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bybit: Add OrderbookLastUpdated field and ensure timestamp usage is correct #1680

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merged 8 commits into from
Nov 8, 2024
Merged

bybit: Add OrderbookLastUpdated field and ensure timestamp usage is correct #1680

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7393935
bybit: Add time field for orderbook and handle correct timings
Oct 14, 2024
14e09a5
use UpdateID as this is the localised ID for this pair, rm check resu…
Oct 15, 2024
1ec6128
general quick fixes across from #1672 which can be used straight away
Oct 15, 2024
07c1c10
fix test
Oct 15, 2024
b6ba822
Merge branch 'master' into bybit_ob_time
Nov 8, 2024
0726e85
glorious: nits
Nov 8, 2024
38aeef0
thrasher: nits
Nov 8, 2024
9ddcfbd
thrasher: nits thanks @thrasher-
Nov 8, 2024
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29 changes: 16 additions & 13 deletions exchanges/bybit/bybit_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ import (
"encoding/json"
"errors"
"fmt"
"maps"
"slices"
"testing"
"time"
Expand Down Expand Up @@ -3178,28 +3179,30 @@ func TestWsOptionsConnect(t *testing.T) {
}

var pushDataMap = map[string]string{
"Orderbook Snapshot": `{"topic":"orderbook.50.BTCUSDT","ts":1690719970602,"type":"snapshot","data":{"s":"BTCUSDT","b":[["29328.25","3.911681"],["29328.21","0.117584"],["29328.19","0.511493"],["29328.16","0.013639"],["29328","0.1646"],["29327.99","1"],["29327.98","0.681309"],["29327.53","0.001"],["29327.46","0.000048"],["29327","0.046517"],["29326.99","0.077528"],["29326.55","0.026808"],["29326.48","0.03"],["29326","0.1646"],["29325.99","0.00075"],["29325.93","0.409862"],["29325.92","0.745"],["29325.87","0.511533"],["29325.85","0.00018"],["29325.42","0.001023"],["29325.41","0.68199"],["29325.36","0.006309"],["29325.35","0.0153"],["29324.97","0.903728"],["29324.96","1.506212"],["29324.49","0.016966"],["29324.38","0.0341"],["29324.17","1.4535"],["29324","0.1646"],["29323.99","0.00075"],["29323.92","0.050492"],["29323.77","1.023141"],["29323.72","0.12"],["29323.48","0.0153"],["29323.26","0.001362"],["29322.78","0.464948"],["29322.77","0.745"],["29322.76","0.0153"],["29322.73","0.013633"],["29322.67","0.53"],["29322.62","0.01"],["29322.04","0.97036"],["29322","0.1656"],["29321.99","0.00075"],["29321.56","0.0341"],["29321.52","0.613945"],["29321.51","0.13"],["29321.4","0.002"],["29321.18","0.196788"],["29321.13","0.34104"]],"a":[["29328.26","1.256884"],["29328.36","0.013639"],["29328.97","0.51148"],["29329","0.002046"],["29329.2","0.035597"],["29329.27","0.001"],["29329.44","0.03523"],["29329.99","0.791676"],["29330","0.546264"],["29330.28","0.001"],["29330.35","0.767184"],["29330.5","0.002725"],["29330.51","0.0341"],["29330.79","0.03"],["29330.81","0.158412"],["29330.93","0.68199"],["29330.95","0.282036"],["29331","0.041"],["29331.13","0.0003"],["29331.19","0.01"],["29331.53","0.050164"],["29331.54","0.008573"],["29331.99","0.26305"],["29332.11","0.008124"],["29332.21","0.8721"],["29332.22","1.4535"],["29332.41","0.157"],["29332.58","0.001023"],["29332.59","0.0153"],["29332.84","0.679527"],["29332.85","1.022812"],["29332.98","0.200071"],["29333.01","1.13254"],["29333.24","0.0153"],["29333.25","0.001362"],["29333.35","0.625"],["29333.37","0.01"],["29333.56","0.0341"],["29333.68","0.21795"],["29333.85","0.182562"],["29333.98","0.0003"],["29333.99","0.00105"],["29334.16","0.009132"],["29334.29","0.0003"],["29334.48","0.029675"],["29334.7","0.00086"],["29334.99","0.006838"],["29335","0.002177"],["29335.18","0.013622"],["29335.32","0.034099"]],"u":51668654,"seq":10194901787}}`,
"Orderbook Update": `{"topic":"orderbook.50.ACAUSDT","ts":1690719548494,"type":"snapshot","data":{"s":"ACAUSDT","b":[["0.0657","5363.66"],["0.0646","7910.21"],["0.0645","1435.73"],["0.0644","1552.8"],["0.0642","6904.01"],["0.064","3232.64"],["0.0639","106"],["0.0637","100"],["0.0636","25.62"],["0.0635","209.43"],["0.0631","237.47"],["0.063","258.13"],["0.0627","318.97"],["0.0625","10066.99"],["0.0624","16.1"],["0.0623","41.72"],["0.0622","1624.59"],["0.0621","402.57"],["0.0616","10.65"],["0.0613","652"],["0.061","1081.97"],["0.0604","413.91"],["0.06","1471.82"],["0.0597","15000"],["0.0595","15000"],["0.0593","608.77"],["0.0591","430.79"],["0.059","444"],["0.0586","4536.97"],["0.0584","1533.58"],["0.0583","3764.43"],["0.0581","3072.34"],["0.058","2654.9"],["0.0579","1022.23"],["0.0576","1931.71"],["0.0574","2545.88"],["0.0573","821.27"],["0.0571","2957"],["0.0568","1483.57"],["0.0561","392.24"],["0.0555","900.9"],["0.055","322.15"],["0.0549","182"],["0.0545","30"],["0.0536","24.24"],["0.0535","1869.15"],["0.053","40"],["0.0529","189"],["0.0525","701.66"],["0.0521","1122.64"]],"a":[["0.0661","3320.27"],["0.0662","8667.02"],["0.0663","6087.91"],["0.0664","6060.61"],["0.0684","591.31"],["0.0689","155.77"],["0.069","1148.02"],["0.0694","2421.86"],["0.0699","155.77"],["0.07","445.87"],["0.0701","142.65"],["0.071","2131.4"],["0.0718","1447.83"],["0.072","420.62"],["0.0743","1399.15"],["0.0745","1481.62"],["0.0747","32.97"],["0.0748","900.38"],["0.0749","209.44"],["0.075","124.49"],["0.0757","41.9"],["0.0762","657.43"],["0.077","48.77"],["0.0779","96.26"],["0.078","12305.94"],["0.079","29.77"],["0.0797","512.26"],["0.0799","743.29"],["0.08","5050.7"],["0.0814","11.71"],["0.0815","75.93"],["0.0817","403"],["0.082","817.43"],["0.0825","768.47"],["0.0828","388.77"],["0.083","150.53"],["0.0835","18"],["0.084","10776.95"],["0.0841","1465.17"],["0.0848","15000"],["0.085","16976.73"],["0.0853","798.45"],["0.0856","5239.19"],["0.0857","5134.18"],["0.0858","3885.13"],["0.0859","3691.71"],["0.086","16847.35"],["0.0862","898.68"],["0.0863","994.24"],["0.0865","1251.56"]],"u":4694899,"seq":12206894097}}`,
"Orderbook Snapshot": `{"topic":"orderbook.50.BTCUSDT","ts":1731035685326,"type":"snapshot","data":{"s":"BTCUSDT","b":[["75848.74","0.067669"],["75848.63","0.004772"],["75848.61","0.00659"],["75848.05","0.000329"],["75847.68","0.00159"],["75846.88","0.00159"],["75845.97","0.026366"],["75845.87","0.013185"],["75845.41","0.077259"],["75845.4","0.132228"],["75844.61","0.00159"],["75844.44","0.026367"],["75844.2","0.013185"],["75844","0.00039"],["75843.13","0.00159"],["75843.07","0.013185"],["75842.33","0.00159"],["75841.99","0.006"],["75841.75","0.019538"],["75841.74","0.04"],["75841.71","0.031817"],["75841.36","0.017336"],["75841.33","0.000072"],["75841.16","0.001872"],["75841.11","0.172641"],["75841.04","0.029772"],["75841","0.000065"],["75840.93","0.015244"],["75840.86","0.00159"],["75840.79","0.000072"],["75840.38","0.043333"],["75840.32","0.092539"],["75840.3","0.132228"],["75840.2","0.054966"],["75840.06","0.00159"],["75840","0.20726"],["75839.64","0.003744"],["75839.29","0.006592"],["75838.58","0.00159"],["75838.52","0.049778"],["75838.14","0.003955"],["75838","0.000065"],["75837.78","0.00159"],["75837.75","0.000587"],["75837.53","0.322245"],["75837.52","0.593323"],["75837.37","0.00384"],["75837.29","0.044335"],["75837.24","0.119228"],["75837.13","0.152844"]],"a":[["75848.75","0.747137"],["75848.89","0.060306"],["75848.9","0.1"],["75851.43","0.00159"],["75851.44","0.080754"],["75852.23","0.00159"],["75852.54","0.131067"],["75852.65","0.003955"],["75853.71","0.00159"],["75853.86","0.003955"],["75854.43","0.015684"],["75854.5","0.130389"],["75854.51","0.00159"],["75855.21","0.031168"],["75855.23","0.271494"],["75855.73","0.042698"],["75855.98","0.00159"],["75856.04","0.01346"],["75856.33","0.001872"],["75856.78","0.00159"],["75857.15","0.000072"],["75857.17","0.015127"],["75857.8","0.043322"],["75857.81","0.045305"],["75857.85","0.003792"],["75858.09","0.026344"],["75858.26","0.00159"],["75859.06","0.031618"],["75859.07","0.025"],["75859.1","0.006592"],["75859.98","0.013183"],["75860.12","0.00384"],["75860.54","0.00159"],["75860.74","0.051204"],["75860.75","0.065861"],["75861.18","0.031222"],["75861.33","0.00159"],["75861.64","0.003888"],["75861.96","0.042213"],["75862.28","0.000777"],["75862.79","0.013184"],["75862.81","0.00159"],["75862.84","0.027959"],["75863.16","0.003888"],["75863.51","0.043628"],["75863.52","0.002525"],["75863.61","0.00159"],["75864.2","0.003955"],["75864.76","0.000072"],["75864.81","0.002018"]],"u":2876700,"seq":47474967795},"cts":1731035685323}`,
"Orderbook Update": `{"topic":"orderbook.50.BTCUSDT","ts":1731035685345,"type":"delta","data":{"s":"BTCUSDT","b":[["75848.62","0.014895"],["75837.13","0"]],"a":[["75848.89","0.088149"],["75851.44","0.078379"],["75852.65","0"],["75855.23","0.260219"],["75857.74","0.049778"]],"u":2876701,"seq":47474967823},"cts":1731035685342}`,
"Public Trade": `{"topic":"publicTrade.ATOM2SUSDT","ts":1690720953113,"type":"snapshot","data":[{"i":"2200000000067341890","T":1690720953111,"p":"3.6279","v":"1.3637","S":"Sell","s":"ATOM2SUSDT","BT":false}]}`,
"Public Kline": `{ "topic": "kline.5.BTCUSDT", "data": [ { "start": 1672324800000, "end": 1672325099999, "interval": "5", "open": "16649.5", "close": "16677", "high": "16677", "low": "16608", "volume": "2.081", "turnover": "34666.4005", "confirm": false, "timestamp": 1672324988882 } ], "ts": 1672324988882,"type": "snapshot"}`,
"Public Liquidiation": `{ "data": { "price": "0.03803", "side": "Buy", "size": "1637", "symbol": "GALAUSDT", "updatedTime": 1673251091822 }, "topic": "liquidation.GALAUSDT", "ts": 1673251091822, "type": "snapshot" }`,
"Public LT Kline": `{ "type": "snapshot", "topic": "kline_lt.5.EOS3LUSDT", "data": [ { "start": 1672325100000, "end": 1672325399999, "interval": "5", "open": "0.416039541212402799", "close": "0.41477848043290448", "high": "0.416039541212402799", "low": "0.409734237314911206", "confirm": false, "timestamp": 1672325322393 } ], "ts": 1672325322393 }`,
"Public LT Ticker": `{ "topic": "tickers_lt.EOS3LUSDT", "ts": 1672325446847, "type": "snapshot", "data": { "symbol": "EOS3LUSDT", "lastPrice": "0.41477848043290448", "highPrice24h": "0.435285472510871305", "lowPrice24h": "0.394601507960931382", "prevPrice24h": "0.431502290172376349", "price24hPcnt": "-0.0388" } }`,
"Public LT Navigation": `{ "topic": "lt.EOS3LUSDT", "ts": 1672325564669, "type": "snapshot", "data": { "symbol": "EOS3LUSDT", "time": 1672325564554, "nav": "0.413517419653406162", "basketPosition": "1.261060779498318641", "leverage": "2.656197506416192150", "basketLoan": "-0.684866519289629374", "circulation": "72767.309468460367138199", "basket": "91764.000000292013277472" } }`,
"Public LT Kline": `{ "type": "snapshot", "topic": "kline_lt.5.BTCUSDT", "data": [ { "start": 1672325100000, "end": 1672325399999, "interval": "5", "open": "0.416039541212402799", "close": "0.41477848043290448", "high": "0.416039541212402799", "low": "0.409734237314911206", "confirm": false, "timestamp": 1672325322393 } ], "ts": 1672325322393 }`,
"Public LT Ticker": `{ "topic": "tickers_lt.BTCUSDT", "ts": 1672325446847, "type": "snapshot", "data": { "symbol": "BTCUSDT", "lastPrice": "0.41477848043290448", "highPrice24h": "0.435285472510871305", "lowPrice24h": "0.394601507960931382", "prevPrice24h": "0.431502290172376349", "price24hPcnt": "-0.0388" } }`,
"Public LT Navigation": `{ "topic": "lt.EOS3LUSDT", "ts": 1672325564669, "type": "snapshot", "data": { "symbol": "BTCUSDT", "time": 1672325564554, "nav": "0.413517419653406162", "basketPosition": "1.261060779498318641", "leverage": "2.656197506416192150", "basketLoan": "-0.684866519289629374", "circulation": "72767.309468460367138199", "basket": "91764.000000292013277472" } }`,
"Private Position": `{"id": "59232430b58efe-5fc5-4470-9337-4ce293b68edd", "topic": "position", "creationTime": 1672364174455, "data": [ { "positionIdx": 0, "tradeMode": 0, "riskId": 41, "riskLimitValue": "200000", "symbol": "XRPUSDT", "side": "Buy", "size": "75", "entryPrice": "0.3615", "leverage": "10", "positionValue": "27.1125", "positionBalance": "0", "markPrice": "0.3374", "positionIM": "2.72589075", "positionMM": "0.28576575", "takeProfit": "0", "stopLoss": "0", "trailingStop": "0", "unrealisedPnl": "-1.8075", "cumRealisedPnl": "0.64782276", "createdTime": "1672121182216", "updatedTime": "1672364174449", "tpslMode": "Full", "liqPrice": "", "bustPrice": "", "category": "linear","positionStatus":"Normal","adlRankIndicator":2}]}`,
"Private Order": `{ "id": "5923240c6880ab-c59f-420b-9adb-3639adc9dd90", "topic": "order", "creationTime": 1672364262474, "data": [ { "symbol": "ETH-30DEC22-1400-C", "orderId": "5cf98598-39a7-459e-97bf-76ca765ee020", "side": "Sell", "orderType": "Market", "cancelType": "UNKNOWN", "price": "72.5", "qty": "1", "orderIv": "", "timeInForce": "IOC", "orderStatus": "Filled", "orderLinkId": "", "lastPriceOnCreated": "", "reduceOnly": false, "leavesQty": "", "leavesValue": "", "cumExecQty": "1", "cumExecValue": "75", "avgPrice": "75", "blockTradeId": "", "positionIdx": 0, "cumExecFee": "0.358635", "createdTime": "1672364262444", "updatedTime": "1672364262457", "rejectReason": "EC_NoError", "stopOrderType": "", "tpslMode": "", "triggerPrice": "", "takeProfit": "", "stopLoss": "", "tpTriggerBy": "", "slTriggerBy": "", "tpLimitPrice": "", "slLimitPrice": "", "triggerDirection": 0, "triggerBy": "", "closeOnTrigger": false, "category": "option", "placeType": "price", "smpType": "None", "smpGroup": 0, "smpOrderId": "" } ] }`,
"Private Order": `{ "id": "5923240c6880ab-c59f-420b-9adb-3639adc9dd90", "topic": "order", "creationTime": 1672364262474, "data": [ { "symbol": "BTCUSDT", "orderId": "5cf98598-39a7-459e-97bf-76ca765ee020", "side": "Sell", "orderType": "Market", "cancelType": "UNKNOWN", "price": "72.5", "qty": "1", "orderIv": "", "timeInForce": "IOC", "orderStatus": "Filled", "orderLinkId": "", "lastPriceOnCreated": "", "reduceOnly": false, "leavesQty": "", "leavesValue": "", "cumExecQty": "1", "cumExecValue": "75", "avgPrice": "75", "blockTradeId": "", "positionIdx": 0, "cumExecFee": "0.358635", "createdTime": "1672364262444", "updatedTime": "1672364262457", "rejectReason": "EC_NoError", "stopOrderType": "", "tpslMode": "", "triggerPrice": "", "takeProfit": "", "stopLoss": "", "tpTriggerBy": "", "slTriggerBy": "", "tpLimitPrice": "", "slLimitPrice": "", "triggerDirection": 0, "triggerBy": "", "closeOnTrigger": false, "category": "option", "placeType": "price", "smpType": "None", "smpGroup": 0, "smpOrderId": "" } ] }`,
"Private Wallet": `{ "id": "5923242c464be9-25ca-483d-a743-c60101fc656f", "topic": "wallet", "creationTime": 1672364262482, "data": [ { "accountIMRate": "0.016", "accountMMRate": "0.003", "totalEquity": "12837.78330098", "totalWalletBalance": "12840.4045924", "totalMarginBalance": "12837.78330188", "totalAvailableBalance": "12632.05767702", "totalPerpUPL": "-2.62129051", "totalInitialMargin": "205.72562486", "totalMaintenanceMargin": "39.42876721", "coin": [ { "coin": "USDC", "equity": "200.62572554", "usdValue": "200.62572554", "walletBalance": "201.34882644", "availableToWithdraw": "0", "availableToBorrow": "1500000", "borrowAmount": "0", "accruedInterest": "0", "totalOrderIM": "0", "totalPositionIM": "202.99874213", "totalPositionMM": "39.14289747", "unrealisedPnl": "74.2768991", "cumRealisedPnl": "-209.1544627", "bonus": "0" }, { "coin": "BTC", "equity": "0.06488393", "usdValue": "1023.08402268", "walletBalance": "0.06488393", "availableToWithdraw": "0.06488393", "availableToBorrow": "2.5", "borrowAmount": "0", "accruedInterest": "0", "totalOrderIM": "0", "totalPositionIM": "0", "totalPositionMM": "0", "unrealisedPnl": "0", "cumRealisedPnl": "0", "bonus": "0" }, { "coin": "ETH", "equity": "0", "usdValue": "0", "walletBalance": "0", "availableToWithdraw": "0", "availableToBorrow": "26", "borrowAmount": "0", "accruedInterest": "0", "totalOrderIM": "0", "totalPositionIM": "0", "totalPositionMM": "0", "unrealisedPnl": "0", "cumRealisedPnl": "0", "bonus": "0" }, { "coin": "USDT", "equity": "11726.64664904", "usdValue": "11613.58597018", "walletBalance": "11728.54414904", "availableToWithdraw": "11723.92075829", "availableToBorrow": "2500000", "borrowAmount": "0", "accruedInterest": "0", "totalOrderIM": "0", "totalPositionIM": "2.72589075", "totalPositionMM": "0.28576575", "unrealisedPnl": "-1.8975", "cumRealisedPnl": "0.64782276", "bonus": "0" }, { "coin": "EOS3L", "equity": "215.0570412", "usdValue": "0", "walletBalance": "215.0570412", "availableToWithdraw": "215.0570412", "availableToBorrow": "0", "borrowAmount": "0", "accruedInterest": "", "totalOrderIM": "0", "totalPositionIM": "0", "totalPositionMM": "0", "unrealisedPnl": "0", "cumRealisedPnl": "0", "bonus": "0" }, { "coin": "BIT", "equity": "1.82", "usdValue": "0.48758257", "walletBalance": "1.82", "availableToWithdraw": "1.82", "availableToBorrow": "0", "borrowAmount": "0", "accruedInterest": "", "totalOrderIM": "0", "totalPositionIM": "0", "totalPositionMM": "0", "unrealisedPnl": "0", "cumRealisedPnl": "0", "bonus": "0" } ], "accountType": "UNIFIED", "accountLTV": "0.017" } ] }`,
"Private Greek": `{ "id": "592324fa945a30-2603-49a5-b865-21668c29f2a6", "topic": "greeks", "creationTime": 1672364262482, "data": [ { "baseCoin": "ETH", "totalDelta": "0.06999986", "totalGamma": "-0.00000001", "totalVega": "-0.00000024", "totalTheta": "0.00001314" } ] }`,
"Execution": `{"id": "592324803b2785-26fa-4214-9963-bdd4727f07be", "topic": "execution", "creationTime": 1672364174455, "data": [ { "category": "linear", "symbol": "XRPUSDT", "execFee": "0.005061", "execId": "7e2ae69c-4edf-5800-a352-893d52b446aa", "execPrice": "0.3374", "execQty": "25", "execType": "Trade", "execValue": "8.435", "isMaker": false, "feeRate": "0.0006", "tradeIv": "", "markIv": "", "blockTradeId": "", "markPrice": "0.3391", "indexPrice": "", "underlyingPrice": "", "leavesQty": "0", "orderId": "f6e324ff-99c2-4e89-9739-3086e47f9381", "orderLinkId": "", "orderPrice": "0.3207", "orderQty":"25","orderType":"Market","stopOrderType":"UNKNOWN","side":"Sell","execTime":"1672364174443","isLeverage": "0","closedSize": "","seq":4688002127}]}`,
}

func TestPushData(t *testing.T) {
t.Parallel()
for x := range pushDataMap {
err := b.wsHandleData(asset.Spot, []byte(pushDataMap[x]))
if err != nil {
t.Errorf("%s: %v", x, err)
}

keys := slices.Collect(maps.Keys(pushDataMap))
slices.Sort(keys)

for x := range keys {
err := b.wsHandleData(asset.Spot, []byte(pushDataMap[keys[x]]))
assert.NoError(t, err, "wsHandleData should not error")
}
}

Expand Down Expand Up @@ -3474,12 +3477,12 @@ func TestFetchTradablePairs(t *testing.T) {

func TestDeltaUpdateOrderbook(t *testing.T) {
t.Parallel()
data := `{"topic":"orderbook.50.WEMIXUSDT","ts":1697573183768,"type":"snapshot","data":{"s":"WEMIXUSDT","b":[["0.9511","260.703"],["0.9677","0"]],"a":[],"u":3119516,"seq":14126848493}}`
data := `{"topic":"orderbook.50.WEMIXUSDT","ts":1697573183768,"type":"snapshot","data":{"s":"WEMIXUSDT","b":[["0.9511","260.703"],["0.9677","0"]],"a":[],"u":3119516,"seq":14126848493},"cts":1728966699481}`
err := b.wsHandleData(asset.Spot, []byte(data))
if err != nil {
t.Fatal(err)
}
update := `{"topic":"orderbook.50.WEMIXUSDT","ts":1697573183768,"type":"delta","data":{"s":"WEMIXUSDT","b":[["0.9511","260.703"],["0.9677","0"]],"a":[],"u":3119516,"seq":14126848493}}`
update := `{"topic":"orderbook.50.WEMIXUSDT","ts":1697573183768,"type":"delta","data":{"s":"WEMIXUSDT","b":[["0.9511","260.703"],["0.9677","0"]],"a":[],"u":3119516,"seq":14126848493},"cts":1728966699481}`
var wsResponse WebsocketResponse
err = json.Unmarshal([]byte(update), &wsResponse)
if err != nil {
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5 changes: 4 additions & 1 deletion exchanges/bybit/bybit_types.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1775,7 +1775,7 @@ type SubscriptionResponse struct {
type WebsocketResponse struct {
Topic string `json:"topic"`
Type string `json:"type"`
Timestamp types.Time `json:"ts"`
PushTimestamp types.Time `json:"ts"` // The timestamp (ms) that the system generates the data
Data json.RawMessage `json:"data"`
CrossSequence int64 `json:"cs"`

Expand All @@ -1784,6 +1784,9 @@ type WebsocketResponse struct {

// for subscription response checks.
RequestID string `json:"req_id"`

// The timestamp from the match engine when orderbook data is produced. It can be correlated with T from public trade channel
OrderbookLastUpdated types.Time `json:"cts"`
}

// WebsocketPublicTrades represents
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