#!/bin/bash

if [ $# -ne 2 ]; then
    echo "Usage: $0 <source_database_file> <features_database_file>"
    exit 1
fi

SRC_DB=$1
DEST_DB=$2

if [ ! -f "$SRC_DB" ]; then
    echo "Error: Source database file $SRC_DB does not exist"
    exit 1
fi

echo "Creating feature tables in $DEST_DB using data from $SRC_DB..."

# Create md_1min_trade_features table
echo "Creating md_1min_trade_features table..."
sqlite3 "$DEST_DB" "
DROP TABLE IF EXISTS md_1min_trade_features;
CREATE TABLE IF NOT EXISTS md_1min_trade_features (
    bin_tstamp TEXT,
    tstamp_ns INTEGER,
    exchange_id TEXT,
    instrument_id TEXT,
    price_mean REAL,
    price_median REAL,
    volume REAL,
    vwap REAL,
    signed_volume REAL,
    order_flow_imbalance REAL,
    num_trades INTEGER,
    avg_trade_size REAL,
    PRIMARY KEY (bin_tstamp, exchange_id, instrument_id)
);"

# Create index for md_1min_trade_features
echo "Creating index for md_1min_trade_features..."
sqlite3 "$DEST_DB" "
CREATE UNIQUE INDEX IF NOT EXISTS md_1min_trade_features_uidx
ON md_1min_trade_features(bin_tstamp, exchange_id, instrument_id);"

# Populate md_1min_trade_features using source database
echo "Populating md_1min_trade_features..."
sqlite3 "$SRC_DB" "ATTACH DATABASE '$DEST_DB' AS dest;
WITH trade_metrics AS (
    SELECT
        tstamp,
        strftime('%Y-%m-%d %H:%M:00', tstamp) as bin_tstamp,
        exchange_id,
        instrument_id,
        px as price,
        qty,
        CASE
            WHEN condition = 'B' THEN qty
            WHEN condition = 'S' THEN -qty
            ELSE 0
        END as signed_qty
    FROM md_trades
),
trade_metrics_agg AS (
    SELECT
        bin_tstamp,
        exchange_id,
        instrument_id,
        COUNT(*) as cnt,
        MIN(tstamp) as min_tstamp,
        MAX(tstamp) as max_tstamp
    FROM trade_metrics
    GROUP BY bin_tstamp, exchange_id, instrument_id
)
INSERT INTO dest.md_1min_trade_features
SELECT
    tm.bin_tstamp,
    CAST(strftime('%s', tm.bin_tstamp) * 1000000000 AS INTEGER) as tstamp_ns,
    tm.exchange_id,
    tm.instrument_id,
    AVG(price) as price_mean,
    AVG(CASE WHEN rank_num >= FLOOR(cnt/2.0) AND rank_num <= CEIL(cnt/2.0) THEN price ELSE NULL END) as price_median,
    SUM(qty) as volume,
    SUM(price * qty) / SUM(qty) as vwap,
    SUM(signed_qty) as signed_volume,
    SUM(CASE WHEN signed_qty > 0 THEN signed_qty ELSE 0 END) -
    SUM(CASE WHEN signed_qty < 0 THEN ABS(signed_qty) ELSE 0 END) as order_flow_imbalance,
    COUNT(*) as num_trades,
    AVG(qty) as avg_trade_size
FROM (
    SELECT
        tm.*,
        tma.cnt,
        ROW_NUMBER() OVER (PARTITION BY tm.bin_tstamp, tm.exchange_id, tm.instrument_id ORDER BY price) as rank_num
    FROM trade_metrics tm
    JOIN trade_metrics_agg tma
        ON tm.bin_tstamp = tma.bin_tstamp
        AND tm.exchange_id = tma.exchange_id
        AND tm.instrument_id = tma.instrument_id
) tm
GROUP BY tm.bin_tstamp, tm.exchange_id, tm.instrument_id;"

# Create md_1min_quote_features table in destination database
echo "Creating md_1min_quote_features table..."
sqlite3 "$DEST_DB" "
DROP TABLE IF EXISTS md_1min_quote_features;
CREATE TABLE IF NOT EXISTS md_1min_quote_features (
    bin_tstamp TEXT,
    tstamp_ns INTEGER,
    exchange_id TEXT,
    instrument_id TEXT,
    mid_price_open REAL,
    mid_price_high REAL,
    mid_price_low REAL,
    mid_price_close REAL,
    mid_price_mean REAL,
    rel_spread_mean REAL,
    rel_spread_min REAL,
    rel_spread_max REAL,
    rel_spread_first REAL,
    rel_spread_last REAL,
    l1_imbalance_mean REAL,
    l1_imbalance_min REAL,
    l1_imbalance_max REAL,
    l1_imbalance_first REAL,
    l1_imbalance_last REAL,
    micro_price_mean REAL,
    micro_price_min REAL,
    micro_price_max REAL,
    micro_price_first REAL,
    micro_price_last REAL,
    weighted_mid_mean REAL,
    weighted_mid_min REAL,
    weighted_mid_max REAL,
    weighted_mid_first REAL,
    weighted_mid_last REAL,
    PRIMARY KEY (bin_tstamp, exchange_id, instrument_id)
);"

# Create index for md_1min_quote_features
echo "Creating index for md_1min_quote_features..."
sqlite3 "$DEST_DB" "
CREATE UNIQUE INDEX IF NOT EXISTS md_1min_quote_features_uidx
ON md_1min_quote_features(bin_tstamp, exchange_id, instrument_id);"

# Populate md_1min_quote_features using source database
echo "Populating md_1min_quote_features..."
sqlite3 "$SRC_DB" "ATTACH DATABASE '$DEST_DB' AS dest;
INSERT INTO dest.md_1min_quote_features
SELECT
    strftime('%Y-%m-%d %H:%M:00', tstamp) as bin_tstamp,
    CAST(strftime('%s', tstamp) * 1000000000 AS INTEGER) as tstamp_ns,
    exchange_id,
    instrument_id,
    FIRST_VALUE((ask_px + bid_px) / 2.0) OVER w as mid_price_open,
    MAX((ask_px + bid_px) / 2.0) as mid_price_high,
    MIN((ask_px + bid_px) / 2.0) as mid_price_low,
    LAST_VALUE((ask_px + bid_px) / 2.0) OVER w as mid_price_close,
    AVG((ask_px + bid_px) / 2.0) as mid_price_mean,
    AVG((ask_px - bid_px) / ((ask_px + bid_px) / 2.0)) as rel_spread_mean,
    MIN((ask_px - bid_px) / ((ask_px + bid_px) / 2.0)) as rel_spread_min,
    MAX((ask_px - bid_px) / ((ask_px + bid_px) / 2.0)) as rel_spread_max,
    FIRST_VALUE((ask_px - bid_px) / ((ask_px + bid_px) / 2.0)) OVER w as rel_spread_first,
    LAST_VALUE((ask_px - bid_px) / ((ask_px + bid_px) / 2.0)) OVER w as rel_spread_last,
    AVG((bid_qty - ask_qty) / (bid_qty + ask_qty)) as l1_imbalance_mean,
    MIN((bid_qty - ask_qty) / (bid_qty + ask_qty)) as l1_imbalance_min,
    MAX((bid_qty - ask_qty) / (bid_qty + ask_qty)) as l1_imbalance_max,
    FIRST_VALUE((bid_qty - ask_qty) / (bid_qty + ask_qty)) OVER w as l1_imbalance_first,
    LAST_VALUE((bid_qty - ask_qty) / (bid_qty + ask_qty)) OVER w as l1_imbalance_last,
    AVG((ask_px * bid_qty + bid_px * ask_qty) / (bid_qty + ask_qty)) as micro_price_mean,
    MIN((ask_px * bid_qty + bid_px * ask_qty) / (bid_qty + ask_qty)) as micro_price_min,
    MAX((ask_px * bid_qty + bid_px * ask_qty) / (bid_qty + ask_qty)) as micro_price_max,
    FIRST_VALUE((ask_px * bid_qty + bid_px * ask_qty) / (bid_qty + ask_qty)) OVER w as micro_price_first,
    LAST_VALUE((ask_px * bid_qty + bid_px * ask_qty) / (bid_qty + ask_qty)) OVER w as micro_price_last,
    AVG((ask_px * ask_qty + bid_px * bid_qty) / (bid_qty + ask_qty)) as weighted_mid_mean,
    MIN((ask_px * ask_qty + bid_px * bid_qty) / (bid_qty + ask_qty)) as weighted_mid_min,
    MAX((ask_px * ask_qty + bid_px * bid_qty) / (bid_qty + ask_qty)) as weighted_mid_max,
    FIRST_VALUE((ask_px * ask_qty + bid_px * bid_qty) / (bid_qty + ask_qty)) OVER w as weighted_mid_first,
    LAST_VALUE((ask_px * ask_qty + bid_px * bid_qty) / (bid_qty + ask_qty)) OVER w as weighted_mid_last
FROM md_quotes
GROUP BY strftime('%Y-%m-%d %H:%M:00', tstamp), exchange_id, instrument_id
WINDOW w AS (
    PARTITION BY strftime('%Y-%m-%d %H:%M:00', tstamp), exchange_id, instrument_id
    ORDER BY tstamp
    RANGE BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING
);"

# Copy the md_1min_bars table to destination database
echo "Copying md_1min_bars to destination..."
sqlite3 "$DEST_DB" "
DROP TABLE IF EXISTS md_1min_bars;
CREATE TABLE IF NOT EXISTS md_1min_bars (
    bin_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,
    PRIMARY KEY (bin_tstamp, exchange_id, instrument_id)
);"

echo "Creating index for md_1min_bars..."
sqlite3 "$DEST_DB" "
CREATE UNIQUE INDEX IF NOT EXISTS md_1min_bars_uidx
ON md_1min_bars(bin_tstamp, exchange_id, instrument_id);"

echo "Populating md_1min_bars..."
sqlite3 "$SRC_DB" "ATTACH DATABASE '$DEST_DB' AS dest;
INSERT INTO dest.md_1min_bars
SELECT * FROM md_1min_bars;"

# Create the combined features view in destination database
echo "Creating combined features view..."
sqlite3 "$DEST_DB" "
DROP VIEW IF EXISTS md_1min_features_view;
CREATE VIEW IF NOT EXISTS md_1min_features_view AS
SELECT
    b.bin_tstamp,
    b.tstamp_ns,
    b.exchange_id,
    b.instrument_id,
    -- OHLCV data from md_1min_bars
    b.open,
    b.high,
    b.low,
    b.close,
    b.volume,
    b.vwap,
    b.num_trades,
    -- Quote features
    q.mid_price_open,
    q.mid_price_high,
    q.mid_price_low,
    q.mid_price_close,
    q.mid_price_mean,
    q.rel_spread_mean,
    q.rel_spread_min,
    q.rel_spread_max,
    q.rel_spread_first,
    q.rel_spread_last,
    q.l1_imbalance_mean,
    q.l1_imbalance_min,
    q.l1_imbalance_max,
    q.l1_imbalance_first,
    q.l1_imbalance_last,
    q.micro_price_mean,
    q.micro_price_min,
    q.micro_price_max,
    q.micro_price_first,
    q.micro_price_last,
    q.weighted_mid_mean,
    q.weighted_mid_min,
    q.weighted_mid_max,
    q.weighted_mid_first,
    q.weighted_mid_last,
    -- Trade features
    t.price_mean as trade_price_mean,
    t.price_median as trade_price_median,
    t.signed_volume,
    t.order_flow_imbalance,
    t.avg_trade_size
FROM md_1min_bars b
LEFT JOIN md_1min_quote_features q
    ON b.bin_tstamp = q.bin_tstamp
    AND b.exchange_id = q.exchange_id
    AND b.instrument_id = q.instrument_id
LEFT JOIN md_1min_trade_features t
    ON b.bin_tstamp = t.bin_tstamp
    AND b.exchange_id = t.exchange_id
    AND b.instrument_id = t.instrument_id;"

echo "Feature tables created and populated successfully in $DEST_DB!"