mirror of
https://github.com/codez0mb1e/resistance.git
synced 2024-12-22 00:41:49 +00:00
Remove redundant
This commit is contained in:
codez0mb1e
parent
5c6ea177dd
commit
37ec6bef93
66
src/azure.py
66
src/azure.py
@ -1,66 +0,0 @@
|
||||
|
||||
# %% Import dependencies ----
|
||||
from dataclasses import dataclass
|
||||
from typing import Dict, Any
|
||||
|
||||
from sqlalchemy import create_engine, inspect
|
||||
|
||||
import pandas as pd
|
||||
import urllib
|
||||
|
||||
|
||||
# %% Models
|
||||
@dataclass(frozen=True)
|
||||
class ConnectionSettings:
|
||||
"""Connection Settings"""
|
||||
server: str
|
||||
database: str
|
||||
username: str
|
||||
password: str
|
||||
driver: str = '{ODBC Driver 18 for SQL Server}'
|
||||
timeout: int = 30
|
||||
|
||||
|
||||
# %% Connection
|
||||
class AzureDbConnection:
|
||||
"""Azure SQL database connection."""
|
||||
|
||||
def __init__(self, conn_settings: ConnectionSettings, echo: bool = False) -> None:
|
||||
conn_params = urllib.parse.quote_plus(
|
||||
'Driver=%s;' % conn_settings.driver +
|
||||
'Server=tcp:%s.database.windows.net,1433;' % conn_settings.server +
|
||||
'Database=%s;' % conn_settings.database +
|
||||
'Uid=%s;' % conn_settings.username +
|
||||
'Pwd=%s;' % conn_settings.password +
|
||||
'Encrypt=yes;' +
|
||||
'TrustServerCertificate=no;' +
|
||||
'Connection Timeout=%s;' % conn_settings.timeout
|
||||
)
|
||||
conn_string = f'mssql+pyodbc:///?odbc_connect={conn_params}'
|
||||
|
||||
self._db = create_engine(conn_string, echo=echo)
|
||||
|
||||
def connect(self) -> None:
|
||||
"""Estimate connection"""
|
||||
self._conn = self._db.connect()
|
||||
|
||||
def get_tables(self) -> list[str]:
|
||||
"""Get list of tables"""
|
||||
inspector = inspect(self._db)
|
||||
return [t for t in inspector.get_table_names()]
|
||||
|
||||
def insert(self, inserted_data: pd.DataFrame, target_table: str, db_mapping: Dict[str, Any], chunksize: int = 10000) -> None:
|
||||
inserted_data.to_sql(
|
||||
con=self._db,
|
||||
schema='dbo',
|
||||
name=target_table,
|
||||
if_exists='append', # or replace
|
||||
index=False,
|
||||
chunksize=chunksize,
|
||||
dtype=db_mapping
|
||||
)
|
||||
|
||||
def dispose(self) -> None:
|
||||
"""Dispose opened connections"""
|
||||
self._conn.close()
|
||||
self._db.dispose()
|
||||
@ -1,150 +0,0 @@
|
||||
#!/usr/bin/python3
|
||||
|
||||
"""
|
||||
Data source: https://www.kaggle.com/datasets/tencars/392-crypto-currency-pairs-at-minute-resolution
|
||||
"""
|
||||
|
||||
# %%
|
||||
import os
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
from sqlalchemy import types
|
||||
|
||||
from azure import AzureDbConnection, ConnectionSettings
|
||||
|
||||
# %%
|
||||
|
||||
# In terminal:
|
||||
#> kaggle -v # must be >1.15
|
||||
#> mkdir data; cd data
|
||||
#> kaggle datasets download tencars/392-crypto-currency-pairs-at-minute-resolution
|
||||
#> unzip 392-crypto-currency-pairs-at-minute-resolution.zip
|
||||
|
||||
input_dir: str = "../data"
|
||||
|
||||
# Get names and number of available currency pairs
|
||||
pair_names = [x[:-4] for x in os.listdir(input_dir)]
|
||||
usd_pairs = [s for s in pair_names if "usd" in s]
|
||||
|
||||
# Print the first 50 currency pair names
|
||||
print(f"These are the first 10 out of {len(usd_pairs)} currency pairs in the dataset:")
|
||||
print(usd_pairs[0:10])
|
||||
|
||||
|
||||
# %%
|
||||
|
||||
def load_data(symbol: str, input_dir: str) -> pd.DataFrame:
|
||||
path_name = input_dir + "/" + symbol + ".csv"
|
||||
|
||||
# Load data
|
||||
df = pd.read_csv(path_name, index_col='time', dtype={'open': np.float64, 'high': np.float64, 'low': np.float64, 'close': np.float64, 'volume': np.float64})
|
||||
df.index = pd.to_datetime(df.index, unit='ms')
|
||||
df = df[~df.index.duplicated(keep='first')]
|
||||
|
||||
# As mentioned in the description, bins without any change are not recorded.
|
||||
# We have to fill these gaps by filling them with the last value until a change occurs.
|
||||
#df = df.resample('1T').pad()
|
||||
|
||||
return df[['open', 'high', 'low', 'close', 'volume']]
|
||||
|
||||
|
||||
def calc_ohlcv_1h(df: pd.DataFrame) -> pd.DataFrame:
|
||||
df['hour'] = df.index.to_period('H')
|
||||
|
||||
return (
|
||||
df
|
||||
.groupby(['hour'])
|
||||
.agg(
|
||||
{
|
||||
'open': 'first',
|
||||
'high': max,
|
||||
'low': min,
|
||||
'close': 'last',
|
||||
'volume': sum,
|
||||
#'time': max
|
||||
}
|
||||
)
|
||||
.reset_index()
|
||||
)
|
||||
|
||||
|
||||
# %% ----
|
||||
ethusd_1m = load_data("ethusd", input_dir)
|
||||
ethusd_1h = calc_ohlcv_1h(ethusd_1m)
|
||||
|
||||
ethusd_1h.tail()
|
||||
|
||||
|
||||
|
||||
# %% ----
|
||||
conn_settings = ConnectionSettings(
|
||||
'<server_name>',
|
||||
'<db_name>',
|
||||
'<user_name>',
|
||||
'****'
|
||||
)
|
||||
|
||||
db_conn = AzureDbConnection(conn_settings)
|
||||
db_conn.connect()
|
||||
|
||||
for t in db_conn.get_tables():
|
||||
print(t)
|
||||
|
||||
|
||||
# %%
|
||||
db_mapping = {
|
||||
'FIGI': types.CHAR(length=12),
|
||||
'open': types.DECIMAL(precision=19, scale=9),
|
||||
'high': types.DECIMAL(precision=19, scale=9),
|
||||
'close': types.DECIMAL(precision=19, scale=9),
|
||||
'low': types.DECIMAL(precision=19, scale=9),
|
||||
'volume': types.DECIMAL(precision=19, scale=9),
|
||||
'time': types.DATETIME(),
|
||||
'source_id': types.SMALLINT(),
|
||||
'version': types.VARCHAR(length=12),
|
||||
'interval': types.CHAR(length=2)
|
||||
}
|
||||
|
||||
|
||||
# %%
|
||||
pd.options.mode.chained_assignment = None
|
||||
|
||||
min_candels_n = 10000
|
||||
|
||||
i = 1
|
||||
for pair in usd_pairs:
|
||||
print(f'INFO | {pair} > Starting read dataset...')
|
||||
|
||||
candles_df = load_data(pair, input_dir)
|
||||
|
||||
if len(candles_df) > min_candels_n:
|
||||
|
||||
df = candles_df.loc[:'2022-10-01']
|
||||
|
||||
if len(df) > 0:
|
||||
df = calc_ohlcv_1h(df)
|
||||
|
||||
df['FIGI'] = pair
|
||||
df['time'] = df.hour.apply(lambda h: h.to_timestamp())
|
||||
df['source_id'] = 1
|
||||
df['version'] = 'v20221001'
|
||||
df['interval'] = '1H'
|
||||
df.drop(columns='hour', inplace=True)
|
||||
|
||||
print(f'INFO | {pair} > Starting insert to DB ({i} of {len(usd_pairs)})...')
|
||||
print('DEBUG | {} rows from {} to {}'.format(df.shape[0], min(df['time']), max(df['time'])))
|
||||
try:
|
||||
db_conn.insert(df, 'crypto_1h', db_mapping)
|
||||
except Exception as ex:
|
||||
print(f'ERROR | {pair} > {ex}')
|
||||
|
||||
else:
|
||||
print(f'WARN | {pair} > No new records')
|
||||
else:
|
||||
print(f'WARN | {pair} > Only {candles_df.shape[0]} records')
|
||||
i += 1
|
||||
|
||||
|
||||
# %%
|
||||
db_conn.dispose()
|
||||
Loading…
Reference in New Issue
Block a user