Further scaffolding

core/data/events/bar.go

@@ -0,0 +1,12 @@
+package events
+
+import "time"
+
+type Bar struct {
+	Open     float64
+	High     float64
+	Low      float64
+	Close    float64
+	Volume   float64
+	Interval time.Duration
+}

core/data/events/custom.go

@@ -0,0 +1,6 @@
+package events
+
+type Custom struct {
+	Bytes       []byte
+	ContentType string
+}

core/data/events/domain.go

@@ -0,0 +1,22 @@
+// Package events ...
+package events
+
+type DataType uint8
+
+const (
+	TradeType DataType = iota
+	QuoteType
+	BarType
+	MBPDeltaType
+	MBPSnapshotType
+	MBODeltaType
+	MBOSnapshotType
+	CustomType
+)
+
+type Side uint8
+
+const (
+	Bid Side = iota
+	Ask
+)

core/data/events/mbodelta.go

@@ -0,0 +1,20 @@
+package events
+
+type MBODelta struct {
+	Operation MBOOrderOp
+	OrderID   string
+	Side      Side
+	Price     float64
+	Size      float64
+	IsMaker   bool
+	Seq       uint64
+	ParentID  string
+}
+
+type MBOOrderOp uint8
+
+const (
+	OrderAdd MBOOrderOp = iota
+	OrderMod
+	OrderDel
+)

core/data/events/mbosnapshot.go

@@ -0,0 +1,14 @@
+package events
+
+type MBOSnapshot struct {
+	Orders []OrderEntry
+	Seq    uint64
+}
+
+type OrderEntry struct {
+	OrderID string
+	Side    Side
+	Price   float64
+	Size    float64
+	IsMaker bool
+}

core/data/events/mbpdelta.go

@@ -0,0 +1,8 @@
+package events
+
+type MBPDelta struct {
+	Side  Side
+	Price float64
+	Size  float64
+	Seq   uint64
+}

core/data/events/mbpsnapshot.go

@@ -0,0 +1,13 @@
+package events
+
+type MBPSnapshot struct {
+	Bids  []PriceLevel
+	Asks  []PriceLevel
+	Depth int
+	Seq   uint64
+}
+
+type PriceLevel struct {
+	Price float64
+	Size  float64
+}

core/data/events/quote.go

@@ -0,0 +1,8 @@
+package events
+
+type Quote struct {
+	BidPrice float64
+	BidSize  float64
+	AskPrice float64
+	AskSize  float64
+}

core/data/events/trade.go

@@ -0,0 +1,16 @@
+package events
+
+type Trade struct {
+	Price     float64
+	Qty       float64
+	Aggressor AggressorSide
+	TradeID   string
+}
+
+type AggressorSide uint8
+
+const (
+	AggUnknown AggressorSide = iota
+	AggBuy
+	AggSell
+)