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quote.csv file bugfix; adjusted ohlc file grouping

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tim
2024-08-06 16:14:45 -04:00
parent af084e3e5d
commit d0c60b7030
3 changed files with 6 additions and 4 deletions
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1
conf/finaldata/dexorder-finaldata.toml
View File

@@ -3,3 +3,4 @@ ws_url = ''
redis_url = ''
ohlc_dir = '/ohlc'
walker_flush_interval=25
concurrent_rpc_connections=9999

6
src/dexorder/final_ohlc.py
View File

@@ -24,14 +24,14 @@ class OHLCFilePath:
self.period = period
name = period_name(period)
self.filepath = f'{symbol}/{name}/'
if period < timedelta(minutes=15):
if period < timedelta(hours=1):
# one file per day is the smallest resolution
# log.debug(f'{name} is daily')
self.start = start = datetime(time.year, time.month, time.day, tzinfo=timezone.utc)
self.end = self.start + timedelta(days=1)
self.file_interval = timedelta(days=1)
self.filepath += f'{start.year}/{start.month}/{symbol}-{name}-{start:%Y%m%d}.csv'
elif period < timedelta(hours=8):
elif period < timedelta(days=1):
# one file per month
# log.debug(f'{name} is monthly')
self.start = start = datetime(time.year, time.month, 1, tzinfo=timezone.utc)
@@ -324,10 +324,10 @@ class OHLCFileSeries:
# flush quote file
#
try:
start_of_column = self.quote_file.tell()
if self.start_time_bytes:
self.quote_file.write(self.start_time_bytes)
self.start_time_bytes = None
start_of_column = self.quote_file.tell()
self.quote_file.write(f'{ts},{price:f}\n'.encode('ascii'))
self.quote_file.truncate()
self.quote_file.flush()

3
src/dexorder/ohlc.py
View File

@@ -34,7 +34,8 @@ OHLC_PERIODS = [
timedelta(days=1), timedelta(days=2), timedelta(days=3), timedelta(days=7)
]
OHLC_DATE_ROOT = datetime(2009, 1, 4, tzinfo=timezone.utc) # Sunday before Bitcoin Genesis
# Sunday before Bitcoin Genesis. Timestamp: 1231027200
OHLC_DATE_ROOT = datetime(2009, 1, 4, tzinfo=timezone.utc)
# OHLC's are stored as [timestamp, open, high, low, close] with prices as string values. If there was no data during
# the interval, then open, high, and low are None but the close value is carried over from the previous interval.