fix: prepare eqt simdata script

release_version.txt

@@ -1 +1 @@
-1.8.8.F3,syntax fix
+1.9.2.F2,fix: prepare eqt simdata script

research/prepare_crypto_simdata.sh

@@ -0,0 +1,284 @@
+#!/bin/bash
+
+# SQLite DDL for simulation
+# =========================
+
+
+# -- md_quotes
+
+# -- md_1min_bars
+
+
+usage() {
+  echo "Usage: $0  -d YYYMMDD Date> [-O <output dir (./) >]"
+  exit 1
+}
+
+# --------------------- Settings
+SourceHost=cloud21.cvtt.vpn
+SourceRootDir=/opt/store/cvtt/md_archive/crypto
+DbSource=cloud21
+# --------------------- Settings
+
+while getopts ":d:O:" opt; do
+  case ${opt} in
+    d )
+      Date=$OPTARG
+      ;;
+    O )
+      OutputDir=$OPTARG
+      ;;
+    \? )
+      echo "Invalid option: -$OPTARG" >&2
+      usage
+      ;;
+    : )
+      echo "Option -$OPTARG requires an argument." >&2
+      usage
+      ;;
+  esac
+done
+
+if [ -z ${Date}  ] ; then
+    echo "date is not specified"
+    usage
+fi
+if [ -z ${OutputDir}  ] ; then
+    OutputDir=.
+fi
+mkdir -p ${OutputDir}
+
+# --- Binance
+Instruments=( PAIR-ADA-USDT )
+Instruments+=( PAIR-BCH-USDT )
+Instruments+=( PAIR-BTC-USDT )
+Instruments+=( PAIR-DOT-USDT )
+Instruments+=( PAIR-ETH-USDT )
+Instruments+=( PAIR-LTC-USDT )
+Instruments+=( PAIR-SOL-USDT )
+Instruments+=( PAIR-USDC-USDT )
+Instruments+=( PAIR-XRP-USDT )
+
+# --- Coinbase
+Instruments+=( PAIR-ADA-USD )
+Instruments+=( PAIR-BCH-USD )
+Instruments+=( PAIR-BTC-USD )
+Instruments+=( PAIR-DOT-USD )
+Instruments+=( PAIR-ETH-USD )
+Instruments+=( PAIR-LTC-USD )
+Instruments+=( PAIR-SOL-USD )
+Instruments+=( PAIR-XRP-USD )
+
+echo "Date=${Date} Instruments=${Instruments[@]} OutputDir=${OutputDir}"
+echo Getting data from ${DataHost} ...
+
+year=$(date -d ${Date} +"%Y")
+month=$(date -d ${Date} +"%m")
+SourceDir="${SourceRootDir}/${DbSource}/${year}/${month}"
+SourceFile="${SourceDir}/${Date}.mktdata.db.gz"
+
+Cmd="rsync -ahv"
+Cmd+=" ${SourceHost}:${SourceFile}"
+Cmd+=" $OutputDir/"
+echo ${Cmd}
+eval ${Cmd}
+
+Cmd="(cd ${OutputDir} && gunzip *.db.gz)"
+echo ${Cmd}
+eval ${Cmd}
+
+SourceDbFile="${OutputDir}/${Date}.mktdata.db"
+ResultDbFile="${OutputDir}/${Date}.crypto_sim_md.db"
+
+echo "Creating Result Database File ${ResultDbFile}"
+
+echo "Creating table md_trades ..."
+sqlite3 ${ResultDbFile} <<EOF
+CREATE TABLE  IF NOT EXISTS md_trades (
+    tstamp text,
+    tstamp_ns integer,
+    exchange_id text,
+    instrument_id text,
+    exch text,
+    px real,
+    qty real,
+    trade_id text,
+    condition text,
+    tape text
+);
+CREATE UNIQUE INDEX  IF NOT EXISTS md_trades_uidx
+ON md_trades(tstamp_ns, exchange_id, instrument_id);
+EOF
+
+echo "Creating table md_quotes ..."
+sqlite3 ${ResultDbFile} <<EOF
+CREATE TABLE  IF NOT EXISTS md_quotes (
+    tstamp text,
+    tstamp_ns integer,
+    exchange_id text,
+    instrument_id text,
+    bid_exch text,
+    bid_px real,
+    bid_qty real,
+    ask_exch text,
+    ask_px real,
+    ask_qty real
+);
+CREATE UNIQUE INDEX  IF NOT EXISTS md_quotes_uidx
+ON md_quotes(tstamp_ns, exchange_id, instrument_id);
+EOF
+
+echo "Creating table md_1min_bars ..."
+sqlite3 ${ResultDbFile} <<EOF
+CREATE TABLE  IF NOT EXISTS md_1min_bars (
+	tstamp text,
+	tstamp_ns integer,
+	exchange_id text,
+	instrument_id text,
+	open real,
+	high real,
+	low real,
+	close real,
+	volume real,
+	vwap real,
+	num_trades integer
+);
+CREATE UNIQUE INDEX IF NOT EXISTS md_1min_bars_uidx
+ON md_1min_bars(tstamp, exchange_id, instrument_id);
+EOF
+
+echo "Loading md_trades ..."
+sqlite3  ${ResultDbFile} <<EOF
+ATTACH '${SourceDbFile}' AS source_db;
+BEGIN;
+INSERT OR IGNORE INTO md_trades SELECT
+	datetime(exchange_ts_ns / 1000000000, 'unixepoch') || '.' ||  printf('%06d', (exchange_ts_ns % 1000000000) / 1000)  as tstamp,
+	time as tstamp_ns,
+	exchange_id,
+	instrument_id,
+	"" as exch,
+	price as px,
+	quantity as qty,
+	"" as trade_id,
+	taker_side as condition,
+	"" as tape
+from source_db.bnbspot_md_trades;
+COMMIT;
+
+BEGIN;
+INSERT OR IGNORE INTO md_trades
+SELECT
+	datetime(exchange_ts_ns / 1000000000, 'unixepoch') || '.' ||  printf('%06d', (exchange_ts_ns % 1000000000) / 1000)  as tstamp,
+	time as tstamp_ns,
+	exchange_id,
+	instrument_id,
+	"" as exch,
+	price as px,
+	quantity as qty,
+	"" as trade_id,
+	taker_side as condition,
+	"" as tape
+from source_db.coinbase_md_trades;
+COMMIT;
+
+DETACH source_db;
+EOF
+
+echo "Loading md_quotes ..."
+sqlite3  ${ResultDbFile} <<EOF
+ATTACH '${SourceDbFile}' AS source_db;
+BEGIN;
+INSERT OR IGNORE INTO md_quotes SELECT
+	datetime(exchange_ts_ns / 1000000000, 'unixepoch') || '.' ||  printf('%06d', (exchange_ts_ns % 1000000000) / 1000)  as tstamp,
+	time as tstamp_ns,
+	exchange_id,
+	instrument_id,
+	exchange_id as bid_exch,
+	bid_price as bid_px,
+	bid_quantity as bid_qty,
+	exchange_id as ask_exch,
+	ask_price as ask_px,
+	ask_quantity as ask_qty
+from bnbspot_md_booktops;
+COMMIT;
+
+BEGIN;
+INSERT OR IGNORE INTO md_quotes SELECT
+	datetime(exchange_ts_ns / 1000000000, 'unixepoch') || '.' ||  printf('%06d', (exchange_ts_ns % 1000000000) / 1000)  as tstamp,
+	time as tstamp_ns,
+	exchange_id,
+	instrument_id,
+	exchange_id as bid_exch,
+	bid_price as bid_px,
+	bid_quantity as bid_qty,
+	exchange_id as ask_exch,
+	ask_price as ask_px,
+	ask_quantity as ask_qty
+from coinbase_md_booktops;
+COMMIT;
+
+DETACH source_db;
+EOF
+
+### --- REPLACE 0 with num_trades ---
+
+echo "Loading md_1min_bars ..."
+sqlite3  ${ResultDbFile} <<EOF
+ATTACH '${SourceDbFile}' AS source_db;
+BEGIN;
+INSERT OR IGNORE INTO md_1min_bars SELECT
+	datetime(tstamp / 1000000000, 'unixepoch') || '.' ||  printf('%06d', (tstamp % 1000000000) / 1000)  as tsatmp,
+	tstamp as tstamp_ns,
+	exchange_id,
+	instrument_id,
+	open,
+	high,
+	low,
+	close,
+	volume,
+	vwap,
+	0 as num_trades
+from bnbspot_ohlcv_1min;
+COMMIT;
+
+BEGIN;
+INSERT OR IGNORE INTO md_1min_bars SELECT
+	datetime(tstamp / 1000000000, 'unixepoch') || '.' ||  printf('%06d', (tstamp % 1000000000) / 1000)  as tstamp,
+	tstamp as tstamp_ns,
+	exchange_id,
+	instrument_id,
+	open,
+	high,
+	low,
+	close,
+	volume,
+	vwap,
+	0 as num_trades
+from coinbase_ohlcv_1min;
+COMMIT;
+
+DETACH source_db;
+EOF
+
+Cmd="rm ${SourceDbFile}"
+echo ${Cmd}
+eval ${Cmd}
+
+
+Cmd="gzip ${ResultDbFile}"
+echo ${Cmd}
+eval ${Cmd}
+
+Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@homestore.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/"
+echo ${Cmd}
+eval ${Cmd}
+
+Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/crypto/sim/"
+echo ${Cmd}
+eval ${Cmd}
+
+Cmd="rm ${ResultDbFile}.gz"
+echo ${Cmd}
+eval ${Cmd}
+
+echo Done $0 ${*}

research/prepare_eqt_simdata.sh

@@ -99,37 +99,148 @@ eval ${Cmd}
 
 ResultDbFile="${OutputDir}/${Date}.alpaca_sim_md.db"
 echo "Creating Result Database File ${ResultDbFile}"
-sym=${Symbols[0]}
-for db_file in ${OutputDir}/${Date}.${sym}.alpaca_1m_bars.db ${OutputDir}/${Date}.${sym}.alpaca_qat.db ; do
-    Cmd="sqlite3"
-    Cmd+=" ${db_file} .schema"
-    Cmd+=" | sqlite3 ${ResultDbFile}"
-    echo ${Cmd}
-    eval ${Cmd}
-done
 
-set -f # not to expand *
+echo "Creating Result Database File ${ResultDbFile}"
+
+echo "Creating table md_trades ..."
+sqlite3 ${ResultDbFile} <<EOF
+CREATE TABLE  IF NOT EXISTS md_trades (
+    tstamp text,
+    tstamp_ns integer,
+    exchange_id text,
+    instrument_id text,
+    exch text,
+    px real,
+    qty real,
+    trade_id text,
+    condition text,
+    tape text
+);
+CREATE UNIQUE INDEX  IF NOT EXISTS md_trades_uidx
+ON md_trades(tstamp_ns, exchange_id, instrument_id);
+EOF
+
+echo "Creating table md_quotes ..."
+sqlite3 ${ResultDbFile} <<EOF
+CREATE TABLE  IF NOT EXISTS md_quotes (
+    tstamp text,
+    tstamp_ns integer,
+    exchange_id text,
+    instrument_id text,
+    bid_exch text,
+    bid_px real,
+    bid_qty real,
+    ask_exch text,
+    ask_px real,
+    ask_qty real
+);
+CREATE UNIQUE INDEX  IF NOT EXISTS md_quotes_uidx
+ON md_quotes(tstamp_ns, exchange_id, instrument_id);
+EOF
+
+echo "Creating table md_1min_bars ..."
+sqlite3 ${ResultDbFile} <<EOF
+CREATE TABLE  IF NOT EXISTS md_1min_bars (
+	tstamp text,
+	tstamp_ns integer,
+	exchange_id text,
+	instrument_id text,
+	open real,
+	high real,
+	low real,
+	close real,
+	volume real,
+	vwap real,
+	num_trades integer
+);
+CREATE UNIQUE INDEX IF NOT EXISTS md_1min_bars_uidx
+ON md_1min_bars(tstamp, exchange_id, instrument_id);
+EOF
+
+
+# set -f # not to expand *
 
 for sym in ${Symbols[@]}; do
    src_hbar_db=${OutputDir}/${Date}.${sym}.alpaca_1m_bars.db
    src_qat_db=${OutputDir}/${Date}.${sym}.alpaca_qat.db
-   for srcdb in ${src_hbar_db} ${src_qat_db} ; do
 
-       tables=$(sqlite3 ${srcdb} .tables)
+    echo "Loading md_trades and md_quotes from ${src_qat_db} ..."
-       for table in $(sqlite3 ${srcdb} .tables) ; do
+    sqlite3  ${ResultDbFile} <<EOF
-           echo "Loading from ${srcdb}.${table} ..."
+ATTACH '${src_qat_db}' AS source_db;
-           sqlite3  ${ResultDbFile} <<EOF
-ATTACH '${srcdb}' AS source_db;
 BEGIN;
-INSERT INTO ${table} SELECT * FROM source_db.${table};
+INSERT OR IGNORE INTO md_trades SELECT
+	tstamp,
+	tstamp_ns,
+	exchange_id,
+	instrument_id,
+	exch,
+	px,
+	qty,
+	trade_id,
+	condition,
+	tape
+FROM source_db.md_trades;
 COMMIT;
+
+BEGIN;
+INSERT OR IGNORE INTO md_quotes SELECT
+	tstamp,
+	tstamp_ns,
+	exchange_id,
+	instrument_id,
+	bid_exch,
+	bid_px,
+	bid_qty,
+	ask_exch,
+	ask_px,
+	ask_qty
+FROM source_db.md_quotes;
+COMMIT;
+EOF
+
+    echo "Loading md_1min_bars from ${src_hbar_db} ..."
+    sqlite3  ${ResultDbFile} <<EOF
+ATTACH '${src_hbar_db}' AS source_db;
+BEGIN;
+INSERT OR IGNORE INTO md_1min_bars SELECT
+	tstamp,
+	tstamp_ns,
+	exchange_id,
+	instrument_id,
+	open,
+	high,
+	low,
+	close,
+	volume,
+	vwap,
+	num_trades
+    FROM source_db.md_1min_bars;
+COMMIT;
+
 DETACH source_db;
 EOF
-       done
+
-       Cmd="rm ${srcdb}"
+    Cmd="rm ${src_hbar_db} ${src_qat_db}"
-       echo ${Cmd}
+    echo ${Cmd}
-       eval ${Cmd}
+    eval ${Cmd}
-   done
 done
 
+exit
+
+Cmd="gzip ${ResultDbFile}"
+echo ${Cmd}
+eval ${Cmd}
+
+Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@homestore.cvtt.vpn:/works/cvtt/md_archive/equity/alpaca_md/sim/"
+echo ${Cmd}
+eval ${Cmd}
+
+Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/equity/alpaca_md/sim/"
+echo ${Cmd}
+eval ${Cmd}
+
+Cmd="rm ${ResultDbFile}.gz"
+echo ${Cmd}
+eval ${Cmd}
+
 echo Done $0 ${*}

scripts/__DEPRECATED__/archive_yesterday_md.sh

@@ -31,7 +31,7 @@ echo "Schemas=${Schemas}"
 Cmd=
 Cmd="${Python}"
 Cmd="${Cmd} ${RootDir}/cvttpy/research/utils/archive_ts_md.py"
-Cmd="${Cmd} --config=http://cloud16.cvtt.vpn:6789/apps/md_recorder"
+Cmd="${Cmd} --config=http://cloud23.cvtt.vpn:6789/apps/md_recorder"
 Cmd="${Cmd} --db_credentials_key=${CredKey}"
 Cmd="${Cmd} --date=${yesterday}"
 Cmd="${Cmd} --schemas=${Schemas}"

scripts/mkt_data/alpaca_hist_md/alpaca_md.sh

@@ -4,7 +4,7 @@ Start=${1}
 NumJobs=${2}
 InstListFile=${3}
 
-export CalendarURL=http://cloud16.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS
+export CalendarURL=http://cloud23.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS
 
 is_business_day() {
     dt=${1}
@@ -46,7 +46,7 @@ echo "Start=${Start} End=${End} NumJobs=${NumJobs}"
 
 export PYTHONPATH=/home/cvtt/prod
 export Python=/home/cvtt/.pyenv/python3.12-venv/bin/python3
-export Config=http://cloud16.cvtt.vpn:6789/apps/minimal_md
+export Config=http://cloud23.cvtt.vpn:6789/apps/minimal_md
 export PyScript=/home/cvtt/prod/cvttpy/exchanges/alpaca/hist_md/hist_md_bars.py
 
 export OutputDir=/home/cvtt/prod/archive/md_archive/equity/alpaca_md # Local

scripts/mkt_data/alpaca_hist_md/run_alpaca_hist_md.sh

@@ -3,7 +3,7 @@
 is_business_day() {
     dt=${1}
 
-    CalendarURL=http://cloud16.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS
+    CalendarURL=http://cloud23.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS
     open_time=$(curl -s "${CalendarURL}&start=${dt}&end=${dt}" | jq '.[] | .open_time')
     if [ -n  "${open_time}" ]; then
         return 0

scripts/mkt_data/crypto_hist_md/exchanges_trading_stats.sh

@@ -4,7 +4,7 @@ export PYTHONPATH=/home/cvtt/prod
 
 Cmd="/home/cvtt/.pyenv/python3.12-venv/bin/python3"
 Cmd="${Cmd} /home/cvtt/prod/cvttpy/apps/research/exchange_trading_stats.py"
-Cmd="${Cmd} --config=http://cloud16.cvtt.vpn:6789/apps/tests/listen_market_data"
+Cmd="${Cmd} --config=http://cloud23.cvtt.vpn:6789/apps/tests/listen_market_data"
 Cmd="${Cmd} --active_exchanges=OKX,GEMINI,BITSTAMP,COINBASE_AT,BNBSPOT,KRAKEN"
 Cmd="${Cmd} --instruments=OKX:PAIR-BTC-USDT,GEMINI:PAIR-BTC-USD,BITSTAMP:PAIR-BTC-USD,COINBASE:PAIR-BTC-USD,BNBSPOT:PAIR-BTC-USDT,KRAKEN:PAIR-BTC-USD"
 Cmd="${Cmd} --db_file=/home/cvtt/prod/data/exchange_trading_stats.db"