-
Notifications
You must be signed in to change notification settings - Fork 654
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
* Refactor data types for generic catalog writing * Simplify schema metadata logic * Simplify orderbook delta metadata * Add pyo3 bindings for catalog * Add query function to catalog * Add persist to json function and round trip test * Add max_row_group_size option to parquet writer * Fix chunk metadata usage for order book delta * Fix row group size in quotes test data * Fix quotes tick data test Requires additional development and testing prior to production use.
- Loading branch information
Showing
21 changed files
with
613 additions
and
134 deletions.
There are no files selected for viewing
Some generated files are not rendered by default. Learn more about how customized files appear on GitHub.
Oops, something went wrong.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,193 @@ | ||
| use itertools::Itertools; | ||
| use log::info; | ||
| use nautilus_core::nanos::UnixNanos; | ||
| use nautilus_model::data::bar::Bar; | ||
| use nautilus_model::data::delta::OrderBookDelta; | ||
| use nautilus_model::data::depth::OrderBookDepth10; | ||
| use nautilus_model::data::quote::QuoteTick; | ||
| use nautilus_model::data::trade::TradeTick; | ||
| use nautilus_serialization::arrow::{DecodeDataFromRecordBatch, EncodeToRecordBatch}; | ||
| use serde::Serialize; | ||
| use std::path::PathBuf; | ||
|
|
||
| use datafusion::arrow::record_batch::RecordBatch; | ||
| use datafusion::error::Result; | ||
| use heck::ToSnakeCase; | ||
| use nautilus_model::data::{Data, GetTsInit}; | ||
| use nautilus_serialization::parquet::write_batches_to_parquet; | ||
|
|
||
| use super::session::{self, build_query, DataBackendSession, QueryResult}; | ||
|
|
||
| pub struct ParquetDataCatalog { | ||
| base_path: PathBuf, | ||
| batch_size: usize, | ||
| session: DataBackendSession, | ||
| } | ||
|
|
||
| impl ParquetDataCatalog { | ||
| pub fn new(base_path: PathBuf, batch_size: Option<usize>) -> Self { | ||
| let batch_size = batch_size.unwrap_or(5000); | ||
| Self { | ||
| base_path, | ||
| batch_size, | ||
| session: session::DataBackendSession::new(batch_size), | ||
| } | ||
| } | ||
|
|
||
| // TODO: fix path creation | ||
| fn make_path(&self, type_name: &str, instrument_id: Option<&String>) -> PathBuf { | ||
| let mut path = self.base_path.join("data").join(type_name.to_lowercase()); | ||
|
|
||
| if let Some(id) = instrument_id { | ||
| path = path.join(id); | ||
| } | ||
|
|
||
| std::fs::create_dir_all(&path).expect("Failed to create directory"); | ||
| let file_path = path.join("data.parquet"); | ||
| info!("Created directory path: {:?}", file_path); | ||
| file_path | ||
| } | ||
|
|
||
| fn check_ascending_timestamps<T: GetTsInit>(data: &[T], type_name: &str) { | ||
| assert!( | ||
| data.windows(2).all(|w| w[0].ts_init() <= w[1].ts_init()), | ||
| "{} timestamps must be in ascending order", | ||
| type_name | ||
| ); | ||
| } | ||
|
|
||
| pub fn data_to_record_batches<T>(&self, data: Vec<T>) -> Vec<RecordBatch> | ||
| where | ||
| T: GetTsInit + EncodeToRecordBatch, | ||
| { | ||
| data.into_iter() | ||
| .chunks(self.batch_size) | ||
| .into_iter() | ||
| .map(|chunk| { | ||
| // Take first element and extract metadata | ||
| // SAFETY: Unwrap safe as already checked that `data` not empty | ||
| let data = chunk.collect_vec(); | ||
| let metadata = EncodeToRecordBatch::chunk_metadata(&data); | ||
| T::encode_batch(&metadata, &data).expect("Expected to encode batch") | ||
| }) | ||
| .collect() | ||
| } | ||
|
|
||
| pub fn write_to_json<T>(&self, data: Vec<T>) -> PathBuf | ||
| where | ||
| T: GetTsInit + Serialize, | ||
| { | ||
| let type_name = std::any::type_name::<T>().to_snake_case(); | ||
| ParquetDataCatalog::check_ascending_timestamps(&data, &type_name); | ||
|
|
||
| let path = self.make_path(&type_name, None); | ||
| let json_path = path.with_extension("json"); | ||
|
|
||
| info!( | ||
| "Writing {} records of {} data to {:?}", | ||
| data.len(), | ||
| type_name, | ||
| json_path | ||
| ); | ||
|
|
||
| let file = std::fs::File::create(&json_path) | ||
| .unwrap_or_else(|_| panic!("Failed to create JSON file at {:?}", json_path)); | ||
|
|
||
| serde_json::to_writer(file, &data) | ||
| .unwrap_or_else(|_| panic!("Failed to write {} to JSON", type_name)); | ||
|
|
||
| json_path | ||
| } | ||
|
|
||
| pub fn write_to_parquet<T>(&self, data: Vec<T>) | ||
| where | ||
| T: GetTsInit + EncodeToRecordBatch, | ||
| { | ||
| let type_name = std::any::type_name::<T>().to_snake_case(); | ||
| ParquetDataCatalog::check_ascending_timestamps(&data, &type_name); | ||
|
|
||
| let batches = self.data_to_record_batches(data); | ||
| if let Some(batch) = batches.first() { | ||
| let schema = batch.schema(); | ||
| let instrument_id = schema.metadata.get("instrument_id"); | ||
| let path = self.make_path(&type_name, instrument_id); | ||
|
|
||
| // Write all batches to parquet file | ||
| info!( | ||
| "Writing {} batches of {} data to {:?}", | ||
| batches.len(), | ||
| type_name, | ||
| path | ||
| ); | ||
| // TODO: Set writer to property to limit max row group size | ||
| write_batches_to_parquet(&batches, &path, None, Some(5000)) | ||
| .unwrap_or_else(|_| panic!("Failed to write {} to parquet", type_name)); | ||
| } | ||
| } | ||
|
|
||
| /// Query data loaded in the catalog | ||
| pub fn query<T>( | ||
| &mut self, | ||
| // use instrument_ids or bar_types to query specific subset of the data | ||
| instrument_ids: Vec<String>, | ||
| start: Option<UnixNanos>, | ||
| end: Option<UnixNanos>, | ||
| where_clause: Option<&str>, | ||
| ) -> Result<QueryResult> | ||
| where | ||
| T: DecodeDataFromRecordBatch, | ||
| { | ||
| let mut paths = Vec::new(); | ||
| for instrument_id in instrument_ids.iter() { | ||
| paths.push(self.make_path("TODO", Some(instrument_id))); | ||
| } | ||
|
|
||
| // If no specific instrument_id is selected query all files for the data type | ||
| if paths.is_empty() { | ||
| paths.push(self.make_path("TODO", None)); | ||
| } | ||
|
|
||
| for path in paths.iter() { | ||
| let path = path.to_str().unwrap(); | ||
| let query = build_query(path, start, end, where_clause); | ||
| self.session.add_file::<T>(path, path, Some(&query))?; | ||
| } | ||
|
|
||
| Ok(self.session.get_query_result()) | ||
| } | ||
|
|
||
| pub fn write_data_enum(&self, data: Vec<Data>) { | ||
| let mut delta: Vec<OrderBookDelta> = Vec::new(); | ||
| let mut depth10: Vec<OrderBookDepth10> = Vec::new(); | ||
| let mut quote: Vec<QuoteTick> = Vec::new(); | ||
| let mut trade: Vec<TradeTick> = Vec::new(); | ||
| let mut bar: Vec<Bar> = Vec::new(); | ||
|
|
||
| for d in data.iter().cloned() { | ||
| match d { | ||
| Data::Delta(d) => { | ||
| delta.push(d); | ||
| } | ||
| Data::Depth10(d) => { | ||
| depth10.push(d); | ||
| } | ||
| Data::Quote(d) => { | ||
| quote.push(d); | ||
| } | ||
| Data::Trade(d) => { | ||
| trade.push(d); | ||
| } | ||
| Data::Bar(d) => { | ||
| bar.push(d); | ||
| } | ||
| Data::Deltas(_) => continue, | ||
| } | ||
| } | ||
|
|
||
| self.write_to_parquet(delta); | ||
| self.write_to_parquet(depth10); | ||
| self.write_to_parquet(quote); | ||
| self.write_to_parquet(trade); | ||
| self.write_to_parquet(bar); | ||
| } | ||
| } |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Oops, something went wrong.