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Improve asset backfilling

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Signed-off-by: Nikolaos Karaolidis <nick@karaolidis.com>
This commit is contained in:
Nick Karaolidis
2023-09-09 20:35:15 +03:00
parent c57eb7567c
commit 8a88d58192
9 changed files with 129 additions and 302 deletions
Download Patch File Download Diff File Expand all files Collapse all files

22
.sqlx/query-08656bb2e5424ab67014cc40c6cdcbf852e3e30364c3ea23269f29a331f807be.json generated
View File

@@ -1,22 +0,0 @@
{
"db_name": "PostgreSQL",
"query": "INSERT INTO bars_filled (timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9)\n ON CONFLICT (timestamp, asset_symbol) DO NOTHING",
"describe": {
"columns": [],
"parameters": {
"Left": [
"Timestamptz",
"Text",
"Float8",
"Float8",
"Float8",
"Float8",
"Float8",
"Int8",
"Float8"
]
},
"nullable": []
},
"hash": "08656bb2e5424ab67014cc40c6cdcbf852e3e30364c3ea23269f29a331f807be"
}

78
.sqlx/query-26f7ea563429e395d270cfae4993059aa8ddab93e52c95761de2de022af91ad8.json generated
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@@ -1,78 +0,0 @@
{
"db_name": "PostgreSQL",
"query": "INSERT INTO bars_filled (timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9)\n ON CONFLICT (timestamp, asset_symbol) DO UPDATE SET open = $3, high = $4, low = $5, close = $6, volume = $7, num_trades = $8, volume_weighted = $9\n RETURNING timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted",
"describe": {
"columns": [
{
"ordinal": 0,
"name": "timestamp",
"type_info": "Timestamptz"
},
{
"ordinal": 1,
"name": "asset_symbol",
"type_info": "Text"
},
{
"ordinal": 2,
"name": "open",
"type_info": "Float8"
},
{
"ordinal": 3,
"name": "high",
"type_info": "Float8"
},
{
"ordinal": 4,
"name": "low",
"type_info": "Float8"
},
{
"ordinal": 5,
"name": "close",
"type_info": "Float8"
},
{
"ordinal": 6,
"name": "volume",
"type_info": "Float8"
},
{
"ordinal": 7,
"name": "num_trades",
"type_info": "Int8"
},
{
"ordinal": 8,
"name": "volume_weighted",
"type_info": "Float8"
}
],
"parameters": {
"Left": [
"Timestamptz",
"Text",
"Float8",
"Float8",
"Float8",
"Float8",
"Float8",
"Int8",
"Float8"
]
},
"nullable": [
false,
false,
false,
false,
false,
false,
false,
false,
false
]
},
"hash": "26f7ea563429e395d270cfae4993059aa8ddab93e52c95761de2de022af91ad8"
}

16
.sqlx/query-615dcbdc8f624ee990566b21f61b495fb273194a8278435cf4ed84028a55dbc0.json → .sqlx/query-6d9509cd482fbc022bfd157af8e59a1a32f0fbd8802cfec980e05706fb697b58.json generated
View File

@@ -1,6 +1,6 @@
{
"db_name": "PostgreSQL",
"query": "SELECT * FROM bars_filled WHERE timestamp < $1 AND asset_symbol = $2 ORDER BY timestamp DESC LIMIT 1",
"query": "SELECT * FROM bars WHERE asset_symbol = $1 AND timestamp < $2 AND open IS NOT NULL AND high IS NOT NULL AND low IS NOT NULL AND close IS NOT NULL ORDER BY timestamp DESC LIMIT 1",
"describe": {
"columns": [
{
@@ -51,21 +51,21 @@
],
"parameters": {
"Left": [
"Timestamptz",
"Text"
"Text",
"Timestamptz"
]
},
"nullable": [
false,
false,
false,
false,
false,
false,
true,
true,
true,
true,
false,
false,
false
]
},
"hash": "615dcbdc8f624ee990566b21f61b495fb273194a8278435cf4ed84028a55dbc0"
"hash": "6d9509cd482fbc022bfd157af8e59a1a32f0fbd8802cfec980e05706fb697b58"
}

5
src/data/historical.rs
View File

@@ -109,8 +109,7 @@ pub async fn backfill(
let bars = bars.into_values().collect::<Vec<Bar>>();
let transaction = app_config.postgres_pool.begin().await.unwrap();
database::bars::upsert_batch(&app_config.postgres_pool, &bars).await;
database::bars_filled::upsert_batch(&app_config.postgres_pool, &bars).await;
database::bars::upsert_batch(&app_config.postgres_pool, &bars, true).await;
database::assets::update_timestamp_last_where_symbol(
&app_config.postgres_pool,
&asset.symbol,
@@ -137,7 +136,7 @@ async fn backfill_recent_nulls(
from,
)
.await;
database::bars_filled::upsert_batch(&app_config.postgres_pool, &bars).await;
database::bars::upsert_batch(&app_config.postgres_pool, &bars, true).await;
database::assets::update_timestamp_last_where_symbol(
&app_config.postgres_pool,
&asset.symbol,

46
src/data/live.rs
View File

@@ -230,22 +230,21 @@ async fn handle_message(
incoming::Message::Bars(bar_message) => {
let bar = Bar::from(bar_message);
info!("Incoming bar for {}: {}", bar.asset_symbol, bar.timestamp);
let transaction = app_config.postgres_pool.begin().await.unwrap();
database::bars::upsert(&app_config.postgres_pool, &bar).await;
if *backfilled.read().await.get(&bar.asset_symbol).unwrap() {
database::bars_filled::upsert(&app_config.postgres_pool, &bar).await;
}
transaction.commit().await.unwrap();
database::bars::upsert(
&app_config.postgres_pool,
&bar,
backfilled.read().await[&bar.asset_symbol],
)
.await;
}
incoming::Message::UpdatedBars(bar_message) => {
let bar = Bar::from(bar_message);
info!("Incoming bar for {}: {}", bar.asset_symbol, bar.timestamp);
let transaction = app_config.postgres_pool.begin().await.unwrap();
database::bars::upsert(&app_config.postgres_pool, &bar).await;
if *backfilled.read().await.get(&bar.asset_symbol).unwrap() {
database::bars_filled::upsert(&app_config.postgres_pool, &bar).await;
let backfilled_asset_symbol = backfilled.read().await[&bar.asset_symbol];
database::bars::upsert(&app_config.postgres_pool, &bar, backfilled_asset_symbol).await;
if backfilled_asset_symbol {
database::assets::update_timestamp_last_where_symbol(
&app_config.postgres_pool,
&bar.asset_symbol,
@@ -287,21 +286,20 @@ async fn null_handler(app_config: Arc<Config>, backfilled: Arc<RwLock<HashMap<St
let bar = Bar::empty(timestamp, asset_symbol);
let transaction = app_config.postgres_pool.begin().await.unwrap();
database::bars::insert_or_skip(&app_config.postgres_pool, &bar).await;
if *backfilled.get(&bar.asset_symbol).unwrap() {
database::bars_filled::insert_or_skip(&app_config.postgres_pool, &bar).await;
if state == NullHandlerState::UpdatedBars {
database::assets::update_timestamp_last_where_symbol(
&app_config.postgres_pool,
&bar.asset_symbol,
&bar.timestamp,
)
.await;
}
database::bars::insert_or_skip(
&app_config.postgres_pool,
&bar,
backfilled[&bar.asset_symbol],
)
.await;
if backfilled[&bar.asset_symbol] && state == NullHandlerState::Bars {
database::assets::update_timestamp_last_where_symbol(
&app_config.postgres_pool,
&bar.asset_symbol,
&bar.timestamp,
)
.await;
}
transaction.commit().await.unwrap();
}

114
src/database/bars.rs
View File

@@ -1,9 +1,53 @@
use crate::types::Bar;
use sqlx::{query_as, PgPool, Postgres};
use std::convert::Into;
use time::OffsetDateTime;
pub async fn upsert(postgres_pool: &PgPool, bar: &Bar) -> Bar {
pub async fn select_not_null_where_symbol_where_timestamp_smaller_than_order_by_timestamp_desc_limit_one(
postgres_pool: &PgPool,
symbol: &str,
timestamp: &OffsetDateTime,
) -> Bar {
query_as!(
Bar,
r#"SELECT * FROM bars WHERE asset_symbol = $1 AND timestamp < $2 AND open IS NOT NULL AND high IS NOT NULL AND low IS NOT NULL AND close IS NOT NULL ORDER BY timestamp DESC LIMIT 1"#,
symbol,
timestamp
)
.fetch_one(postgres_pool)
.await
.unwrap()
}
pub async fn select_where_symbol_where_timestamp_larger_than(
postgres_pool: &PgPool,
symbol: &str,
timestamp: &OffsetDateTime,
) -> Vec<Bar> {
query_as!(
Bar,
r#"SELECT * FROM bars WHERE asset_symbol = $1 AND timestamp > $2 ORDER BY timestamp ASC"#,
symbol,
timestamp
)
.fetch_all(postgres_pool)
.await
.unwrap()
}
pub async fn upsert(postgres_pool: &PgPool, bar: &Bar, backfill: bool) -> Bar {
let mut bar = bar.clone();
if backfill
&& (bar.open.is_none() || bar.high.is_none() || bar.low.is_none() || bar.close.is_none())
{
let filled_bar = select_not_null_where_symbol_where_timestamp_smaller_than_order_by_timestamp_desc_limit_one(
postgres_pool,
&bar.asset_symbol,
&bar.timestamp,
).await;
bar.merge_empty(&filled_bar);
}
query_as!(
Bar,
r#"INSERT INTO bars (timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9)
@@ -16,7 +60,20 @@ pub async fn upsert(postgres_pool: &PgPool, bar: &Bar) -> Bar {
.unwrap()
}
pub async fn insert_or_skip(postgres_pool: &PgPool, bar: &Bar) {
pub async fn insert_or_skip(postgres_pool: &PgPool, bar: &Bar, backfill: bool) {
let mut bar = bar.clone();
if backfill
&& (bar.open.is_none() || bar.high.is_none() || bar.low.is_none() || bar.close.is_none())
{
let filled_bar = select_not_null_where_symbol_where_timestamp_smaller_than_order_by_timestamp_desc_limit_one(
postgres_pool,
&bar.asset_symbol,
&bar.timestamp,
).await;
bar.merge_empty(&filled_bar);
}
query_as!(
Bar,
r#"INSERT INTO bars (timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9)
@@ -28,7 +85,27 @@ pub async fn insert_or_skip(postgres_pool: &PgPool, bar: &Bar) {
.unwrap();
}
pub async fn upsert_batch(postgres_pool: &PgPool, bars: &[Bar]) -> Vec<Bar> {
pub async fn upsert_batch(postgres_pool: &PgPool, bars: &[Bar], backfill: bool) -> Vec<Bar> {
let mut bars = bars.to_vec();
if bars.is_empty() {
return bars;
}
if backfill
&& (bars[0].open.is_none()
|| bars[0].high.is_none()
|| bars[0].low.is_none()
|| bars[0].close.is_none())
{
let filled_bar = select_not_null_where_symbol_where_timestamp_smaller_than_order_by_timestamp_desc_limit_one(
postgres_pool,
&bars[0].asset_symbol,
&bars[0].timestamp,
).await;
bars[0].merge_empty(&filled_bar);
}
let mut timestamp = Vec::with_capacity(bars.len());
let mut asset_symbol = Vec::with_capacity(bars.len());
let mut open = Vec::with_capacity(bars.len());
@@ -39,7 +116,18 @@ pub async fn upsert_batch(postgres_pool: &PgPool, bars: &[Bar]) -> Vec<Bar> {
let mut num_trades = Vec::with_capacity(bars.len());
let mut volume_weighted = Vec::with_capacity(bars.len());
for bar in bars {
let mut last_filled_bar = bars[0].clone();
for mut bar in bars {
if backfill {
if bar.open.is_none() || bar.high.is_none() || bar.low.is_none() || bar.close.is_none()
{
bar.merge_empty(&last_filled_bar);
} else {
last_filled_bar = bar.clone();
}
}
timestamp.push(bar.timestamp);
asset_symbol.push(bar.asset_symbol.clone());
open.push(bar.open);
@@ -71,19 +159,3 @@ pub async fn upsert_batch(postgres_pool: &PgPool, bars: &[Bar]) -> Vec<Bar> {
.await
.unwrap()
}
pub async fn select_where_symbol_where_timestamp_larger_than(
postgres_pool: &PgPool,
symbol: &str,
timestamp: &OffsetDateTime,
) -> Vec<Bar> {
query_as!(
Bar,
r#"SELECT * FROM bars WHERE asset_symbol = $1 AND timestamp > $2 ORDER BY timestamp ASC"#,
symbol,
timestamp
)
.fetch_all(postgres_pool)
.await
.unwrap()
}

133
src/database/bars_filled.rs
View File

@@ -1,133 +0,0 @@
use crate::types::Bar;
use sqlx::{query_as, PgPool, Postgres};
use std::convert::Into;
pub async fn upsert(postgres_pool: &PgPool, bar: &Bar) -> Bar {
let mut bar = bar.clone();
if bar.open.is_none() || bar.high.is_none() || bar.low.is_none() || bar.close.is_none() {
let filled_bar = query_as!(
Bar,
r#"SELECT * FROM bars_filled WHERE timestamp < $1 AND asset_symbol = $2 ORDER BY timestamp DESC LIMIT 1"#,
bar.timestamp,
bar.asset_symbol
)
.fetch_one(postgres_pool)
.await
.unwrap();
bar.merge_empty(&filled_bar);
}
query_as!(
Bar,
r#"INSERT INTO bars_filled (timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9)
ON CONFLICT (timestamp, asset_symbol) DO UPDATE SET open = $3, high = $4, low = $5, close = $6, volume = $7, num_trades = $8, volume_weighted = $9
RETURNING timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted"#,
bar.timestamp, bar.asset_symbol, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.num_trades, bar.volume_weighted
)
.fetch_one(postgres_pool)
.await
.unwrap()
}
pub async fn insert_or_skip(postgres_pool: &PgPool, bar: &Bar) {
let mut bar = bar.clone();
if bar.open.is_none() || bar.high.is_none() || bar.low.is_none() || bar.close.is_none() {
let filled_bar = query_as!(
Bar,
r#"SELECT * FROM bars_filled WHERE timestamp < $1 AND asset_symbol = $2 ORDER BY timestamp DESC LIMIT 1"#,
bar.timestamp,
bar.asset_symbol
)
.fetch_one(postgres_pool)
.await
.unwrap();
bar.merge_empty(&filled_bar);
}
query_as!(
Bar,
r#"INSERT INTO bars_filled (timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9)
ON CONFLICT (timestamp, asset_symbol) DO NOTHING"#,
bar.timestamp, bar.asset_symbol, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.num_trades, bar.volume_weighted
)
.execute(postgres_pool)
.await
.unwrap();
}
pub async fn upsert_batch(postgres_pool: &PgPool, bars: &[Bar]) -> Vec<Bar> {
let mut bars = bars.to_vec();
if bars.is_empty() {
return bars;
}
if bars[0].open.is_none()
|| bars[0].high.is_none()
|| bars[0].low.is_none()
|| bars[0].close.is_none()
{
let filled_bar = &query_as!(
Bar,
r#"SELECT * FROM bars_filled WHERE timestamp < $1 AND asset_symbol = $2 ORDER BY timestamp DESC LIMIT 1"#,
bars[0].timestamp,
bars[0].asset_symbol
)
.fetch_one(postgres_pool)
.await
.unwrap();
bars[0].merge_empty(filled_bar);
}
let mut timestamp = Vec::with_capacity(bars.len());
let mut asset_symbol = Vec::with_capacity(bars.len());
let mut open = Vec::with_capacity(bars.len());
let mut high = Vec::with_capacity(bars.len());
let mut low = Vec::with_capacity(bars.len());
let mut close = Vec::with_capacity(bars.len());
let mut volume = Vec::with_capacity(bars.len());
let mut num_trades = Vec::with_capacity(bars.len());
let mut volume_weighted = Vec::with_capacity(bars.len());
let mut last_filled_bar = bars[0].clone();
for mut bar in bars {
if bar.open.is_none() || bar.high.is_none() || bar.low.is_none() || bar.close.is_none() {
bar.merge_empty(&last_filled_bar);
} else {
last_filled_bar = bar.clone();
}
timestamp.push(bar.timestamp);
asset_symbol.push(bar.asset_symbol.clone());
open.push(bar.open);
high.push(bar.high);
low.push(bar.low);
close.push(bar.close);
volume.push(bar.volume);
num_trades.push(bar.num_trades);
volume_weighted.push(bar.volume_weighted);
}
// No type-safety here because of NULLABLE bulk insert
query_as::<Postgres, Bar>(
r#"INSERT INTO bars_filled (timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted)
SELECT * FROM UNNEST($1::timestamptz[], $2::text[], $3::float8[], $4::float8[], $5::float8[], $6::float8[], $7::float8[], $8::int8[], $9::float8[])
ON CONFLICT (timestamp, asset_symbol) DO UPDATE SET open = EXCLUDED.open, high = EXCLUDED.high, low = EXCLUDED.low, close = EXCLUDED.close, volume = EXCLUDED.volume, num_trades = EXCLUDED.num_trades, volume_weighted = EXCLUDED.volume_weighted
RETURNING timestamp, asset_symbol, open, high, low, close, volume, num_trades, volume_weighted"#,
)
.bind(timestamp)
.bind(asset_symbol)
.bind(open)
.bind(high)
.bind(low)
.bind(close)
.bind(volume)
.bind(num_trades)
.bind(volume_weighted)
.fetch_all(postgres_pool)
.await
.unwrap()
}

1
src/database/mod.rs
View File

@@ -1,3 +1,2 @@
pub mod assets;
pub mod bars;
pub mod bars_filled;

16
support/timescaledb/999_init.sh
View File

@@ -39,18 +39,10 @@ psql --username "$POSTGRES_USER" --dbname "$POSTGRES_DB" <<-EOSQL
SELECT create_hypertable('bars', 'timestamp', 'asset_symbol', 15);
CREATE TABLE bars_filled (
timestamp TIMESTAMPTZ,
asset_symbol TEXT REFERENCES assets(symbol) ON DELETE CASCADE ON UPDATE CASCADE,
open DOUBLE PRECISION NOT NULL,
high DOUBLE PRECISION NOT NULL,
low DOUBLE PRECISION NOT NULL,
close DOUBLE PRECISION NOT NULL,
volume DOUBLE PRECISION NOT NULL,
num_trades BIGINT NOT NULL,
volume_weighted DOUBLE PRECISION NOT NULL,
PRIMARY KEY (asset_symbol, timestamp)
ALTER TABLE bars SET (
timescaledb.compress,
timescaledb.compress_segmentby = 'asset_symbol'
);
SELECT create_hypertable('bars_filled', 'timestamp', 'asset_symbol', 15);
SELECT add_compression_policy('bars', INTERVAL '30 days');
EOSQL