use std::collections::HashMap;
use nautilus_model::{
accounts::{any::AccountAny, base::Account},
data::{bar::Bar, quote::QuoteTick, trade::TradeTick},
events::{
account::state::AccountState,
order::{OrderEvent, OrderEventAny},
},
identifiers::{AccountId, ClientId, ClientOrderId, InstrumentId},
instruments::{any::InstrumentAny, Instrument},
orders::{any::OrderAny, base::Order},
types::{
balance::{AccountBalance, MarginBalance},
currency::Currency,
},
};
use sqlx::{PgPool, Row};
use crate::sql::models::{
accounts::AccountEventModel,
data::{BarModel, QuoteTickModel, TradeTickModel},
enums::{
AggregationSourceModel, AggressorSideModel, AssetClassModel, BarAggregationModel,
CurrencyTypeModel, PriceTypeModel, TrailingOffsetTypeModel,
},
general::{GeneralRow, OrderEventOrderClientIdCombination},
instruments::InstrumentAnyModel,
orders::OrderEventAnyModel,
types::CurrencyModel,
};
pub struct DatabaseQueries;
impl DatabaseQueries {
pub async fn truncate(pool: &PgPool) -> anyhow::Result<()> {
sqlx::query("SELECT truncate_all_tables()")
.execute(pool)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to truncate tables: {err}"))
}
pub async fn add(pool: &PgPool, key: String, value: Vec<u8>) -> anyhow::Result<()> {
sqlx::query("INSERT INTO general (id, value) VALUES ($1, $2)")
.bind(key)
.bind(value)
.execute(pool)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into general table: {err}"))
}
pub async fn load(pool: &PgPool) -> anyhow::Result<HashMap<String, Vec<u8>>> {
sqlx::query_as::<_, GeneralRow>("SELECT * FROM general")
.fetch_all(pool)
.await
.map(|rows| {
let mut cache: HashMap<String, Vec<u8>> = HashMap::new();
for row in rows {
cache.insert(row.id, row.value);
}
cache
})
.map_err(|err| anyhow::anyhow!("Failed to load general table: {err}"))
}
pub async fn add_currency(pool: &PgPool, currency: Currency) -> anyhow::Result<()> {
sqlx::query(
"INSERT INTO currency (id, precision, iso4217, name, currency_type) VALUES ($1, $2, $3, $4, $5::currency_type) ON CONFLICT (id) DO NOTHING"
)
.bind(currency.code.as_str())
.bind(currency.precision as i32)
.bind(currency.iso4217 as i32)
.bind(currency.name.as_str())
.bind(CurrencyTypeModel(currency.currency_type))
.execute(pool)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into currency table: {err}"))
}
pub async fn load_currencies(pool: &PgPool) -> anyhow::Result<Vec<Currency>> {
sqlx::query_as::<_, CurrencyModel>("SELECT * FROM currency ORDER BY id ASC")
.fetch_all(pool)
.await
.map(|rows| rows.into_iter().map(|row| row.0).collect())
.map_err(|err| anyhow::anyhow!("Failed to load currencies: {err}"))
}
pub async fn load_currency(pool: &PgPool, code: &str) -> anyhow::Result<Option<Currency>> {
sqlx::query_as::<_, CurrencyModel>("SELECT * FROM currency WHERE id = $1")
.bind(code)
.fetch_optional(pool)
.await
.map(|currency| currency.map(|row| row.0))
.map_err(|err| anyhow::anyhow!("Failed to load currency: {err}"))
}
pub async fn add_instrument(
pool: &PgPool,
kind: &str,
instrument: Box<dyn Instrument>,
) -> anyhow::Result<()> {
sqlx::query(r#"
INSERT INTO "instrument" (
id, kind, raw_symbol, base_currency, underlying, quote_currency, settlement_currency, isin, asset_class, exchange,
multiplier, option_kind, is_inverse, strike_price, activation_ns, expiration_ns, price_precision, size_precision,
price_increment, size_increment, maker_fee, taker_fee, margin_init, margin_maint, lot_size, max_quantity, min_quantity, max_notional,
min_notional, max_price, min_price, ts_init, ts_event, created_at, updated_at
) VALUES ($1, $2, $3, $4, $5, $6, $7, $8, $9::asset_class, $10, $11, $12, $13, $14, $15, $16, $17, $18, $19, $20, $21, $22, $23, $24, $25, $26, $27, $28, $29, $30, $31, $32, $33, CURRENT_TIMESTAMP, CURRENT_TIMESTAMP)
ON CONFLICT (id)
DO UPDATE
SET
kind = $2, raw_symbol = $3, base_currency= $4, underlying = $5, quote_currency = $6, settlement_currency = $7, isin = $8, asset_class = $9, exchange = $10,
multiplier = $11, option_kind = $12, is_inverse = $13, strike_price = $14, activation_ns = $15, expiration_ns = $16 , price_precision = $17, size_precision = $18,
price_increment = $19, size_increment = $20, maker_fee = $21, taker_fee = $22, margin_init = $23, margin_maint = $24, lot_size = $25, max_quantity = $26,
min_quantity = $27, max_notional = $28, min_notional = $29, max_price = $30, min_price = $31, ts_init = $32, ts_event = $33, updated_at = CURRENT_TIMESTAMP
"#)
.bind(instrument.id().to_string())
.bind(kind)
.bind(instrument.raw_symbol().to_string())
.bind(instrument.base_currency().map(|x| x.code.as_str()))
.bind(instrument.underlying().map(|x| x.to_string()))
.bind(instrument.quote_currency().code.as_str())
.bind(instrument.settlement_currency().code.as_str())
.bind(instrument.isin().map(|x| x.to_string()))
.bind(AssetClassModel(instrument.asset_class()))
.bind(instrument.exchange().map(|x| x.to_string()))
.bind(instrument.multiplier().to_string())
.bind(instrument.option_kind().map(|x| x.to_string()))
.bind(instrument.is_inverse())
.bind(instrument.strike_price().map(|x| x.to_string()))
.bind(instrument.activation_ns().map(|x| x.to_string()))
.bind(instrument.expiration_ns().map(|x| x.to_string()))
.bind(instrument.price_precision() as i32)
.bind(instrument.size_precision() as i32)
.bind(instrument.price_increment().to_string())
.bind(instrument.size_increment().to_string())
.bind(instrument.maker_fee().to_string())
.bind(instrument.taker_fee().to_string())
.bind(instrument.margin_init().to_string())
.bind(instrument.margin_maint().to_string())
.bind(instrument.lot_size().map(|x| x.to_string()))
.bind(instrument.max_quantity().map(|x| x.to_string()))
.bind(instrument.min_quantity().map(|x| x.to_string()))
.bind(instrument.max_notional().map(|x| x.to_string()))
.bind(instrument.min_notional().map(|x| x.to_string()))
.bind(instrument.max_price().map(|x| x.to_string()))
.bind(instrument.min_price().map(|x| x.to_string()))
.bind(instrument.ts_init().to_string())
.bind(instrument.ts_event().to_string())
.execute(pool)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!(format!("Failed to insert item {} into instrument table: {:?}", instrument.id().to_string(), err)))
}
pub async fn load_instrument(
pool: &PgPool,
instrument_id: &InstrumentId,
) -> anyhow::Result<Option<InstrumentAny>> {
sqlx::query_as::<_, InstrumentAnyModel>("SELECT * FROM instrument WHERE id = $1")
.bind(instrument_id.to_string())
.fetch_optional(pool)
.await
.map(|instrument| instrument.map(|row| row.0))
.map_err(|err| {
anyhow::anyhow!("Failed to load instrument with id {instrument_id},error is: {err}")
})
}
pub async fn load_instruments(pool: &PgPool) -> anyhow::Result<Vec<InstrumentAny>> {
sqlx::query_as::<_, InstrumentAnyModel>("SELECT * FROM instrument")
.fetch_all(pool)
.await
.map(|rows| rows.into_iter().map(|row| row.0).collect())
.map_err(|err| anyhow::anyhow!("Failed to load instruments: {err}"))
}
pub async fn add_order(
pool: &PgPool,
_kind: &str,
updated: bool,
order: Box<dyn Order>,
client_id: Option<ClientId>,
) -> anyhow::Result<()> {
if updated {
let exists =
DatabaseQueries::check_if_order_initialized_exists(pool, order.client_order_id())
.await
.unwrap();
if !exists {
panic!(
"OrderInitialized event does not exist for order: {}",
order.client_order_id()
);
}
}
match order.last_event().clone() {
OrderEventAny::Accepted(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::CancelRejected(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Canceled(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Denied(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Emulated(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Expired(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Filled(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Initialized(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::ModifyRejected(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::PendingCancel(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::PendingUpdate(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Rejected(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Released(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Submitted(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Updated(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::Triggered(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
OrderEventAny::PartiallyFilled(event) => {
DatabaseQueries::add_order_event(pool, Box::new(event), client_id).await
}
}
}
pub async fn check_if_order_initialized_exists(
pool: &PgPool,
order_id: ClientOrderId,
) -> anyhow::Result<bool> {
sqlx::query(r#"
SELECT EXISTS(SELECT 1 FROM "order_event" WHERE order_id = $1 AND kind = 'OrderInitialized')
"#)
.bind(order_id.to_string())
.fetch_one(pool)
.await
.map(|row| row.get(0))
.map_err(|err| anyhow::anyhow!("Failed to check if order initialized exists: {err}"))
}
pub async fn check_if_account_event_exists(
pool: &PgPool,
account_id: AccountId,
) -> anyhow::Result<bool> {
sqlx::query(
r#"
SELECT EXISTS(SELECT 1 FROM "account_event" WHERE account_id = $1)
"#,
)
.bind(account_id.to_string())
.fetch_one(pool)
.await
.map(|row| row.get(0))
.map_err(|err| anyhow::anyhow!("Failed to check if account event exists: {err}"))
}
pub async fn add_order_event(
pool: &PgPool,
order_event: Box<dyn OrderEvent>,
client_id: Option<ClientId>,
) -> anyhow::Result<()> {
let mut transaction = pool.begin().await?;
sqlx::query(
r#"
INSERT INTO "trader" (id) VALUES ($1) ON CONFLICT (id) DO NOTHING
"#,
)
.bind(order_event.trader_id().to_string())
.execute(&mut *transaction)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into trader table: {err}"))?;
if let Some(client_id) = client_id {
sqlx::query(
r#"
INSERT INTO "client" (id) VALUES ($1) ON CONFLICT (id) DO NOTHING
"#,
)
.bind(client_id.to_string())
.execute(&mut *transaction)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into client table: {err}"))?;
}
sqlx::query(r#"
INSERT INTO "order_event" (
id, kind, order_id, order_type, order_side, trader_id, client_id, strategy_id, instrument_id, trade_id, currency, quantity, time_in_force, liquidity_side,
post_only, reduce_only, quote_quantity, reconciliation, price, last_px, last_qty, trigger_price, trigger_type, limit_offset, trailing_offset,
trailing_offset_type, expire_time, display_qty, emulation_trigger, trigger_instrument_id, contingency_type,
order_list_id, linked_order_ids, parent_order_id,
exec_algorithm_id, exec_spawn_id, venue_order_id, account_id, position_id, commission, ts_event, ts_init, created_at, updated_at
) VALUES (
$1, $2, $3, $4, $5, $6, $7, $8, $9, $10, $11, $12, $13, $14, $15, $16, $17, $18, $19, $20,
$21, $22, $23, $24, $25::trailing_offset_type, $26, $27, $28, $29, $30, $31, $32, $33, $34,
$35, $36, $37, $38, $39, $40, $41, $42, CURRENT_TIMESTAMP, CURRENT_TIMESTAMP
)
ON CONFLICT (id)
DO UPDATE
SET
kind = $2, order_id = $3, order_type = $4, order_side=$5, trader_id = $6, client_id = $7, strategy_id = $8, instrument_id = $9, trade_id = $10, currency = $11,
quantity = $12, time_in_force = $13, liquidity_side = $14, post_only = $15, reduce_only = $16, quote_quantity = $17, reconciliation = $18, price = $19, last_px = $20,
last_qty = $21, trigger_price = $22, trigger_type = $23, limit_offset = $24, trailing_offset = $25, trailing_offset_type = $26, expire_time = $27, display_qty = $28,
emulation_trigger = $29, trigger_instrument_id = $30, contingency_type = $31, order_list_id = $32, linked_order_ids = $33, parent_order_id = $34, exec_algorithm_id = $35,
exec_spawn_id = $36, venue_order_id = $37, account_id = $38, position_id = $39, commission = $40, ts_event = $41, ts_init = $42, updated_at = CURRENT_TIMESTAMP
"#)
.bind(order_event.id().to_string())
.bind(order_event.kind())
.bind(order_event.client_order_id().to_string())
.bind(order_event.order_type().map(|x| x.to_string()))
.bind(order_event.order_side().map(|x| x.to_string()))
.bind(order_event.trader_id().to_string())
.bind(client_id.map(|x| x.to_string()))
.bind(order_event.strategy_id().to_string())
.bind(order_event.instrument_id().to_string())
.bind(order_event.trade_id().map(|x| x.to_string()))
.bind(order_event.currency().map(|x| x.code.as_str()))
.bind(order_event.quantity().map(|x| x.to_string()))
.bind(order_event.time_in_force().map(|x| x.to_string()))
.bind(order_event.liquidity_side().map(|x| x.to_string()))
.bind(order_event.post_only())
.bind(order_event.reduce_only())
.bind(order_event.quote_quantity())
.bind(order_event.reconciliation())
.bind(order_event.price().map(|x| x.to_string()))
.bind(order_event.last_px().map(|x| x.to_string()))
.bind(order_event.last_qty().map(|x| x.to_string()))
.bind(order_event.trigger_price().map(|x| x.to_string()))
.bind(order_event.trigger_type().map(|x| x.to_string()))
.bind(order_event.limit_offset().map(|x| x.to_string()))
.bind(order_event.trailing_offset().map(|x| x.to_string()))
.bind(order_event.trailing_offset_type().map(TrailingOffsetTypeModel))
.bind(order_event.expire_time().map(|x| x.to_string()))
.bind(order_event.display_qty().map(|x| x.to_string()))
.bind(order_event.emulation_trigger().map(|x| x.to_string()))
.bind(order_event.trigger_instrument_id().map(|x| x.to_string()))
.bind(order_event.contingency_type().map(|x| x.to_string()))
.bind(order_event.order_list_id().map(|x| x.to_string()))
.bind(order_event.linked_order_ids().map(|x| x.iter().map(|x| x.to_string()).collect::<Vec<String>>()))
.bind(order_event.parent_order_id().map(|x| x.to_string()))
.bind(order_event.exec_algorithm_id().map(|x| x.to_string()))
.bind(order_event.exec_spawn_id().map(|x| x.to_string()))
.bind(order_event.venue_order_id().map(|x| x.to_string()))
.bind(order_event.account_id().map(|x| x.to_string()))
.bind(order_event.position_id().map(|x| x.to_string()))
.bind(order_event.commission().map(|x| x.to_string()))
.bind(order_event.ts_event().to_string())
.bind(order_event.ts_init().to_string())
.execute(&mut *transaction)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into order_event table: {err}"))?;
transaction
.commit()
.await
.map_err(|err| anyhow::anyhow!("Failed to commit transaction: {err}"))
}
pub async fn load_order_events(
pool: &PgPool,
order_id: &ClientOrderId,
) -> anyhow::Result<Vec<OrderEventAny>> {
sqlx::query_as::<_, OrderEventAnyModel>(r#"SELECT * FROM "order_event" event WHERE event.order_id = $1 ORDER BY created_at ASC"#)
.bind(order_id.to_string())
.fetch_all(pool)
.await
.map(|rows| rows.into_iter().map(|row| row.0).collect())
.map_err(|err| anyhow::anyhow!("Failed to load order events: {err}"))
}
pub async fn load_order(
pool: &PgPool,
order_id: &ClientOrderId,
) -> anyhow::Result<Option<OrderAny>> {
let order_events = DatabaseQueries::load_order_events(pool, order_id).await;
match order_events {
Ok(order_events) => {
if order_events.is_empty() {
return Ok(None);
}
let order = OrderAny::from_events(order_events).unwrap();
Ok(Some(order))
}
Err(e) => anyhow::bail!("Failed to load order events: {e}"),
}
}
pub async fn load_orders(pool: &PgPool) -> anyhow::Result<Vec<OrderAny>> {
let mut orders: Vec<OrderAny> = Vec::new();
let client_order_ids: Vec<ClientOrderId> = sqlx::query(
r#"
SELECT DISTINCT order_id FROM "order_event"
"#,
)
.fetch_all(pool)
.await
.map(|rows| {
rows.into_iter()
.map(|row| ClientOrderId::from(row.get::<&str, _>(0)))
.collect()
})
.map_err(|err| anyhow::anyhow!("Failed to load order ids: {err}"))?;
for id in client_order_ids {
let order = DatabaseQueries::load_order(pool, &id).await.unwrap();
match order {
Some(order) => {
orders.push(order);
}
None => {
continue;
}
}
}
Ok(orders)
}
pub async fn add_account(
pool: &PgPool,
kind: &str,
updated: bool,
account: Box<dyn Account>,
) -> anyhow::Result<()> {
if updated {
let exists = DatabaseQueries::check_if_account_event_exists(pool, account.id())
.await
.unwrap();
if !exists {
panic!("Account event does not exist for account: {}", account.id());
}
}
let mut transaction = pool.begin().await?;
sqlx::query(
r#"
INSERT INTO "account" (id) VALUES ($1) ON CONFLICT (id) DO NOTHING
"#,
)
.bind(account.id().to_string())
.execute(&mut *transaction)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into account table: {err}"))?;
let account_event = account.last_event().unwrap();
sqlx::query(r#"
INSERT INTO "account_event" (
id, kind, account_id, base_currency, balances, margins, is_reported, ts_event, ts_init, created_at, updated_at
) VALUES (
$1, $2, $3, $4, $5, $6, $7, $8, $9, CURRENT_TIMESTAMP, CURRENT_TIMESTAMP
)
ON CONFLICT (id)
DO UPDATE
SET
kind = $2, account_id = $3, base_currency = $4, balances = $5, margins = $6, is_reported = $7,
ts_event = $8, ts_init = $9, updated_at = CURRENT_TIMESTAMP
"#)
.bind(account_event.event_id.to_string())
.bind(kind.to_string())
.bind(account_event.account_id.to_string())
.bind(account_event.base_currency.map(|x| x.code.as_str()))
.bind(serde_json::to_value::<Vec<AccountBalance>>(account_event.balances).unwrap())
.bind(serde_json::to_value::<Vec<MarginBalance>>(account_event.margins).unwrap())
.bind(account_event.is_reported)
.bind(account_event.ts_event.to_string())
.bind(account_event.ts_init.to_string())
.execute(&mut *transaction)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into account_event table: {err}"))?;
transaction
.commit()
.await
.map_err(|err| anyhow::anyhow!("Failed to commit add_account transaction: {err}"))
}
pub async fn load_account_events(
pool: &PgPool,
account_id: &AccountId,
) -> anyhow::Result<Vec<AccountState>> {
sqlx::query_as::<_, AccountEventModel>(
r#"SELECT * FROM "account_event" WHERE account_id = $1 ORDER BY created_at ASC"#,
)
.bind(account_id.to_string())
.fetch_all(pool)
.await
.map(|rows| rows.into_iter().map(|row| row.0).collect())
.map_err(|err| anyhow::anyhow!("Failed to load account events: {err}"))
}
pub async fn load_account(
pool: &PgPool,
account_id: &AccountId,
) -> anyhow::Result<Option<AccountAny>> {
let account_events = DatabaseQueries::load_account_events(pool, account_id).await;
match account_events {
Ok(account_events) => {
if account_events.is_empty() {
return Ok(None);
}
let account = AccountAny::from_events(account_events).unwrap();
Ok(Some(account))
}
Err(e) => anyhow::bail!("Failed to load account events: {e}"),
}
}
pub async fn load_accounts(pool: &PgPool) -> anyhow::Result<Vec<AccountAny>> {
let mut accounts: Vec<AccountAny> = Vec::new();
let account_ids: Vec<AccountId> = sqlx::query(
r#"
SELECT DISTINCT account_id FROM "account_event"
"#,
)
.fetch_all(pool)
.await
.map(|rows| {
rows.into_iter()
.map(|row| AccountId::from(row.get::<&str, _>(0)))
.collect()
})
.map_err(|err| anyhow::anyhow!("Failed to load account ids: {err}"))?;
for id in account_ids {
let account = DatabaseQueries::load_account(pool, &id).await.unwrap();
match account {
Some(account) => {
accounts.push(account);
}
None => {
continue;
}
}
}
Ok(accounts)
}
pub async fn add_trade(pool: &PgPool, trade: &TradeTick) -> anyhow::Result<()> {
sqlx::query(r#"
INSERT INTO "trade" (
instrument_id, price, quantity, aggressor_side, venue_trade_id,
ts_event, ts_init, created_at, updated_at
) VALUES (
$1, $2, $3, $4::aggressor_side, $5, $6, $7, CURRENT_TIMESTAMP, CURRENT_TIMESTAMP
)
ON CONFLICT (id)
DO UPDATE
SET
instrument_id = $1, price = $2, quantity = $3, aggressor_side = $4, venue_trade_id = $5,
ts_event = $6, ts_init = $7, updated_at = CURRENT_TIMESTAMP
"#)
.bind(trade.instrument_id.to_string())
.bind(trade.price.to_string())
.bind(trade.size.to_string())
.bind(AggressorSideModel(trade.aggressor_side))
.bind(trade.trade_id.to_string())
.bind(trade.ts_event.to_string())
.bind(trade.ts_init.to_string())
.execute(pool)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into trade table: {err}"))
}
pub async fn load_trades(
pool: &PgPool,
instrument_id: &InstrumentId,
) -> anyhow::Result<Vec<TradeTick>> {
sqlx::query_as::<_, TradeTickModel>(
r#"SELECT * FROM "trade" WHERE instrument_id = $1 ORDER BY ts_event ASC"#,
)
.bind(instrument_id.to_string())
.fetch_all(pool)
.await
.map(|rows| rows.into_iter().map(|row| row.0).collect())
.map_err(|err| anyhow::anyhow!("Failed to load trades: {err}"))
}
pub async fn add_quote(pool: &PgPool, quote: &QuoteTick) -> anyhow::Result<()> {
sqlx::query(r#"
INSERT INTO "quote" (
instrument_id, bid_price, ask_price, bid_size, ask_size, ts_event, ts_init, created_at, updated_at
) VALUES (
$1, $2, $3, $4, $5, $6, $7, CURRENT_TIMESTAMP, CURRENT_TIMESTAMP
)
ON CONFLICT (id)
DO UPDATE
SET
instrument_id = $1, bid_price = $2, ask_price = $3, bid_size = $4, ask_size = $5,
ts_event = $6, ts_init = $7, updated_at = CURRENT_TIMESTAMP
"#)
.bind(quote.instrument_id.to_string())
.bind(quote.bid_price.to_string())
.bind(quote.ask_price.to_string())
.bind(quote.bid_size.to_string())
.bind(quote.ask_size.to_string())
.bind(quote.ts_event.to_string())
.bind(quote.ts_init.to_string())
.execute(pool)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into quote table: {err}"))
}
pub async fn load_quotes(
pool: &PgPool,
instrument_id: &InstrumentId,
) -> anyhow::Result<Vec<QuoteTick>> {
sqlx::query_as::<_, QuoteTickModel>(
r#"SELECT * FROM "quote" WHERE instrument_id = $1 ORDER BY ts_event ASC"#,
)
.bind(instrument_id.to_string())
.fetch_all(pool)
.await
.map(|rows| rows.into_iter().map(|row| row.0).collect())
.map_err(|err| anyhow::anyhow!("Failed to load quotes: {err}"))
}
pub async fn add_bar(pool: &PgPool, bar: &Bar) -> anyhow::Result<()> {
println!("Adding bar: {:?}", bar);
sqlx::query(r#"
INSERT INTO "bar" (
instrument_id, step, bar_aggregation, price_type, aggregation_source, open, high, low, close, volume, ts_event, ts_init, created_at, updated_at
) VALUES (
$1, $2, $3::bar_aggregation, $4::price_type, $5::aggregation_source, $6, $7, $8, $9, $10, $11, $12, CURRENT_TIMESTAMP, CURRENT_TIMESTAMP
)
ON CONFLICT (id)
DO UPDATE
SET
instrument_id = $1, step = $2, bar_aggregation = $3::bar_aggregation, price_type = $4::price_type, aggregation_source = $5::aggregation_source,
open = $6, high = $7, low = $8, close = $9, volume = $10, ts_event = $11, ts_init = $12, updated_at = CURRENT_TIMESTAMP
"#)
.bind(bar.bar_type.instrument_id().to_string())
.bind(bar.bar_type.spec().step as i32)
.bind(BarAggregationModel(bar.bar_type.spec().aggregation))
.bind(PriceTypeModel(bar.bar_type.spec().price_type))
.bind(AggregationSourceModel(bar.bar_type.aggregation_source()))
.bind(bar.open.to_string())
.bind(bar.high.to_string())
.bind(bar.low.to_string())
.bind(bar.close.to_string())
.bind(bar.volume.to_string())
.bind(bar.ts_event.to_string())
.bind(bar.ts_init.to_string())
.execute(pool)
.await
.map(|_| ())
.map_err(|err| anyhow::anyhow!("Failed to insert into bar table: {err}"))
}
pub async fn load_bars(
pool: &PgPool,
instrument_id: &InstrumentId,
) -> anyhow::Result<Vec<Bar>> {
sqlx::query_as::<_, BarModel>(
r#"SELECT * FROM "bar" WHERE instrument_id = $1 ORDER BY ts_event ASC"#,
)
.bind(instrument_id.to_string())
.fetch_all(pool)
.await
.map(|rows| rows.into_iter().map(|row| row.0).collect())
.map_err(|err| anyhow::anyhow!("Failed to load bars: {err}"))
}
pub async fn load_distinct_order_event_client_ids(
pool: &PgPool,
) -> anyhow::Result<HashMap<ClientOrderId, ClientId>> {
let mut map: HashMap<ClientOrderId, ClientId> = HashMap::new();
let result = sqlx::query_as::<_, OrderEventOrderClientIdCombination>(
r#"
SELECT DISTINCT
order_id AS "order_id",
client_id AS "client_id"
FROM "order_event"
"#,
)
.fetch_all(pool)
.await
.map_err(|err| anyhow::anyhow!("Failed to load account ids: {err}"))?;
for id in result {
map.insert(id.order_id, id.client_id);
}
Ok(map)
}
}