dekun
76 lines
2.2 KiB
Python
76 lines
2.2 KiB
Python
"""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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