first commit
This commit is contained in:
dekun
@@ -0,0 +1,4 @@
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from packages.db.schema import init_db
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from packages.db.repository import Repository
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__all__ = ["init_db", "Repository"]
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@@ -0,0 +1,275 @@
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"""数据访问。"""
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from __future__ import annotations
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import json
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import sqlite3
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import time
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from dataclasses import dataclass
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from pathlib import Path
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from typing import Any
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from packages.db.schema import init_db
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def _now_ms() -> int:
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return int(time.time() * 1000)
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@dataclass
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class OptionQuoteRow:
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ts_ms: int
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exchange: str
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underlying: str
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inst_id: str
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expiry_ymd: str
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strike: float
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side: str
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index_px: float
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ask: float | None
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bid: float | None
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ask_sz: float | None
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bid_sz: float | None
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leverage: float | None
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class Repository:
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def __init__(self, db_path: str | Path) -> None:
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self.db_path = Path(db_path)
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self.conn = init_db(self.db_path)
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def close(self) -> None:
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self.conn.close()
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def insert_option_quote(self, row: OptionQuoteRow) -> int:
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cur = self.conn.execute(
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"""
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INSERT INTO option_quotes (
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ts_ms, exchange, underlying, inst_id, expiry_ymd, strike, side,
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index_px, ask, bid, ask_sz, bid_sz, leverage, created_at_ms
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)
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""",
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(
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row.ts_ms,
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row.exchange,
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row.underlying,
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row.inst_id,
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row.expiry_ymd,
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row.strike,
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row.side,
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row.index_px,
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row.ask,
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row.bid,
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row.ask_sz,
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row.bid_sz,
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row.leverage,
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_now_ms(),
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),
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)
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self.conn.commit()
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return int(cur.lastrowid)
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def insert_index_tick(
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self,
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*,
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ts_ms: int,
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exchange: str,
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underlying: str,
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index_px: float,
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) -> int:
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cur = self.conn.execute(
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"""
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INSERT INTO index_ticks (ts_ms, exchange, underlying, index_px, created_at_ms)
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VALUES (?, ?, ?, ?, ?)
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""",
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(ts_ms, exchange, underlying, index_px, _now_ms()),
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)
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self.conn.commit()
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return int(cur.lastrowid)
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def upsert_heartbeat(
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self,
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*,
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ok: bool,
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error: str | None = None,
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meta: dict[str, Any] | None = None,
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) -> None:
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now = _now_ms()
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row = self.conn.execute(
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"SELECT consecutive_failures FROM collector_heartbeat WHERE id = 1"
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).fetchone()
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fails = int(row["consecutive_failures"] if row else 0)
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if ok:
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fails = 0
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self.conn.execute(
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"""
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UPDATE collector_heartbeat
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SET last_ok_ts_ms = ?, last_error = NULL, consecutive_failures = 0,
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meta_json = COALESCE(?, meta_json)
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WHERE id = 1
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""",
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(now, json.dumps(meta, ensure_ascii=False) if meta else None),
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)
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else:
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fails += 1
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self.conn.execute(
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"""
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UPDATE collector_heartbeat
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SET last_error = ?, last_error_ts_ms = ?, consecutive_failures = ?,
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meta_json = COALESCE(?, meta_json)
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WHERE id = 1
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""",
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(
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(error or "unknown")[:2000],
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now,
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fails,
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json.dumps(meta, ensure_ascii=False) if meta else None,
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),
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)
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self.conn.commit()
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def get_heartbeat(self) -> dict[str, Any]:
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row = self.conn.execute(
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"SELECT * FROM collector_heartbeat WHERE id = 1"
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).fetchone()
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if not row:
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return {}
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d = dict(row)
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meta = d.get("meta_json")
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if meta:
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try:
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d["meta"] = json.loads(meta)
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except json.JSONDecodeError:
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d["meta"] = None
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else:
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d["meta"] = None
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return d
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def latest_quotes_by_side(self) -> dict[str, dict[str, Any]]:
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"""返回 side -> 最新一条。"""
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out: dict[str, dict[str, Any]] = {}
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for side in ("C", "P"):
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row = self.conn.execute(
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"""
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SELECT * FROM option_quotes
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WHERE side = ?
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ORDER BY ts_ms DESC, id DESC
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LIMIT 1
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""",
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(side,),
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).fetchone()
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if row:
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out[side] = dict(row)
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return out
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def count_option_quotes(self) -> int:
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row = self.conn.execute("SELECT COUNT(*) AS n FROM option_quotes").fetchone()
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return int(row["n"] if row else 0)
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def count_index_ticks(self) -> int:
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row = self.conn.execute("SELECT COUNT(*) AS n FROM index_ticks").fetchone()
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return int(row["n"] if row else 0)
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def fetch_option_quotes(
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self,
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*,
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start_ms: int,
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end_ms: int,
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side: str = "both",
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underlying: str | None = None,
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) -> list[dict[str, Any]]:
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"""[start_ms, end_ms) 半开区间。"""
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clauses = ["ts_ms >= ?", "ts_ms < ?"]
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params: list[Any] = [int(start_ms), int(end_ms)]
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want = (side or "both").upper()
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if want in ("C", "P"):
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clauses.append("side = ?")
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params.append(want)
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if underlying:
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clauses.append("underlying = ?")
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params.append(underlying)
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sql = f"""
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SELECT ts_ms, exchange, underlying, inst_id, expiry_ymd, strike, side,
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index_px, ask, bid, ask_sz, bid_sz, leverage
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FROM option_quotes
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WHERE {' AND '.join(clauses)}
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ORDER BY ts_ms ASC, id ASC
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"""
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rows = self.conn.execute(sql, params).fetchall()
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return [dict(r) for r in rows]
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def get_settlement(self, expiry_ymd: str) -> dict[str, Any] | None:
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row = self.conn.execute(
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"SELECT * FROM expiry_settlements WHERE expiry_ymd = ?",
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(expiry_ymd,),
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).fetchone()
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return dict(row) if row else None
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def list_settlements(self, ymds: list[str] | None = None) -> dict[str, dict[str, Any]]:
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if ymds is not None and not ymds:
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return {}
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if ymds is None:
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rows = self.conn.execute("SELECT * FROM expiry_settlements").fetchall()
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else:
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placeholders = ",".join("?" for _ in ymds)
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rows = self.conn.execute(
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f"SELECT * FROM expiry_settlements WHERE expiry_ymd IN ({placeholders})",
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list(ymds),
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).fetchall()
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return {str(r["expiry_ymd"]): dict(r) for r in rows}
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def upsert_settlement(
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self,
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*,
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expiry_ymd: str,
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settle_ts_ms: int,
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settle_index_px: float,
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exchange: str,
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underlying: str,
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) -> None:
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self.conn.execute(
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"""
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INSERT INTO expiry_settlements (
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expiry_ymd, settle_ts_ms, settle_index_px, exchange, underlying, created_at_ms
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) VALUES (?, ?, ?, ?, ?, ?)
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ON CONFLICT(expiry_ymd) DO UPDATE SET
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settle_ts_ms = excluded.settle_ts_ms,
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settle_index_px = excluded.settle_index_px,
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exchange = excluded.exchange,
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underlying = excluded.underlying
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""",
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(
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expiry_ymd,
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int(settle_ts_ms),
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float(settle_index_px),
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exchange,
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underlying,
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_now_ms(),
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),
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)
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self.conn.commit()
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def nearest_index_tick(
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self,
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*,
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underlying: str,
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target_ts_ms: int,
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max_delta_ms: int,
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) -> dict[str, Any] | None:
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row = self.conn.execute(
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"""
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SELECT ts_ms, index_px, ABS(ts_ms - ?) AS delta
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FROM index_ticks
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WHERE underlying = ?
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AND ts_ms BETWEEN ? AND ?
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ORDER BY delta ASC
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LIMIT 1
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""",
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(
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int(target_ts_ms),
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underlying,
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int(target_ts_ms) - int(max_delta_ms),
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int(target_ts_ms) + int(max_delta_ms),
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),
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).fetchone()
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return dict(row) if row else None
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@@ -0,0 +1,75 @@
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"""SQLite schema（可迁移设计）。时间戳存 UTC ms。"""
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from __future__ import annotations
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import sqlite3
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from pathlib import Path
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SCHEMA_SQL = """
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CREATE TABLE IF NOT EXISTS option_quotes (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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ts_ms INTEGER NOT NULL,
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exchange TEXT NOT NULL,
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underlying TEXT NOT NULL,
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inst_id TEXT NOT NULL,
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expiry_ymd TEXT NOT NULL,
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strike REAL NOT NULL,
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side TEXT NOT NULL,
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index_px REAL NOT NULL,
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ask REAL,
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bid REAL,
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ask_sz REAL,
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bid_sz REAL,
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leverage REAL,
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created_at_ms INTEGER NOT NULL
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);
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CREATE INDEX IF NOT EXISTS idx_oq_ts ON option_quotes(ts_ms);
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CREATE INDEX IF NOT EXISTS idx_oq_side_ts ON option_quotes(side, ts_ms);
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CREATE INDEX IF NOT EXISTS idx_oq_expiry ON option_quotes(expiry_ymd);
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CREATE TABLE IF NOT EXISTS index_ticks (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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ts_ms INTEGER NOT NULL,
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exchange TEXT NOT NULL,
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underlying TEXT NOT NULL,
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index_px REAL NOT NULL,
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created_at_ms INTEGER NOT NULL
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);
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CREATE INDEX IF NOT EXISTS idx_it_ts ON index_ticks(ts_ms);
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CREATE INDEX IF NOT EXISTS idx_it_u_ts ON index_ticks(underlying, ts_ms);
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CREATE TABLE IF NOT EXISTS expiry_settlements (
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expiry_ymd TEXT PRIMARY KEY,
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settle_ts_ms INTEGER NOT NULL,
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settle_index_px REAL NOT NULL,
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exchange TEXT NOT NULL,
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underlying TEXT NOT NULL,
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created_at_ms INTEGER NOT NULL
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);
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CREATE TABLE IF NOT EXISTS collector_heartbeat (
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id INTEGER PRIMARY KEY CHECK (id = 1),
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last_ok_ts_ms INTEGER,
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last_error TEXT,
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last_error_ts_ms INTEGER,
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consecutive_failures INTEGER NOT NULL DEFAULT 0,
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meta_json TEXT
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);
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"""
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def init_db(db_path: str | Path) -> sqlite3.Connection:
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path = Path(db_path)
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path.parent.mkdir(parents=True, exist_ok=True)
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conn = sqlite3.connect(str(path), check_same_thread=False)
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conn.row_factory = sqlite3.Row
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conn.execute("PRAGMA journal_mode=WAL;")
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conn.execute("PRAGMA synchronous=NORMAL;")
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conn.executescript(SCHEMA_SQL)
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conn.execute(
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"INSERT OR IGNORE INTO collector_heartbeat (id, consecutive_failures) VALUES (1, 0)"
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)
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conn.commit()
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return conn
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