cob integration scaffold
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Dobromir Popov
256
COBY/storage/schema.py
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256
COBY/storage/schema.py
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"""
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Database schema management for TimescaleDB.
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"""
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from typing import List
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from ..utils.logging import get_logger
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logger = get_logger(__name__)
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class DatabaseSchema:
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"""Manages database schema creation and migrations"""
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@staticmethod
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def get_schema_creation_queries() -> List[str]:
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"""Get list of queries to create the database schema"""
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return [
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# Create TimescaleDB extension
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"CREATE EXTENSION IF NOT EXISTS timescaledb;",
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# Create schema
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"CREATE SCHEMA IF NOT EXISTS market_data;",
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# Order book snapshots table
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"""
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CREATE TABLE IF NOT EXISTS market_data.order_book_snapshots (
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id BIGSERIAL,
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symbol VARCHAR(20) NOT NULL,
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exchange VARCHAR(20) NOT NULL,
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timestamp TIMESTAMPTZ NOT NULL,
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bids JSONB NOT NULL,
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asks JSONB NOT NULL,
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sequence_id BIGINT,
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mid_price DECIMAL(20,8),
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spread DECIMAL(20,8),
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bid_volume DECIMAL(30,8),
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ask_volume DECIMAL(30,8),
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created_at TIMESTAMPTZ DEFAULT NOW(),
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PRIMARY KEY (timestamp, symbol, exchange)
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);
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""",
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# Trade events table
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"""
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CREATE TABLE IF NOT EXISTS market_data.trade_events (
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id BIGSERIAL,
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symbol VARCHAR(20) NOT NULL,
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exchange VARCHAR(20) NOT NULL,
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timestamp TIMESTAMPTZ NOT NULL,
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price DECIMAL(20,8) NOT NULL,
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size DECIMAL(30,8) NOT NULL,
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side VARCHAR(4) NOT NULL,
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trade_id VARCHAR(100) NOT NULL,
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created_at TIMESTAMPTZ DEFAULT NOW(),
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PRIMARY KEY (timestamp, symbol, exchange, trade_id)
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);
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""",
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# Aggregated heatmap data table
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"""
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CREATE TABLE IF NOT EXISTS market_data.heatmap_data (
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symbol VARCHAR(20) NOT NULL,
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timestamp TIMESTAMPTZ NOT NULL,
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bucket_size DECIMAL(10,2) NOT NULL,
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price_bucket DECIMAL(20,8) NOT NULL,
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volume DECIMAL(30,8) NOT NULL,
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side VARCHAR(3) NOT NULL,
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exchange_count INTEGER NOT NULL,
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exchanges JSONB,
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created_at TIMESTAMPTZ DEFAULT NOW(),
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PRIMARY KEY (timestamp, symbol, bucket_size, price_bucket, side)
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);
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""",
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# OHLCV data table
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"""
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CREATE TABLE IF NOT EXISTS market_data.ohlcv_data (
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symbol VARCHAR(20) NOT NULL,
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timestamp TIMESTAMPTZ NOT NULL,
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timeframe VARCHAR(10) NOT NULL,
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open_price DECIMAL(20,8) NOT NULL,
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high_price DECIMAL(20,8) NOT NULL,
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low_price DECIMAL(20,8) NOT NULL,
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close_price DECIMAL(20,8) NOT NULL,
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volume DECIMAL(30,8) NOT NULL,
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trade_count INTEGER,
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vwap DECIMAL(20,8),
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created_at TIMESTAMPTZ DEFAULT NOW(),
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PRIMARY KEY (timestamp, symbol, timeframe)
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);
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""",
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# Exchange status tracking table
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"""
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CREATE TABLE IF NOT EXISTS market_data.exchange_status (
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exchange VARCHAR(20) NOT NULL,
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timestamp TIMESTAMPTZ NOT NULL,
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status VARCHAR(20) NOT NULL,
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last_message_time TIMESTAMPTZ,
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error_message TEXT,
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connection_count INTEGER DEFAULT 0,
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created_at TIMESTAMPTZ DEFAULT NOW(),
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PRIMARY KEY (timestamp, exchange)
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);
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""",
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# System metrics table
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"""
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CREATE TABLE IF NOT EXISTS market_data.system_metrics (
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metric_name VARCHAR(50) NOT NULL,
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timestamp TIMESTAMPTZ NOT NULL,
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value DECIMAL(20,8) NOT NULL,
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labels JSONB,
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created_at TIMESTAMPTZ DEFAULT NOW(),
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PRIMARY KEY (timestamp, metric_name)
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);
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"""
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]
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@staticmethod
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def get_hypertable_creation_queries() -> List[str]:
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"""Get queries to create hypertables"""
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return [
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"SELECT create_hypertable('market_data.order_book_snapshots', 'timestamp', if_not_exists => TRUE);",
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"SELECT create_hypertable('market_data.trade_events', 'timestamp', if_not_exists => TRUE);",
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"SELECT create_hypertable('market_data.heatmap_data', 'timestamp', if_not_exists => TRUE);",
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"SELECT create_hypertable('market_data.ohlcv_data', 'timestamp', if_not_exists => TRUE);",
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"SELECT create_hypertable('market_data.exchange_status', 'timestamp', if_not_exists => TRUE);",
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"SELECT create_hypertable('market_data.system_metrics', 'timestamp', if_not_exists => TRUE);"
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]
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@staticmethod
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def get_index_creation_queries() -> List[str]:
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"""Get queries to create indexes"""
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return [
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# Order book indexes
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"CREATE INDEX IF NOT EXISTS idx_order_book_symbol_exchange ON market_data.order_book_snapshots (symbol, exchange, timestamp DESC);",
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"CREATE INDEX IF NOT EXISTS idx_order_book_timestamp ON market_data.order_book_snapshots (timestamp DESC);",
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# Trade events indexes
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"CREATE INDEX IF NOT EXISTS idx_trade_events_symbol_exchange ON market_data.trade_events (symbol, exchange, timestamp DESC);",
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"CREATE INDEX IF NOT EXISTS idx_trade_events_timestamp ON market_data.trade_events (timestamp DESC);",
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"CREATE INDEX IF NOT EXISTS idx_trade_events_price ON market_data.trade_events (symbol, price, timestamp DESC);",
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# Heatmap data indexes
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"CREATE INDEX IF NOT EXISTS idx_heatmap_symbol_bucket ON market_data.heatmap_data (symbol, bucket_size, timestamp DESC);",
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"CREATE INDEX IF NOT EXISTS idx_heatmap_timestamp ON market_data.heatmap_data (timestamp DESC);",
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# OHLCV data indexes
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"CREATE INDEX IF NOT EXISTS idx_ohlcv_symbol_timeframe ON market_data.ohlcv_data (symbol, timeframe, timestamp DESC);",
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"CREATE INDEX IF NOT EXISTS idx_ohlcv_timestamp ON market_data.ohlcv_data (timestamp DESC);",
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# Exchange status indexes
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"CREATE INDEX IF NOT EXISTS idx_exchange_status_exchange ON market_data.exchange_status (exchange, timestamp DESC);",
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"CREATE INDEX IF NOT EXISTS idx_exchange_status_timestamp ON market_data.exchange_status (timestamp DESC);",
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# System metrics indexes
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"CREATE INDEX IF NOT EXISTS idx_system_metrics_name ON market_data.system_metrics (metric_name, timestamp DESC);",
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"CREATE INDEX IF NOT EXISTS idx_system_metrics_timestamp ON market_data.system_metrics (timestamp DESC);"
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]
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@staticmethod
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def get_retention_policy_queries() -> List[str]:
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"""Get queries to create retention policies"""
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return [
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"SELECT add_retention_policy('market_data.order_book_snapshots', INTERVAL '90 days', if_not_exists => TRUE);",
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"SELECT add_retention_policy('market_data.trade_events', INTERVAL '90 days', if_not_exists => TRUE);",
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"SELECT add_retention_policy('market_data.heatmap_data', INTERVAL '90 days', if_not_exists => TRUE);",
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"SELECT add_retention_policy('market_data.ohlcv_data', INTERVAL '365 days', if_not_exists => TRUE);",
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"SELECT add_retention_policy('market_data.exchange_status', INTERVAL '30 days', if_not_exists => TRUE);",
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"SELECT add_retention_policy('market_data.system_metrics', INTERVAL '30 days', if_not_exists => TRUE);"
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]
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@staticmethod
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def get_continuous_aggregate_queries() -> List[str]:
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"""Get queries to create continuous aggregates"""
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return [
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# Hourly OHLCV aggregate
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"""
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CREATE MATERIALIZED VIEW IF NOT EXISTS market_data.hourly_ohlcv
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WITH (timescaledb.continuous) AS
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SELECT
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symbol,
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exchange,
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time_bucket('1 hour', timestamp) AS hour,
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first(price, timestamp) AS open_price,
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max(price) AS high_price,
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min(price) AS low_price,
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last(price, timestamp) AS close_price,
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sum(size) AS volume,
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count(*) AS trade_count,
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avg(price) AS vwap
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FROM market_data.trade_events
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GROUP BY symbol, exchange, hour
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WITH NO DATA;
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""",
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# Add refresh policy for continuous aggregate
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"""
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SELECT add_continuous_aggregate_policy('market_data.hourly_ohlcv',
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start_offset => INTERVAL '3 hours',
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end_offset => INTERVAL '1 hour',
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schedule_interval => INTERVAL '1 hour',
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if_not_exists => TRUE);
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"""
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]
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@staticmethod
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def get_view_creation_queries() -> List[str]:
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"""Get queries to create views"""
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return [
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# Latest order books view
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"""
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CREATE OR REPLACE VIEW market_data.latest_order_books AS
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SELECT DISTINCT ON (symbol, exchange)
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symbol,
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exchange,
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timestamp,
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bids,
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asks,
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mid_price,
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spread,
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bid_volume,
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ask_volume
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FROM market_data.order_book_snapshots
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ORDER BY symbol, exchange, timestamp DESC;
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""",
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# Latest heatmaps view
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"""
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CREATE OR REPLACE VIEW market_data.latest_heatmaps AS
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SELECT DISTINCT ON (symbol, bucket_size, price_bucket, side)
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symbol,
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bucket_size,
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price_bucket,
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side,
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timestamp,
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volume,
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exchange_count,
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exchanges
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FROM market_data.heatmap_data
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ORDER BY symbol, bucket_size, price_bucket, side, timestamp DESC;
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"""
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]
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@staticmethod
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def get_all_creation_queries() -> List[str]:
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"""Get all schema creation queries in order"""
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queries = []
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queries.extend(DatabaseSchema.get_schema_creation_queries())
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queries.extend(DatabaseSchema.get_hypertable_creation_queries())
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queries.extend(DatabaseSchema.get_index_creation_queries())
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queries.extend(DatabaseSchema.get_retention_policy_queries())
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queries.extend(DatabaseSchema.get_continuous_aggregate_queries())
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queries.extend(DatabaseSchema.get_view_creation_queries())
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return queries
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