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@jonatas
Last active September 21, 2022 00:30
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require 'bundler/inline'
gemfile(true) do
gem 'timescaledb'
gem 'pry'
end
require 'pp'
# ruby caggs.rb postgres://user:pass@host:port/db_name
ActiveRecord::Base.establish_connection( ARGV.last)
class Tick < ActiveRecord::Base
self.table_name = 'ticks'
self.primary_key = nil
acts_as_hypertable time_column: 'time'
%w[open high low close].each{|name| attribute name, :decimal}
scope :ohlc, -> (timeframe='1m') do
select("time_bucket('#{timeframe}', time) as time,
symbol,
FIRST(price, time) as open,
MAX(price) as high,
MIN(price) as low,
LAST(price, time) as close,
SUM(volume) as volume").group("1,2")
end
end
ActiveRecord::Base.connection.instance_exec do
drop_table(:ticks, force: :cascade) if Tick.table_exists?
hypertable_options = {
time_column: 'time',
chunk_time_interval: '1 day',
compress_segmentby: 'symbol',
compress_orderby: 'time',
compression_interval: '7 days'
}
create_table :ticks, hypertable: hypertable_options, id: false do |t|
t.timestamp :time
t.string :symbol
t.decimal :price
t.integer :volume
end
end
FAANG = %w[META AMZN AAPL NFLX GOOG]
OPERATION = [:+, :-]
RAND_VOLUME = -> { (rand(10) * rand(10)) * 100 }
RAND_CENT = -> { (rand / 50.0).round(2) }
def generate_fake_data(total: 100)
previous_price = {}
time = Time.now
(total / FAANG.size).times.flat_map do
time += rand(10)
FAANG.map do |symbol|
if previous_price[symbol]
price = previous_price[symbol].send(OPERATION.sample, RAND_CENT.()).round(2)
else
price = 50 + rand(100)
end
payload = { time: time, symbol: symbol, price: price, volume: RAND_VOLUME.() }
previous_price[symbol] = price
payload
end
end
end
batch = generate_fake_data total: 10_000
ActiveRecord::Base.logger = nil
Tick.insert_all(batch, returning: false)
ActiveRecord::Base.logger = Logger.new(STDOUT)
ActiveRecord::Base.connection.instance_exec do
create_continuous_aggregates('ohlc_1m', Tick.ohlc('1m'), with_data: true)
end
class Ohlc1m < ActiveRecord::Base
self.table_name = 'ohlc_1m'
attribute :time, :time
attribute :symbol, :string
%w[open high low close volume].each{|name| attribute name, :decimal}
def readonly?
true
end
end
binding.pry
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