Compare commits
10 Commits
| Author | SHA1 | Date | |
|---|---|---|---|
| 5671ec5044 | |||
| a7e442b954 | |||
| 7e0c389536 | |||
| 058431a37c | |||
| 9de3ed3ab9 | |||
| 31aca36fe7 | |||
| 92538f0819 | |||
| 1cfac2b32d | |||
| 625670c69e | |||
| 11ab9dd2c2 |
@@ -1,6 +1,6 @@
|
|||||||
#!/bin/env bash
|
#!/bin/env bash
|
||||||
|
|
||||||
Registry=http://homestore.cvtt.vpn:5500
|
Registry=http://hs01.cvtt.vpn:5500
|
||||||
|
|
||||||
Catalog=${Registry}/v2/_catalog
|
Catalog=${Registry}/v2/_catalog
|
||||||
|
|
||||||
@@ -11,5 +11,12 @@ jstr=$(curl -s -X GET ${Catalog})
|
|||||||
echo "${jstr}" | jq -r '.repositories[]' | while read repo; do
|
echo "${jstr}" | jq -r '.repositories[]' | while read repo; do
|
||||||
TagListURL="${Registry}/v2/${repo}/tags/list"
|
TagListURL="${Registry}/v2/${repo}/tags/list"
|
||||||
# echo $repo
|
# echo $repo
|
||||||
curl -s -X GET ${TagListURL}
|
Cmd="curl -s -X GET ${TagListURL}"
|
||||||
|
echo ${Cmd}
|
||||||
|
eval ${Cmd}
|
||||||
|
# TagList=$(eval ${Cmd})
|
||||||
|
# # echo ${TagList}
|
||||||
|
# echo "${TagList}" | jq -r '.tags[]' | while read tag; do
|
||||||
|
# echo "${Registry}/${repo}:${tag}"
|
||||||
|
# done
|
||||||
done
|
done
|
||||||
@@ -14,7 +14,7 @@ dist_user=cvttdist
|
|||||||
dist_host="cloud21.cvtt.vpn"
|
dist_host="cloud21.cvtt.vpn"
|
||||||
dist_ssh_port="22"
|
dist_ssh_port="22"
|
||||||
|
|
||||||
dist_locations="cloud21.cvtt.vpn:22 homestore.cvtt.vpn:22"
|
dist_locations="cloud21.cvtt.vpn:22 hs01.cvtt.vpn:22"
|
||||||
# ---------------- Settings
|
# ---------------- Settings
|
||||||
|
|
||||||
# ---------------- cmdline
|
# ---------------- cmdline
|
||||||
|
|||||||
@@ -66,7 +66,9 @@ build_docker_image() {
|
|||||||
convert_symlink_to_dir ${project}
|
convert_symlink_to_dir ${project}
|
||||||
|
|
||||||
DockerDir=./docker_dev/${docker_dev_path}
|
DockerDir=./docker_dev/${docker_dev_path}
|
||||||
echo "Building ${title}... on ${DockerDev}"
|
echo "================================================================================"
|
||||||
|
echo "Building ${title}... on ${DockerDir}"
|
||||||
|
echo "================================================================================"
|
||||||
|
|
||||||
Cmd="docker build"
|
Cmd="docker build"
|
||||||
Cmd+=" -t ${image_name}"
|
Cmd+=" -t ${image_name}"
|
||||||
@@ -194,5 +196,6 @@ Cmd="rm -rf ${RootDir}/docker_dev"
|
|||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
|
echo "Done ${0} ${*}"
|
||||||
#===============================================================================
|
#===============================================================================
|
||||||
#===============================================================================
|
#===============================================================================
|
||||||
|
|||||||
@@ -15,6 +15,7 @@ Cmd="${Cmd} --pull=always"
|
|||||||
Cmd="${Cmd} --network=host"
|
Cmd="${Cmd} --network=host"
|
||||||
Cmd="${Cmd} --name=crypto_md_day.${host}.${date}"
|
Cmd="${Cmd} --name=crypto_md_day.${host}.${date}"
|
||||||
Cmd="${Cmd} --rm"
|
Cmd="${Cmd} --rm"
|
||||||
|
Cmd="${Cmd} --volume=${HOME}/.creds:/.creds"
|
||||||
Cmd="${Cmd} ${DockerImage}"
|
Cmd="${Cmd} ${DockerImage}"
|
||||||
Cmd="${Cmd} -h ${host}"
|
Cmd="${Cmd} -h ${host}"
|
||||||
Cmd="${Cmd} -d ${date}"
|
Cmd="${Cmd} -d ${date}"
|
||||||
|
|||||||
@@ -91,6 +91,7 @@ Cmd="${Cmd} --network=host"
|
|||||||
Cmd="${Cmd} --name=${ContainerName}"
|
Cmd="${Cmd} --name=${ContainerName}"
|
||||||
Cmd="${Cmd} --rm"
|
Cmd="${Cmd} --rm"
|
||||||
Cmd="${Cmd} --volume=${LogDir}:/logs"
|
Cmd="${Cmd} --volume=${LogDir}:/logs"
|
||||||
|
Cmd="${Cmd} --volume=${HOME}/.creds:/.creds"
|
||||||
Cmd="${Cmd} ${DockerImage}"
|
Cmd="${Cmd} ${DockerImage}"
|
||||||
Cmd="${Cmd} -d ${date_to_load}"
|
Cmd="${Cmd} -d ${date_to_load}"
|
||||||
if [ -n "${NumSymbols}" ]; then
|
if [ -n "${NumSymbols}" ]; then
|
||||||
|
|||||||
@@ -96,6 +96,7 @@ Cmd="${Cmd} --network=host"
|
|||||||
Cmd="${Cmd} --name=${ContainerName}"
|
Cmd="${Cmd} --name=${ContainerName}"
|
||||||
Cmd="${Cmd} --rm"
|
Cmd="${Cmd} --rm"
|
||||||
Cmd="${Cmd} --volume=${LogDir}:/logs"
|
Cmd="${Cmd} --volume=${LogDir}:/logs"
|
||||||
|
Cmd="${Cmd} --volume=${HOME}/.creds:/.creds"
|
||||||
Cmd="${Cmd} ${DockerImage}"
|
Cmd="${Cmd} ${DockerImage}"
|
||||||
Cmd="${Cmd} -d ${date_to_load}"
|
Cmd="${Cmd} -d ${date_to_load}"
|
||||||
Cmd="${Cmd} -S ${Symbols}"
|
Cmd="${Cmd} -S ${Symbols}"
|
||||||
|
|||||||
@@ -49,6 +49,7 @@ Cmd="${Cmd} --rm"
|
|||||||
Cmd="${Cmd} --network=host"
|
Cmd="${Cmd} --network=host"
|
||||||
Cmd="${Cmd} --pull=always"
|
Cmd="${Cmd} --pull=always"
|
||||||
Cmd="${Cmd} --name=${ContainerName}"
|
Cmd="${Cmd} --name=${ContainerName}"
|
||||||
|
Cmd="${Cmd} -v /home/cvtt/.creds:/.creds"
|
||||||
Cmd="${Cmd} -v /home/cvtt/prod/data:/app/data"
|
Cmd="${Cmd} -v /home/cvtt/prod/data:/app/data"
|
||||||
Cmd="${Cmd} -v /home/cvtt/prod/logs:/logs"
|
Cmd="${Cmd} -v /home/cvtt/prod/logs:/logs"
|
||||||
Cmd="${Cmd} cloud21.cvtt.vpn:5500/md_recorder:latest"
|
Cmd="${Cmd} cloud21.cvtt.vpn:5500/md_recorder:latest"
|
||||||
|
|||||||
@@ -27,9 +27,6 @@ is_container_running() {
|
|||||||
fi
|
fi
|
||||||
}
|
}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
Instance=${1}
|
Instance=${1}
|
||||||
if ! is_valid "${Instance}"; then
|
if ! is_valid "${Instance}"; then
|
||||||
usage
|
usage
|
||||||
@@ -53,6 +50,7 @@ Cmd="${Cmd} --rm"
|
|||||||
Cmd="${Cmd} --network=host"
|
Cmd="${Cmd} --network=host"
|
||||||
Cmd="${Cmd} --pull=always"
|
Cmd="${Cmd} --pull=always"
|
||||||
Cmd="${Cmd} --name=${ContainerName}"
|
Cmd="${Cmd} --name=${ContainerName}"
|
||||||
|
Cmd="${Cmd} -v /home/cvtt/.creds:/.creds"
|
||||||
Cmd="${Cmd} -v /home/cvtt/prod/logs:/logs"
|
Cmd="${Cmd} -v /home/cvtt/prod/logs:/logs"
|
||||||
Cmd="${Cmd} cloud21.cvtt.vpn:5500/md_recorder_monitor:latest"
|
Cmd="${Cmd} cloud21.cvtt.vpn:5500/md_recorder_monitor:latest"
|
||||||
Cmd="${Cmd} ${Instance} ${AdminPort}"
|
Cmd="${Cmd} ${Instance} ${AdminPort}"
|
||||||
|
|||||||
+1
-1
@@ -1 +1 @@
|
|||||||
1.9.1,16->23
|
1.9.5,homestore ==> hs01
|
||||||
|
|||||||
@@ -2,7 +2,7 @@
|
|||||||
|
|
||||||
# by chatGPT
|
# by chatGPT
|
||||||
# ==========================================
|
# ==========================================
|
||||||
# homestore.cvtt.vpn SETTINGS
|
# hs01.cvtt.vpn SETTINGS
|
||||||
# ==========================================
|
# ==========================================
|
||||||
|
|
||||||
# Define source and destination base directories
|
# Define source and destination base directories
|
||||||
|
|||||||
@@ -1,7 +1,7 @@
|
|||||||
#!/usr/bin/env bash
|
#!/usr/bin/env bash
|
||||||
|
|
||||||
usage() {
|
usage() {
|
||||||
echo "Usage: $0 [-h <host (homestore*/cloud21)>] [-d <YYYYMMDD> (yesterday*)] [-s <source> (cvttdata/cloud21*)>]"
|
echo "Usage: $0 [-h <host (hs01*/cloud21)>] [-d <YYYYMMDD> (yesterday*)] [-s <source> (cvttdata/cloud21*)>]"
|
||||||
exit 1
|
exit 1
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -20,7 +20,7 @@ is_valid() {
|
|||||||
}
|
}
|
||||||
|
|
||||||
date=""
|
date=""
|
||||||
host=homestore
|
host=hs01
|
||||||
source=cloud21
|
source=cloud21
|
||||||
|
|
||||||
while getopts ":h:d:s:" opt; do
|
while getopts ":h:d:s:" opt; do
|
||||||
@@ -51,7 +51,7 @@ fi
|
|||||||
|
|
||||||
echo "$date $host $source"
|
echo "$date $host $source"
|
||||||
|
|
||||||
valid_hosts=('homestore' 'cloud21')
|
valid_hosts=('hs01' 'cloud21')
|
||||||
if ! is_valid "${host}" "${valid_hosts[@]}" ; then
|
if ! is_valid "${host}" "${valid_hosts[@]}" ; then
|
||||||
echo "Host '${host}' is not valid"
|
echo "Host '${host}' is not valid"
|
||||||
usage
|
usage
|
||||||
@@ -67,8 +67,8 @@ if [ "${host}" == "cloud21" ] ; then
|
|||||||
SourceHost=cloud21.cvtt.vpn
|
SourceHost=cloud21.cvtt.vpn
|
||||||
SourceUser=cvtt
|
SourceUser=cvtt
|
||||||
SourceRootDir="/opt/store/cvtt/md_archive/crypto/${source}"
|
SourceRootDir="/opt/store/cvtt/md_archive/crypto/${source}"
|
||||||
elif [ "${host}" == "homestore" ]; then
|
elif [ "${host}" == "hs01" ]; then
|
||||||
SourceHost=homestore.cvtt.vpn
|
SourceHost=hs01.cvtt.vpn
|
||||||
SourceUser=cvtt
|
SourceUser=cvtt
|
||||||
SourceRootDir=/works/cvtt/md_archive/crypto/${source}
|
SourceRootDir=/works/cvtt/md_archive/crypto/${source}
|
||||||
else
|
else
|
||||||
|
|||||||
@@ -2,7 +2,7 @@
|
|||||||
|
|
||||||
usage() {
|
usage() {
|
||||||
echo -n "Usage: $0"
|
echo -n "Usage: $0"
|
||||||
echo -n " [-h <host (homestore*/cloud21)>]"
|
echo -n " [-h <host (hs01*/cloud21)>]"
|
||||||
echo -n " [-d <YYYYMMDD> (yesterday*)]"
|
echo -n " [-d <YYYYMMDD> (yesterday*)]"
|
||||||
echo -n " [-s <stocks comma separated>"
|
echo -n " [-s <stocks comma separated>"
|
||||||
echo -n " [-t <target directory>"
|
echo -n " [-t <target directory>"
|
||||||
@@ -19,7 +19,7 @@ fi
|
|||||||
|
|
||||||
# ------------------ Settings
|
# ------------------ Settings
|
||||||
md_date=""
|
md_date=""
|
||||||
host=homestore
|
host=hs01
|
||||||
stocks=COIN,GBTC,SQ
|
stocks=COIN,GBTC,SQ
|
||||||
|
|
||||||
TargetDir="/opt/jupyter_gpu/data/eqty_md"
|
TargetDir="/opt/jupyter_gpu/data/eqty_md"
|
||||||
@@ -81,7 +81,7 @@ fi
|
|||||||
|
|
||||||
echo "$md_date $host $source"
|
echo "$md_date $host $source"
|
||||||
|
|
||||||
valid_hosts=('homestore' 'cloud21')
|
valid_hosts=('hs01' 'cloud21')
|
||||||
if ! is_valid "${host}" "${valid_hosts[@]}" ; then
|
if ! is_valid "${host}" "${valid_hosts[@]}" ; then
|
||||||
echo "Host '${host}' is not valid"
|
echo "Host '${host}' is not valid"
|
||||||
usage
|
usage
|
||||||
@@ -108,8 +108,8 @@ if [ "${host}" == "cloud21" ] ; then
|
|||||||
SourceHost=cloud21.cvtt.vpn
|
SourceHost=cloud21.cvtt.vpn
|
||||||
SourceUser=cvtt
|
SourceUser=cvtt
|
||||||
SourceRootDir="/opt/store/cvtt/md_archive/equity/alpaca_md"
|
SourceRootDir="/opt/store/cvtt/md_archive/equity/alpaca_md"
|
||||||
elif [ "${host}" == "homestore" ]; then
|
elif [ "${host}" == "hs01" ]; then
|
||||||
SourceHost=homestore.cvtt.vpn
|
SourceHost=hs01.cvtt.vpn
|
||||||
SourceUser=cvtt
|
SourceUser=cvtt
|
||||||
SourceRootDir="/works/cvtt/md_archive/equity/alpaca_md"
|
SourceRootDir="/works/cvtt/md_archive/equity/alpaca_md"
|
||||||
else
|
else
|
||||||
|
|||||||
@@ -1,41 +1,30 @@
|
|||||||
#!/bin/bash
|
#!/bin/bash
|
||||||
|
|
||||||
|
# SQLite DDL for simulation
|
||||||
|
# =========================
|
||||||
|
|
||||||
|
|
||||||
|
# -- md_quotes
|
||||||
|
|
||||||
|
# -- md_1min_bars
|
||||||
|
|
||||||
|
|
||||||
usage() {
|
usage() {
|
||||||
echo "Usage: $0 -S <symbols> -d <YYYYMMDD Date> [-O <output dir (./) >]"
|
echo "Usage: $0 -d YYYMMDD Date> [-O <output dir (./) >]"
|
||||||
exit 1
|
exit 1
|
||||||
}
|
}
|
||||||
|
|
||||||
# --------------------- Settings
|
# --------------------- Settings
|
||||||
SourceHost=cloud21.cvtt.vpn
|
SourceHost=cloud21.cvtt.vpn
|
||||||
SourceRootDir=/opt/store/cvtt/md_archive/crypto/alpaca_md
|
SourceRootDir=/opt/store/cvtt/md_archive/crypto
|
||||||
|
DbSource=cloud21
|
||||||
# --------------------- Settings
|
# --------------------- Settings
|
||||||
|
|
||||||
|
while getopts ":d:O:" opt; do
|
||||||
is_business_day() {
|
|
||||||
dt=${1}
|
|
||||||
date=$(date -d "${dt}" +"%Y-%m-%d")
|
|
||||||
|
|
||||||
CalendarURL=http://cloud23.cvtt.vpn:8000/api/v1/markets/hours?mic=XNYS
|
|
||||||
URL="${CalendarURL}&start=${date}&end=${date}"
|
|
||||||
open_time=$(curl -s "${URL}" | jq '.[] | .open_time')
|
|
||||||
if [ -n "${open_time}" ]; then
|
|
||||||
return 0
|
|
||||||
else
|
|
||||||
return 1
|
|
||||||
fi
|
|
||||||
|
|
||||||
}
|
|
||||||
export -f is_business_day
|
|
||||||
|
|
||||||
|
|
||||||
while getopts ":d:S:O:" opt; do
|
|
||||||
case ${opt} in
|
case ${opt} in
|
||||||
d )
|
d )
|
||||||
Date=$OPTARG
|
Date=$OPTARG
|
||||||
;;
|
;;
|
||||||
S )
|
|
||||||
SymList=$OPTARG
|
|
||||||
;;
|
|
||||||
O )
|
O )
|
||||||
OutputDir=$OPTARG
|
OutputDir=$OPTARG
|
||||||
;;
|
;;
|
||||||
@@ -50,10 +39,6 @@ while getopts ":d:S:O:" opt; do
|
|||||||
esac
|
esac
|
||||||
done
|
done
|
||||||
|
|
||||||
if [ -z ${SymList} ] ; then
|
|
||||||
echo "symbols are not specified"
|
|
||||||
usage
|
|
||||||
fi
|
|
||||||
if [ -z ${Date} ] ; then
|
if [ -z ${Date} ] ; then
|
||||||
echo "date is not specified"
|
echo "date is not specified"
|
||||||
usage
|
usage
|
||||||
@@ -63,84 +48,232 @@ if [ -z ${OutputDir} ] ; then
|
|||||||
fi
|
fi
|
||||||
mkdir -p ${OutputDir}
|
mkdir -p ${OutputDir}
|
||||||
|
|
||||||
if ! is_business_day ${Date}; then
|
# --- Binance
|
||||||
echo "${Date} is not business day"
|
Instruments=( PAIR-ADA-USDT )
|
||||||
usage
|
Instruments+=( PAIR-BCH-USDT )
|
||||||
fi
|
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 )
|
||||||
|
|
||||||
OLD_IFS=${IFS}
|
# --- Coinbase
|
||||||
IFS=","
|
Instruments+=( PAIR-ADA-USD )
|
||||||
read -ra Symbols <<< "${SymList}"
|
Instruments+=( PAIR-BCH-USD )
|
||||||
IFS=${OLD_IFS}
|
Instruments+=( PAIR-BTC-USD )
|
||||||
|
Instruments+=( PAIR-DOT-USD )
|
||||||
|
Instruments+=( PAIR-ETH-USD )
|
||||||
|
Instruments+=( PAIR-LTC-USD )
|
||||||
|
Instruments+=( PAIR-SOL-USD )
|
||||||
|
Instruments+=( PAIR-XRP-USD )
|
||||||
|
|
||||||
echo "Date=${Date} Symbols=${Symbols[@]} OutputDir=${OutputDir}"
|
echo "Date=${Date} Instruments=${Instruments[@]} OutputDir=${OutputDir}"
|
||||||
echo Getting data from ${DataHost} ...
|
echo Getting data from ${DataHost} ...
|
||||||
|
|
||||||
year=$(date -d ${Date} +"%Y")
|
year=$(date -d ${Date} +"%Y")
|
||||||
for sym in ${Symbols[@]}; do
|
month=$(date -d ${Date} +"%m")
|
||||||
inst_id="STOCK-${sym}"
|
SourceDir="${SourceRootDir}/${DbSource}/${year}/${month}"
|
||||||
capital=${sym:0:1}
|
SourceFile="${SourceDir}/${Date}.mktdata.db.gz"
|
||||||
SourceDir="${SourceRootDir}/${year}/${capital}/${sym}"
|
|
||||||
SourceHbarFile="${SourceDir}/${Date}.${sym}.alpaca_1m_bars.db.gz"
|
|
||||||
SourceQatFile="${SourceDir}/${Date}.${sym}.alpaca_qat.db.gz"
|
|
||||||
|
|
||||||
for src_file in ${SourceHbarFile} ${SourceQatFile}; do
|
|
||||||
Cmd="rsync -ahv"
|
Cmd="rsync -ahv"
|
||||||
Cmd+=" ${SourceHost}:${src_file}"
|
Cmd+=" ${SourceHost}:${SourceFile}"
|
||||||
Cmd+=" $OutputDir/"
|
Cmd+=" $OutputDir/"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
done
|
|
||||||
done
|
|
||||||
|
|
||||||
Cmd="(cd ${OutputDir} && gunzip *.db.gz)"
|
Cmd="(cd ${OutputDir} && gunzip *.db.gz)"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
ResultDbFile="${OutputDir}/${Date}.alpaca_sim_md.db"
|
SourceDbFile="${OutputDir}/${Date}.mktdata.db"
|
||||||
|
ResultDbFile="${OutputDir}/${Date}.crypto_sim_md.db"
|
||||||
|
|
||||||
echo "Creating Result Database File ${ResultDbFile}"
|
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 table md_trades ..."
|
||||||
|
|
||||||
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)
|
|
||||||
for table in $(sqlite3 ${srcdb} .tables) ; do
|
|
||||||
echo "Loading from ${srcdb}.${table} ..."
|
|
||||||
sqlite3 ${ResultDbFile} <<EOF
|
sqlite3 ${ResultDbFile} <<EOF
|
||||||
ATTACH '${srcdb}' AS source_db;
|
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;
|
BEGIN;
|
||||||
INSERT INTO ${table} SELECT * FROM source_db.${table};
|
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;
|
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;
|
DETACH source_db;
|
||||||
EOF
|
EOF
|
||||||
done
|
|
||||||
Cmd="rm ${srcdb}"
|
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}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
done
|
|
||||||
done
|
|
||||||
|
|
||||||
Cmd="gzip ${ResultDbFile}"
|
Cmd="gzip ${ResultDbFile}"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
Cmd="rsync -ahvv ${ResultDbFile}.gz homestore.cvtt.vpn:/works/cvtt/md_archive/equity/alpaca_md/sim/"
|
Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
Cmd="rsync -ahvv ${ResultDbFile}.gz cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/equity/alpaca_md/sim/"
|
Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/crypto/sim/"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
|
|||||||
+113
-20
@@ -99,48 +99,141 @@ eval ${Cmd}
|
|||||||
|
|
||||||
ResultDbFile="${OutputDir}/${Date}.alpaca_sim_md.db"
|
ResultDbFile="${OutputDir}/${Date}.alpaca_sim_md.db"
|
||||||
echo "Creating Result Database File ${ResultDbFile}"
|
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
|
for sym in ${Symbols[@]}; do
|
||||||
src_hbar_db=${OutputDir}/${Date}.${sym}.alpaca_1m_bars.db
|
src_hbar_db=${OutputDir}/${Date}.${sym}.alpaca_1m_bars.db
|
||||||
src_qat_db=${OutputDir}/${Date}.${sym}.alpaca_qat.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
|
|
||||||
echo "Loading from ${srcdb}.${table} ..."
|
|
||||||
sqlite3 ${ResultDbFile} <<EOF
|
sqlite3 ${ResultDbFile} <<EOF
|
||||||
ATTACH '${srcdb}' AS source_db;
|
ATTACH '${src_qat_db}' AS source_db;
|
||||||
BEGIN;
|
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;
|
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;
|
DETACH source_db;
|
||||||
EOF
|
EOF
|
||||||
done
|
|
||||||
Cmd="rm ${srcdb}"
|
Cmd="rm ${src_hbar_db} ${src_qat_db}"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
done
|
done
|
||||||
done
|
|
||||||
|
|
||||||
Cmd="gzip ${ResultDbFile}"
|
Cmd="gzip ${ResultDbFile}"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
Cmd="rsync -ahvv ${ResultDbFile}.gz homestore.cvtt.vpn:/works/cvtt/md_archive/equity/alpaca_md/sim/"
|
Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/equity/alpaca_md/sim/"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
Cmd="rsync -ahvv ${ResultDbFile}.gz cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/equity/alpaca_md/sim/"
|
Cmd="rsync -ahvv ${ResultDbFile}.gz cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/equity/alpaca_md/sim/"
|
||||||
echo ${Cmd}
|
echo ${Cmd}
|
||||||
eval ${Cmd}
|
eval ${Cmd}
|
||||||
|
|
||||||
|
|||||||
@@ -25,8 +25,8 @@ run_checklist() {
|
|||||||
|
|
||||||
declare -A Commands
|
declare -A Commands
|
||||||
Commands=(
|
Commands=(
|
||||||
["homestore:cloud21"]="ssh cvtt@homestore.cvtt.vpn ls -l /works/cvtt/md_archive/crypto/cloud21/${yr}/${mn} | tail -5"
|
["hs01:cloud21"]="ssh cvtt@hs01.cvtt.vpn ls -l /works/cvtt/md_archive/crypto/cloud21/${yr}/${mn} | tail -5"
|
||||||
["homestore:cvttdata"]="ssh cvtt@homestore.cvtt.vpn ls -l /works/cvtt/md_archive/crypto/cvttdata/${yr}/${mn} | tail -5"
|
["hs01:cvttdata"]="ssh cvtt@hs01.cvtt.vpn ls -l /works/cvtt/md_archive/crypto/cvttdata/${yr}/${mn} | tail -5"
|
||||||
["cloud21:cloud21"]="ssh cvtt@cloud21.cvtt.vpn ls -l /opt/store/cvtt/md_archive/crypto/cloud21/${yr}/${mn} | tail -5"
|
["cloud21:cloud21"]="ssh cvtt@cloud21.cvtt.vpn ls -l /opt/store/cvtt/md_archive/crypto/cloud21/${yr}/${mn} | tail -5"
|
||||||
["cloud21:cvttdata"]="ssh cvtt@cloud21.cvtt.vpn ls -l /opt/store/cvtt/md_archive/crypto/cvttdata/${yr}/${mn} | tail -5"
|
["cloud21:cvttdata"]="ssh cvtt@cloud21.cvtt.vpn ls -l /opt/store/cvtt/md_archive/crypto/cvttdata/${yr}/${mn} | tail -5"
|
||||||
["gpushnik"]="ssh oleg@gpushnik.cvtt.vpn 'ls -l /opt/jupyter_gpu/data/crypto_md | tail -10'"
|
["gpushnik"]="ssh oleg@gpushnik.cvtt.vpn 'ls -l /opt/jupyter_gpu/data/crypto_md | tail -10'"
|
||||||
|
|||||||
@@ -24,11 +24,11 @@ run_checklist() {
|
|||||||
yr=$(date -d 'yesterday' '+%Y')
|
yr=$(date -d 'yesterday' '+%Y')
|
||||||
CheckSymbols="A/AAPL N/NVDA M/META"
|
CheckSymbols="A/AAPL N/NVDA M/META"
|
||||||
declare -A Commands
|
declare -A Commands
|
||||||
Commands["homestore"]=""
|
Commands["hs01"]=""
|
||||||
for sym in ${CheckSymbols}; do
|
for sym in ${CheckSymbols}; do
|
||||||
Commands["homestore"]+="ssh cvtt@homestore.cvtt.vpn ls -l /works/cvtt/md_archive/equity/alpaca_md/${yr}/${sym} | tail -3; "
|
Commands["hs01"]+="ssh cvtt@hs01.cvtt.vpn ls -l /works/cvtt/md_archive/equity/alpaca_md/${yr}/${sym} | tail -3; "
|
||||||
done
|
done
|
||||||
Commands["homestore"]+="echo"
|
Commands["hs01"]+="echo"
|
||||||
|
|
||||||
Commands["cloud21"]=""
|
Commands["cloud21"]=""
|
||||||
for sym in ${CheckSymbols}; do
|
for sym in ${CheckSymbols}; do
|
||||||
|
|||||||
@@ -2,7 +2,7 @@
|
|||||||
|
|
||||||
Source=/home/cvtt/prod/archive/md_archive/
|
Source=/home/cvtt/prod/archive/md_archive/
|
||||||
Targets=
|
Targets=
|
||||||
Targets="${Targets} cvtt@homestore.cvtt.vpn:/works/cvtt/md_archive/"
|
Targets="${Targets} cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/"
|
||||||
Targets="${Targets} cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/"
|
Targets="${Targets} cvtt@cloud21.cvtt.vpn:/opt/store/cvtt/md_archive/"
|
||||||
|
|
||||||
|
|
||||||
|
|||||||
Reference in New Issue
Block a user