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1089 (cursor = 1236260) +4080.03270602 to_tfame 0.3.72-rc.7 1090 (cursor = 1236291) +4080.80027103 to_tfame 0.3.72-rc.7 1091 (cursor = 1236394) +4081.54427314 to_tfame 0.3.72-rc.7 1092 (cursor = 1236431) +4082.26296806 to_tfame 0.3.72-rc.7 1093 (cursor = 1236434) +4083.00531197 to_tfame 0.3.72-rc.7 1094 (cursor = 1236443) +4083.80027103 to_tfame 0.3.72-rc.7 1095 (cursor = 1236447) +4084.54927397 to_tfame 0.3.72-rc.7 1096 (cursor = 1236482) +4085.27251816 to_tfame 0.3.72-rc.7 1097 (cursor = 1236487) +4085.98719311 to_tfame 0.3.72-rc.7 1098 (cursor = 1236517) +4086.77543807 to_tfame 0.3.72-rc.7 1099 (cursor = 1236522) +4087.52675414 to_tfame 0.3.72-rc.7 1100 (cursor = 1236528) +4089.26303911 finished diff --git a/python-68min-analysis-the-function.py b/python-68min-analysis-the-function.py new file mode 100644 index 0000000..80320ae --- /dev/null +++ b/python-68min-analysis-the-function.py @@ -0,0 +1,55 @@ + +def to_tframe(version, df, trades, start): + d = {'bid': {}, 'ask': {}} + cursor = 0 + n = 0 + n_periods = 40 + xs = np.concatenate([periods(n_periods)[:0:-1] * -1, periods(n_periods)]) * 1000000 # mult to convert to nanos + mask = df['version'] == version + my_trades = sorted(list(zip(df.loc[mask].index.values.astype(np.int64), df.loc[mask, 'side'], df.loc[mask, 'gid']))) + idx = trades.index.values.astype(np.int64) + amts = trades['amount'] + totals = trades['total'] + assert len(idx) == len(amts) + assert len(idx) == len(totals) + for tm, side, gid in my_trades: + print '{} to_tfame {} {} (cursor = {})'.format(time.time() - start, version, n, cursor) + min_time = tm + xs[0] + max_time = tm + xs[1] + if idx[cursor] > min_time: + print 'warning: idx[cursor] ({}) > min_time ({})'.format(idx[cursor], min_time) + while idx[cursor] > min_time and cursor > 0: + cursor -= 1 + else: + while idx[cursor] < min_time and cursor < len(idx) - 1: + cursor += 1 + i = 1 + j = cursor + d[side][gid] = {} + while i < len(xs) - 1: + wsum = 0.0 + w = 0.0 + while idx[j] < max_time: + wsum += totals[j] + w += amts[j] + j += 1 + if w > 0.0: + d[side][gid][xs[i]] = wsum / w + else: + d[side][gid][xs[i]] = np.nan + i += 1 + min_time = max_time + max_time = tm + xs[i] + n += 1 + d['bid'] = sort_cols(pd.DataFrame.from_dict(d['bid'], orient='index')) + d['ask'] = sort_cols(pd.DataFrame.from_dict(d['ask'], orient='index')) + return d + + +# code used to perform `to_tframe` on all versions: + +start = time.time() +tresults = {} +for version in version_counts.index: + tresults[version] = to_tframe(version, df, trades, start) +print '{} finished'.format(time.time() - start) diff --git a/time_explorer_first_pass.rs b/time_explorer_first_pass.rs new file mode 100644 index 0000000..c1f31c4 --- /dev/null +++ b/time_explorer_first_pass.rs @@ -0,0 +1,422 @@ +#![allow(unused_imports)] + +#[macro_use] extern crate serde_derive; + +//extern crate decimal; +extern crate clap; +extern crate serde; +extern crate csv; +extern crate itertools_num; + +extern crate map; + +use std::str::FromStr; +use std::time::{Instant, Duration}; +use std::{fs, io}; +use std::str::from_utf8; +use std::error::Error; +use itertools_num::linspace; +use map::Map; + +const N: usize = 128; +const LOGSPACE: [i64; 128] = + [-2134300000000, -1854700000000, -1611800000000, -1400600000000, + -1217200000000, -1057700000000, -919200000000, -798800000000, + -694100000000, -603200000000, -524200000000, -455500000000, + -395800000000, -344000000000, -298900000000, -259700000000, + -225700000000, -196100000000, -170400000000, -148100000000, + -128700000000, -111800000000, -97200000000, -84400000000, + -73400000000, -63800000000, -55400000000, -48100000000, + -41800000000, -36300000000, -31600000000, -27400000000, + -23800000000, -20700000000, -18000000000, -15600000000, + -13600000000, -11800000000, -10200000000, -8900000000, + -7700000000, -6700000000, -5800000000, -5000000000, + -4400000000, -3800000000, -3300000000, -2900000000, + -2500000000, -2100000000, -1900000000, -1600000000, + -1400000000, -1200000000, -1000000000, -900000000, + -800000000, -700000000, -600000000, -500000000, + -400000000, -300000000, -200000000, -100000000, + 100000000, 200000000, 300000000, 400000000, + 500000000, 600000000, 700000000, 800000000, + 900000000, 1000000000, 1200000000, 1400000000, + 1600000000, 1900000000, 2100000000, 2500000000, + 2900000000, 3300000000, 3800000000, 4400000000, + 5000000000, 5800000000, 6700000000, 7700000000, + 8900000000, 10200000000, 11800000000, 13600000000, + 15600000000, 18000000000, 20700000000, 23800000000, + 27400000000, 31600000000, 36300000000, 41800000000, + 48100000000, 55400000000, 63800000000, 73400000000, + 84400000000, 97200000000, 111800000000, 128700000000, + 148100000000, 170400000000, 196100000000, 225700000000, + 259700000000, 298900000000, 344000000000, 395800000000, + 455500000000, 524200000000, 603200000000, 694100000000, + 798800000000, 919200000000, 1057700000000, 1217200000000, + 1400600000000, 1611800000000, 1854700000000, 2134300000000]; + +#[derive(Deserialize)] +struct Trade { //<'a> { + pub time: i64, + //pub exch: &'a str, + pub price: f64, + pub amount: f64, +} + +/// Use this to deserialize just the time column on the first pass through +/// the events file. +#[derive(Deserialize)] +struct EventTime { + pub time: i64, +} + +struct Event { + pub time: i64, + //pub meta: Vec<&'a str>, + //pub meta: &'a csv::StringRecord, + pub data: Vec, +} + +pub fn seconds(d: Duration) -> f64 { + d.as_secs() as f64 + (d.subsec_nanos() as f64 / 1_000_000_000_f64) +} + +fn main() -> Result<(), Box> { + let start = Instant::now(); + let args: clap::ArgMatches = clap::App::new("time-explorer") + .version("0.1") + .arg(clap::Arg::with_name("trades") + .long("trades-csv") + .short("t") + .help("Path of csv with time (integer nanoseconds timestamp), \ + price (f64), and amount (f64) columns.") + .takes_value(true) + .required(true)) + .arg(clap::Arg::with_name("events") + .long("events-csv") + .short("e") + .help("Path of csv file with a time (integer nanoseconds timestamp) as column 0, \ + along with any other metadata columns that will be included in results") + .takes_value(true) + .required(true)) + .arg(clap::Arg::with_name("output") + .long("output-file") + .short("o") + .help("Path to save results csv to") + .takes_value(true) + .required(true)) + .arg(clap::Arg::with_name("verbose") + .long("verbose") + .short("v")) + .arg(clap::Arg::with_name("n-periods") + .long("n-periods") + .short("n") + .help("Controls how many time buckets are evaluated") + .takes_value(true) + .default_value("50")) + .get_matches(); + + //assert_eq!(N, LOGSPACE.len()); + + let verbose = args.is_present("verbose"); + + if verbose { println!("{:>8.2}s reading...", seconds(Instant::now() - start)); } + + let trades_csv = args.value_of("trades").unwrap(); + let events_csv = args.value_of("events").unwrap(); + let output = args.value_of("output").unwrap(); + let n: &str = args.value_of("n-periods").unwrap(); + let n: usize = usize::from_str(n)?; + //println!("{:>8.2s} opening files...", seconds(Instant::now() - start)); + let trades_csv = + fs::OpenOptions::new() + .read(true) + .open(trades_csv)?; + + let mut trades: Vec = + csv::Reader::from_reader(trades_csv) + .deserialize() + .map(|x| x.unwrap()) + .collect(); + + //println!("{:>8.2} sorting trades...", seconds(Instant::now() - start)); + trades.sort_by_key(|k| k.time); + + // for i in 1..(trades.len() - 1) { + // assert!(trades[i].time >= trades[i-1].time); + // } + + //println!("{:>8.2}s arranging in columnar format...", seconds(Instant::now() - start)); + + let mut times: Vec = Vec::with_capacity(trades.len()); + //let mut prices: Vec = Vec::with_capacity(trades.len()); + let mut amounts: Vec = Vec::with_capacity(trades.len()); + let mut totals: Vec = Vec::with_capacity(trades.len()); + + for Trade { time, price, amount } in trades { + times.push(time); + totals.push(price * amount); + amounts.push(amount); + } + + // let mut headers = csv::ByteRecord::new(); + // rdr.read_byte_record(&mut headers)?; + // assert!(&headers.as_slice()[headers.range(0).unwrap()] == b"time"); + // let mut record = csv::ByteRecord::new(); + + //let headers = rdr.headers()?; + //assert_eq!(headers.get(0), Some("time")); + + let mut events: Vec = { + let events_csv = + fs::OpenOptions::new() + .read(true) + .open(events_csv)?; + + csv::Reader::from_reader(events_csv) + .deserialize() + .map(|t: Result| { + let EventTime { time } = t.unwrap(); + //let data = [0.0; N - 1]; + let data = vec![0.0; n - 1]; + Event { time, data } + }).collect() + }; + //while rdr.read_byte_record(&mut record)? { + + /* + for record in rdr.records() { + let meta = record?; + //let time = i64::from_str(from_utf8(&record[0])?)?; + let time = i64::from_str(&meta[0])?; + // let meta = + // record.iter() + // .skip(1) + // //.map(|x| x.deserialize().unwrap()) + // .collect(); + let data = [0.0; N - 1]; + events.push(Event { time, data }); + } + */ + + assert!(!events.is_empty()); + + // for i in 1..(events.len() - 1) { + // assert!(events[i].time >= events[i-1].time); + // } + + events.sort_by_key(|k| k.time); + //println!("events[0].time={}, LOGSPACE[0]={}, events[0].time + LOGSPACE[0]={}", + // events[0].time, LOGSPACE[0], events[0].time + LOGSPACE[0]); + let mut cursor: usize = 0; + let mut truncate_events = None; + + let buckets: Vec = + linspace(LOGSPACE[0] as f64, LOGSPACE[N - 1] as f64, n) + .map(|x| x as i64) + .collect(); + + if verbose { println!("{:>8.2}s calculating...", seconds(Instant::now() - start)); } + + 'a: for (i, event) in events.iter_mut().enumerate() { + //let mut min_time: i64 = event.time + LOGSPACE[0]; + //let mut max_time: i64 = event.time + LOGSPACE[1]; + + let mut min_time: i64 = event.time + buckets[0]; + let mut max_time: i64 = event.time + buckets[1]; + + + /* + let n_nan = event.data.iter().filter(|x| !x.is_finite()).count(); + println!("{:>8.2} event {:>5} {:>8.2}, {:>8.2}, {:>8.2}, ... min_time={}, max_time={}, \ + cursor={}, j={}, times[cursor]={}, times[j]={}, n_nan={}, max_time-min_time={}", seconds(Instant::now() - start), i, + event.data[0], event.data[10], event.data[100], min_time, max_time, cursor, + "_", times[cursor], "_", n_nan, max_time-min_time); + + println!(); + */ + + // find the beginning if there are gaps + 'b: while times[cursor] < min_time { + if cursor >= times.len() - 1 { + truncate_events = Some(i); + break 'a + } else { + cursor += 1 + } + } + + let mut j: usize = cursor; + + 'c: for k in 0..(n - 2) { + let mut wsum: f64 = 0.0; + let mut w: f64 = 0.0; + + 'd: while j < times.len() - 1 && times[j] < max_time { + wsum += totals[j]; + w += amounts[j]; + j += 1; + } + + if w > 0.0 { + event.data[k] = wsum / w; + } else { + event.data[k] = ::std::f64::NAN; + } + + /* + let n_nan = event.data.iter().filter(|x| !x.is_finite()).count(); + println!("{:>8.2} event {:>5} {:>8.2}, {:>8.2}, {:>8.2}, ... min_time={}, max_time={}, \ + cursor={}, j={}, times[cursor]={}, times[j]={}, n_nan={}, max_time-min_time={} \ + wsum={:.3}, w={:.3}", seconds(Instant::now() - start), i, + event.data[0], event.data[10], event.data[100], min_time, max_time, cursor, + j, times[cursor], times[j], n_nan, max_time-min_time, wsum, w); + */ + + min_time = max_time; + max_time = event.time + buckets[k + 2]; + + //println!("{:>8.2} event {:>5} {:>8.2}, {:>8.2}, {:>8.2}, ... min_time={}, max_time={}, \ + // cursor={}, j={}, times[cursor]={}, n_nan={}, max_time-min_time={}", seconds(Instant::now() - start), i, + // event.data[0], event.data[10], event.data[100], min_time, max_time, cursor, + // j, times[cursor], n_nan, max_time-min_time); + + } + + /* + let n_nan = event.data.iter().filter(|x| !x.is_finite()).count(); + println!("{:>8.2} event {:>5} {:>8.2}, {:>8.2}, {:>8.2}, ... min_time={}, max_time={}, \ + cursor={}, j={}, times[cursor]={}, times[j]={}, n_nan={}, max_time-min_time={}", seconds(Instant::now() - start), i, + event.data[0], event.data[10], event.data[100], min_time, max_time, cursor, + j, times[cursor], times[j], n_nan, max_time-min_time); + println!(); + */ + + + if i % 100 == 0 { + assert!(max_time > min_time); + if verbose { + //let n_nan = event.data.iter().filter(|x| !x.is_finite()).count(); + println!("{:>8.2}s No. {:>5} {:>12.2}, {:>12.2}, {:>12.2}, {:>12.2}, {:>12.2}, {:>12.2} ...", + //cursor={}, j={}, times[cursor]={}, n_nan={}, max_time-min_time={}", + seconds(Instant::now() - start), i, + event.data[0], event.data[20], event.data[40], event.data[60], event.data[80], event.data[100]); + //min_time, max_time, cursor, + //j, times[cursor], n_nan, max_time-min_time); + } + } + } + + assert!(truncate_events.is_none()); // for now + + if verbose { println!("{:>8.2} writing...", seconds(Instant::now() - start)); } + + // we have to read this again because I could not figure out ownership problems + let events_csv = + fs::OpenOptions::new() + .read(true) + .open(events_csv)?; + + let mut events_csv = csv::Reader::from_reader(events_csv); + + let output_csv = + fs::OpenOptions::new() + .write(true) + .create(true) + .truncate(true) + .open(output)?; + + let mut wtr = csv::Writer::from_writer(output_csv); + + let data_cols: Vec = { + let mut xs = vec![0; n - 1]; + for i in 0..(n - 1) { + //xs[i] = ((LOGSPACE[i] + LOGSPACE[i + 1]) as f64 / 2.0) as i64; + xs[i] = (buckets[i] + buckets[i + 1]) / 2; + } + xs + }; + + { + let headers = events_csv.byte_headers()?; + //println!("{:?}", headers); + for col in headers.iter() { + wtr.write_field(col)?; + } + for col in data_cols.iter() { + wtr.write_field(&format!("{}", col))?; + } + wtr.write_record(None::<&[u8]>)?; + } + + let mut record = csv::ByteRecord::new(); + + for event in events { + if !events_csv.read_byte_record(&mut record)? { panic!("failed to read from events csv") } + for meta in record.iter() { + wtr.write_field(meta)?; + } + for val in event.data.iter() { + wtr.write_field(&format!("{}", val))?; + } + wtr.write_record(None::<&[u8]>)?; + } + + + if verbose { println!("{:>8.2} finished.", seconds(Instant::now() - start)); } + + Ok(()) +} + +/* +def to_tframe(version, df, trades, start): + d = {'bid': {}, 'ask': {}} + cursor = 0 + n = 0 + n_periods = 40 + xs = np.concatenate([periods(n_periods)[:0:-1] * -1, periods(n_periods)]) * 1000000 # mult to convert to nanos + mask = df['version'] == version + #my_trades = sorted(list(zip(df.loc[mask].index, df.loc[mask, 'side'], df.loc[mask, 'gid']))) + my_trades = sorted(list(zip(df.loc[mask].index.values.astype(np.int64), df.loc[mask, 'side'], df.loc[mask, 'gid']))) + #idx = trades.index + idx = trades.index.values.astype(np.int64) + amts = trades['amount'] + totals = trades['total'] + assert len(idx) == len(amts) + assert len(idx) == len(totals) + for tm, side, gid in my_trades: + print '{} to_tfame {} {} (cursor = {})'.format(time.time() - start, version, n, cursor) + #min_time = tm + timedelta(milliseconds=xs[0]) + #max_time = tm + timedelta(milliseconds=xs[1]) + min_time = tm + xs[0] + max_time = tm + xs[1] + if idx[cursor] > min_time: + print 'warning: idx[cursor] ({}) > min_time ({})'.format(idx[cursor], min_time) + while idx[cursor] > min_time and cursor > 0: + cursor -= 1 + else: + while idx[cursor] < min_time and cursor < len(idx) - 1: + cursor += 1 + i = 1 + j = cursor + d[side][gid] = {} + while i < len(xs) - 1: + wsum = 0.0 + w = 0.0 + while idx[j] < max_time: + wsum += totals[j] + w += amts[j] + j += 1 + if w > 0.0: + d[side][gid][xs[i]] = wsum / w + else: + d[side][gid][xs[i]] = np.nan + i += 1 + min_time = max_time + #max_time = tm + timedelta(milliseconds=xs[i]) + max_time = tm + xs[i] + n += 1 + d['bid'] = sort_cols(pd.DataFrame.from_dict(d['bid'], orient='index')) + d['ask'] = sort_cols(pd.DataFrame.from_dict(d['ask'], orient='index')) + #yield (version, d) + return d +*/ +