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Symbol & data refactoring for Nautilus

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This commit is contained in:
Tim Olson
2026-04-01 00:59:13 -04:00
parent cd28e18e52
commit 93bc8a3a4f
55 changed files with 537 additions and 600 deletions
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8
iceberg/README.md
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@@ -37,14 +37,14 @@ Historical OHLC (Open, High, Low, Close, Volume) candle data for all periods in
```sql
-- Query 1-hour candles for specific ticker and time range
SELECT * FROM trading.ohlc
WHERE ticker = 'BINANCE:BTC/USDT'
WHERE ticker = 'BTC/USDT.BINANCE'
AND period_seconds = 3600
AND timestamp BETWEEN 1735689600000000 AND 1736294399000000
ORDER BY timestamp;
-- Query most recent 1-minute candles
SELECT * FROM trading.ohlc
WHERE ticker = 'BINANCE:BTC/USDT'
WHERE ticker = 'BTC/USDT.BINANCE'
AND period_seconds = 60
AND timestamp > (UNIX_MICROS(CURRENT_TIMESTAMP()) - 3600000000)
ORDER BY timestamp DESC
@@ -53,7 +53,7 @@ LIMIT 60;
-- Query all periods for a ticker
SELECT period_seconds, COUNT(*) as candle_count
FROM trading.ohlc
WHERE ticker = 'BINANCE:BTC/USDT'
WHERE ticker = 'BTC/USDT.BINANCE'
GROUP BY period_seconds;
```
@@ -124,7 +124,7 @@ table = catalog.load_table("trading.ohlc")
# Query with filters
df = table.scan(
row_filter=(
(col("ticker") == "BINANCE:BTC/USDT") &
(col("ticker") == "BTC/USDT.BINANCE") &
(col("period_seconds") == 3600) &
(col("timestamp") >= 1735689600000000)
)

2
iceberg/ohlc_schema.sql
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@@ -5,7 +5,7 @@
CREATE TABLE IF NOT EXISTS trading.ohlc (
-- Natural key fields (uniqueness enforced by Flink upsert logic)
ticker STRING NOT NULL COMMENT 'Market identifier (e.g., BINANCE:BTC/USDT)',
ticker STRING NOT NULL COMMENT 'Market identifier (e.g., BTC/USDT.BINANCE)',
period_seconds INT NOT NULL COMMENT 'OHLC period in seconds (60, 300, 900, 3600, 14400, 86400, 604800, etc.)',
timestamp BIGINT NOT NULL COMMENT 'Candle timestamp in microseconds since epoch',