7f27ed22c8
DuckDB store (asset_store.py): - 4 tables: assets (28 cols), exchanges (10 cols), asset_exchanges (junction), behavior_profiles (28 cols) - Schema with indexes on blockchain, coingecko_id, cmc_id, exchange_id - sync_from_profiles(): populate from in-memory dicts in one call - Query API: query_assets(**filters), get_asset(), symbols_for_exchange(), assets_on_blockchain(), asset_count(), exchange_count() - Case-insensitive exchange lookup - File-backed persistence: data survives connection close/reopen - Performance: <1s sync, 100 queries in <1s, 1000 gets in <1s 30 tests covering: - Schema creation and table structure (3 tests) - Sync from profiles (6 tests, idempotent) - Asset CRUD (7 tests, query by blockchain/coingecko/sector) - Exchange mapping (5 tests, case-insensitive) - Behavior profiles (4 tests) - Persistence across connections (2 tests) - Performance baseline (3 tests) Total: 1276 tests across 50 files, all green, zero regressions.
273 lines
12 KiB
Python
273 lines
12 KiB
Python
"""
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MALKHUT Asset Store — DuckDB file-backed storage.
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High-performance columnar store for the system-wide asset universe.
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Replaces in-memory dicts with DuckDB for persistence, query, and analytics.
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Usage:
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from malkhut.storage.asset_store import AssetStore
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store = AssetStore() # opens malkhut_assets.duckdb
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store.sync_from_profiles() # populate from in-memory AssetProfile dict
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assets = store.query_assets(sector='layer1')
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btc = store.get_asset('BTCUSDT')
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"""
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from __future__ import annotations
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import os
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from pathlib import Path
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from typing import Any, Dict, List, Optional, Sequence, Tuple
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import duckdb
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_DEFAULT_DB_PATH = str(Path(__file__).resolve().parent / "malkhut_assets.duckdb")
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class AssetStore:
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"""DuckDB-backed asset universe store. Thread-safe reads, single-writer writes."""
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def __init__(self, db_path: Optional[str] = None) -> None:
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self.db_path = db_path or os.environ.get("MALKHUT_DUCKDB_PATH", _DEFAULT_DB_PATH)
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self.conn = duckdb.connect(self.db_path)
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self._ensure_schema()
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def _ensure_schema(self) -> None:
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self.conn.execute('''
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CREATE TABLE IF NOT EXISTS exchanges (
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exchange_id VARCHAR PRIMARY KEY,
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display_name VARCHAR NOT NULL,
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has_spot BOOLEAN DEFAULT true,
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has_perps BOOLEAN DEFAULT true,
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has_options BOOLEAN DEFAULT false,
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api_base_url VARCHAR DEFAULT '',
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ws_base_url VARCHAR DEFAULT '',
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default_taker_fee_bps DOUBLE DEFAULT 0.0,
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default_maker_fee_bps DOUBLE DEFAULT 0.0,
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typical_latency_ms DOUBLE DEFAULT 0.0
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)
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''')
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self.conn.execute('''
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CREATE TABLE IF NOT EXISTS assets (
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symbol VARCHAR PRIMARY KEY,
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base_asset VARCHAR NOT NULL,
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name VARCHAR NOT NULL,
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unified_symbol VARCHAR NOT NULL,
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quote_currency VARCHAR NOT NULL DEFAULT 'USDT',
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coingecko_id VARCHAR DEFAULT '',
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cmc_id INTEGER DEFAULT 0,
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blockchain VARCHAR DEFAULT '',
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contract_address VARCHAR DEFAULT '',
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sectors VARCHAR[] NOT NULL,
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token_roles VARCHAR[] NOT NULL,
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supply_model VARCHAR NOT NULL,
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consensus VARCHAR NOT NULL,
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smart_contracts VARCHAR NOT NULL,
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market_cap_tier VARCHAR NOT NULL,
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volatility_profile VARCHAR NOT NULL,
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liquidity_profile VARCHAR NOT NULL,
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derivative_access VARCHAR NOT NULL,
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tick_size DOUBLE NOT NULL,
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lot_size DOUBLE NOT NULL,
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price_decimals INTEGER NOT NULL,
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maker_fee_bps DOUBLE NOT NULL,
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taker_fee_bps DOUBLE NOT NULL,
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typical_spread_bps DOUBLE NOT NULL,
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typical_depth_usd DOUBLE NOT NULL,
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typical_daily_volume_usd DOUBLE NOT NULL,
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has_funding BOOLEAN DEFAULT false,
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has_options BOOLEAN DEFAULT false
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)
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''')
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self.conn.execute('''
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CREATE TABLE IF NOT EXISTS asset_exchanges (
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symbol VARCHAR NOT NULL,
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exchange_id VARCHAR NOT NULL,
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PRIMARY KEY (symbol, exchange_id)
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)
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''')
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self.conn.execute('''
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CREATE TABLE IF NOT EXISTS behavior_profiles (
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symbol VARCHAR PRIMARY KEY,
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template_name VARCHAR DEFAULT '',
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reference_price DOUBLE DEFAULT 0.0,
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depth_amplitude_usd DOUBLE NOT NULL,
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depth_alpha DOUBLE NOT NULL,
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depth_fragility DOUBLE NOT NULL,
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depth_at_10bps_usd DOUBLE NOT NULL,
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depth_at_100bps_usd DOUBLE NOT NULL,
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spread_normal_bps DOUBLE NOT NULL,
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spread_stress_mult DOUBLE NOT NULL,
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flow_orders_per_sec DOUBLE NOT NULL,
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flow_cancel_fill_ratio DOUBLE NOT NULL,
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flow_median_order_usd DOUBLE NOT NULL,
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flow_p99_order_usd DOUBLE NOT NULL,
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vol_annualized_normal DOUBLE NOT NULL,
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vol_annualized_crisis DOUBLE NOT NULL,
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vol_garch_alpha DOUBLE NOT NULL,
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vol_garch_beta DOUBLE NOT NULL,
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vol_half_life_hours DOUBLE NOT NULL,
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retail_ratio DOUBLE NOT NULL,
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retail_inst_gap DOUBLE NOT NULL,
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liq_oi_mcap_ratio DOUBLE NOT NULL,
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liq_trigger_pct DOUBLE NOT NULL,
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liq_speed VARCHAR NOT NULL,
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liq_recovery VARCHAR NOT NULL,
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bingx_spread_mult DOUBLE NOT NULL,
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bingx_depth_ratio DOUBLE NOT NULL,
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bingx_latency_ms DOUBLE NOT NULL
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)
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''')
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self.conn.execute('CREATE INDEX IF NOT EXISTS idx_assets_blockchain ON assets(blockchain)')
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self.conn.execute('CREATE INDEX IF NOT EXISTS idx_assets_coingecko ON assets(coingecko_id)')
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self.conn.execute('CREATE INDEX IF NOT EXISTS idx_assets_cmc ON assets(cmc_id)')
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self.conn.execute('CREATE INDEX IF NOT EXISTS idx_asset_exchanges_ex ON asset_exchanges(exchange_id)')
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# ── Write operations ────────────────────────────────────────────
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def upsert_exchange(self, ex: Any) -> None:
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self.conn.execute('''
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INSERT OR REPLACE INTO exchanges VALUES (?,?,?,?,?,?,?,?,?,?)
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''', [
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ex.exchange_id, ex.display_name, ex.has_spot, ex.has_perps,
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ex.has_options, ex.api_base_url, ex.ws_base_url,
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ex.default_taker_fee_bps, ex.default_maker_fee_bps, ex.typical_latency_ms,
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])
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def upsert_asset(self, p: Any) -> None:
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self.conn.execute('''
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INSERT OR REPLACE INTO assets VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)
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''', [
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p.symbol, p.base_asset, p.name, p.unified_symbol, p.quote_currency,
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p.coingecko_id, p.cmc_id, p.blockchain, p.contract_address,
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list(p.sectors), list(p.token_roles),
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p.supply_model.value if hasattr(p.supply_model, 'value') else str(p.supply_model),
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p.consensus.value if hasattr(p.consensus, 'value') else str(p.consensus),
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p.smart_contracts.value if hasattr(p.smart_contracts, 'value') else str(p.smart_contracts),
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p.market_cap_tier.value if hasattr(p.market_cap_tier, 'value') else str(p.market_cap_tier),
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p.volatility_profile.value if hasattr(p.volatility_profile, 'value') else str(p.volatility_profile),
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p.liquidity_profile.value if hasattr(p.liquidity_profile, 'value') else str(p.liquidity_profile),
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p.derivative_access.value if hasattr(p.derivative_access, 'value') else str(p.derivative_access),
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p.tick_size, p.lot_size, p.price_decimals,
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p.maker_fee_bps, p.taker_fee_bps,
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p.typical_spread_bps, p.typical_depth_usd, p.typical_daily_volume_usd,
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p.has_funding, p.has_options,
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])
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def upsert_asset_exchanges(self, symbol: str, exchanges: Tuple[str, ...]) -> None:
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self.conn.execute('DELETE FROM asset_exchanges WHERE symbol = ?', [symbol])
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for ex in exchanges:
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self.conn.execute(
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'INSERT INTO asset_exchanges (symbol, exchange_id) VALUES (?, ?)',
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[symbol, ex],
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)
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def upsert_behavior(self, b: Any) -> None:
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self.conn.execute('''
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INSERT OR REPLACE INTO behavior_profiles VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)
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''', [
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b.symbol, b.template_name, b.reference_price,
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b.depth.amplitude_usd, b.depth.alpha, b.depth.fragility_factor,
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b.depth.depth_at_10bps_usd, b.depth.depth_at_100bps_usd,
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b.spread.normal_bps, b.spread.stress_multiplier,
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b.flow.orders_per_sec_normal, b.flow.cancel_fill_ratio,
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b.flow.median_order_usd, b.flow.p99_order_usd,
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b.vol.annualized_normal, b.vol.annualized_crisis,
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b.vol.garch_alpha, b.vol.garch_beta, b.vol.half_life_hours,
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b.retail.ratio, b.retail.inst_gap,
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b.liquidation.oi_mcap_ratio, b.liquidation.trigger_pct,
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b.liquidation.speed, b.liquidation.recovery,
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b.bingx.spread_mult, b.bingx.depth_ratio, b.bingx.latency_ms,
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])
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# ── Read operations ─────────────────────────────────────────────
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def get_asset(self, symbol: str) -> Optional[dict]:
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row = self.conn.execute(
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'SELECT * FROM assets WHERE symbol = ?', [symbol]
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).fetchone()
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if row is None:
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return None
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cols = [d[0] for d in self.conn.description]
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return dict(zip(cols, row))
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def get_asset_exchanges(self, symbol: str) -> List[str]:
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rows = self.conn.execute(
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'SELECT exchange_id FROM asset_exchanges WHERE symbol = ? ORDER BY exchange_id',
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[symbol],
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).fetchall()
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return [r[0] for r in rows]
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def query_assets(self, **filters: Any) -> List[dict]:
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"""Query assets with optional WHERE filters. Arrays use list_contains."""
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where_parts = []
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params = []
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for key, val in filters.items():
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if isinstance(val, list):
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# DuckDB: check if array column contains any of the values
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placeholders = ", ".join(["?" for _ in val])
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where_parts.append(f"list_has_any({key}, ARRAY[{placeholders}])")
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params.extend(val)
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elif isinstance(val, str):
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where_parts.append(f"{key} = ?")
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params.append(val)
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elif isinstance(val, (int, float)):
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where_parts.append(f"{key} = ?")
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params.append(val)
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elif isinstance(val, bool):
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where_parts.append(f"{key} = ?")
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params.append(val)
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where_clause = " AND ".join(where_parts) if where_parts else "1=1"
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rows = self.conn.execute(
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f'SELECT * FROM assets WHERE {where_clause} ORDER BY symbol', params
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).fetchall()
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cols = [d[0] for d in self.conn.description]
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return [dict(zip(cols, row)) for row in rows]
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def symbols_for_exchange(self, exchange_id: str) -> List[str]:
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rows = self.conn.execute('''
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SELECT a.symbol FROM assets a
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JOIN asset_exchanges ae ON a.symbol = ae.symbol
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WHERE LOWER(ae.exchange_id) = LOWER(?)
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ORDER BY a.symbol
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''', [exchange_id]).fetchall()
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return [r[0] for r in rows]
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def assets_on_blockchain(self, blockchain: str) -> List[str]:
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rows = self.conn.execute(
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'SELECT symbol FROM assets WHERE blockchain = ? ORDER BY symbol',
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[blockchain],
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).fetchall()
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return [r[0] for r in rows]
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def asset_count(self) -> int:
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return self.conn.execute('SELECT COUNT(*) FROM assets').fetchone()[0]
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def exchange_count(self) -> int:
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return self.conn.execute('SELECT COUNT(*) FROM exchanges').fetchone()[0]
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# ── Sync from Python dicts ──────────────────────────────────────
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def sync_from_profiles(self) -> int:
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"""Populate DuckDB from in-memory ASSET_PROFILES + ASSET_BEHAVIORS + EXCHANGE_PROFILES."""
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from malkhut.training.asset_classification import (
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ASSET_PROFILES, EXCHANGE_PROFILES,
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)
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from malkhut.training.asset_behavior import ASSET_BEHAVIORS
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count = 0
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for ex in EXCHANGE_PROFILES.values():
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self.upsert_exchange(ex)
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for p in ASSET_PROFILES.values():
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self.upsert_asset(p)
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self.upsert_asset_exchanges(p.symbol, p.exchanges)
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count += 1
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for b in ASSET_BEHAVIORS.values():
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if b.symbol in ASSET_PROFILES:
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self.upsert_behavior(b)
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self.conn.commit()
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return count
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def close(self) -> None:
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self.conn.close()
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