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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,172 @@ | ||
| package main | ||
|
|
||
| import ( | ||
| "bufio" | ||
| "flag" | ||
| "github.com/spf13/cast" | ||
| "io" | ||
| "log" | ||
| "os" | ||
| "strconv" | ||
| "strings" | ||
| "time" | ||
| ) | ||
|
|
||
| var ( | ||
| input string | ||
| output string | ||
| sample int | ||
|
|
||
| depth int // 10档 | ||
| mode int // 0-42列 1-41列 | ||
| database string | ||
| exchange string | ||
| symbol string | ||
|
|
||
| fileCache = map[string]*os.File{} | ||
|
|
||
| store *Store | ||
| n int | ||
| ) | ||
|
|
||
| // --m 1 | ||
|
|
||
| func main() { | ||
| flag.StringVar(&input, "i", `../../data-samples/deribit/deribit_BTC-PERPETUAL_and_futures_tick_by_tick_book_snapshots_10_levels_2019-10-01_2019-11-01.csv`, "") | ||
| flag.StringVar(&output, "o", `./BTC-PERPETUAL`, "") | ||
| flag.IntVar(&sample, "s", 0, "") | ||
| flag.IntVar(&depth, "d", 10, "") | ||
| flag.IntVar(&mode, "m", 1, "") | ||
| flag.StringVar(&database, "db", "tick_db", "") | ||
| flag.StringVar(&exchange, "e", "deribit", "") | ||
| flag.StringVar(&symbol, "symbol", "BTC-PERPETUAL", "") | ||
| flag.Parse() | ||
|
|
||
| store = NewStore("mongodb://localhost:27017", | ||
| database) | ||
|
|
||
| defer store.Close() | ||
|
|
||
| store.GetCollection(exchange, symbol, true) | ||
|
|
||
| // headerString = "symbol,timestamp,asks[0].price,asks[0].amount,asks[1].price,asks[1].amount,asks[2].price,asks[2].amount,asks[3].price,asks[3].amount,asks[4].price,asks[4].amount,asks[5].price,asks[5].amount,asks[6].price,asks[6].amount,asks[7].price,asks[7].amount,asks[8].price,asks[8].amount,asks[9].price,asks[9].amount,bids[0].price,bids[0].amount,bids[1].price,bids[1].amount,bids[2].price,bids[2].amount,bids[3].price,bids[3].amount,bids[4].price,bids[4].amount,bids[5].price,bids[5].amount,bids[6].price,bids[6].amount,bids[7].price,bids[7].amount,bids[8].price,bids[8].amount,bids[9].price,bids[9].amount" | ||
| //timestamp(ms),ask_price_0,ask_size_0,bid_price_0,bid_size_0,ask_price_1,ask_size_1,bid_price_1,bid_size_1,... | ||
| n = 0 | ||
| err := ReadFile(input, handleLine) | ||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
|
|
||
| return | ||
| } | ||
|
|
||
| func ReadFile(filePath string, handle func(string) bool) error { | ||
| f, err := os.Open(filePath) | ||
| if err != nil { | ||
| return err | ||
| } | ||
| defer f.Close() | ||
|
|
||
| buf := bufio.NewReader(f) | ||
|
|
||
| for { | ||
| rawLine, _, err := buf.ReadLine() | ||
| line := strings.TrimSpace(string(rawLine)) | ||
| if !handle(line) { | ||
| break | ||
| } | ||
| if err != nil { | ||
| if err == io.EOF { | ||
| return nil | ||
| } | ||
| return err | ||
| } | ||
| } | ||
| return nil | ||
| } | ||
|
|
||
| func handleLine(s string) bool { | ||
| ss := strings.Split(s, ",") | ||
| if mode == 0 && len(ss) != 42 || mode == 1 && len(ss) != 41 { | ||
| log.Printf("[line: %v]", s) | ||
| return false | ||
| } | ||
|
|
||
| // 或略标题行 | ||
| if mode == 0 && ss[1] == "timestamp" { | ||
| return true | ||
| } else if mode == 1 && ss[0] == "t" { | ||
| return true | ||
| } | ||
|
|
||
| writeTo(symbol, ss...) | ||
|
|
||
| if sample != 0 { | ||
| n++ | ||
| if n >= sample { | ||
| return false | ||
| } | ||
| } | ||
| return true | ||
| } | ||
|
|
||
| func writeTo(symbol string, ss ...string) { | ||
| // BTC-PERPETUAL,2019-10-01T00:00:00.531Z,8304.5,10270,8305,60,8305.5,1220,8306,80,8307,200,8307.5,20370,8308,65760,8308.5,120000,8309,38400,8309.5,8400,8304,185010,8303.5,52200,8303,20600,8302.5,4500,8302,2000,8301.5,18200,83 01,18000,8300.5,5090,8300,71320,8299.5,310 | ||
| //log.Printf("line=%v", ss) | ||
| var time2 time.Time | ||
| var err error | ||
| if mode == 0 { | ||
| time2, err = time.Parse("2006-01-02T15:04:05.000Z", ss[1]) | ||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
| symbol = ss[0] | ||
| } else if mode == 1 { | ||
| timestamp, err := strconv.ParseInt(ss[0], 10, 64) | ||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
| time2 = time.Unix(0, timestamp*int64(time.Millisecond)) | ||
| } | ||
|
|
||
| if err != nil { | ||
| log.Fatal(err) | ||
| } | ||
|
|
||
| // 10档 | ||
| var asks []Item | ||
| var bids []Item | ||
|
|
||
| var offset = 2 | ||
| if mode == 1 { | ||
| offset = 1 | ||
| } | ||
|
|
||
| for i := offset; i < offset+20; i += 2 { | ||
| price := cast.ToFloat64(ss[i]) | ||
| amount := cast.ToFloat64(ss[i+1]) | ||
| asks = append(asks, Item{ | ||
| Price: price, | ||
| Amount: amount, | ||
| }) | ||
| } | ||
|
|
||
| offset += 20 | ||
|
|
||
| for i := offset; i < offset+20; i += 2 { | ||
| price := cast.ToFloat64(ss[i]) | ||
| amount := cast.ToFloat64(ss[i+1]) | ||
| bids = append(bids, Item{ | ||
| Price: price, | ||
| Amount: amount, | ||
| }) | ||
| } | ||
|
|
||
| ob := &OrderBook{ | ||
| Symbol: symbol, | ||
| Timestamp: time2, | ||
| Asks: asks, | ||
| Bids: bids, | ||
| } | ||
| store.Insert(ob) | ||
| } |
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