#![allow(unused_imports)] #[macro_use] extern crate slog; #[macro_use] extern crate markets; use std::path::PathBuf; use std::time::*; use std::io::{self, prelude::*}; use std::fs; use structopt::StructOpt; use serde::{Serialize, Deserialize}; use slog::Drain; use pretty_toa::ThousandsSep; use markets::crypto::{Exchange, Ticker, Side}; // equivalent to panic! but without the ugly 'thread main panicked' yada yada macro_rules! fatal { ($fmt:expr, $($args:tt)*) => {{ eprintln!($fmt, $($args)*); std::process::exit(1); }}} const PROGRESS_EVERY: usize = 1024 * 1024; #[derive(Debug, StructOpt)] struct Opt { /// Path to CSV file with trades data #[structopt(short = "f", long = "trades-csv")] #[structopt(parse(from_os_str))] trades_csv: PathBuf, /// Where to save the query results (CSV output) #[structopt(short = "o", long = "output-path")] #[structopt(parse(from_os_str))] output_path: PathBuf, } #[derive(Deserialize)] struct Trade { /// Unix nanoseconds pub time: u64, pub exch: Exchange, pub ticker: Ticker, //pub side: Option, pub price: f64, pub amount: f64, } /* struct HourSummary { pub n_trades: usize, pub */ fn per_sec(n: usize, span: Duration) -> f64 { if n == 0 || span < Duration::from_micros(1) { return 0.0 } let s: f64 = span.as_nanos() as f64 / 1e9f64; n as f64 / s } #[inline(always)] fn manual_deserialize_bytes(row: &csv::ByteRecord) -> Result { let time: u64 = atoi::atoi(row.get(0).ok_or("no time")?) .ok_or("parsing time failed")?; let amount: f64 = lexical::parse(row.get(1).ok_or("no amount")?) .map_err(|_| "parsing amount failed")?; let exch = match row.get(2).ok_or("no exch")? { b"bmex" => e!(bmex), b"bnce" => e!(bnce), b"btfx" => e!(btfx), b"gdax" => e!(gdax), b"okex" => e!(okex), b"bits" => e!(bits), b"plnx" => e!(plnx), b"krkn" => e!(krkn), _ => return Err("illegal exch"), }; let price: f64 = lexical::parse(row.get(3).ok_or("no price")?) .map_err(|_| "parsing price failed")?; let ticker = match row.get(6).ok_or("no ticker")? { b"btc_usd" => t!(btc-usd), b"eth_usd" => t!(eth-usd), b"ltc_usd" => t!(ltc-usd), b"etc_usd" => t!(etc-usd), b"bch_usd" => t!(bch-usd), b"xmr_usd" => t!(xmr-usd), b"usdt_usd" => t!(usdt-usd), _ => return Err("illegal ticker"), }; Ok(Trade { time, amount, exch, price, ticker }) } #[inline(always)] fn manual_deserialize_str(row: &csv::StringRecord) -> Result { let time: u64 = atoi::atoi(row.get(0).ok_or("no time")?.as_bytes()) .ok_or("parsing time failed")?; let amount: f64 = lexical::parse(row.get(1).ok_or("no amount")?) .map_err(|_| "parsing amount failed")?; let exch = match row.get(2).ok_or("no exch")? { "bmex" => e!(bmex), "bnce" => e!(bnce), "btfx" => e!(btfx), "gdax" => e!(gdax), "okex" => e!(okex), "bits" => e!(bits), "plnx" => e!(plnx), "krkn" => e!(krkn), _ => return Err("illegal exch"), }; let price: f64 = lexical::parse(row.get(3).ok_or("no price")?) .map_err(|_| "parsing price failed")?; let ticker = match row.get(6).ok_or("no ticker")? { "btc_usd" => t!(btc-usd), "eth_usd" => t!(eth-usd), "ltc_usd" => t!(ltc-usd), "etc_usd" => t!(etc-usd), "bch_usd" => t!(bch-usd), "xmr_usd" => t!(xmr-usd), "usdt_usd" => t!(usdt-usd), _ => return Err("illegal ticker"), }; Ok(Trade { time, amount, exch, price, ticker }) } fn run(start: Instant, logger: &slog::Logger) -> Result { let opt = Opt::from_args(); info!(logger, "initializing..."; "trades-csv" => %opt.trades_csv.display(), "output-path" => %opt.output_path.display() ); if ! opt.trades_csv.exists() { error!(logger, "path does not exist: {}", opt.trades_csv.display()); fatal!("Error: path does not exist: {}", opt.trades_csv.display()); } debug!(logger, "verified csv path exists"; "trades_csv" => %opt.trades_csv.display()); let rdr = fs::File::open(&opt.trades_csv) .map_err(|e| format!("opening trades csv file failed: {} (tried to open {})", e, opt.trades_csv.display()))?; let rdr = io::BufReader::new(rdr); let mut rdr = csv::Reader::from_reader(rdr); // our data is ascii, so parsing with the slightly faster ByteRecord is fine //let headers: csv::ByteRecord = rdr.byte_headers().map_err(|e| format!("failed to parse CSV headers: {}", e))?.clone(); //let mut row = csv::ByteRecord::new(); //assert_eq!(headers.get(0), Some(&b"time"[..])); //assert_eq!(headers.get(1), Some(&b"amount"[..])); //assert_eq!(headers.get(2), Some(&b"exch"[..])); //assert_eq!(headers.get(3), Some(&b"price"[..])); //assert_eq!(headers.get(6), Some(&b"ticker"[..])); //let headers: csv::StringRecord = rdr.headers().map_err(|e| format!("failed to parse CSV headers: {}", e))?.clone(); let mut row = csv::StringRecord::new(); let mut n = 0; let mut last_time = 0; //while rdr.read_byte_record(&mut row) while rdr.read_record(&mut row) .map_err(|e| { format!("reading row {} failed: {}", (n+1).thousands_sep(), e) })? { //let trade: Trade = row.deserialize(Some(&headers)) //let trade: Trade = manual_deserialize_bytes(&row) let trade: Trade = manual_deserialize_str(&row) .map_err(|e| { format!("deserializing row failed: {}\n\nFailing row:\n{:?}", e, row) })?; n += 1; // verify data is sorted by time debug_assert!(trade.time >= last_time); last_time = trade.time; if n % PROGRESS_EVERY == 0 || (cfg!(debug_assertions) && n % (1024 * 96) == 0) { info!(logger, "parsing csv file"; "n rows" => %n.thousands_sep(), "elapsed" => ?(Instant::now() - start), ); } if cfg!(debug_assertions) && n > PROGRESS_EVERY { warn!(logger, "debug mode: exiting early"; "n rows" => %n.thousands_sep(), "elapsed" => ?(Instant::now() - start), ); break } } Ok(n) } fn main() { let start = Instant::now(); let decorator = slog_term::TermDecorator::new().stdout().force_color().build(); let drain = slog_term::FullFormat::new(decorator).use_utc_timestamp().build().fuse(); let drain = slog_async::Async::new(drain).chan_size(1024 * 64).thread_name("recv".into()).build().fuse(); let logger = slog::Logger::root(drain, o!("version" => structopt::clap::crate_version!())); match run(start, &logger) { Ok(n) => { let took = Instant::now() - start; info!(logger, "finished in {:?}", took; "n rows" => %n.thousands_sep(), "rows/sec" => &((per_sec(n, took) * 100.0).round() / 10.0).thousands_sep(), ); } Err(e) => { crit!(logger, "run failed: {:?}", e); eprintln!("\n\nError: {}", e); std::thread::sleep(Duration::from_millis(100)); std::process::exit(1); } } }