Add market data backfilling

Signed-off-by: Nikolaos Karaolidis <nick@karaolidis.com>

support/timescaledb/999_init.sh

@@ -19,12 +19,29 @@ psql --username "$POSTGRES_USER" --dbname "$POSTGRES_DB" <<-EOSQL
         class CLASS NOT NULL,
         exchange EXCHANGE NOT NULL,
         trading BOOLEAN NOT NULL DEFAULT FALSE,
-        date_added TIMESTAMPTZ NOT NULL DEFAULT NOW()
+        timestamp_added TIMESTAMPTZ NOT NULL DEFAULT NOW(),
+        timestamp_first TIMESTAMPTZ NOT NULL,
+        timestamp_last TIMESTAMPTZ NOT NULL
     );
 
     CREATE TABLE bars (
-        timestamp TIMESTAMPTZ NOT NULL,
-        asset_symbol TEXT NOT NULL REFERENCES assets(symbol) ON DELETE CASCADE ON UPDATE CASCADE,
+        timestamp TIMESTAMPTZ,
+        asset_symbol TEXT REFERENCES assets(symbol) ON DELETE CASCADE ON UPDATE CASCADE,
+        open DOUBLE PRECISION,
+        high DOUBLE PRECISION,
+        low DOUBLE PRECISION,
+        close DOUBLE PRECISION,
+        volume DOUBLE PRECISION NOT NULL,
+        num_trades BIGINT NOT NULL,
+        volume_weighted DOUBLE PRECISION NOT NULL,
+        PRIMARY KEY (asset_symbol, timestamp)
+    );
+
+    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,
@@ -35,27 +52,5 @@ psql --username "$POSTGRES_USER" --dbname "$POSTGRES_DB" <<-EOSQL
         PRIMARY KEY (asset_symbol, timestamp)
     );
 
-    SELECT create_hypertable('bars', 'timestamp', 'asset_symbol', 2);
-
-    CREATE TABLE calendar (
-        date DATE NOT NULL PRIMARY KEY,
-        open TIME NOT NULL,
-        close TIME NOT NULL
-    );
-
-    CREATE VIEW bars_missing AS
-        WITH time_series AS (
-            SELECT
-                asset_symbol,
-                generate_series(MIN(timestamp), NOW(), interval '1 minute')::TIMESTAMPTZ AS expected_time
-            FROM bars
-            GROUP BY asset_symbol
-        )
-        SELECT
-            ts.asset_symbol,
-            ts.expected_time AS missing_time
-        FROM time_series ts
-        LEFT JOIN bars b
-            ON ts.asset_symbol = b.asset_symbol AND ts.expected_time = b.timestamp
-        WHERE b.timestamp IS NULL;
+    SELECT create_hypertable('bars_filled', 'timestamp', 'asset_symbol', 15);
 EOSQL