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">=3.10,<3.11" -content-hash = "e8cfd5dbc34d1cc121f86655bbb23d140fc89c9c05b61b014e3d8cebf09cdf70" +content-hash = "048d1f792b84b8ad6af94ad3b56cb0162f0c08d7f3291cb69124b3f83addc5d2" diff --git a/pyproject.toml b/pyproject.toml index b07bcc3e..5f7aae82 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -37,6 +37,7 @@ trading-strategy-backtrader = {version="^0.1", optional = true} coloredlogs = {version = "^15.0.1", optional = true} filelock = "^3.12.4" pytest-xdist = {version="^3.3.1", optional = true} +fastparquet = "^2023.8.0" [tool.poetry.dev-dependencies] pytest = "7.1.3" diff --git a/tradingstrategy/reader.py b/tradingstrategy/reader.py index 9ebb2f93..d029000d 100644 --- a/tradingstrategy/reader.py +++ b/tradingstrategy/reader.py @@ -1,11 +1,18 @@ -"""Reading and consuming datasets.""" +"""Reading and consuming datasets. + +Python has two backends for dealing with Parquet files + +- ``fastparquet`` + +- ``pyarrow`` + +FastParquet is used. A legacy function using PyArrow is still around. +""" import logging from pathlib import Path from typing import Optional, List, Tuple -import pyarrow as pa -from pyarrow import parquet as pq, ArrowInvalid logger = logging.getLogger(__name__) @@ -18,9 +25,34 @@ def __init__(self, msg: str, path: Path): self.path = path -def read_parquet(path: Path, filters: Optional[List[Tuple]]=None) -> pa.Table: +def read_parquet_fastparquet(path: Path, filters: Optional[List[Tuple]]=None) -> "fastparquet.ParquetFile": """Reads compressed Parquet file of data to memory. + Uses ``fastparquet`` backend. + + File or stream can describe :py:class:`tradingstrategy.candle.Candle` + or :py:class:`tradingstrategy.pair.DEXPair` data. + + + :param stream: + A file input that must support seeking. + + :param filters: + Unsupported + + """ + from fastparquet import ParquetFile + pf = ParquetFile(path) + return pf + + +def read_parquet_pyarrow(path: Path, filters: Optional[List[Tuple]]=None) -> "pyarrow.Table": + """Reads compressed Parquet file of data to memory. + + .. warning:: + + Please use ``read_parquet_fastparquet`` instead, as it consumes less memory. + File or stream can describe :py:class:`tradingstrategy.candle.Candle` or :py:class:`tradingstrategy.pair.DEXPair` data. @@ -40,6 +72,10 @@ def read_parquet(path: Path, filters: Optional[List[Tuple]]=None) -> pa.Table: Parquet read_table filters. """ + + import pyarrow as pa + from pyarrow import parquet as pq, ArrowInvalid + assert isinstance(path, Path), f"Expected path: {path}" f = path.as_posix() logger.info("Reading Parquet %s", f) @@ -55,3 +91,8 @@ def read_parquet(path: Path, filters: Optional[List[Tuple]]=None) -> pa.Table: path=path) \ from e return table + + +#: Choose between different backends +#: +read_parquet = read_parquet_fastparquet \ No newline at end of file From 8a7b0c1a687cafd148e7debb8d06ec19d22cae2c Mon Sep 17 00:00:00 2001 From: Mikko Ohtamaa Date: Mon, 16 Oct 2023 12:52:26 +0200 Subject: [PATCH 2/6] Handle FastParquet missing data types --- tradingstrategy/pair.py | 5 +++++ tradingstrategy/reader.py | 2 +- 2 files changed, 6 insertions(+), 1 deletion(-) diff --git a/tradingstrategy/pair.py b/tradingstrategy/pair.py index 77f27e3c..29c1007d 100644 --- a/tradingstrategy/pair.py +++ b/tradingstrategy/pair.py @@ -2098,6 +2098,11 @@ def _preprocess_loaded_pair_data(data: dict) -> dict: assert isinstance(data, dict) def _fix_val(v): + + if v is pd.NA: + # FastParquet fills missing data with pandas._libs.missing.NAType + return None + try: if isnan(v): return None diff --git a/tradingstrategy/reader.py b/tradingstrategy/reader.py index d029000d..8e5eb8be 100644 --- a/tradingstrategy/reader.py +++ b/tradingstrategy/reader.py @@ -1,4 +1,4 @@ -"""Reading and consuming datasets. +"""Reading and consuming Parquet dataset files. Python has two backends for dealing with Parquet files From 7394acc773b9a5b3de9e613659d95d0098f9809c Mon Sep 17 00:00:00 2001 From: Mikko Ohtamaa Date: Mon, 16 Oct 2023 13:06:48 +0200 Subject: [PATCH 3/6] FastParquet is still broken --- tests/test_candle_universe.py | 1 + testscript.py | 32 ++++++++++++++++++++++++++++++++ tradingstrategy/reader.py | 14 ++++++++------ 3 files changed, 41 insertions(+), 6 deletions(-) create mode 100644 testscript.py diff --git a/tests/test_candle_universe.py b/tests/test_candle_universe.py index 60e917ca..c89d9a89 100644 --- a/tests/test_candle_universe.py +++ b/tests/test_candle_universe.py @@ -34,6 +34,7 @@ def test_grouped_candles(persistent_test_client: Client): sushi_usdt_candles = candle_universe.get_candles_by_pair(sushi_usdt.pair_id) # Get max and min weekly candle of SUSHI-USDT on SushiSwap + import ipdb ; ipdb.set_trace() high_price = sushi_usdt_candles["high"] max_price = high_price.max() diff --git a/testscript.py b/testscript.py new file mode 100644 index 00000000..2350f80c --- /dev/null +++ b/testscript.py @@ -0,0 +1,32 @@ +"""Compare pyarrow and fastparquet files. + +- Use the sample Parquet file (54MB): https://drive.google.com/file/d/1LtiL-n50cNx1JMBC0QE-Ztvf8ENSb-OE/view?usp=sharing + - save as "/tmp/candles-30d.parquet" + +- We found out that rows and the contents of pair_id column is corrupted + (among other corruption if you do row by row comparison, but this is easy to spot)] + +- One potential cause is usage of row groups in the file + +- The file has been written with pyarrow / Python + + +""" +from pyarrow import parquet as pq # pyarrow 10 +from fastparquet import ParquetFile # fastparquet 2023.1.0 + +path = "/tmp/candles-30d.parquet" + +pf1 = ParquetFile(path) +pf2 = pq.read_table(path) + +df1 = pf1.to_pandas() +df2 = pf2.to_pandas() + +print("Rows ", len(df2)) +assert len(df1) == len(df2) # Passes, looks like row count matches + +# fastparquet only sees 1280 pair_ids out of 150903 +print("Unique pairs fastparquet", len(df1.pair_id.unique())) +print("Unique pairs pyarrow", len(df2.pair_id.unique())) +assert len(df1.pair_id.unique()) == len(df2.pair_id.unique()) \ No newline at end of file diff --git a/tradingstrategy/reader.py b/tradingstrategy/reader.py index 8e5eb8be..e8568fb8 100644 --- a/tradingstrategy/reader.py +++ b/tradingstrategy/reader.py @@ -28,12 +28,17 @@ def __init__(self, msg: str, path: Path): def read_parquet_fastparquet(path: Path, filters: Optional[List[Tuple]]=None) -> "fastparquet.ParquetFile": """Reads compressed Parquet file of data to memory. + .. warning:: + + Currently the read candle data is corrupted. + + See https://github.com/dask/fastparquet/issues/849 + Uses ``fastparquet`` backend. File or stream can describe :py:class:`tradingstrategy.candle.Candle` or :py:class:`tradingstrategy.pair.DEXPair` data. - :param stream: A file input that must support seeking. @@ -49,10 +54,6 @@ def read_parquet_fastparquet(path: Path, filters: Optional[List[Tuple]]=None) -> def read_parquet_pyarrow(path: Path, filters: Optional[List[Tuple]]=None) -> "pyarrow.Table": """Reads compressed Parquet file of data to memory. - .. warning:: - - Please use ``read_parquet_fastparquet`` instead, as it consumes less memory. - File or stream can describe :py:class:`tradingstrategy.candle.Candle` or :py:class:`tradingstrategy.pair.DEXPair` data. @@ -95,4 +96,5 @@ def read_parquet_pyarrow(path: Path, filters: Optional[List[Tuple]]=None) -> "py #: Choose between different backends #: -read_parquet = read_parquet_fastparquet \ No newline at end of file +#read_parquet = read_parquet_fastparquet +read_parquet = read_parquet_pyarrow \ No newline at end of file From 78072f604c07fdd3bb262b5fad3e7c481e8d7404 Mon Sep 17 00:00:00 2001 From: Mikko Ohtamaa Date: Mon, 16 Oct 2023 21:40:30 +0200 Subject: [PATCH 4/6] Bump FastParquet --- .pymon | Bin 0 -> 24576 bytes poetry.lock | 1251 +++++++++++++++++---------------- tests/test_candle_universe.py | 5 +- tradingstrategy/reader.py | 4 +- 4 files changed, 659 insertions(+), 601 deletions(-) create mode 100644 .pymon diff --git a/.pymon b/.pymon new file mode 100644 index 0000000000000000000000000000000000000000..3ab85a23544e3e0a55a5f865c167f3718342ff68 GIT binary patch literal 24576 zcmeI4UvJw~6u_N!?MlT6h=+#osiC$pWgGELTvechTRcIG%` z1tBpeB;I)9L+}aM3-9|7`yf1WuG1vV(r$g6;8=<6_?|!a{?56_vFpaUe-LGigh|?` z8Bv6fg+f92nh-${R?ptB$(LnVUpw39o5H#M%XU|Va{Tf}@gHGj?UnG+%i`bbf3Ce+ z4=xkO<46DrAOR$R1dsp{xH^FspIy7YAxVW_A7`}NW5z>6@3_sD<>@WUH6FUo;*k~I zHX5!$+{T>)gDkd_t#v|(VLkBn$q7yUW14PhYKaWes87>V@`Rm|ILSyn>h;Jdj-HO# zHrLSG9q`(*ToT0@J7Ved=$>ud?--VT=$ZT9F0{IbZR5P7soDd>+HKj>Cb^=O@;19+ zdTz^Y9C+rPIcsJ^-)~xmXSH@`7AulGR-3fW`BUC#Y}op2)Y6$l=g@Ht(`#CLt;OE7 z58Zv>J=e&6u9x(c)s1hYf)K?4dp3O9gD;#O9c4-W*;@qfNsGr;fBSIx`o^tWh2J0L z0d@_?^-ROHn>zGqwtsCdsOMY8;UtdXI6Nm}bu@eygCX2*Oy{XqhzhXdxr zsC>%%Ikh{Bqo~%#CM`Pa12;L9^&T|rW&`qiG8^QnPAeZh?U4aZK|M>OA96puYZSTw zX38@=dyaR|(l0P$vmU4cjR7B4m?nKPIOQB5y-$*H*GUkiz$}3om?b$VZhdn|`bjYA zv9X(bO>1{*e*(Kr{U`K@Z4)z>BuPrbQ4ILcc<3#&-Li~x1LXNjtj@tf&f0~Juz>gp z0F8OzBR;s(d|cysn8!HmB{Ul=BpD#dV+!;^Asxjrj|>m*6m7>b>~VI?G|%ZoF&Pb6 z3h|>p%YEH5Y|A)!yUG)m#;kWviC3kL)3|GpnHPUB0^5KjH)}$wzA0hSXC!6Ad`gf$ z>vQVRn_x_NuVov}yB4`;9FncPP?m^o>=`!HIK#Q1q@D@o)r-t&Pp9Rag?#>=H91=| znf1~yONHwjo129f`m7vG1n0Dt77M~eF0bzw7lgMK`L`4cyJLB~{G>9OB9q+PrErza zCpJ%JNQ0cXqeC&B<*6i}%|JL#;B*roL6!u$WNz1Rbi3K+XEpNO5OTIuUs~NTH!mx! za~M2n?jygJU*l)j8}ME#ekm0HfE6xC00|%gB!C2v01`j~NB{{S0VIF~{`Ul;r4_UB z_>+KDRMw^SZXi;%+tq@)q{)g@Q^T;rYE>qSva%zIJCf$g(rx~#l`EQ7t7%oGu2SEx zR+Vm@R=P^S>P(Xqtx^x_l|U5hwXj|j>;8{FMTOi|mno_gR=br-7{XSiRAx$*g>pb8 zxB)0Fx)RIvT1^$@tGil3g$oiu0!RP}AOR$R1dsp{Kmter2_OL^@IDdv zV%aRb>rTYd&1Lh0ciltafB%Pv{&7J9NB{{S0VIF~kN^@u0!RP}AOR$R1pdPW`1OCG z*cRZ03lcyANB{{S0VIF~kN^@u0!RP}AOR$BMFP)v3OCHc+NZacKi}B+>iNxTP4N{P zbZHQ()rzllDTQbFyR~jrm1MOpuG6&N7z}!hm=b|sTM&L0hND69tlXn9G-;})cB5>U zrtpg%WQWLdSu2Z5SrW^VLbm!einmE)bVOv8@P7x`28r8>c3ag-=5.30)", "pytest-xdi [[package]] name = "cycler" -version = "0.12.0" +version = "0.12.1" description = "Composable style cycles" optional = true python-versions = ">=3.8" files = [ - {file = "cycler-0.12.0-py3-none-any.whl", hash = "sha256:7896994252d006771357777d0251f3e34d266f4fa5f2c572247a80ab01440947"}, - {file = "cycler-0.12.0.tar.gz", hash = "sha256:8cc3a7b4861f91b1095157f9916f748549a617046e67eb7619abed9b34d2c94a"}, + {file = "cycler-0.12.1-py3-none-any.whl", hash = "sha256:85cef7cff222d8644161529808465972e51340599459b8ac3ccbac5a854e0d30"}, + {file = "cycler-0.12.1.tar.gz", hash = "sha256:88bb128f02ba341da8ef447245a9e138fae777f6a23943da4540077d3601eb1c"}, ] [package.extras] @@ -768,13 +788,13 @@ cython = ["cython"] [[package]] name = "dash" -version = "2.13.0" +version = "2.14.0" description = "A Python framework for building reactive web-apps. 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"jaraco.packaging (>=9.3)", "jaraco.tidelift (>=1.4)", "rst.linker (>=1.9)", "sphinx (<7.2.5)", "sphinx (>=3.5)", "sphinx-lint"] +testing = ["big-O", "jaraco.functools", "jaraco.itertools", "more-itertools", "pytest (>=6)", "pytest-black (>=0.3.7)", "pytest-checkdocs (>=2.4)", "pytest-cov", "pytest-enabler (>=2.2)", "pytest-ignore-flaky", "pytest-mypy (>=0.9.1)", "pytest-ruff"] + [extras] backtrader = ["trading-strategy-backtrader"] direct-feed = ["dash", "typer", "web3-ethereum-defi"] diff --git a/tests/test_candle_universe.py b/tests/test_candle_universe.py index c89d9a89..de7577c7 100644 --- a/tests/test_candle_universe.py +++ b/tests/test_candle_universe.py @@ -1,6 +1,7 @@ """Candle universe loading tests.""" import datetime +import sys import pandas import pandas as pd @@ -15,7 +16,7 @@ from tradingstrategy.utils.groupeduniverse import resample_candles -def test_grouped_candles(persistent_test_client: Client): +def test_grouped_candles(persistent_test_client: Client, logger): """Group downloaded candles by a trading pair.""" client = persistent_test_client @@ -33,8 +34,6 @@ def test_grouped_candles(persistent_test_client: Client): assert sushi_usdt.get_trading_pair_page_url() == "https://tradingstrategy.ai/trading-view/ethereum/sushi/sushi-usdt" sushi_usdt_candles = candle_universe.get_candles_by_pair(sushi_usdt.pair_id) - # Get max and min weekly candle of SUSHI-USDT on SushiSwap - import ipdb ; ipdb.set_trace() high_price = sushi_usdt_candles["high"] max_price = high_price.max() diff --git a/tradingstrategy/reader.py b/tradingstrategy/reader.py index e8568fb8..54cbff26 100644 --- a/tradingstrategy/reader.py +++ b/tradingstrategy/reader.py @@ -96,5 +96,5 @@ def read_parquet_pyarrow(path: Path, filters: Optional[List[Tuple]]=None) -> "py #: Choose between different backends #: -#read_parquet = read_parquet_fastparquet -read_parquet = read_parquet_pyarrow \ No newline at end of file +read_parquet = read_parquet_fastparquet +#read_parquet = read_parquet_pyarrow \ No newline at end of file From 0b5a4b3765df4c15f8f04b08785044a29a2734f1 Mon Sep 17 00:00:00 2001 From: Mikko Ohtamaa Date: Mon, 16 Oct 2023 21:48:58 +0200 Subject: [PATCH 5/6] Rip off pyarrow.Table --- tests/test_candle_universe.py | 2 +- tests/test_client.py | 30 ----- tests/test_liquidity_universe.py | 24 +--- tests/test_resampled_liquidity_universe.py | 6 +- tradingstrategy/client.py | 17 +-- tradingstrategy/pair.py | 144 --------------------- tradingstrategy/transport/cache.py | 5 + 7 files changed, 19 insertions(+), 209 deletions(-) diff --git a/tests/test_candle_universe.py b/tests/test_candle_universe.py index de7577c7..4a287d95 100644 --- a/tests/test_candle_universe.py +++ b/tests/test_candle_universe.py @@ -9,7 +9,7 @@ from tradingstrategy.candle import GroupedCandleUniverse, is_candle_green, is_candle_red from tradingstrategy.chain import ChainId from tradingstrategy.client import Client -from tradingstrategy.pair import LegacyPairUniverse, PandasPairUniverse +from tradingstrategy.pair import PandasPairUniverse from tradingstrategy.reader import read_parquet from tradingstrategy.timebucket import TimeBucket from tradingstrategy.transport.jsonl import JSONLMaxResponseSizeExceeded diff --git a/tests/test_client.py b/tests/test_client.py index 913a80ae..dce5a7f8 100644 --- a/tests/test_client.py +++ b/tests/test_client.py @@ -8,8 +8,6 @@ from tradingstrategy.timebucket import TimeBucket from tradingstrategy.client import Client from tradingstrategy.chain import ChainId -from tradingstrategy.pair import LegacyPairUniverse - logger = logging.getLogger(__name__) @@ -64,34 +62,6 @@ def test_client_download_exchange_universe(client: Client, cache_path: str): assert exchange.exchange_slug == "shiba-swap" -def test_client_download_pair_universe(client: Client, cache_path: str): - """Download pair mapping data""" - - logger.info("Starting test_client_download_pair_universe") - - exchange_universe = client.fetch_exchange_universe() - - pairs = client.fetch_pair_universe() - # Check we cached the file correctly - assert os.path.exists(f"{cache_path}/pair-universe.parquet") - # Check universe has data - assert len(pairs) > 50_000 - - pair_universe = LegacyPairUniverse.create_from_pyarrow_table(pairs) - - exchange = exchange_universe.get_by_chain_and_slug(ChainId.ethereum, "uniswap-v2") - assert exchange, "Uniswap v2 not found" - - # Uniswap v2 has more than 2k eligible trading pairs - pairs = list(pair_universe.get_all_pairs_on_exchange(exchange.exchange_id)) - assert len(pairs) > 2000 - - pair = pair_universe.get_pair_by_ticker_by_exchange(exchange.exchange_id, "WETH", "DAI") - assert pair, "WETH-DAI not found" - assert pair.base_token_symbol == "WETH" - assert pair.quote_token_symbol == "DAI" - - def test_client_download_all_pairs(client: Client, cache_path: str): """Download all candles for a specific candle width.""" df = client.fetch_all_candles(TimeBucket.d30) diff --git a/tests/test_liquidity_universe.py b/tests/test_liquidity_universe.py index aa27fdfc..11811c5b 100644 --- a/tests/test_liquidity_universe.py +++ b/tests/test_liquidity_universe.py @@ -4,7 +4,7 @@ from tradingstrategy.chain import ChainId from tradingstrategy.client import Client from tradingstrategy.liquidity import GroupedLiquidityUniverse, LiquidityDataUnavailable -from tradingstrategy.pair import DEXPair, LegacyPairUniverse, PandasPairUniverse +from tradingstrategy.pair import DEXPair, PandasPairUniverse from tradingstrategy.timebucket import TimeBucket @@ -98,28 +98,6 @@ def test_combined_candles_and_liquidity(persistent_test_client: Client): assert abs((liq_pair_count - candle_pair_count) / liq_pair_count) < 0.15 -def test_liquidity_index_is_datetime(persistent_test_client: Client): - """Any liquidity samples use datetime index by default. - - Avoid raw running counter indexes. This makes manipulating data much easier. - """ - client = persistent_test_client - - exchange_universe = client.fetch_exchange_universe() - exchange = exchange_universe.get_by_chain_and_slug(ChainId.ethereum, "uniswap-v2") - pairs = client.fetch_pair_universe() - pair_universe = LegacyPairUniverse.create_from_pyarrow_table(pairs) - pair = pair_universe.get_pair_by_ticker_by_exchange(exchange.exchange_id, "WETH", "DAI") - - exchange = exchange_universe.get_by_chain_and_slug(ChainId.ethereum, "uniswap-v2") - assert exchange, "Uniswap v2 not found" - - raw_liquidity_samples = client.fetch_all_liquidity_samples(TimeBucket.d7).to_pandas() - liquidity_universe = GroupedLiquidityUniverse(raw_liquidity_samples) - liq1 = liquidity_universe.get_liquidity_samples_by_pair(pair.pair_id) - assert isinstance(liq1.index, pd.DatetimeIndex) - - def test_merge_liquidity_samples(persistent_test_client: Client): """Merging two liquidity graphs using Pandas should work. diff --git a/tests/test_resampled_liquidity_universe.py b/tests/test_resampled_liquidity_universe.py index a2e486f6..31e400b7 100644 --- a/tests/test_resampled_liquidity_universe.py +++ b/tests/test_resampled_liquidity_universe.py @@ -1,11 +1,11 @@ """Optimised liquidity universe tests.""" import pandas as pd import pytest -from tradingstrategy.candle import GroupedCandleUniverse + from tradingstrategy.chain import ChainId from tradingstrategy.client import Client -from tradingstrategy.liquidity import GroupedLiquidityUniverse, LiquidityDataUnavailable, ResampledLiquidityUniverse -from tradingstrategy.pair import DEXPair, LegacyPairUniverse, PandasPairUniverse +from tradingstrategy.liquidity import ResampledLiquidityUniverse +from tradingstrategy.pair import PandasPairUniverse from tradingstrategy.timebucket import TimeBucket diff --git a/tradingstrategy/client.py b/tradingstrategy/client.py index 1c4901ae..58356d8a 100644 --- a/tradingstrategy/client.py +++ b/tradingstrategy/client.py @@ -41,10 +41,6 @@ warnings.simplefilter("ignore") import dataclasses_json # Trigger marsmallow import to supress the warning -import pyarrow -import pyarrow as pa -from pyarrow import Table - from tradingstrategy.chain import ChainId from tradingstrategy.environment.base import Environment, download_with_progress_plain from tradingstrategy.environment.config import Configuration @@ -163,12 +159,17 @@ def clear_caches(self, filename: Optional[Union[str, Path]] = None): self.transport.purge_cache(filename) @_retry_corrupted_parquet_fetch - def fetch_pair_universe(self) -> pa.Table: + def fetch_pair_universe(self) -> "pyarrow.Table | fastparquet.ParquetFile": """Fetch pair universe from local cache or the candle server. The compressed file size is around 5 megabytes. If the download seems to be corrupted, it will be attempted 3 times. + + + :return: + TODO: Change the return type to DataFrame. + """ path = self.transport.fetch_pair_universe() return read_parquet(path) @@ -184,7 +185,7 @@ def fetch_exchange_universe(self) -> ExchangeUniverse: raise RuntimeError(f"Could not read JSON file {path}") from e @_retry_corrupted_parquet_fetch - def fetch_all_candles(self, bucket: TimeBucket) -> pyarrow.Table: + def fetch_all_candles(self, bucket: TimeBucket) -> "pyarrow.Table | fastparquet.ParquetFile": """Get cached blob of candle data of a certain candle width. The returned data can be between several hundreds of megabytes to several gigabytes @@ -457,7 +458,7 @@ def fetch_lending_candles_for_universe( return result @_retry_corrupted_parquet_fetch - def fetch_all_liquidity_samples(self, bucket: TimeBucket) -> Table: + def fetch_all_liquidity_samples(self, bucket: TimeBucket) -> "pyarrow.Table | fastparquet.ParquetFile": """Get cached blob of liquidity events of a certain time window. The returned data can be between several hundreds of megabytes to several gigabytes @@ -484,7 +485,7 @@ def fetch_lending_reserve_universe(self) -> LendingReserveUniverse: raise RuntimeError(f"Could not read JSON file {path}") from e @_retry_corrupted_parquet_fetch - def fetch_lending_reserves_all_time(self) -> Table: + def fetch_lending_reserves_all_time(self) -> "pyarrow.Table | fastparquet.ParquetFile": """Get a cached blob of lending protocol reserve events and precomupted stats. The returned data can be between several hundreds of megabytes to several diff --git a/tradingstrategy/pair.py b/tradingstrategy/pair.py index 29c1007d..c031fc07 100644 --- a/tradingstrategy/pair.py +++ b/tradingstrategy/pair.py @@ -1492,150 +1492,6 @@ def create_pair_universe( return PandasPairUniverse(resolved_pairs_df) -class LegacyPairUniverse: - """The queries universe, as returned by the server. - - .. note :: - - TODO: Legacy prototype implementation and will be deprecated. - - Converts raw pair dataset to easier to use `DEXPair` - in-memory index. - - You likely want to use :py:class:`PandasPairUniverse`, - as its offers much more functionality than this implemetation. - """ - - #: Internal id -> DEXPair mapping - pairs: Dict[int, DEXPair] - - def __init__(self, pairs: Dict[int, DEXPair]): - self.pairs = pairs - - @classmethod - def create_from_pyarrow_table(cls, table: pa.Table) -> "LegacyPairUniverse": - """Convert columnar presentation to a Python in-memory objects. - - Some data manipulation is easier with objects instead of columns. - - .. note :: - - This seems to quite slow operation. - It is recommend you avoid this if you do not need row-like data. - """ - pairs: Dict[int, DEXPair] = {} - for batch in table.to_batches(max_chunksize=5000): - d = batch.to_pydict() - for row in iterate_columnar_dicts(d): - pairs[row["pair_id"]] = DEXPair.from_dict(row) - - return LegacyPairUniverse(pairs=pairs) - - @classmethod - def create_from_pyarrow_table_with_filters(cls, table: pa.Table, chain_id_filter: Optional[ChainId] = None) -> "LegacyPairUniverse": - """Convert columnar presentation to a Python in-memory objects. - - Filter the pairs based on given filter arguments. - """ - - if chain_id_filter: - # https://stackoverflow.com/a/64579502/315168 - chain_id_index = table.column('chain_id') - row_mask = pc.equal(chain_id_index, pa.scalar(chain_id_filter.value, chain_id_index.cause)) - selected_table = table.filter(row_mask) - - return LegacyPairUniverse.create_from_pyarrow_table(selected_table) - - def get_pair_by_id(self, pair_id: int) -> Optional[DEXPair]: - """Resolve pair by its id. - - Only useful for debugging. Does a slow look - """ - return self.pairs[pair_id] - - def get_pair_by_ticker(self, base_token: str, quote_token: str) -> Optional[DEXPair]: - """Get a trading pair by its ticker symbols. - - Note that this method works only very simple universes, as any given pair - is poised to have multiple tokens and multiple trading pairs on different exchanges. - - :raise DuplicatePair: If the universe contains more than single entry for the pair. - :raise PairNotFoundError: If the pair is not found. - - :return: None if there is no match - """ - pairs = [p for p in self.pairs.values() if p.base_token_symbol == base_token and p.quote_token_symbol == quote_token] - - if len(pairs) > 1: - raise DuplicatePair(f"Multiple trading pairs found {base_token}-{quote_token}") - - if pairs: - return pairs[0] - - raise PairNotFoundError(base_token=base_token, quote_token=quote_token) - - def get_pair_by_ticker_by_exchange(self, exchange_id: int, base_token: str, quote_token: str) -> Optional[DEXPair]: - """Get a trading pair by its ticker symbols. - - Note that this method works only very simple universes, as any given pair - is poised to have multiple tokens and multiple trading pairs on different exchanges. - - :param exchange_id: E.g. `1` for uniswap_v2 - - :raise DuplicatePair: - If the universe contains more than single entry for the pair. - Because we are looking by a token symbol there might be fake tokens with the same symbol. - - :return: None if there is no match - """ - - # Don't let ints slip through as they are unsupported - assert type(exchange_id) == int - - pairs = [p for p in self.pairs.values() - if p.base_token_symbol == base_token - and p.quote_token_symbol == quote_token - and p.exchange_id == exchange_id] - - if len(pairs) > 1: - raise DuplicatePair(f"Multiple trading pairs found {base_token}-{quote_token} on exchange {exchange_id}") - - if pairs: - return pairs[0] - - raise PairNotFoundError(base_token=base_token, quote_token=quote_token) - - def get_all_pairs_on_exchange(self, exchange_id: int) -> Iterable[DEXPair]: - """Get all trading pair on a decentralsied exchange. - - Use `ExchangeUniverse.get_by_chain_and_slug` to resolve the `exchange_id` first. - :param chain_id: E.g. `ChainId.ethereum` - - :param exchange_id: E.g. `1` for uniswap_v2 - - :raise DuplicatePair: - If the universe contains more than single entry for the pair. - Because we are looking by a token symbol there might be fake tokens with the same symbol. - - :return: None if there is no match - """ - - # Don't let ints slip through as they are unsupported - assert type(exchange_id) == int - - for p in self.pairs.values(): - if p.exchange_id == exchange_id: - yield p - - def get_active_pairs(self) -> Iterable["DEXPair"]: - """Filter for pairs that have see a trade for the last 30 days""" - return filter(lambda p: not p.flag_inactive, self.pairs.values()) - - def get_inactive_pairs(self) -> Iterable["DEXPair"]: - """Filter for pairs that have not see a trade for the last 30 days""" - return filter(lambda p: p.flag_inactive, self.pairs.values()) - - def filter_for_exchanges(pairs: pd.DataFrame, exchanges: Collection[Exchange]) -> pd.DataFrame: """Filter dataset so that it only contains data for the trading pairs from a certain exchange. diff --git a/tradingstrategy/transport/cache.py b/tradingstrategy/transport/cache.py index a0e5b6ef..8884eedf 100644 --- a/tradingstrategy/transport/cache.py +++ b/tradingstrategy/transport/cache.py @@ -271,6 +271,11 @@ def fetch_chain_status(self, chain_id: int) -> dict: return self.get_json_response("chain-status", params={"chain_id": chain_id}) def fetch_pair_universe(self) -> pathlib.Path: + """Get the pair universe as a file. + + :return: + The path of a locally cache file + """ fname = "pair-universe.parquet" cached = self.get_cached_item(fname) From a278f6a426782ff27fff26e9abd39bb1760e8acf Mon Sep 17 00:00:00 2001 From: Mikko Ohtamaa Date: Mon, 16 Oct 2023 21:52:18 +0200 Subject: [PATCH 6/6] FastParquet almost works --- pyproject.toml | 1 - tests/test_client.py | 4 ++-- tests/test_lending.py | 2 +- 3 files changed, 3 insertions(+), 4 deletions(-) diff --git a/pyproject.toml b/pyproject.toml index 5f7aae82..d78f4419 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -18,7 +18,6 @@ packages = [ python = ">=3.10,<3.11" dataclasses-json = "^0.5.4" pandas = "^1.3.5" -pyarrow = "10.0.1" tqdm = "^4.61.2" plotly = "^5.1.0" jsonlines = "^3.1.0" diff --git a/tests/test_client.py b/tests/test_client.py index dce5a7f8..0287358e 100644 --- a/tests/test_client.py +++ b/tests/test_client.py @@ -64,7 +64,7 @@ def test_client_download_exchange_universe(client: Client, cache_path: str): def test_client_download_all_pairs(client: Client, cache_path: str): """Download all candles for a specific candle width.""" - df = client.fetch_all_candles(TimeBucket.d30) + df = client.fetch_all_candles(TimeBucket.d30).to_pandas() # Check we cached the file correctly assert os.path.exists(f"{cache_path}/candles-30d.parquet") assert len(df) > 100 @@ -72,7 +72,7 @@ def test_client_download_all_pairs(client: Client, cache_path: str): def test_client_download_all_liquidity_samples(client: Client, cache_path: str): """Download all liquidity samples for a specific candle width.""" - df = client.fetch_all_liquidity_samples(TimeBucket.d30) + df = client.fetch_all_liquidity_samples(TimeBucket.d30).to_pandas() # Check we cached the file correctly assert os.path.exists(f"{cache_path}/liquidity-samples-30d.parquet") assert len(df) > 100 diff --git a/tests/test_lending.py b/tests/test_lending.py index aed22a2e..9a868161 100644 --- a/tests/test_lending.py +++ b/tests/test_lending.py @@ -20,7 +20,7 @@ def test_client_download_lending_reserves_all_time(client: Client, cache_path: str): """Download all available data on lending protocol reserves.""" - df = client.fetch_lending_reserves_all_time() + df = client.fetch_lending_reserves_all_time().to_pandas() # Check we cached the file correctly assert Path(f"{cache_path}/lending-reserves-all.parquet").exists() assert len(df) > 100