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model.py
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model.py
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from datetime import datetime
from typing import List, Optional
from infi.clickhouse_orm.models import Model
from infi.clickhouse_orm.fields import (
ArrayField,
DateTime64Field,
StringField,
UInt8Field,
Float64Field,
UInt64Field,
LowCardinalityField,
)
from infi.clickhouse_orm.database import Database, DatabaseException
from infi.clickhouse_orm.engines import MergeTree, ReplacingMergeTree
from infi.clickhouse_orm.funcs import F
from enum import IntEnum
from config import CONFIG
import logging
logging.basicConfig(
format="%(asctime)s %(levelname)s %(message)s",
datefmt="%m/%d/%Y %I:%M:%S %p",
level=logging.INFO,
)
class LoggingLevel(IntEnum):
CRITICAL = 50
ERROR = 40
WARNING = 30
INFO = 20
DEBUG = 10
NOTSET = 0
class Logger:
def __init__(self, database: Database):
self.db = database
def log_msg(
self,
msg: str,
level: LoggingLevel,
payload: str = "",
silence: Optional[bool] = None,
) -> None:
silence = silence if silence is not None else CONFIG.log_to_console
if silence:
logging.log(level, msg)
self.db.insert(
[
LoggingMsg(
timestamp=datetime.utcnow(), msg=msg, level=level, payload=payload
)
]
)
class LoggingMsg(Model):
timestamp = DateTime64Field(codec="Delta,ZSTD")
msg = StringField()
level = UInt8Field(codec="Delta, LZ4")
payload = StringField(default="")
engine = MergeTree("timestamp", order_by=("timestamp",))
class DepthSnapshot(Model):
timestamp = DateTime64Field(codec="Delta,ZSTD")
last_update_id = UInt64Field()
bids_quantity = ArrayField(Float64Field())
bids_price = ArrayField(Float64Field())
asks_quantity = ArrayField(Float64Field())
asks_price = ArrayField(Float64Field())
symbol = LowCardinalityField(StringField())
engine = MergeTree(
partition_key=("symbol",),
order_by=("timestamp", "last_update_id"),
)
class DiffDepthStream(Model):
timestamp = DateTime64Field(codec="Delta,ZSTD")
first_update_id = UInt64Field(codec="Delta,ZSTD")
final_update_id = UInt64Field(codec="Delta,ZSTD")
bids_quantity = ArrayField(Float64Field())
bids_price = ArrayField(Float64Field())
asks_quantity = ArrayField(Float64Field())
asks_price = ArrayField(Float64Field())
symbol = LowCardinalityField(StringField())
engine = ReplacingMergeTree(
partition_key=(F.toMonday(timestamp), "symbol"),
order_by=("timestamp", "first_update_id", "final_update_id"),
)
class DiffDepthStreamDispatcher:
def __init__(self, database: Database, logger: Logger):
self.buffer = []
self.db = database
self.batch_size = CONFIG.dispatcher_buffer_size
self.logger = logger
def insert(
self,
timestamp: datetime,
first_update_id: int,
final_update_id: int,
bids_quantity: List[float],
bids_price: List[float],
asks_quantity: List[float],
asks_price: List[float],
symbol: str,
) -> None:
self.buffer.append(
DiffDepthStream(
timestamp=timestamp,
first_update_id=first_update_id,
final_update_id=final_update_id,
bids_quantity=bids_quantity,
bids_price=bids_price,
asks_quantity=asks_quantity,
asks_price=asks_price,
symbol=symbol,
)
)
if len(self.buffer) >= self.batch_size:
self.insert_to_db()
def insert_to_db(self) -> None:
try:
self.db.insert(self.buffer)
self.buffer = []
except DatabaseException as e:
self.logger.log_msg(
f"{self.__repr__()} error, retrying:", LoggingLevel.WARNING, repr(e)
)
def __len__(self) -> int:
return len(self.buffer)
def __repr__(self) -> str:
return f"DiffDepthStreamDispatcher(len(buffer)={len(self.buffer)})"
if __name__ == "__main__":
db = Database(CONFIG.db_name, db_url=f"http://{CONFIG.host_name}:8123/")
for model in [LoggingMsg, DepthSnapshot, DiffDepthStream]:
db.create_table(model)