File size: 5,066 Bytes
b8122df | 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 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 | #!/usr/bin/env python3
"""Audit downloaded PMData daily ZIP archives without extracting them."""
from __future__ import annotations
import argparse
import datetime as dt
import json
import zipfile
from pathlib import Path
import pyarrow.parquet as pq
ROOT = Path(__file__).resolve().parents[1]
DEFAULT_DATA_ROOT = ROOT / "data" / "pmdata"
def iter_dates(start_date: str, end_date: str) -> list[str]:
start = dt.date.fromisoformat(start_date)
end = dt.date.fromisoformat(end_date)
if end < start:
raise ValueError(f"end date {end} is before start date {start}")
dates = []
cur = start
while cur <= end:
dates.append(cur.isoformat())
cur += dt.timedelta(days=1)
return dates
def parquet_rows_from_zip(zf: zipfile.ZipFile, names: list[str]) -> int:
total = 0
for name in names:
with zf.open(name) as fh:
total += pq.ParquetFile(fh).metadata.num_rows
return total
def expected_names(series: str, date: str) -> list[str]:
day = dt.date.fromisoformat(date)
start = int(dt.datetime(day.year, day.month, day.day, tzinfo=dt.timezone.utc).timestamp())
prefix = f"{series.split('-', 1)[0]}-updown-5m" if series.endswith("-5m") else series
return [f"{prefix}-{start + i * 300}.parquet" for i in range(288)]
def audit_zip(path: Path, *, series: str, date: str) -> dict[str, object]:
if not path.exists():
return {"path": str(path), "exists": False}
with zipfile.ZipFile(path) as zf:
bad_file = zf.testzip()
infos = zf.infolist()
parquet_names = [info.filename for info in infos if info.filename.endswith(".parquet")]
missing = [name for name in expected_names(series, date) if name not in set(parquet_names)]
row_count = parquet_rows_from_zip(zf, parquet_names)
return {
"path": str(path),
"exists": True,
"zip_ok": bad_file is None,
"bad_file": bad_file,
"zip_bytes": path.stat().st_size,
"parquet_files": len(parquet_names),
"uncompressed_bytes": sum(info.file_size for info in infos),
"row_count": row_count,
"first_file": parquet_names[0] if parquet_names else None,
"last_file": parquet_names[-1] if parquet_names else None,
"missing_expected_files": missing,
}
def main() -> None:
parser = argparse.ArgumentParser(description=__doc__)
parser.add_argument("--data-root", type=Path, default=DEFAULT_DATA_ROOT)
parser.add_argument("--series", default="btc-5m")
parser.add_argument("--start-date", required=True)
parser.add_argument("--end-date", required=True)
parser.add_argument("--out", type=Path, required=True)
args = parser.parse_args()
days = []
totals = {
"zip_bytes": 0,
"uncompressed_bytes": 0,
"poly_l2_rows": 0,
"polygon_trades_rows": 0,
"poly_l2_files": 0,
"polygon_trades_files": 0,
}
for date in iter_dates(args.start_date, args.end_date):
day_dir = args.data_root / args.series / date
l2 = audit_zip(day_dir / f"{args.series}_poly_l2_{date}.zip", series=args.series, date=date)
trades = audit_zip(
day_dir / f"{args.series}_polygon_trades_{date}.zip", series=args.series, date=date
)
for item in (l2, trades):
if item.get("exists"):
totals["zip_bytes"] += int(item["zip_bytes"])
totals["uncompressed_bytes"] += int(item["uncompressed_bytes"])
if l2.get("exists"):
totals["poly_l2_rows"] += int(l2["row_count"])
totals["poly_l2_files"] += int(l2["parquet_files"])
if trades.get("exists"):
totals["polygon_trades_rows"] += int(trades["row_count"])
totals["polygon_trades_files"] += int(trades["parquet_files"])
days.append({"date": date, "poly_l2": l2, "polygon_trades": trades})
report = {
"series": args.series,
"start_date": args.start_date,
"end_date": args.end_date,
"day_count": len(days),
"expected_market_files_per_zip": 288,
"totals": totals,
"all_expected_files_present": all(
day["poly_l2"].get("exists") and day["polygon_trades"].get("exists") for day in days
),
"all_zips_ok": all(
day["poly_l2"].get("zip_ok") and day["polygon_trades"].get("zip_ok") for day in days
),
"all_zips_have_288_parquets": all(
day["poly_l2"].get("parquet_files") == 288
and day["polygon_trades"].get("parquet_files") == 288
for day in days
),
"days": days,
}
args.out.parent.mkdir(parents=True, exist_ok=True)
args.out.write_text(json.dumps(report, indent=2), encoding="utf-8")
print(f"wrote {args.out}")
print(json.dumps({k: report[k] for k in ("day_count", "totals", "all_expected_files_present", "all_zips_ok", "all_zips_have_288_parquets")}, indent=2))
if __name__ == "__main__":
main()
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