Module `Algostream_data_ingestion_coinbase.Parser`

Coinbase Exchange WebSocket frame parser (the public, unauthenticated feed at wss://ws-feed.exchange.coinbase.com).

Subscribes to ticker (BBO + last trade) and matches (every fill on the tape). The newer Advanced Trade WS endpoint requires JWT auth even for public market data, so we use the older Exchange WS which remains public.

Frame layout reference (Exchange WS):

  ticker:  { "type":"ticker", "sequence":..., "product_id":"BTC-USD", "best_bid":"...",
             "best_ask":"...", "best_bid_size":"...", "best_ask_size":"...", "price":"...",
             "last_size":"...", "time":"<ISO-8601>" }
  match:   { "type":"match", "trade_id":..., "sequence":..., "product_id":"BTC-USD",
             "price":"...", "size":"...", "side":"buy|sell", "time":"<ISO-8601>" }

Numbers are JSON strings on Coinbase — we float_of_string them. Time is ISO-8601 with microsecond precision. We currently use ingest time (parsing ISO-8601 needs ptime which is not yet a dep; flagged as a follow-up).

val build_subscribe_message : symbols:string list -> string

val parse_frame : 
  symbol_intern:Algostream_data_ingestion.Symbol_intern.t ->
  string ->
  Algostream_infrastructure_event_bus.Event_types.Event.payload list