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sqlDAM.py
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sqlDAM.py
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'''
Created on Nov 9, 2011
@author: ppa
'''
from ultrafinance.dam.baseDAM import BaseDAM
from ultrafinance.model import Quote, Tick, TupleQuote
from ultrafinance.lib.util import splitListEqually
import sys
from sqlalchemy import Column, Integer, String, Float, Sequence, create_engine, and_
from sqlalchemy.orm import sessionmaker, scoped_session
from sqlalchemy.ext.declarative import declarative_base
Base = declarative_base()
import logging
LOG = logging.getLogger()
class FmSql(Base):
__tablename__ = 'fundamental'
id = Column(Integer, Sequence('user_id_seq'), primary_key = True)
symbol = Column(String(12))
field = Column(String(50))
timeStamp = Column(String(50))
value = Column(Float)
def __init__(self, symbol, field, timeStamp, value):
''' constructor '''
self.symbol = symbol
self.field = field
self.timeStamp = timeStamp
self.value = value
def __repr__(self):
return "<Fundamentals('%s', '%s', '%s', '%s')>" \
% (self.symbol, self.field, self.timeStamp, self.value)
class QuoteSql(Base):
__tablename__ = 'quotes'
id = Column(Integer, Sequence('user_id_seq'), primary_key = True)
symbol = Column(String(12))
time = Column(Integer)
open = Column(Float)
high = Column(Float)
low = Column(Float)
close = Column(Float)
volume = Column(Integer)
adjClose = Column(Float)
def __init__(self, symbol, time, open, high, low, close, volume, adjClose):
''' constructor '''
self.symbol = symbol
self.time = time
self.open = open
self.high = high
self.low = low
self.close = close
self.volume = volume
self.adjClose = adjClose
def __repr__(self):
return "<Quote('%s', '%s','%s', '%s', '%s','%s', '%s', '%s')>" \
% (self.symbol, self.time, self.open, self.high, self.low, self.close, self.volume, self.adjClose)
class TickSql(Base):
__tablename__ = 'ticks'
id = Column(Integer, Sequence('user_id_seq'), primary_key = True)
symbol = Column(String(12))
time = Column(Integer)
open = Column(Float)
high = Column(Float)
low = Column(Float)
close = Column(Float)
volume = Column(Integer)
def __init__(self, symbol, time, open, high, low, close, volume):
''' constructor '''
self.symbol = symbol
self.time = time
self.open = open
self.high = high
self.low = low
self.close = close
self.volume = volume
def __repr__(self):
return "<Tick('%s', '%s', '%s', '%s', '%s', '%s', '%s')>" \
% (self.symbol, self.time, self.open, self.high, self.low, self.close, self.volume)
class SqlDAM(BaseDAM):
'''
SQL DAM
'''
def __init__(self, echo = False):
''' constructor '''
super(SqlDAM, self).__init__()
self.echo = echo
self.first = True
self.engine = None
self.ReadSession = None
self.WriteSession = None
self.writeSession = None
def setup(self, setting):
''' set up '''
if 'db' not in setting:
raise Exception("db not specified in setting")
self.engine = create_engine(setting['db'], echo = self.echo)
def getReadSession(self):
''' return scopted session '''
if self.ReadSession is None:
self.ReadSession = scoped_session(sessionmaker(bind = self.engine))
return self.ReadSession
def getWriteSession(self):
''' return unscope session, TODO, make it clear '''
if self.WriteSession is None:
self.WriteSession = sessionmaker(bind = self.engine)
self.writeSession = self.WriteSession()
return self.writeSession
def __sqlToQuote(self, row):
''' convert row result to Quote '''
return Quote(row.time, row.open, row.high, row.low, row.close, row.volume, row.adjClose)
def __sqlToTupleQuote(self, row):
''' convert row result to tuple Quote '''
#return TupleQuote(row.time, row.open, row.high, row.low, row.close, row.volume, row.adjClose)
#TODO -- remove type conversion, crawler should get the right type
return TupleQuote(row.time, row.close, int(row.volume), row.low, row.high)
def __sqlToTick(self, row):
''' convert row result to Tick '''
return Tick(row.time, row.open, row.high, row.low, row.close, row.volume)
def __sqlToTupleTick(self, row):
''' convert row result to tuple Tick '''
return Tick(row.time, row.open, row.high, row.low, row.close, row.volume)
def __tickToSql(self, tick):
''' convert tick to TickSql '''
return TickSql(self.symbol, tick.time, tick.open, tick.high, tick.low, tick.close, tick.volume)
def __quoteToSql(self, quote):
''' convert tick to QuoteSql '''
return QuoteSql(self.symbol, quote.time, quote.open, quote.high, quote.low, quote.close, quote.volume, quote.adjClose)
def readQuotes(self, start, end):
''' read quotes '''
if end is None:
end = sys.maxint
session = self.getReadSession()()
try:
rows = session.query(QuoteSql).filter(and_(QuoteSql.symbol == self.symbol,
QuoteSql.time >= int(start),
QuoteSql.time < int(end)))
finally:
self.getReadSession.remove()
return [self.__sqlToQuote(row) for row in rows]
def readTupleQuotes(self, start, end):
''' read quotes as tuple '''
if end is None:
end = sys.maxint
session = self.getReadSession()()
try:
rows = session.query(QuoteSql).filter(and_(QuoteSql.symbol == self.symbol,
QuoteSql.time >= int(start),
QuoteSql.time < int(end)))
finally:
self.getReadSession().remove()
return [self.__sqlToTupleQuote(row) for row in rows]
def readBatchTupleQuotes(self, symbols, start, end):
'''
read batch quotes as tuple to save memory
'''
if end is None:
end = sys.maxint
ret = {}
session = self.getReadSession()()
try:
symbolChunks = splitListEqually(symbols, 100)
for chunk in symbolChunks:
rows = session.query(QuoteSql.symbol, QuoteSql.time, QuoteSql.close, QuoteSql.volume,
QuoteSql.low, QuoteSql.high).filter(and_(QuoteSql.symbol.in_(chunk),
QuoteSql.time >= int(start),
QuoteSql.time < int(end)))
for row in rows:
if row.time not in ret:
ret[row.time] = {}
ret[row.time][row.symbol] = self.__sqlToTupleQuote(row)
finally:
self.getReadSession().remove()
return ret
def readTupleTicks(self, start, end):
''' read ticks as tuple '''
if end is None:
end = sys.maxint
session = self.getReadSession()()
try:
rows = session.query(TickSql).filter(and_(TickSql.symbol == self.symbol,
TickSql.time >= int(start),
TickSql.time < int(end)))
finally:
self.getReadSession().remove()
return [self.__sqlToTupleTick(row) for row in rows]
def readTicks(self, start, end):
''' read ticks '''
if end is None:
end = sys.maxint
session = self.getReadSession()()
try:
rows = session.query(TickSql).filter(and_(TickSql.symbol == self.symbol,
TickSql.time >= int(start),
TickSql.time < int(end)))
finally:
self.getReadSession().remove()
return [self.__sqlToTick(row) for row in rows]
def writeQuotes(self, quotes):
''' write quotes '''
if self.first:
Base.metadata.create_all(self.engine, checkfirst = True)
self.first = False
session = self.getWriteSession()
session.add_all([self.__quoteToSql(quote) for quote in quotes])
def writeTicks(self, ticks):
''' write ticks '''
if self.first:
Base.metadata.create_all(self.engine, checkfirst = True)
self.first = False
session = self.getWriteSession()
session.add_all([self.__tickToSql(tick) for tick in ticks])
def commit(self):
''' commit changes '''
session = self.getWriteSession()
session.commit()
def destruct(self):
''' destructor '''
if self.getWriteSession():
self.WriteSession.remove()
self.WriteSession = None
self.writeSession = None
if self.getReadSession():
self.getReadSession().remove()
self.ReadSession = None
'''
read/write fundamentals
TODO: when doing fundamentals and quote/tick operation together,
things may mess up
'''
def writeFundamental(self, keyTimeValueDict):
''' write fundamental '''
if self.first:
Base.metadata.create_all(self.__getEngine(), checkfirst = True)
self.first = False
sqls = self._fundamentalToSqls(keyTimeValueDict)
session = self.Session()
try:
session.add_all(sqls)
finally:
self.Session.remove()
def readFundamental(self):
''' read fundamental '''
rows = self.__getSession().query(FmSql).filter(and_(FmSql.symbol == self.symbol))
return self._sqlToFundamental(rows)
def _sqlToFundamental(self, rows):
keyTimeValueDict = {}
for row in rows:
if row.field not in keyTimeValueDict:
keyTimeValueDict[row.field] = {}
keyTimeValueDict[row.field][row.timeStamp] = row.value
return keyTimeValueDict
def _fundamentalToSqls(self, keyTimeValueDict):
''' convert fundament dict to sqls '''
sqls = []
for key, timeValues in keyTimeValueDict.iteritems():
for timeStamp, value in timeValues.iteritems():
sqls.append(FmSql(self.symbol, key, timeStamp, value))
return sqls