progress

alpaca_md_day/Dockerfile

@@ -1,19 +1,26 @@
 FROM python:3.10-slim
 
-WORKDIR /
+# Update the package list and install required packages
-SHELL ["/bin/bash", "-c"]
+RUN apt-get update && apt-get install -y --no-install-recommends \
+    apt-utils \
+    software-properties-common \
+    curl \
+    rsync \
+    openssh-client \
+    parallel \
+    jq
+
+RUN pip install --upgrade pip
+
 
 COPY docker_dev/alpaca_md_day/requirements.txt /
-RUN pip install --upgrade pip --root-user-action=ignore
+RUN pip install -r /requirements.txt
-RUN pip install -r /requirements.txt --root-user-action=ignore
 
 COPY cvttpy /cvttpy
 COPY docker_dev/alpaca_md_day/.creds  /.creds
+COPY docker_dev/alpaca_md_day/.creds  /root/.creds
 COPY docker_dev/alpaca_md_day/alpaca_md_day.sh /alpaca_md_day.sh
 
-# RUN apt install openssh-client -y
-RUN apt-get update && apt-get install -y --no-install-recommends rsync openssh-client && rm -rf /var/lib/apt/lists/*
-
 COPY docker_dev/shared/id_rsa /root/.ssh/id_rsa
 COPY docker_dev/shared/id_rsa.pub /root/.ssh/id_rsa.pub
 COPY docker_dev/shared/known_hosts /root/.ssh/known_hosts
@@ -26,7 +33,9 @@ RUN mkdir -p /app/data
 RUN mkdir /logs
 RUN chmod +x /alpaca_md_day.sh
 
+WORKDIR /
+SHELL ["/bin/bash", "-c"]
+ENV PYTHONPATH=/
 ENTRYPOINT [ "/alpaca_md_day.sh" ]
 
-ENV PYTHONPATH=/
+# CMD [ "echo", "alpaca_md_day"]
-CMD [ "echo", "alpaca_md_day"]

alpaca_md_day/alpaca_md_day.sh

@@ -0,0 +1,212 @@
+#!/bin/bash
+
+# --- Settings
+export PYTHONPATH=/
+export Python=python3.10
+export Config=http://cloud16.cvtt.vpn:6789/apps/minimal_md
+export PyScript=/cvttpy/exchanges/alpaca/hist_md/hist_md_bars.py
+
+export OutputDir=/app/data/alpaca_md # Local
+export LogDir=/logs
+
+mkdir -p ${OutputDir}
+mkdir -p ${LogDir}
+
+
+usage() {
+  echo "Usage: $0 <date (YYYY-MM-DD)> [<num-jobs> (30}) ] [<instrument_list_file>] "
+  exit 1
+}
+
+echo "CommandLine: ${*}"
+
+Start=${1}
+NumJobs=${2}
+# InstListFile=${3}
+
+export CalendarURL=http://cloud16.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS
+
+is_business_day() {
+    dt=${1}
+
+    open_time=$(curl -s "${CalendarURL}&start=${dt}&end=${dt}" | jq '.[] | .open_time')
+    if [ -n  "${open_time}" ]; then
+        return 0
+    else
+        return 1
+    fi
+
+}
+export -f is_business_day
+
+
+if [ -z ${Start}  ] ; then
+    echo "start is not specified, getting yesterday..."
+    Start=$(date -d "yesterday" "+%Y-%m-%d")
+    echo "Start=${Start}"
+fi
+
+while true; do
+    if is_business_day ${Start}; then
+        break
+    fi
+    echo "${Start} is not business day in US"
+    Start=$(date -d "${Start} - 1 day" "+%Y-%m-%d")
+done
+
+End=$(date -d "${Start} + 1 day" "+%Y-%m-%d")
+
+# Exclude today
+if [ "${End}" == $(date '+%Y-%m-%d') ] ; then
+    End=$(date -d 'yesterday' ''+%Y-%m-%d'')
+fi
+
+if [ "${NumJobs}" == "" ] ; then
+    NumJobs=30
+fi
+
+echo "Start=${Start} End=${End} NumJobs=${NumJobs}"
+
+
+run_proc() {
+    Inst=${1}
+    Start=${2}
+    End=${3}
+    echo "Running for $Inst"
+
+    Cmd="${Python} ${PyScript}"
+    Cmd="${Cmd} --config=${Config}"
+    Cmd="${Cmd} --output_dir=${OutputDir}/${Start:0:4}"
+    Cmd="${Cmd} --instruments=ALPACA:${Inst}"
+    Cmd="${Cmd} --start=${Start}"
+    if [ "${End}" != "" ]; then
+        Cmd="${Cmd} --end=${End}"
+    fi
+    Cmd="${Cmd} --log_file=${LogDir}/${Inst}.log"
+    Cmd="${Cmd} --log_level=WARNING"
+    echo ${Cmd}
+    eval ${Cmd}
+}
+
+export -f run_proc
+
+key=$(jq -r '.["ALPACA_SANDBOX"] | .api_key' ~/.creds)
+secret=$(jq -r '.["ALPACA_SANDBOX"] | .secret_key' ~/.creds)
+
+Cmd="curl -s --request GET --url 'https://paper-api.alpaca.markets/v2/assets?status=active'"
+Cmd="${Cmd} --header 'APCA-API-KEY-ID: ${key}'"
+Cmd="${Cmd} --header 'APCA-API-SECRET-KEY: ${secret}'"
+Cmd="${Cmd} --header 'accept: application/json'"
+Cmd="${Cmd} | jq '.[] | select(.class == \"us_equity\" and .exchange != \"OTC\") | .symbol'"
+Cmd="${Cmd}  | sed 's/\"//g'"
+Cmd="${Cmd} | sed 's/^/STOCK-/'"
+# split string into array
+Instruments=()
+for Inst in $(eval ${Cmd})
+do
+    Instruments+=("$Inst")
+done
+
+slice_size=500 # 10K symbols parallel cannot handle
+for ((ii=0; ii <${#Instruments[@]}; ii+=slice_size)); do
+    InstSlice=("${Instruments[@]:ii:slice_size}")
+
+    parallel -j ${NumJobs} run_proc {} ${Start} ${End} ::: "${InstSlice[@]}"
+done
+
+echo "Compressing"
+for file in $(find ${OutputDir} -type f -name '*db' -print )
+do
+    echo "Compressing ${file}"
+    gzip ${file}
+done
+
+
+Source=/app/data/
+Targets=
+Targets="${Targets} oleg@homestore.cvtt.vpn:/works/cvtt/md_archive/equity"
+Targets="${Targets} cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/equity"
+
+
+for tgt in ${Targets}
+do
+    Cmd="/usr/bin/rsync -ahv ${Source} ${tgt}"
+    echo $Cmd
+    eval $Cmd
+done
+
+
+
+# DbHost=""
+# Date=""
+# Schemas=coinbase,bnbspot,bnbfut
+
+# while getopts ":h:d:s:" opt; do
+#   case ${opt} in
+#     h )
+#       DbHost=$OPTARG
+#       ;;
+#     d )
+#       Date=$OPTARG
+#       ;;
+#     s )
+#       Schemas=$OPTARG
+#       ;;
+#     \? )
+#       echo "Invalid option: -$OPTARG" >&2
+#       usage
+#       ;;
+#     : )
+#       echo "Option -$OPTARG requires an argument." >&2
+#       usage
+#       ;;
+#   esac
+# done
+
+# if [ -z "${DbHost}" ] || [ -z "$Date" ]; then
+#   echo "DbHost=${DbHost} Date=${Date}. Cmdline: ${*}"
+#   usage
+# fi
+
+# CredKey=""
+# if [ "${DbHost}" == "cvttdata" ] ; then
+#     CredKey=TSDB_MD_CVTTDATA_RO
+# elif [ "${DbHost}" == "cloud21" ] ; then
+#     CredKey=TSDB_MD_CLD21_RO
+# else
+#     echo "host ${DbHost} is not valid source"
+#     usage
+# fi
+
+# export PYTHONPATH=/
+
+# Cmd="python3.10"
+# Cmd="${Cmd} cvttpy/research/utils/archive_ts_md.py"
+# Cmd="${Cmd} --config=http://cloud16.cvtt.vpn:6789/apps/md_recorder"
+# Cmd="${Cmd} --db_credentials_key=${CredKey}"
+# Cmd="${Cmd} --credentials_file=/.creds"
+# Cmd="${Cmd} --date=${Date}"
+# Cmd="${Cmd} --schemas=${Schemas}"
+# Cmd="${Cmd} --root_dir=/app/data/${DbHost}"
+# Cmd="${Cmd} --format=SQLite"
+# Cmd="${Cmd} --compress"
+# # Cmd="${Cmd} --log_file=/logs/%T.crypto_md_day.log"
+
+# echo ${Cmd}
+# eval ${Cmd}
+
+# echo "Data Sync"
+
+# Source=/app/data/
+# Targets=
+# Targets="${Targets} oleg@homestore.cvtt.vpn:/works/cvtt/md_archive/crypto"
+# Targets="${Targets} cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/crypto"
+
+
+# for tgt in ${Targets}
+# do
+#     Cmd="/usr/bin/rsync -ahv ${Source} ${tgt}"
+#     echo $Cmd
+#     eval $Cmd
+# done
+

alpaca_md_day/crypto_md_day.sh

@@ -1,81 +0,0 @@
-#!/bin/bash
-
-
-usage() {
-  echo "Usage: $0 -h <db host> -d <YYYYMMDD Date> -s <schemas|coinbase,bnbspot,bnbfut>"
-  exit 1
-}
-
-DbHost=""
-Date=""
-Schemas=coinbase,bnbspot,bnbfut
-
-while getopts ":h:d:s:" opt; do
-  case ${opt} in
-    h )
-      DbHost=$OPTARG
-      ;;
-    d )
-      Date=$OPTARG
-      ;;
-    s )
-      Schemas=$OPTARG
-      ;;
-    \? )
-      echo "Invalid option: -$OPTARG" >&2
-      usage
-      ;;
-    : )
-      echo "Option -$OPTARG requires an argument." >&2
-      usage
-      ;;
-  esac
-done
-
-if [ -z "${DbHost}" ] || [ -z "$Date" ]; then
-  echo "DbHost=${DbHost} Date=${Date}. Cmdline: ${*}"
-  usage
-fi
-
-CredKey=""
-if [ "${DbHost}" == "cvttdata" ] ; then
-    CredKey=TSDB_MD_CVTTDATA_RO
-elif [ "${DbHost}" == "cloud21" ] ; then
-    CredKey=TSDB_MD_CLD21_RO
-else
-    echo "host ${DbHost} is not valid source"
-    usage
-fi
-
-export PYTHONPATH=/
-
-Cmd="python3.10"
-Cmd="${Cmd} cvttpy/research/utils/archive_ts_md.py"
-Cmd="${Cmd} --config=http://cloud16.cvtt.vpn:6789/apps/md_recorder"
-Cmd="${Cmd} --db_credentials_key=${CredKey}"
-Cmd="${Cmd} --credentials_file=/.creds"
-Cmd="${Cmd} --date=${Date}"
-Cmd="${Cmd} --schemas=${Schemas}"
-Cmd="${Cmd} --root_dir=/app/data/${DbHost}"
-Cmd="${Cmd} --format=SQLite"
-Cmd="${Cmd} --compress"
-# Cmd="${Cmd} --log_file=/logs/%T.crypto_md_day.log"
-
-echo ${Cmd}
-eval ${Cmd}
-
-echo "Data Sync"
-
-Source=/app/data/
-Targets=
-Targets="${Targets} oleg@homestore.cvtt.vpn:/works/cvtt/md_archive/crypto"
-Targets="${Targets} cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/crypto"
-
-
-for tgt in ${Targets}
-do
-    Cmd="/usr/bin/rsync -ahv ${Source} ${tgt}"
-    echo $Cmd
-    eval $Cmd
-done
-

alpaca_md_day/requirements.txt

@@ -3,4 +3,5 @@ nest-asyncio>=1.5.5
 asyncpg>=0.27.0
 hjson>=3.1.0
 pandas>=1.5.3
-sortedcontainers>=2.4.0
+sortedcontainers>=2.4.0
+aioredis>=2.0.1

crypto_md_day/Dockerfile

@@ -1,7 +1,5 @@
 FROM python:3.10-slim
 
-WORKDIR /
-SHELL ["/bin/bash", "-c"]
 
 COPY docker_dev/crypto_md_day/requirements.txt /
 RUN pip install --upgrade pip --root-user-action=ignore
@@ -11,12 +9,11 @@ COPY cvttpy /cvttpy
 COPY docker_dev/crypto_md_day/.creds  /.creds
 COPY docker_dev/crypto_md_day/crypto_md_day.sh /crypto_md_day.sh
 
-# RUN apt install openssh-client -y
 RUN apt-get update && apt-get install -y --no-install-recommends rsync openssh-client && rm -rf /var/lib/apt/lists/*
 
-COPY docker_dev/crypto_md_day/id_rsa /root/.ssh/id_rsa
+COPY docker_dev/shared/id_rsa /root/.ssh/id_rsa
-COPY docker_dev/crypto_md_day/id_rsa.pub /root/.ssh/id_rsa.pub
+COPY docker_dev/shared/id_rsa.pub /root/.ssh/id_rsa.pub
-COPY docker_dev/crypto_md_day/known_hosts /root/.ssh/known_hosts
+COPY docker_dev/shared/known_hosts /root/.ssh/known_hosts
 
 RUN chmod 600 /root/.ssh/id_rsa /root/.ssh/id_rsa.pub /root/.ssh/known_hosts
 
@@ -26,7 +23,8 @@ RUN mkdir -p /app/data
 RUN mkdir /logs
 RUN chmod +x /crypto_md_day.sh
 
+WORKDIR /
+SHELL ["/bin/bash", "-c"]
+ENV PYTHONPATH=/
 ENTRYPOINT [ "/crypto_md_day.sh" ]
 
-ENV PYTHONPATH=/
-CMD [ "echo", "crypto_md_day"]

crypto_md_day/id_rsa

@@ -1,49 +0,0 @@
------BEGIN OPENSSH PRIVATE KEY-----
-b3BlbnNzaC1rZXktdjEAAAAABG5vbmUAAAAEbm9uZQAAAAAAAAABAAACFwAAAAdzc2gtcn
-NhAAAAAwEAAQAAAgEAsFK61F50xNGRFNCPNGa2EtMFkQEZWNMNo1DzPcnqFWgBUki5Sy/F
-1jU73y3arh+wasWsm6MbbJyBwmUv3mwilDSeDPYZVBjXwirMZkf2AUhRMhYlroXp7emmI7
-XZJhg+vq3Nur7y3OG1nns4uPDIFuQzAHlfaLTd/5iBinHveyOypqCQeoHpI2imhe2Fr7rg
-fEHZf9UA2k48LDkxZ/d7h4cmSLRTReD0/WI+faF2L0v36MwnEtkmsONS0XzFEaVwx/wBTl
-kLtRGW0BZRfwV56Qg9Jk5iVcy9qktkU1Oca6/TOu5f/BZiBnc7HVwU+LkONJmyy4YJdbET
-SxNDxmX5DbiWIT4uQKuj/9spgJDgJtmgSjynNmjXCZ6WFRfQa1sFqEfiYFnGpXeMZvjnAp
-/7IH+v4ZEBhH9rUbnDZHjS4xhOHzGuGuz7MH47blsD4m82s3xVyagoxfwMqMjgUgZ4ecoK
-ga9T+qNuUyqnn7n5nAJaQuX4nwYthdSrKo3sAm0dScRWvvXZ/Y7bu1uWfmWKVcSRw0729J
-7fcDY1vyD4GBJ25vcYhNO+F3sqYKDEaUgDOHu2mzi9y8DzI1yiWvLaDWAtKDcickkzqj8Q
-uUOxxQc09OoijlAGx3wKGqmZMONRlJy/ldeG/e+IUukjn6h1miCVSVpOFBmEihUFnRvRjj
-kAAAdYoVe5GqFXuRoAAAAHc3NoLXJzYQAAAgEAsFK61F50xNGRFNCPNGa2EtMFkQEZWNMN
-o1DzPcnqFWgBUki5Sy/F1jU73y3arh+wasWsm6MbbJyBwmUv3mwilDSeDPYZVBjXwirMZk
-f2AUhRMhYlroXp7emmI7XZJhg+vq3Nur7y3OG1nns4uPDIFuQzAHlfaLTd/5iBinHveyOy
-pqCQeoHpI2imhe2Fr7rgfEHZf9UA2k48LDkxZ/d7h4cmSLRTReD0/WI+faF2L0v36MwnEt
-kmsONS0XzFEaVwx/wBTlkLtRGW0BZRfwV56Qg9Jk5iVcy9qktkU1Oca6/TOu5f/BZiBnc7
-HVwU+LkONJmyy4YJdbETSxNDxmX5DbiWIT4uQKuj/9spgJDgJtmgSjynNmjXCZ6WFRfQa1
-sFqEfiYFnGpXeMZvjnAp/7IH+v4ZEBhH9rUbnDZHjS4xhOHzGuGuz7MH47blsD4m82s3xV
-yagoxfwMqMjgUgZ4ecoKga9T+qNuUyqnn7n5nAJaQuX4nwYthdSrKo3sAm0dScRWvvXZ/Y
-7bu1uWfmWKVcSRw0729J7fcDY1vyD4GBJ25vcYhNO+F3sqYKDEaUgDOHu2mzi9y8DzI1yi
-WvLaDWAtKDcickkzqj8QuUOxxQc09OoijlAGx3wKGqmZMONRlJy/ldeG/e+IUukjn6h1mi
-CVSVpOFBmEihUFnRvRjjkAAAADAQABAAACABKTOpWsGDzST4iL8qQsdF6uDqpwnVMZU9ja
-Sq++FVwZM3dvzB5uu1amT8cCkYSxt6/94GHaiGV0JOrd5lG2Hlvy4ZoftHoirlspD1SwnM
-rUi6I9SU22E5dx24PsUMKlv/luPavAWT06BXw7QrXf/tJDithwUOPq1u7J6g6z00zrjTLm
-3CWdyTnm2NEn3UMuqp7IgKFqBv+YiZgGk+z+GkxEKX00CwhD60dEyezJ/VV8+TJUDIM8r2
-nn3tYNIQUrgsK8qoYOlTBHeLX1/fKl2Oqa6Lc//3XGvo3hyKFLIAHLuXLeQSwhTwUbmzWL
-+XUc6LFTpk1w0s8MXyoT7tpILJkPnP+uPtc8vGL0xFWzlUtbeipWWowIvzEfbZPisy3OmE
-QfRmHf7KicQH0d2p43lHNwbdTKegdiZDOkbukkkm3G+0Ft/I51swA2AuZ5CAtU+i77aGB6
-kQdLKOe3udwEKyNGEi9RIlMlTC/XFbuTkM3iywZoxHYqRfdkf8S+3XIRlik8Mc1UsdKg8Y
-r1g/vD7z9lT2gahdY0n2uRcpZKqFTuJwIR70WaAbgh8u8N2ciEZDx9Pnvk+eh7nsRVth7d
-7Zf/dUjVhXVZPrHPmlUm0OFpOlObGs7yBUX4btz7vFH7ucpmWNdvZGN9p/cu0LGr70TCgp
-EobaPxG5Yy/bLt/npBAAABADcSbg3sIjdsiH1yY8mXnpdh1zewJ62CijZ4jPO6huZ86hyy
-Mqfbnoj4WOKuDg9h5JZf2JmWXStF9NX4IZAMWmm7fCuq/k/vPJH/COQicSSHPOCVlJyCpv
-qJC6POpoYStyy4THiipzjD56zZCBy5NoZCI+jtr8QYb/oLK1Mh5XTlSFs1zvPn8ui2YXko
-+r1OXxMW/stOlpjdqWaPYPpBB+lnvRgsNWx1JVQpbY6tZoQE8cobrB/QbCo5dKvO7HL2c9
-ZeFBoHs9trxwm4AQaK4uvX3xPgxXwQqRK/iy94NQ2Nqn+1wc8p7lpqXn8sBRylXNs7kcFU
-8anqhKUWozQX4ksAAAEBAMGDmpi626H8GUS9UYEtWCpptBFn8svEFE4G8K7Cs0Q824l23L
-SI/fRdWMMeipdTTlFX/9YQxmTOgKzbsAyYuojZmMkg4+pZ0Q75iEzwTn8nX1W4N4MLkkUT
-n0eB6fZh21qOoORyIa1bj6sdCnMVHxuDWZBGC90jnar1J6PhqZeKzmxyn9UqExYuUpPj2T
-Sk7do4lR2h8oDq0DAJXKcQrHcW3PqddvDRSFYTpImudr4TQzI6qWzpi8KudrdKriDwJLCA
-BA+l9VBzxUba6/LGHxDN+2L/NpPCmcDerC2HIpMs/grlsjTbjUpP6vzwb5vElPwb/FkKSS
-282UsIo9WGenkAAAEBAOlCFBlt6FeFu/ywvD5lNQ89C5bLlLauzXyx0XoVoXEjpS7v2DsA
-uPdYSuQ7ftXMumT89bfs1MynohuQN9BX3VIQh7c60BP2NXlsGs/jphGWlz8++zAj55awG1
-Jb0NycqaKMWZ8/oRGl4A/2YpjWaKl+wKqeWJD7H+iFBnR5NQ5jPqnuqRJvCwDTfksMdsxw
-R1y/+geHAq8ZBnXlkqphbSyTRQqxSmYUwvVFycj5mI84k+T3xTD5jHHthW5CGx6o9nIDJS
-KAjsydR2GAMAGhQRM1a3c+VabC8ZqjhUQl+lga1Od3rvvDio/pH1yrrWQteWAtiqZAficv
-Q8qlPhFqwcEAAAAgY3Z0dF9kb2NrZXJAY3J5cHRvdmFsdHJhZGluZy5jb20BAgM=
------END OPENSSH PRIVATE KEY-----

crypto_md_day/id_rsa.pub

@@ -1 +0,0 @@
-ssh-rsa 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 cvtt_docker@cryptovaltrading.com

crypto_md_day/known_hosts

@@ -1,6 +0,0 @@
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