data-pipelines/src/csv.rs

#![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<Side>,
    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<Trade, &'static str> {
    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<Trade, &'static str> {
    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<usize, String> {
    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);
        }
    }
}