You cannot select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
242 lines
8.2 KiB
Python
242 lines
8.2 KiB
Python
"""
|
|
Alpaca bars → AlpacaPriceData conversion and DB storage
|
|
"""
|
|
|
|
import logging
|
|
from datetime import datetime, timezone
|
|
from typing import Dict, List, Optional
|
|
|
|
from sqlalchemy.ext.asyncio import AsyncSession
|
|
from sqlalchemy import select, and_, func
|
|
from sqlalchemy.dialects.postgresql import insert as pg_insert
|
|
|
|
from app.models.alpaca_price import AlpacaPriceData
|
|
from app.services.alpaca_client import AlpacaClient, normalize_ticker
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class AlpacaPriceService:
|
|
"""Alpaca bars → AlpacaPriceData conversion and DB storage"""
|
|
|
|
def __init__(self, client: Optional[AlpacaClient] = None):
|
|
self.client = client or AlpacaClient()
|
|
|
|
def is_available(self) -> bool:
|
|
return self.client.is_configured()
|
|
|
|
async def fetch_and_store_bars(
|
|
self,
|
|
db: AsyncSession,
|
|
ticker: str,
|
|
start_date: datetime,
|
|
end_date: datetime,
|
|
interval: str = "1d",
|
|
) -> int:
|
|
"""
|
|
Fetch bars from Alpaca and upsert into AlpacaPriceData table.
|
|
|
|
Returns:
|
|
Number of newly inserted records.
|
|
"""
|
|
ticker = ticker.upper()
|
|
start_str = start_date.strftime("%Y-%m-%d")
|
|
end_str = end_date.strftime("%Y-%m-%d")
|
|
|
|
bars = await self.client.get_bars(
|
|
symbol=ticker,
|
|
timeframe=interval,
|
|
start=start_str,
|
|
end=end_str,
|
|
)
|
|
|
|
if not bars:
|
|
logger.warning(f"Alpaca returned 0 bars for {ticker}")
|
|
return 0
|
|
|
|
# Build rows for batch insert
|
|
rows = []
|
|
for bar in bars:
|
|
bar_dt = _parse_bar_timestamp(bar["t"])
|
|
rows.append({
|
|
"ticker": ticker,
|
|
"date": bar_dt,
|
|
"open": float(bar.get("o", 0)),
|
|
"high": float(bar.get("h", 0)),
|
|
"low": float(bar.get("l", 0)),
|
|
"close": float(bar.get("c", 0)),
|
|
"volume": float(bar.get("v", 0)),
|
|
"vwap": float(bar["vw"]) if bar.get("vw") else None,
|
|
"trade_count": int(bar["n"]) if bar.get("n") else None,
|
|
"data_source": "ALPACA",
|
|
})
|
|
|
|
if not rows:
|
|
return 0
|
|
|
|
# Batch insert — skip duplicates via ON CONFLICT DO NOTHING
|
|
stmt = pg_insert(AlpacaPriceData).values(rows)
|
|
stmt = stmt.on_conflict_do_nothing(constraint='uq_alpaca_price_data')
|
|
result = await db.execute(stmt)
|
|
await db.commit()
|
|
|
|
inserted = result.rowcount
|
|
if inserted:
|
|
logger.info(f"Alpaca: inserted {inserted} bars for {ticker}")
|
|
|
|
return inserted
|
|
|
|
async def get_or_fetch_multi_bars(
|
|
self,
|
|
db: AsyncSession,
|
|
tickers: List[str],
|
|
start_dt: datetime,
|
|
end_dt: datetime,
|
|
interval: str = "1d",
|
|
force_refresh: bool = False,
|
|
feed: Optional[str] = None,
|
|
) -> Dict[str, List[AlpacaPriceData]]:
|
|
"""
|
|
DB-first multi-ticker daily bars.
|
|
|
|
1. Check which tickers are missing data (max_date < end_dt) in DB.
|
|
2. Fetch only missing tickers from Alpaca and upsert.
|
|
3. Read all data from DB and return as Dict[ticker → rows].
|
|
"""
|
|
upper_tickers = [t.upper() for t in tickers]
|
|
|
|
if not force_refresh:
|
|
result = await db.execute(
|
|
select(
|
|
AlpacaPriceData.ticker,
|
|
func.max(AlpacaPriceData.date).label("max_date"),
|
|
)
|
|
.where(
|
|
and_(
|
|
AlpacaPriceData.ticker.in_(upper_tickers),
|
|
AlpacaPriceData.interval == interval,
|
|
AlpacaPriceData.date >= start_dt,
|
|
AlpacaPriceData.date <= end_dt,
|
|
)
|
|
)
|
|
.group_by(AlpacaPriceData.ticker)
|
|
)
|
|
coverage = {row.ticker: row.max_date for row in result}
|
|
need_fetch = [
|
|
t for t in upper_tickers
|
|
if coverage.get(t) is None or coverage[t].date() < end_dt.date()
|
|
]
|
|
else:
|
|
need_fetch = upper_tickers
|
|
|
|
if need_fetch:
|
|
start_str = start_dt.strftime("%Y-%m-%d")
|
|
end_str = end_dt.strftime("%Y-%m-%d")
|
|
|
|
# reverse-map: normalized Alpaca symbol → original input ticker
|
|
reverse_map = {normalize_ticker(t): t for t in need_fetch}
|
|
|
|
raw = await self.client.get_multi_bars(
|
|
symbols=need_fetch,
|
|
timeframe=interval,
|
|
start=start_str,
|
|
end=end_str,
|
|
feed=feed,
|
|
)
|
|
|
|
rows = []
|
|
for alpaca_sym, bar_list in raw.items():
|
|
original = reverse_map.get(alpaca_sym, alpaca_sym)
|
|
for bar in bar_list:
|
|
bar_dt = _parse_bar_timestamp(bar["t"])
|
|
rows.append({
|
|
"ticker": original,
|
|
"date": bar_dt,
|
|
"interval": interval,
|
|
"open": float(bar.get("o", 0)),
|
|
"high": float(bar.get("h", 0)),
|
|
"low": float(bar.get("l", 0)),
|
|
"close": float(bar.get("c", 0)),
|
|
"volume": float(bar.get("v", 0)),
|
|
"vwap": float(bar["vw"]) if bar.get("vw") else None,
|
|
"trade_count": int(bar["n"]) if bar.get("n") else None,
|
|
"data_source": "ALPACA",
|
|
})
|
|
|
|
if rows:
|
|
# Chunk to stay under asyncpg's 32767-param limit (~11 params/row → 2900/chunk)
|
|
CHUNK = 2900
|
|
for i in range(0, len(rows), CHUNK):
|
|
stmt = pg_insert(AlpacaPriceData).values(rows[i : i + CHUNK])
|
|
stmt = stmt.on_conflict_do_nothing(constraint="uq_alpaca_price_data")
|
|
await db.execute(stmt)
|
|
await db.commit()
|
|
logger.info(
|
|
f"Alpaca multi-bars: stored {len(rows)} rows for {len(need_fetch)} tickers"
|
|
)
|
|
|
|
# Read back from DB — filtered by interval to avoid mixing 1d/5m/etc.
|
|
result = await db.execute(
|
|
select(AlpacaPriceData)
|
|
.where(
|
|
and_(
|
|
AlpacaPriceData.ticker.in_(upper_tickers),
|
|
AlpacaPriceData.interval == interval,
|
|
AlpacaPriceData.date >= start_dt,
|
|
AlpacaPriceData.date <= end_dt,
|
|
)
|
|
)
|
|
.order_by(AlpacaPriceData.ticker, AlpacaPriceData.date)
|
|
)
|
|
db_rows = result.scalars().all()
|
|
|
|
data: Dict[str, List[AlpacaPriceData]] = {t: [] for t in upper_tickers}
|
|
for row in db_rows:
|
|
data[row.ticker].append(row)
|
|
return data
|
|
|
|
async def fetch_bars_raw(
|
|
self,
|
|
ticker: str,
|
|
interval: str = "1d",
|
|
start_date: Optional[datetime] = None,
|
|
end_date: Optional[datetime] = None,
|
|
feed: Optional[str] = None,
|
|
) -> List[Dict]:
|
|
"""
|
|
Return raw bar dicts without touching the DB (useful for intraday / non-persistent use).
|
|
"""
|
|
start_str = start_date.strftime("%Y-%m-%d") if start_date else None
|
|
end_str = end_date.strftime("%Y-%m-%d") if end_date else None
|
|
|
|
bars = await self.client.get_bars(
|
|
symbol=ticker.upper(),
|
|
timeframe=interval,
|
|
start=start_str,
|
|
end=end_str,
|
|
feed=feed,
|
|
)
|
|
|
|
return [
|
|
{
|
|
"timestamp": bar["t"],
|
|
"open": bar.get("o"),
|
|
"high": bar.get("h"),
|
|
"low": bar.get("l"),
|
|
"close": bar.get("c"),
|
|
"volume": bar.get("v"),
|
|
"vwap": bar.get("vw"),
|
|
"trade_count": bar.get("n"),
|
|
}
|
|
for bar in bars
|
|
]
|
|
|
|
|
|
def _parse_bar_timestamp(ts_str: str) -> datetime:
|
|
"""Parse Alpaca bar timestamp (RFC-3339) into a timezone-aware datetime."""
|
|
# Alpaca returns e.g. "2024-01-02T05:00:00Z"
|
|
dt = datetime.fromisoformat(ts_str.replace("Z", "+00:00"))
|
|
if dt.tzinfo is None:
|
|
dt = dt.replace(tzinfo=timezone.utc)
|
|
return dt
|