l2_book.proto

syntax = "proto3";

package liquidityTech.md;

option go_package = "md/pb";

message L2BookProto {
    enum Exchange
    {
        EXCHANGE_NONE = 0;
        BINANCE_SPOT = 1;     // Binance Spot
        BINANCE_USDM = 2;     // Binance USD margin
        BINANCE_COINM = 3;    // Binance Coin margin
        OKX = 4;              // OKX
        BITMEX;
        DERIBIT;
        BYBIT_SPOT;
        BYBIT_LINEAR;
        BYBIT_INVERSE;
        BYBIT_OPTION;
        KUCOIN_SPOT;
        KUCOIN_FUTURES;
        GATE_SPOT;
        GATE_PERPETUAL;
        GATE_DELIVERY;
        GATE_OPTION;
        COINBASE;
        EXCHANGE_COUNT
    }
  
    enum Side
    {
      BUY = 0;    
      SELL = 1;   
      SIDE_NONE = 2;
    }
    // Trading State
    enum TradingState
    {
      NORMAL = 0; // Normal trading
      CLOSE = 1;  // Stop trading
    }

    // Update Type
    enum UpdateType
    {
      ADD = 0;    // Quantity of a level increases
      DELETE = 1; // Quantity of a level decreases
      MODIFY = 2;
      TRADE = 3;  // Trade update
      UPDATE_TYPE_NONE = 4;
    }

    message PriceLevel{
        double price = 1;   // Price
        double qty = 2;     // Quantity
    }
    
    message Update{
        double price = 1;     // Price
        double qty = 2;       // Quantity
        Side side = 3;        // Buy or sell direction. passive side for trade
        UpdateType type = 4;  // UpdateType Type, see UpdateType
        uint32 level = 5;     // Level of the order book
    }

    uint64 exchange_ts = 1;               // Exchange timestamp
    uint64 local_ts = 2;                  // Local timestamp
    uint64 seq_num = 3;                   // Message sequence number channel_id * 1e18 + exchange_seq_num. 
    // For Binance, the channel_id is 0 for trades, 1 for ticker, 2 for depth_5, 3 for depth_10, 4 for depth_20, 5 for full_depth
    double ltp = 4;                       // Last traded price
    double ttv = 5;                       // Total traded volume (price * quantity) since RapidMarket starts
    double ttq = 6;                       // Total traded quantity since RapidMarket starts
    string symbol = 7;                    // Trading symbol
    uint32 book_id = 8;                   // currently not used and set to 0
    Exchange exchange = 9;                // Exchange
    TradingState trading_state = 10;      // Trading state
    repeated PriceLevel levels_bids = 11; // Bid levels, up to 50 levels
    repeated PriceLevel levels_asks = 12; // Ask levels, up to 50 levels
    repeated Update updates = 13;         // Updates, up to 50 items
}