def fill_empty_orderbook_entry(a_db: str, a_col: str, start_time: int,
end_time: int):
db_client = SharedMongoClient.instance()
a_target_col = db_client[a_db][a_col]
a_cursor = a_target_col.find({
"requestTime": {
"$gte": start_time,
"$lte": end_time
}
}).sort([("requestTime", 1)])
prev_item = None
for item in a_cursor:
if len(item["asks"]) == 0 or len(item["bids"]) == 0:
print(item["requestTime"])
if prev_item is None:
raise Exception("At least first item should not be None")
else:
item["asks"] = prev_item["asks"]
item["bids"] = prev_item["bids"]
SharedMongoClient._async_update(
a_target_col, {"requestTime": item["requestTime"]},
{"$set": item})
prev_item = item
def match_request_time_in_orderbook_entry(control_db: str, target_db: str,
col_name: str, start_time: int,
end_time: int):
db_client = SharedMongoClient.instance()
control_col = db_client[control_db][col_name]
target_col = db_client[target_db][col_name]
ctrl_data_set: Cursor = control_col.find({
"requestTime": {
"$gte": start_time,
"$lte": end_time
}
}).sort([("requestTime", 1)])
# get first nearest request time from control db
first_ctrl_rq = ctrl_data_set[0]["requestTime"]
# get first and second request time from target db
trgt_data_set = list(
target_col.find({
"requestTime": {
"$gte": start_time,
"$lte": end_time
}
}).sort([("requestTime", 1)])[:2])
# first target requestTime
first_trgt_rq = trgt_data_set[0]["requestTime"]
# second target requestTime
second_trgt_rq = trgt_data_set[1]["requestTime"]
# calc difference between control reqTime and target reqTimes
ctrl_first_trgt_first_diff = abs(first_ctrl_rq - first_trgt_rq)
ctrl_first_trgt_second_diff = abs(first_ctrl_rq - second_trgt_rq)
# if first in target is nearer to first in control, set first in target as starting point
if ctrl_first_trgt_first_diff < ctrl_first_trgt_second_diff:
trgt_start_rq = first_trgt_rq
# if second in target is nearer to first in control, set second in target as starting point
elif ctrl_first_trgt_first_diff > ctrl_first_trgt_second_diff:
trgt_start_rq = second_trgt_rq
else:
raise Exception(
"Difference is same, please Manually check the database and fix!!"
)
# get count of data from control db
ctrl_data_count = ctrl_data_set.count()
# get same count of data from target db with the starting point as start time and without end time
trgt_data_set: Cursor = target_col.find({
"requestTime": {
"$gte": trgt_start_rq
}
}).sort([("requestTime", 1)]).limit(ctrl_data_count)
trgt_data_count = trgt_data_set.count(with_limit_and_skip=True)
logging.info("ctrl count count: %d, trgt: %d" %
(ctrl_data_count, trgt_data_count))
assert (ctrl_data_count == trgt_data_count)
last_index = ctrl_data_count - 1
ctrl_last_rq = ctrl_data_set[last_index]["requestTime"]
trgt_last_rq = trgt_data_set[last_index]["requestTime"]
assert (abs(ctrl_last_rq - trgt_last_rq) < 3)
# loop through both
# update target's request time with control's request
for ctrl_data, trgt_data in zip(ctrl_data_set, trgt_data_set):
ctrl_rq = ctrl_data["requestTime"]
trgt_rq = trgt_data["requestTime"]
logging.info("ctrl_rqt: %d, trgt_rqt: %d" % (ctrl_rq, trgt_rq))
if trgt_rq == ctrl_rq:
continue
SharedMongoClient._async_update(target_col,
{"requestTime": trgt_rq},
{"$set": {
"requestTime": ctrl_rq
}})
