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Fix/amb 415 exchange from compressed files #4

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Fix/amb 415 exchange from compressed files #4

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8473104
add exchange from gz file name
efgonz Jun 9, 2022
1f3dee1
fix new lines
efgonz Jun 9, 2022
2f9b5b9
generalize exchange fileformat from gz
efgonz Jun 9, 2022
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8 changes: 7 additions & 1 deletion marketdata/spot-trade/coalesce-daily/coalesce.sh
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Original file line number Diff line number Diff line change
Expand Up @@ -66,6 +66,12 @@ echo " Runtime: ${runtime}"; echo "";

####################################################################################

# Fix some files format

find "$DATA_DIR" ! -name '*\.gz' -type f -exec sed -i 's/}{/}\n{/g' {} +

####################################################################################

echo " COALESCING FILES..."

start=`date +%s.%N`
Expand Down Expand Up @@ -129,4 +135,4 @@ runtime=$( echo "$end - $start" | bc -l )

echo " Runtime: ${runtime}"; echo "";

####################################################################################
####################################################################################
13 changes: 13 additions & 0 deletions marketdata/spot-trade/coalesce-daily/coalesce_trade.py
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Original file line number Diff line number Diff line change
Expand Up @@ -3,13 +3,26 @@
import json
import gzip
import time
import re


def is_csv_gzip(_file_path):
return _file_path.endswith("csv.gz")


def add_exchange(file_path):
try:
matches = list(re.finditer(r"((?:.(?!\/))+$)", file_path))
file_name = matches[0].group()
return re.match(r"\/(.*?)(?:(?:-[0-9]+)|(?:@))", file_name).group(1)
except Exception as e:
print(f"file: {file_path}", file=sys.stderr)


def convert_line_from_csv_gz(_line, file_path):
[timestamp, timestampNanoseconds, tradeId, price, size, isBuySide] = _line.decode('UTF-8').strip().split(',')
return {
"exchange": add_exchange(file_path),
"timestamp": int(timestamp),
"timestampNanoseconds": int(timestampNanoseconds),
"tradeId": int(tradeId),
Expand Down