumberIfValid(message.data.lastPrice),
      openInterest: asNumberIfValid(message.data.openInterest),

      markPrice: asNumberIfValid(message.data.markPrice),
      markIV: asNumberIfValid(message.data.markPriceIv),

      delta: asNumberIfValid(message.data.delta),
      gamma: asNumberIfValid(message.data.gamma),
      vega: asNumberIfValid(message.data.vega),
      theta: asNumberIfValid(message.data.theta),
      rho: undefined,

      underlyingPrice: asNumberIfValid(message.data.underlyingPrice),
      underlyingIndex: '',
      timestamp: new Date(message.ts),
      localTimestamp: localTimestamp
    }

    yield optionSummary
  }
}

// https://github.com/bybit-exchange/bybit-official-api-docs/blob/master/en/websocket.md

export class BybitTradesMapper implements Mapper<'bybit', Trade> {
  constructor(private readonly _exchange: Exchange) {}
  canHandle(message: BybitDataMessage) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('trade.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'trade',
        symbols
      } as const
    ]
  }

  *map(message: BybitTradeDataMessage, localTimestamp: Date): IterableIterator<Trade> {
    for (const trade of message.data) {
      const timestamp =
        'trade_time_ms' in trade
          ? new Date(Number(trade.trade_time_ms))
          : 'tradeTimeMs' in trade
          ? new Date(Number(trade.tradeTimeMs))
          : new Date(trade.timestamp)

      yield {
        type: 'trade',
        symbol: trade.symbol,
        exchange: this._exchange,
        id: 'trade_id' in trade ? trade.trade_id : trade.tradeId,
        price: Number(trade.price),
        amount: trade.size,
        side: trade.side == 'Buy' ? 'buy' : trade.side === 'Sell' ? 'sell' : 'unknown',
        timestamp,
        localTimestamp
      }
    }
  }
}

export class BybitBookChangeMapper implements Mapper<'bybit', BookChange> {
  constructor(protected readonly _exchange: Exchange, private readonly _canUseBook200Channel: boolean) {}

  canHandle(message: BybitDataMessage) {
    if (message.topic === undefined) {
      return false
    }

    if (this._canUseBook200Channel) {
      return message.topic.startsWith('orderBook_200.')
    } else {
      return message.topic.startsWith('orderBookL2_25.')
    }
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    if (this._canUseBook200Channel) {
      return [
        {
          channel: 'orderBook_200',
          symbols
        } as const
      ]
    }

    return [
      {
        channel: 'orderBookL2_25',
        symbols
      } as const
    ]
  }

  *map(message: BybitBookSnapshotDataMessage | BybitBookSnapshotUpdateMessage, localTimestamp: Date) {
    const topicArray = message.topic.split('.')
    const symbol = topicArray[topicArray.length - 1]
    const data =
      message.type === 'snapshot'
        ? 'order_book' in message.data
          ? message.data.order_book
          : 'orderBook' in message.data
          ? message.data.orderBook
          : message.data
        : [...message.data.delete, ...message.data.update, ...message.data.insert]

    const timestampBybit = message.timestamp_e6 !== undefined ? Number(message.timestamp_e6) : Number(message.timestampE6)
    const timestamp = new Date(timestampBybit / 1000)
    timestamp.μs = timestampBybit % 1000

    yield {
      type: 'book_change',
      symbol,
      exchange: this._exchange,
      isSnapshot: message.type === 'snapshot',
      bids: data.filter((d) => d.side === 'Buy').map(this._mapBookLevel),
      asks: data.filter((d) => d.side === 'Sell').map(this._mapBookLevel),
      timestamp,
      localTimestamp
    } as const
  }

  private _mapBookLevel(level: BybitBookLevel) {
    return { price: Number(level.price), amount: level.size !== undefined ? level.size : 0 }
  }
}

export class BybitDerivativeTickerMapper implements Mapper<'bybit', DerivativeTicker> {
  private readonly pendingTickerInfoHelper = new PendingTickerInfoHelper()

  canHandle(message: BybitDataMessage) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('instrument_info.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'instrument_info',
        symbols
      } as const
    ]
  }

  *map(message: BybitInstrumentDataMessage, localTimestamp: Date): IterableIterator<DerivativeTicker> {
    const instrumentInfo = 'symbol' in message.data ? message.data : message.data.update[0]

    const pendingTickerInfo = this.pendingTickerInfoHelper.getPendingTickerInfo(instrumentInfo.symbol, 'bybit')
    const fundingRate = 'funding_rate_e6' in instrumentInfo ? instrumentInfo.funding_rate_e6 : instrumentInfo.fundingRateE6

    pendingTickerInfo.updateFundingRate(fundingRate !== undefined ? Number(fundingRate) / 1000000 : undefined)

    const predictedFundingRate =
      'predicted_funding_rate_e6' in instrumentInfo ? instrumentInfo.predicted_funding_rate_e6 : instrumentInfo.predictedFundingRateE6

    pendingTickerInfo.updatePredictedFundingRate(predictedFundingRate !== undefined ? Number(predictedFundingRate) / 1000000 : undefined)

    const nextFundingTime = 'next_funding_time' in instrumentInfo ? instrumentInfo.next_funding_time : instrumentInfo.nextFundingTime
    pendingTickerInfo.updateFundingTimestamp(
      nextFundingTime !== undefined && new Date(nextFundingTime).valueOf() > 0 ? new Date(nextFundingTime) : undefined
    )

    if (instrumentInfo.index_price !== undefined) {
      pendingTickerInfo.updateIndexPrice(Number(instrumentInfo.index_price))
    } else if (instrumentInfo.indexPrice !== undefined) {
      pendingTickerInfo.updateIndexPrice(Number(instrumentInfo.indexPrice))
    } else if (instrumentInfo.index_price_e4 !== undefined) {
      pendingTickerInfo.updateIndexPrice(Number(instrumentInfo.index_price_e4) / 10000)
    } else if (instrumentInfo.indexPriceE4 !== undefined) {
      pendingTickerInfo.updateIndexPrice(Number(instrumentInfo.indexPriceE4) / 10000)
    }

    if (instrumentInfo.mark_price !== undefined) {
      pendingTickerInfo.updateMarkPrice(Number(instrumentInfo.mark_price))
    } else if (instrumentInfo.markPrice !== undefined) {
      pendingTickerInfo.updateMarkPrice(Number(instrumentInfo.markPrice))
    } else if (instrumentInfo.mark_price_e4 !== undefined) {
      pendingTickerInfo.updateMarkPrice(Number(instrumentInfo.mark_price_e4) / 10000)
    } else if (instrumentInfo.markPriceE4 !== undefined) {
      pendingTickerInfo.updateMarkPrice(Number(instrumentInfo.markPriceE4) / 10000)
    }

    if (instrumentInfo.open_interest !== undefined) {
      pendingTickerInfo.updateOpenInterest(instrumentInfo.open_interest)
    } else if (instrumentInfo.openInterestE8 !== undefined) {
      pendingTickerInfo.updateOpenInterest(Number(instrumentInfo.openInterestE8) / 100000000)
    } else if (instrumentInfo.open_interest_e8 !== undefined) {
      pendingTickerInfo.updateOpenInterest(instrumentInfo.open_interest_e8 / 100000000)
    }

    if (instrumentInfo.last_price !== undefined) {
      pendingTickerInfo.updateLastPrice(Number(instrumentInfo.last_price))
    } else if (instrumentInfo.lastPrice !== undefined) {
      pendingTickerInfo.updateLastPrice(Number(instrumentInfo.lastPrice))
    } else if (instrumentInfo.last_price_e4 !== undefined) {
      pendingTickerInfo.updateLastPrice(Number(instrumentInfo.last_price_e4) / 10000)
    } else if (instrumentInfo.lastPriceE4) {
      pendingTickerInfo.updateLastPrice(Number(instrumentInfo.lastPriceE4) / 10000)
    }

    if (message.timestamp_e6 !== undefined) {
      const timestampBybit = Number(message.timestamp_e6)
      const timestamp = new Date(timestampBybit / 1000)
      timestamp.μs = timestampBybit % 1000
      pendingTickerInfo.updateTimestamp(timestamp)
    } else if (message.timestampE6 !== undefined) {
      const timestampBybit = Number(message.timestampE6)
      const timestamp = new Date(timestampBybit / 1000)
      timestamp.μs = timestampBybit % 1000
      pendingTickerInfo.updateTimestamp(timestamp)
    } else {
      pendingTickerInfo.updateTimestamp(new Date(instrumentInfo.updated_at))
    }

    if (pendingTickerInfo.hasChanged()) {
      yield pendingTickerInfo.getSnapshot(localTimestamp)
    }
  }
}

export class BybitLiquidationsMapper implements Mapper<'bybit', Liquidation> {
  constructor(private readonly _exchange: Exchange) {}
  canHandle(message: BybitDataMessage) {
    if (message.topic === undefined) {
      return false
    }

    return message.topic.startsWith('liquidation.')
  }

  getFilters(symbols?: string[]) {
    symbols = upperCaseSymbols(symbols)

    return [
      {
        channel: 'liquidation',
        symbols
      } as const
    ]
  }

  *map(message: BybitLiquidationMessage | BybitLiquidationNativeMessage, localTimestamp: Date): IterableIterator<Liquidation> {
    // from bybit telegram: When "side":"Buy", a long position was liquidated. Will fix the docs.
    if (message.generated) {
      for (const bybitLiquidation of message.data) {
        const liquidation: Liquidation = {
          type: 'liquidation',
          symbol: bybitLiquidation.symbol,
          exchange: this._exchange,
          id: String(bybitLiquidation.id),
          price: Number(bybitLiquidation.price),
          amount: bybitLiquidation.qty,
          side: bybitLiquidation.side == 'Buy' ? 'sell' : 'buy',
          timestamp: new Date(bybitLiquidation.time),
          localTimestamp
        }

        yield liquidation
      }
    } else {
      const bybitLiquidation = message.data
      const liquidation: Liquidation = {
        type: 'liquidation',
        symbol: bybitLiquidation.symbol,
        exchange: this._exchange,
        id: undefined,
        price: Number(bybitLiquidation.price),
        amount: Number(bybitLiquidation.qty),
        side: bybitLiquidation.side == 'Buy' ? 'sell' : 'buy',
        timestamp: new Date(bybitLiquidation.time),
        localTimestamp
      }

      yield liquidation
    }
  }
}

type BybitV5Trade =
  | {
      topic: 'publicTrade.LTCUSDT'
      type: 'snapshot'
      ts: 1680688979985
      data: [
        {
          T: 1680688979983
          s: 'LTCUSDT'
          S: 'Buy'
          v: '0.4'
          p: '94.53'
          L: 'ZeroMinusTick'
          i: '4c7b6bdc-b4a3-5716-9c7b-bbe01dc7072f'
          BT: false
        }
      ]
    }
  | {
      topic: 'publicTrade.BTCUSDC'
      ts: 1680688980000
      type: 'snapshot'
      data: [{ i: '2240000000041223438'; T: 1680688979998; p: '28528.98'; v: '0.00433'; S: 'Buy'; s: 'BTCUSDC'; BT: false }]
    }
  | {
      id: 'publicTrade.BTC-3414637898-1680652922102'
      topic: 'publicTrade.BTC'
      ts: 1680652922102
      data: [
        { p: '985'; v: '0.01'; i: '0404c393-8419-5bac-95c3-5fea28404754'; T: 1680652922081; BT: false; s: 'BTC-28APR23-29500-C'; S: 'Sell' }
      ]
      type: 'snapshot'
    }

type BybitV5OrderBookMessage = {
  topic: 'orderbook.50.LTCUSD'
  type: 'snapshot' | 'delta'
  ts: 1680673822478
  data: {
    s: string
    b: [string, string][]
    a: [string, string][]
    u: 11802648
    seq: 941860281
  }
}

type BybitV5DerivTickerMessage = {
  topic: 'tickers.BTCUSD'
  type: 'snapshot' | 'delta'
  data: {
    symbol: string
    lastPrice?: string

    markPrice?: string
    indexPrice?: string
    openInterest?: string
    openInterestValue?: string
    nextFundingTime?: string
    fundingRate?: string
    bid1Price?: string
    bid1Size?: string
    ask1Price?: string
    ask1Size?: string
  }
  cs: 20856433578
  ts: 1680673822577
}

type BybitV5LiquidationMessage = {
  data: {
    price: '0.03803'
    side: 'Buy'
    size: '1637'
    symbol: 'GALAUSDT'
    updatedTime: 1673251091822
  }
  topic: 'liquidation.GALAUSDT'
  ts: 1673251091822
  type: 'snapshot'
}

type BybitV5AllLiquidationMessage = {
  topic: 'allLiquidation.KAITOUSDT'
  type: 'snapshot'
  ts: 1740480190078
  data: [{ T: 1740480189987; s: 'KAITOUSDT'; S: 'Buy'; v: '43'; p: '1.7531' }]
}

type BybitV5OptionTickerMessage = {
  id: 'tickers.ETH-30JUN23-200-P-3164908233-1680652859919'
  topic: 'tickers.ETH-30JUN23-200-P'
  ts: 1680652859919
  data: {
    symbol: 'ETH-30JUN23-200-P'
    bidPrice: '0.1'
    bidSize: '5'
    bidIv: '1.4744'
    askPrice: '0'
    askSize: '0'
    askIv: '0'
    lastPrice: '1'
    highPrice24h: '0'
    lowPrice24h: '0'
    markPrice: '0.2548522'
    indexPrice: '1871.27'
    markPriceIv: '1.5991'
    underlyingPrice: '1886.16'
    openInterest: '231.5'
    turnover24h: '0'
    volume24h: '0'
    totalVolume: '232'
    totalTurnover: '362305'
    delta: '-0.00052953'
    gamma: '0.00000128'
    vega: '0.01719155'
    theta: '-0.0159208'
    predictedDeliveryPrice: '0'
    change24h: '0'
  }
  type: 'snapshot'
}

type BybitDataMessage = {
  topic: string
}

type BybitTradeDataMessage =
  | (BybitDataMessage & {
      data: {
        timestamp: string
        trade_time_ms?: number | string
        symbol: string
        side: 'Buy' | 'Sell'
        size: number
        price: number | string
        trade_id: string
      }[]
    })
  | {
      topic: 'trade.BTCPERP'
      data: [
        {
          symbol: 'BTCPERP'
          tickDirection: 'PlusTick'
          price: '21213.00'
          size: 0.007
          timestamp: '2022-06-21T09:36:58.000Z'
          tradeTimeMs: '1655804218524'
          side: 'Sell'
          tradeId: '7aad7741-f763-5f78-bf43-c38b29a40f67'
        }
      ]
    }

type BybitBookLevel = {
  price: string
  side: 'Buy' | 'Sell'
  size?: number
}

type BybitBookSnapshotDataMessage = BybitDataMessage & {
  type: 'snapshot'
  data: BybitBookLevel[] | { order_book: BybitBookLevel[] } | { orderBook: BybitBookLevel[] }
  timestamp_e6: number | string
  timestampE6: number | string
}

type BybitBookSnapshotUpdateMessage = BybitDataMessage & {
  type: 'delta'
  data: {
    delete: BybitBookLevel[]
    update: BybitBookLevel[]
    insert: BybitBookLevel[]
  }
  timestamp_e6: number | string
  timestampE6: number | string
}

type BybitInstrumentUpdate = {
  symbol: string
  mark_price_e4?: number
  mark_price?: string
  index_price_e4?: string
  index_price?: string
  open_interest?: number
  open_interest_e8?: number
  funding_rate_e6?: string
  predicted_funding_rate_e6?: number
  next_funding_time?: string
  last_price_e4?: string
  last_price?: string
  updated_at: string
  lastPriceE4: '212130000'
  lastPrice: '21213.00'
  lastTickDirection: 'PlusTick'
  prevPrice24hE4: '207180000'
  prevPrice24h: '20718.00'
  price24hPcntE6: '23892'
  highPrice24hE4: '214085000'
  highPrice24h: '21408.50'
  lowPrice24hE4: '198005000'
  lowPrice24h: '19800.50'
  prevPrice1hE4: '213315000'
  prevPrice1h: '21331.50'
  price1hPcntE6: '-5555'
  markPriceE4: '212094700'
  markPrice: '21209.47'
  indexPriceE4: '212247200'
  indexPrice: '21224.72'
  openInterestE8: '18317600000'
  totalTurnoverE8: '94568739311650000'
  turnover24hE8: '1375880657550000'
  totalVolumeE8: '2734659400000'
  volume24hE8: '66536799999'
  fundingRateE6: '-900'
  predictedFundingRateE6: '-614'
  crossSeq: '385207672'
  createdAt: '1970-01-01T00:00:00.000Z'
  updatedAt: '2022-06-21T09:36:58.000Z'
  nextFundingTime: '2022-06-21T16:00:00Z'
  countDownHour: '7'
  bid1PriceE4: '212130000'
  bid1Price: '21213.00'
  ask1PriceE4: '212135000'
  ask1Price: '21213.50'
}

type BybitInstrumentDataMessage =
  | BybitDataMessage & {
      timestamp_e6: string
      timestampE6: string
      data:
        | BybitInstrumentUpdate
        | {
            update: [BybitInstrumentUpdate]
          }
    }

type BybitLiquidationMessage = BybitDataMessage & {
  generated: true
  data: {
    id: number
    qty: number
    side: 'Sell' | 'Buy'
    time: number
    symbol: string
    price: number
  }[]
}

type BybitLiquidationNativeMessage = BybitDataMessage & {
  generated: undefined
  data: { symbol: string; side: 'Sell' | 'Buy'; price: string; qty: string; time: number }
}