convert all timestamp to nanoseconds; implement timestamp parsing tests for Level2Update messages

Author: kzhdev

CHANGELOG.md

@@ -9,6 +9,10 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Changed
 - Enhance ISO 8601 parsing with microsecond and nanosecond support
+- Convert all timestamp to nanoseconds
+
+### Added
+- timestamp parsing tests
 
 ## [0.2.1] - 2026-02-19
 

include/coinbase/market_data.hpp

@@ -11,7 +11,6 @@
 namespace coinbase {
 
 struct Level2Update {
-    uint64_t seq_num;
     uint64_t event_time;
     Side side;
     double price_level;

include/coinbase/utils.hpp

@@ -46,39 +46,6 @@ inline uint64_t nanoseconds_from_json(const json &j, std::string_view field) {
     return j.at(field).is_null() ? 0 : to_nanoseconds(j.at(field).get<std::string>());
 }
 
-// Automatically detect timestamp precision and parse accordingly
-inline uint64_t timestamp_from_json(const json &j, std::string_view field) {
-    if (j.at(field).is_null()) {
-        return 0;
-    }
-
-    auto timestamp_str = j.at(field).get<std::string>();
-
-    // Find fractional seconds
-    size_t dot_pos = timestamp_str.find('.');
-    if (dot_pos == std::string::npos) {
-        // No fractional seconds, use milliseconds
-        return to_milliseconds(timestamp_str);
-    }
-
-    // Count fractional digits
-    size_t end_pos = timestamp_str.find_first_of("Z+", dot_pos);
-    if (end_pos == std::string::npos) end_pos = timestamp_str.length();
-    size_t frac_digits = end_pos - dot_pos - 1;
-
-    // Choose precision based on fractional digits:
-    // 1-3 digits: milliseconds (e.g., .123)
-    // 4-6 digits: microseconds (e.g., .123456)
-    // 7-9 digits: nanoseconds (e.g., .123456789)
-    if (frac_digits <= 3) {
-        return to_milliseconds(timestamp_str);
-    } else if (frac_digits <= 6) {
-        return to_microseconds(timestamp_str);
-    } else {
-        return to_nanoseconds(timestamp_str);
-    }
-}
-
 inline double double_from_json(const json &j, std::string_view field) {
     try
     {
@@ -148,7 +115,7 @@ inline std::string to_string(double value, Side side, double min_increment) {
     return oss.str();
 }
 
-#define TIMESTAMP_FROM_JSON(j, o, field) if (j.contains(#field)) o.field = timestamp_from_json(j, #field)
+#define TIMESTAMP_FROM_JSON(j, o, field) if (j.contains(#field)) o.field = nanoseconds_from_json(j, #field)
 #define NANOSECONDS_FROM_JSON(j, o, field) if (j.contains(#field)) o.field = nanoseconds_from_json(j, #field)
 #define DOUBLE_FROM_JSON(j, o, field) if (j.contains(#field)) o.field = double_from_json(j, #field)
 #define INT_FROM_JSON(j, o, field) if (j.contains(#field)) o.field = int_from_json(j, #field)

tests/CMakeLists.txt

@@ -34,7 +34,7 @@ endif()
 
 include(GoogleTest)
 
-add_executable(coinbase_advance_tests rest_api_tests.cpp websocket_tests.cpp rest_awaitable_tests.cpp)
+add_executable(coinbase_advance_tests rest_api_tests.cpp websocket_tests.cpp rest_awaitable_tests.cpp timestamp_parsing_tests.cpp)
 target_include_directories(coinbase_advance_tests PRIVATE ${CMAKE_SOURCE_DIR}/include)
 target_link_libraries(coinbase_advance_tests PRIVATE coinbase-advanced-cpp slick::net GTest::gtest_main)
 

tests/timestamp_parsing_tests.cpp

@@ -0,0 +1,68 @@
+#include <gtest/gtest.h>
+#include <coinbase/utils.hpp>
+#include <coinbase/market_data.hpp>
+#include <nlohmann/json.hpp>
+
+using json = nlohmann::json;
+
+namespace coinbase::tests {
+
+class TimestampParsingTests : public ::testing::Test {};
+
+TEST_F(TimestampParsingTests, ParseL2UpdateMessage) {
+    // Real L2 update message from Coinbase WebSocket
+    std::string msg = R"({
+        "channel":"l2_data",
+        "timestamp":"2026-03-05T09:05:32.483569449Z",
+        "sequence_num":229,
+        "events":[{
+            "type":"update",
+            "product_id":"BIP-20DEC30-CDE",
+            "updates":[
+                {"side":"bid","event_time":"2026-03-05T09:05:32.449176Z","price_level":"72575","new_quantity":"0"},
+                {"side":"bid","event_time":"2026-03-05T09:05:32.449176Z","price_level":"72570","new_quantity":"68"},
+                {"side":"offer","event_time":"2026-03-05T09:05:32.449176Z","price_level":"72580","new_quantity":"13"}
+            ]
+        }]
+    })";
+
+    auto j = json::parse(msg);
+
+    // Test main timestamp parsing (nanoseconds - 9 fractional digits)
+    ASSERT_TRUE(j.contains("timestamp"));
+    uint64_t main_timestamp = nanoseconds_from_json(j, "timestamp");
+
+    // Expected: 2026-03-05T09:05:32.483569449Z
+    // Breakdown: 2026-03-05 09:05:32 = Unix timestamp base
+    // .483569449 = 483569449 nanoseconds
+
+    // The timestamp should be in nanoseconds since it has 9 fractional digits
+    EXPECT_EQ(main_timestamp, 1772701532483569449ULL); // Exact nanosecond timestamp
+
+    // Test Level2Update parsing (microseconds - 6 fractional digits)
+    ASSERT_TRUE(j.contains("events"));
+    ASSERT_GT(j["events"].size(), 0);
+
+    Level2UpdateBatch batch = j["events"][0];
+    ASSERT_EQ(batch.product_id, "BIP-20DEC30-CDE");
+    ASSERT_EQ(batch.updates.size(), 3);
+
+    // Expected: 2026-03-05T09:05:32.449176Z
+    // .449176 = 6 fractional digits = microseconds
+
+    EXPECT_EQ(batch.updates[0].event_time, 1772701532449176000ULL); // Exact microsecond timestamp
+
+    // Verify side parsing
+    EXPECT_EQ(batch.updates[0].side, Side::BUY); // "bid" = BUY
+
+    // Verify price and quantity parsing
+    EXPECT_DOUBLE_EQ(batch.updates[0].price_level, 72575.0);
+    EXPECT_DOUBLE_EQ(batch.updates[0].new_quantity, 0.0);
+
+    // Test the third update (offer side)
+    EXPECT_EQ(batch.updates[2].side, Side::SELL); // "offer" = SELL
+    EXPECT_DOUBLE_EQ(batch.updates[2].price_level, 72580.0);
+    EXPECT_DOUBLE_EQ(batch.updates[2].new_quantity, 13.0);
+}
+
+} // namespace coinbase::tests