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@@ -1,112 +1,55 @@
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#!/bin/bash
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# SQLite DDL for simulation
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# =========================
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# -- md_quotes
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# -- md_1min_bars
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usage() {
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echo -n "Usage: $0"
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echo -n " -d YYYMMDD Date>"
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echo -n " [-O <output dir (./) >]"
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echo -n " [-S <archive_source_host (cloud21)>]"
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echo -n " [-D <orig_db_source> (cloud21)]"
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echo
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exit 1
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}
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# --------------------- Settings
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SourceHost=cloud21
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SourceRootDir=/opt/store/cvtt/md_archive/crypto
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DbSource=cloud21
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# SOURCE_HOST=cloud21.cvtt.vpn
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# SOURCE_ROOT_DIR=/opt/store/cvtt/md_archive/crypto
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# DB_SOURCE=cloud28
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# OUTPUT_DIR=/tmp
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# DATE=20250516
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# RSYNC_TARGETS="cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/ cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/crypto/sim/"
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# --------------------- Settings
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while getopts ":d:O:S:D:" opt; do
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case ${opt} in
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d )
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Date=$OPTARG
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;;
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O )
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OutputDir=$OPTARG
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;;
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S )
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SourceHost=$OPTARG
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;;
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D )
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DbSource=$OPTARG
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;;
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\? )
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echo "Invalid option: -$OPTARG" >&2
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usage
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;;
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: )
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echo "Option -$OPTARG requires an argument." >&2
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usage
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;;
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esac
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done
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if [ -z ${Date} ] ; then
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echo "date is not specified"
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usage
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fi
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if [ -z ${OutputDir} ] ; then
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OutputDir=.
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if [ -z ${DATE} ] ; then
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DATE=$(date -d 'yesterday' +'%Y%m%d')
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fi
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SourceHost+=".cvtt.vpn"
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mkdir -p ${OutputDir}
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if [ -z ${OUTPUT_DIR} ] ; then
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OUTPUT_DIR=.
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fi
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# --- Binance
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Instruments=( PAIR-ADA-USDT )
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Instruments+=( PAIR-BCH-USDT )
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Instruments+=( PAIR-BTC-USDT )
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Instruments+=( PAIR-DOT-USDT )
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Instruments+=( PAIR-ETH-USDT )
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Instruments+=( PAIR-LTC-USDT )
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Instruments+=( PAIR-SOL-USDT )
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Instruments+=( PAIR-USDC-USDT )
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Instruments+=( PAIR-XRP-USDT )
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echo "DATE=${DATE} SOURCE_HOST=${SOURCE_HOST}"
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# --- Coinbase
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Instruments+=( PAIR-ADA-USD )
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Instruments+=( PAIR-BCH-USD )
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Instruments+=( PAIR-BTC-USD )
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Instruments+=( PAIR-DOT-USD )
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Instruments+=( PAIR-ETH-USD )
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Instruments+=( PAIR-LTC-USD )
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Instruments+=( PAIR-SOL-USD )
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Instruments+=( PAIR-XRP-USD )
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mkdir -p ${OUTPUT_DIR}
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echo "Date=${Date} Instruments=${Instruments[@]} OutputDir=${OutputDir}"
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echo Getting data from ${DataHost} ...
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year=$(date -d ${Date} +"%Y")
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month=$(date -d ${Date} +"%m")
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SourceDir="${SourceRootDir}/${DbSource}/${year}/${month}"
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SourceFile="${SourceDir}/${Date}.mktdata.db.gz"
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year=$(date -d ${DATE} +"%Y")
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month=$(date -d ${DATE} +"%m")
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SourceDir="${SOURCE_ROOT_DIR}/${DB_SOURCE}/${year}/${month}"
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SourceFile="${SourceDir}/${DATE}.mktdata.db.gz"
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Cmd="rsync -ahv"
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Cmd+=" ${SourceHost}:${SourceFile}"
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Cmd+=" $OutputDir/"
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Cmd+=" -e 'ssh -o StrictHostKeyChecking=no -o UserKnownHostsFile=/dev/null'"
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Cmd+=" ${SOURCE_HOST}:${SourceFile}"
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Cmd+=" $OUTPUT_DIR/"
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echo ${Cmd}
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eval ${Cmd}
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Cmd="(cd ${OutputDir} && gunzip *.db.gz)"
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Cmd="(cd ${OUTPUT_DIR} && gunzip -f *.db.gz)"
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echo ${Cmd}
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eval ${Cmd}
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SourceDbFile="${OutputDir}/${Date}.mktdata.db"
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ResultDbFile="${OutputDir}/${Date}.crypto_sim_md.db"
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SourceDbFile="${OUTPUT_DIR}/${DATE}.mktdata.db"
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ResultDbFile="${OUTPUT_DIR}/${DATE}.crypto_sim_md.db"
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echo "SourceDbFile=${SourceDbFile}"
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echo "Creating Result Database File ${ResultDbFile}"
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cleanup() {
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rm ${SourceDbFile}
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}
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trap cleanup EXIT
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echo "Creating table md_trades ..."
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sqlite3 ${ResultDbFile} <<EOF
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.echo ON
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CREATE TABLE IF NOT EXISTS md_trades (
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tstamp text,
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tstamp_ns integer,
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@@ -119,12 +62,14 @@ CREATE TABLE IF NOT EXISTS md_trades (
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condition text,
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tape text
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);
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CREATE UNIQUE INDEX IF NOT EXISTS md_trades_uidx
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ON md_trades(tstamp_ns, exchange_id, instrument_id);
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EOF
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echo "Creating table md_quotes ..."
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sqlite3 ${ResultDbFile} <<EOF
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.echo ON
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CREATE TABLE IF NOT EXISTS md_quotes (
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tstamp text,
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tstamp_ns integer,
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@@ -143,6 +88,7 @@ EOF
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echo "Creating table md_1min_bars ..."
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sqlite3 ${ResultDbFile} <<EOF
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.echo ON
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CREATE TABLE IF NOT EXISTS md_1min_bars (
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tstamp text,
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tstamp_ns integer,
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@@ -162,6 +108,7 @@ EOF
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echo "Loading md_trades ..."
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sqlite3 ${ResultDbFile} <<EOF
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.echo ON
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ATTACH '${SourceDbFile}' AS source_db;
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BEGIN;
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INSERT OR IGNORE INTO md_trades SELECT
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@@ -199,6 +146,7 @@ EOF
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echo "Loading md_quotes ..."
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sqlite3 ${ResultDbFile} <<EOF
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.echo ON
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ATTACH '${SourceDbFile}' AS source_db;
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BEGIN;
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INSERT OR IGNORE INTO md_quotes SELECT
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@@ -237,6 +185,7 @@ EOF
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echo "Loading md_1min_bars ..."
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sqlite3 ${ResultDbFile} <<EOF
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.echo ON
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ATTACH '${SourceDbFile}' AS source_db;
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BEGIN;
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INSERT OR IGNORE INTO md_1min_bars SELECT
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@@ -273,25 +222,14 @@ COMMIT;
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DETACH source_db;
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EOF
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Cmd="rm ${SourceDbFile}"
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echo ${Cmd}
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eval ${Cmd}
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Cmd="gzip ${ResultDbFile}"
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echo ${Cmd}
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eval ${Cmd}
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Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/"
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echo ${Cmd}
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eval ${Cmd}
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Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/crypto/sim/"
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echo ${Cmd}
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eval ${Cmd}
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Cmd="rm ${ResultDbFile}.gz"
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for tgt in ${RSYNC_TARGETS} ; do
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Cmd="rsync -ahvv ${ResultDbFile}.gz ${tgt}"
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echo ${Cmd}
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eval ${Cmd}
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done
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echo Done $0 ${*}
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