dataloader/src/data_loader.py

from code_list import code_list_pickel
from TSLfm import TSLfm
from DDBfm import DDBfm
import pandas as pd
from loguru import logger
from os.path import dirname, abspath, join
import sys

running_which_env = 'prd'


ROOT_DIR = abspath(join(dirname(abspath(__file__)), ".."))
logger.remove()
logger.add(sys.stderr, level="INFO")
logger.add(ROOT_DIR+"/logs/{time:YYYYMMDD-HHmmss}"+f"_{running_which_env}.log",
           rotation="10 MB", compression="zip", level="DEBUG")


def run_add_1day_code_init_minKline(date, code_list):
    """
    too slow. depracated.
    """
    ddb = DDBfm(running_which_env)

    code_list_filtered = []
    for code in code_list:
        if ddb.search_code_date_in_tb(ddb.ddf_hft_mink_tbname, date, code):
            logger.warning(f"Possible duplicates on {date} and {code}")
        else:
            code_list_filtered.append(code)
    if len(code_list_filtered) == 0:
        return 0

    with TSLfm() as tsl:
        df = tsl.process_result_data_type(
            tsl.get_mkt_min_k(date, date, code_list_filtered))
    if not df.empty:
        logger.info(
            f'Getting a df of {df.shape}: {code_list[0][:-4]} on {date}')
        ddb.append_hft_table(ddb.ddf_hft_mink_tbname, df)


def check_if_date_codelist_exists(typ, date, code_list):
    code_list_filtered = code_list
    ddb1 = DDBfm(running_which_env)

    if typ == 'tick':
        tbName = ddb1.ddf_hft_tick_tbname
    elif typ == 'mink':
        tbName = ddb1.ddf_hft_mink_tbname

    code_list_filtered = ddb1.get_missing_code_date_in_tb(
        tbName, date, code_list)

    if code_list_filtered:
        logger.info(
            f"Need to download {'+'.join(code_list_filtered)} on {date} in {tbName}")
    else:
        logger.info(f"all codes checked in database {tbName} on {date}")
    ddb1.close_sess()
    del ddb1
    return code_list_filtered


def run_pool_add_by_datelist_codeinit(typ, date_list, code_list, if_check=1):
    df_list = []

    for date in date_list:
        if if_check:
            code_list_filtered = check_if_date_codelist_exists(
                typ, date, code_list)
        else:
            code_list_filtered = code_list
        with TSLfm() as tsl:
            if typ == 'tick':
                df = tsl.process_result_data_type(
                    tsl.get_trade_tick(date, date, code_list_filtered))
            elif typ == 'mink':
                df = tsl.process_result_data_type(
                    tsl.get_mkt_min_k(date, date, code_list_filtered))
        if not df.empty:
            df_list.append(df)
    if not df_list:
        return 0
    df_all = pd.concat(df_list)

    ddb2 = DDBfm(running_which_env, pool=True)
    logger.info(
        f'Getting a df of {df_all.shape}: {code_list[0][:-4]} on {"+".join(date_list)}')
    if typ == 'tick':
        ddb2.append_pool_hft_table(ddb2.ddf_hft_tick_tbname, df_all)
    elif typ == 'mink':
        ddb2.append_pool_hft_table(ddb2.ddf_hft_mink_tbname, df_all)
    ddb2.close_sess()
    del ddb2


def run_create_hft_db(date='20221101', if_mink=1, if_tick=1):
    code_list = ['T2212']
    ddb = DDBfm(running_which_env)
    ddb.create_hft_database()

    if if_mink:
        logger.info(f"creating mink on {date} for {code_list[0]}")
        with TSLfm() as tsl:
            df_mink = tsl.process_result_data_type(
                tsl.get_mkt_min_k(date, date, code_list))
            # print(df)
        ddb.create_hft_table(ddb.ddf_hft_mink_tbname, df_mink)

    if if_tick:
        logger.info(f"creating tick on {date} for {code_list[0]}")
        with TSLfm() as tsl:
            df_tick = tsl.process_result_data_type(
                tsl.get_trade_tick(date, date, code_list))
            # print(df)

        ddb.create_hft_table(ddb.ddf_hft_tick_tbname, df_tick)


def run():
    """
    too slow. depracated.
    """
    all_code_dict_by_init = {}
    for c in code_list_pickel:
        init = c[:-4]
        if init in all_code_dict_by_init:
            all_code_dict_by_init[init].append(c)
        else:
            all_code_dict_by_init[init] = [c]

    # print(all_code_dict_by_init)

    start_date = '2022-09-30'
    end_date = '2022-10-31'
    allDates = pd.date_range(start_date, end_date, freq='D')
    allDates = [i.replace('-', '') for i in list(allDates.astype('str'))]

    for date in allDates:
        for ind, code_init in enumerate(all_code_dict_by_init):
            logger.info(f"Getting {code_init} (no.{ind})")
            code_list = all_code_dict_by_init[code_init]

            run_add_1day_code_init_minKline(date, code_list)


def run_pool_dates_by_code_init_n_group(typ='mink', code_gp_amt=10, date_gp_amt=10, start_date='20220101', end_date='20221031', if_check=1, code_dict_by='init'):
    logger.info("Running run_pool_dates_by_group")

    all_code_dict_by_init = {}
    for c in code_list_pickel:
        init = c[:-4]
        if init in all_code_dict_by_init:
            all_code_dict_by_init[init].append(c)
        else:
            all_code_dict_by_init[init] = [c]

    if code_dict_by == 'init':
        all_code_dict = all_code_dict_by_init
    if code_dict_by == 'group':
        all_code_dict_by_group_no = {}
        for ind, code_init in enumerate(sorted(all_code_dict_by_init)):
            group_no = ind % code_gp_amt
            if group_no not in all_code_dict_by_group_no:
                all_code_dict_by_group_no[group_no] = all_code_dict_by_init[code_init]
            else:
                all_code_dict_by_group_no[group_no] += all_code_dict_by_init[code_init]
        all_code_dict = all_code_dict_by_group_no

    allDates = pd.date_range(start_date, end_date, freq='D')
    dates_dict_by_day = {}

    for d in list(allDates.astype('str')):
        group_no = int(d[-2:]) % date_gp_amt
        if group_no not in dates_dict_by_day:
            dates_dict_by_day[group_no] = [d.replace('-', '')]
        else:
            dates_dict_by_day[group_no].append(d.replace('-', ''))

    logger.debug(dates_dict_by_day)

    for group_no in dates_dict_by_day:
        date_list = dates_dict_by_day[group_no]
        num_of_code_group = len(all_code_dict)
        for ind, code_init in enumerate(all_code_dict):
            # done: 'T','TS','TS','TF'
            # if code_init in ['T']: # todo filtered this ,,'TF', 'IC','IF','IH','IM'
            logger.info(
                f"Getting {code_init} (no.{ind}/{num_of_code_group} of date_group {group_no}/{date_gp_amt})")
            code_list = all_code_dict[code_init]
            if typ == 'mink':
                # logger.info('Running mink')
                print(date_list)
                print(code_list)
                run_pool_add_by_datelist_codeinit(
                    'mink', date_list, code_list, if_check)

                # run_pool_add_byday_code_init_minKline(date_list,code_list)
            elif typ == 'tick':
                logger.info('Running tick')
                run_pool_add_by_datelist_codeinit(
                    'tick', date_list, code_list, if_check)


if __name__ == '__main__':
    import time

    # run_create_hft_db() # including two tables

    tic = time.perf_counter()

    typ = 'mink'
    st_d = '20221102'
    en_d = '20221103'
    if_check = 1
    split_code_into_howmany_groups_no = 10
    split_date_into_howmany_groups = 5

    logger.info(
        f"Going to run {typ} from {st_d} to {en_d} with if_check dupliactes={if_check} in {running_which_env}, plz check if this info is correct.\n\n\n\n")
    run_pool_dates_by_code_init_n_group(typ=typ, code_gp_amt=split_code_into_howmany_groups_no,
                                        date_gp_amt=split_date_into_howmany_groups, start_date=st_d, end_date=en_d, if_check=if_check, code_dict_by='group')
    # run_pool_dates_by_code_init_n_group(typ='mink',group_amount=5)

    toc = time.perf_counter()

    logger.info(f"Running used {toc - tic:0.4f} seconds")

    # all t taks  Running used 588.5782 seconds for 10 months
    # 600/60=10 min 12min for take code_init
    # 12* 71 = 850 min / 60 = 15 hr for all code for each year