forked from coinrust/crex
/
mongodb_dataloader.go
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/
mongodb_dataloader.go
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package dataloader
import (
"context"
"fmt"
. "github.com/evzpav/crex"
"go.mongodb.org/mongo-driver/bson"
"go.mongodb.org/mongo-driver/bson/primitive"
"go.mongodb.org/mongo-driver/mongo"
"go.mongodb.org/mongo-driver/mongo/options"
"log"
"sync"
"time"
)
type mItem [2]float64
type mOrderBook struct {
ID primitive.ObjectID `bson:"_id"`
Timestamp int64 `bson:"t"`
Asks []mItem `bson:"a"`
Bids []mItem `bson:"b"`
}
type MongoDBDataLoader struct {
client *mongo.Client
database *mongo.Database
collection *mongo.Collection
exchange string
symbol string
start int64
end int64
limit int
ctx context.Context
cur *mongo.Cursor
filter primitive.M
hasMoreData bool
}
func (l *MongoDBDataLoader) Setup(start time.Time, end time.Time) error {
l.start = start.UnixNano() / int64(time.Millisecond)
l.end = end.UnixNano() / int64(time.Millisecond)
l.filter = bson.M{"t": bson.M{"$gte": l.start, "$lte": l.end}}
l.open()
return nil
}
func (l *MongoDBDataLoader) ReadOrderBooks() (result []*OrderBook) {
if !l.hasMoreData {
return nil
}
var batch = make([]bson.Raw, 0, l.limit)
for l.cur.Next(l.ctx) {
batch = append(batch, l.cur.Current)
if len(batch) >= l.limit {
break
}
}
if err := l.cur.Err(); err != nil {
log.Fatal(err)
}
return l.convert(batch...)
}
func (l *MongoDBDataLoader) ReadRecords(limit int) []*Record {
return nil
}
func (l *MongoDBDataLoader) convert(r ...bson.Raw) (result []*OrderBook) {
n := len(r)
var wg sync.WaitGroup
result = make([]*OrderBook, 0, n)
wg.Add(n)
for i := 0; i < n; i++ {
ob := &OrderBook{}
result = append(result, ob)
raw := &r[i]
go func() {
UnmarshalOrderBook(raw, ob)
wg.Done()
}()
}
wg.Wait()
return
}
func UnmarshalOrderBook(raw *bson.Raw, ob *OrderBook) {
timestamp := raw.Lookup("t").Int64()
ob.Time = time.Unix(0, timestamp*int64(time.Millisecond))
asks, _ := raw.Lookup("a").Array().Values()
bids, _ := raw.Lookup("b").Array().Values()
ob.Asks = make([]Item, 0, len(asks))
ob.Bids = make([]Item, 0, len(bids))
for _, v := range asks {
vv, _ := v.Array().Values()
ob.Asks = append(ob.Asks, Item{
Price: vv[0].Double(),
Amount: vv[1].Double(),
})
}
for _, v := range bids {
vv, _ := v.Array().Values()
ob.Bids = append(ob.Bids, Item{
Price: vv[0].Double(),
Amount: vv[1].Double(),
})
}
}
func (l *MongoDBDataLoader) convertOrderBook(items ...mItem) (result []Item) {
for _, v := range items {
result = append(result, Item{
Price: v[0],
Amount: v[1],
})
}
return
}
func (l *MongoDBDataLoader) HasMoreData() bool {
return l.hasMoreData
}
func (l *MongoDBDataLoader) open() {
name := fmt.Sprintf("%v:%v", l.exchange, l.symbol)
l.collection = l.database.Collection(name)
findOptions := options.Find()
// Sort by `t` field asc
findOptions.SetSort(bson.D{{"t", 1}})
cur, err := l.collection.Find(context.TODO(), l.filter, findOptions)
if err != nil {
log.Printf("%v", err)
return
}
l.cur = cur
}
func (l *MongoDBDataLoader) close() {
if l.cur != nil {
l.cur.Close(l.ctx)
}
if l.client != nil {
l.client.Disconnect(l.ctx)
}
l.hasMoreData = false
}
func NewMongoDBDataLoader(uri string, db string, exchange string, symbol string) *MongoDBDataLoader {
clientOptions := options.Client().ApplyURI(uri)
// compressors: snappy/zlib/zstd
clientOptions = clientOptions.SetCompressors([]string{"snappy"})
var client *mongo.Client
var err error
if client, err = mongo.Connect(
context.TODO(), clientOptions); err != nil {
return nil
}
database := client.Database(db)
loader := &MongoDBDataLoader{
client: client,
database: database,
exchange: exchange,
symbol: symbol,
ctx: context.TODO(),
limit: 100000,
hasMoreData: true,
}
return loader
}
func NewMongoDBData(uri string, db string, exchange string, symbol string) *Data {
loader := NewMongoDBDataLoader(uri, db, exchange, symbol)
return &Data{
index: 0,
maxIndex: 0,
data: nil,
dataLoader: loader,
}
}