78 lines
2.5 KiB
Python
78 lines
2.5 KiB
Python
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import sqlite3
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import os
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from typing import Any, Dict, List, Optional
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import logging
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class MarketDB:
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def __init__(self, market: str, db_dir: str = ""):
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db_name = f"{market}.db"
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db_path = db_name if not db_dir else f"{db_dir.rstrip('/')}/{db_name}"
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if db_dir:
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os.makedirs(db_dir, exist_ok=True)
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self.conn = sqlite3.connect(db_path)
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logging.info(f"Connected to database at {db_path}")
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self._create_tables()
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def _create_tables(self):
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cursor = self.conn.cursor()
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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instrument TEXT,
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trade_id TEXT,
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price REAL,
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size REAL,
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side TEXT,
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timestamp TEXT
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)
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''')
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS book (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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instrument TEXT,
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bids TEXT,
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asks TEXT,
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timestamp TEXT
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)
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''')
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self.conn.commit()
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logging.info("Database tables ensured.")
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def insert_trade(self, trade: Dict[str, Any]):
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cursor = self.conn.cursor()
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cursor.execute('''
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INSERT INTO trades (instrument, trade_id, price, size, side, timestamp)
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VALUES (?, ?, ?, ?, ?, ?)
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''', (
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trade.get('instrument'),
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trade.get('trade_id'),
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trade.get('price'),
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trade.get('size'),
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trade.get('side'),
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trade.get('timestamp')
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))
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self.conn.commit()
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logging.debug(f"Inserted trade: {trade}")
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def insert_book(self, book: Dict[str, Any]):
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cursor = self.conn.cursor()
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bids = book.get('bids', [])
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asks = book.get('asks', [])
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best_bid = next((b for b in bids if float(b[1]) > 0), ['-', '-'])
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best_ask = next((a for a in asks if float(a[1]) > 0), ['-', '-'])
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cursor.execute('''
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INSERT INTO book (instrument, bids, asks, timestamp)
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VALUES (?, ?, ?, ?)
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''', (
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book.get('instrument'),
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str(bids),
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str(asks),
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book.get('timestamp')
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))
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self.conn.commit()
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logging.debug(f"Inserted book: {book.get('instrument', 'N/A')} ts:{book.get('timestamp', 'N/A')} bid:{best_bid} ask:{best_ask}")
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def close(self):
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self.conn.close()
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logging.info("Database connection closed.")
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