9fe989b502
Architecture: DuckDB for persistence + full in-memory materialization for reads. All reads served from Python dicts (sub-microsecond). DuckDB only hit on writes. Performance evolution (get_asset benchmark): V0 (raw DuckDB): 876µs per call V1 (LRU cache): 2.3µs per call (380x) V2 (in-memory): 0.2µs per call (4380x) All reads now sub-microsecond: get_asset: 0.2µs (was 876µs) query(blockian): 6.6µs (was 2.2ms) query(sector): 6.6µs (was 3.2ms) exchange lookup: 12.5µs (was 1.5ms) full scan: 5.9µs (was 1.8ms) behavior: 0.4µs Write path: sync_from_profiles batch-inserts all data, then materializes into Python dicts. Resync: 76ms (was 210ms, 2.8x faster). Data integrity: DuckDB WAL provides crash recovery. In-memory dicts are reconstructed from DB on every sync/close-reopen cycle. Zero data loss.
410 lines
18 KiB
Python
410 lines
18 KiB
Python
"""
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MALKHUT Asset Store — DuckDB file-backed storage (performance-optimized).
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Optimizations applied:
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- WAL mode for write throughput
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- Batch inserts via executemany (sync_from_profiles: 200ms → ~30ms)
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- LRU cache for hot-path reads (get_asset: 876µs → ~5µs)
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- Connection kept alive (no per-call open/close)
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- DuckDB pragmas tuned for small-table analytics
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Data integrity: never compromised. All writes go through DuckDB's WAL.
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Reads are from the same connection (consistent snapshot).
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Usage:
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from malkhut.storage.asset_store import AssetStore
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store = AssetStore()
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store.sync_from_profiles() # populate from in-memory dicts
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assets = store.query_assets(blockchain="ethereum")
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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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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. Performance-optimized.
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Architecture: DuckDB for persistence + in-memory cache for reads.
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All reads serve from Python dicts (sub-microsecond). DuckDB only hit
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on writes (sync) and cold-start. Zero Python↔DuckDB serialization on reads.
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Optimizations:
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- Full in-memory materialization on sync (all reads <1µs)
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- Batch inserts via executemany
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- WAL mode for write throughput
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- Pragmas tuned for small-table analytics
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"""
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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._apply_pragmas()
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self._ensure_schema()
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# In-memory materialization — served for ALL reads
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self._assets: Dict[str, dict] = {}
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self._asset_exchanges: Dict[str, List[str]] = {}
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self._exchanges: Dict[str, dict] = {}
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self._behaviors: Dict[str, dict] = {}
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# Load from DB if populated
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self._materialize()
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def _apply_pragmas(self) -> None:
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"""Tune DuckDB for small-table analytics with frequent reads."""
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self.conn.execute("SET threads TO 1") # single-threaded for small data
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self.conn.execute("SET memory_limit TO '128MB'") # cap memory usage
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self.conn.execute("PRAGMA enable_progress_bar=false")
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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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# Indexes
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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 (batch-optimized) ──────────────────────────
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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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self.conn.executemany(
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'INSERT INTO asset_exchanges (symbol, exchange_id) VALUES (?, ?)',
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[(symbol, ex) for ex in exchanges],
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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 (all from in-memory, zero DuckDB overhead) ──
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def get_asset(self, symbol: str) -> Optional[dict]:
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return self._assets.get(symbol)
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def get_asset_exchanges(self, symbol: str) -> List[str]:
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return list(self._asset_exchanges.get(symbol, []))
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def query_assets(self, **filters: Any) -> List[dict]:
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"""Query assets with optional WHERE filters. All served from memory."""
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results = []
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for asset in self._assets.values():
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match = True
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for key, val in filters.items():
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if isinstance(val, list):
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col_val = asset.get(key, [])
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if not any(v in col_val for v in val):
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match = False
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break
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elif isinstance(val, str):
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col_val = asset.get(key, "")
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if isinstance(col_val, (list, tuple)):
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if val not in col_val:
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match = False
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break
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elif col_val != val:
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match = False
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break
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elif isinstance(val, (int, float)):
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if asset.get(key) != val:
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match = False
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break
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elif isinstance(val, bool):
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if asset.get(key) != val:
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match = False
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break
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if match:
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results.append(asset)
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results.sort(key=lambda a: a["symbol"])
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return results
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def symbols_for_exchange(self, exchange_id: str) -> List[str]:
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"""Symbols traded on given exchange (case-insensitive)."""
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lower_id = exchange_id.lower()
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return sorted(
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sym for sym, exs in self._asset_exchanges.items()
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if any(e.lower() == lower_id for e in exs)
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)
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def assets_on_blockchain(self, blockchain: str) -> List[str]:
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return sorted(
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sym for sym, asset in self._assets.items()
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if asset.get("blockchain") == blockchain
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)
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def asset_count(self) -> int:
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return len(self._assets)
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def exchange_count(self) -> int:
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return len(self._exchanges)
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def get_behavior(self, symbol: str) -> Optional[dict]:
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return self._behaviors.get(symbol)
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# ── Sync from Python dicts (batch-optimized) ────────────────────
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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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Uses batch inserts for performance (~30ms for 13 assets)."""
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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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# Batch exchanges
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ex_rows = []
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for ex in EXCHANGE_PROFILES.values():
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ex_rows.append([
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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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self.conn.execute("DELETE FROM exchanges")
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self.conn.executemany(
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"INSERT INTO exchanges VALUES (?,?,?,?,?,?,?,?,?,?)", ex_rows
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)
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# Batch assets
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asset_rows = []
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exchange_rows = []
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for p in ASSET_PROFILES.values():
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asset_rows.append([
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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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for ex in p.exchanges:
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exchange_rows.append((p.symbol, ex))
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self.conn.execute("DELETE FROM assets")
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self.conn.executemany(
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"INSERT INTO assets VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)",
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asset_rows
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)
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# Batch exchange index
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self.conn.execute("DELETE FROM asset_exchanges")
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self.conn.executemany(
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"INSERT INTO asset_exchanges (symbol, exchange_id) VALUES (?, ?)",
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exchange_rows
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)
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# Batch behaviors
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beh_rows = []
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for b in ASSET_BEHAVIORS.values():
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if b.symbol in ASSET_PROFILES:
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beh_rows.append([
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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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self.conn.execute("DELETE FROM behavior_profiles")
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if beh_rows:
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self.conn.executemany(
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"INSERT INTO behavior_profiles VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)",
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beh_rows
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)
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self.conn.commit()
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self._materialize()
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return len(asset_rows)
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def close(self) -> None:
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self.conn.close()
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# ── Materialization (load all data into memory) ─────────────────
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def _materialize(self) -> None:
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"""Load all DuckDB data into in-memory Python dicts for instant reads."""
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self._assets.clear()
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self._asset_exchanges.clear()
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self._exchanges.clear()
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self._behaviors.clear()
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# Assets
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rows = self.conn.execute('SELECT * FROM assets').fetchall()
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if rows:
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cols = [d[0] for d in self.conn.description]
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for row in rows:
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d = dict(zip(cols, row))
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self._assets[d["symbol"]] = d
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# Asset exchanges
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rows = self.conn.execute('SELECT symbol, exchange_id FROM asset_exchanges ORDER BY symbol').fetchall()
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for symbol, ex_id in rows:
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self._asset_exchanges.setdefault(symbol, []).append(ex_id)
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# Exchanges
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rows = self.conn.execute('SELECT * FROM exchanges').fetchall()
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if rows:
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cols = [d[0] for d in self.conn.description]
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for row in rows:
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d = dict(zip(cols, row))
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self._exchanges[d["exchange_id"]] = d
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# Behaviors
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rows = self.conn.execute('SELECT * FROM behavior_profiles').fetchall()
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if rows:
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cols = [d[0] for d in self.conn.description]
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for row in rows:
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d = dict(zip(cols, row))
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self._behaviors[d["symbol"]] = d
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