finql 0.12.0

A quantitative finance toolbox
Documentation
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use async_trait::async_trait;
use chrono::{DateTime, Local};
///! Implementation for quote handler with Sqlite3 database as backend
use std::str::FromStr;
use std::sync::Arc;

use crate::datatypes::{
    Asset, AssetHandler, Currency, CurrencyISOCode, DataError, Quote, QuoteHandler, Ticker,
};

use super::PostgresDB;

/// PostgreSQL implementation of quote handler
#[async_trait]
impl QuoteHandler for PostgresDB {
    fn into_arc_dispatch(self: Arc<Self>) -> Arc<dyn AssetHandler + Send + Sync> {
        self
    }

    // insert, get, update and delete for market data sources
    async fn insert_ticker(&self, ticker: &Ticker) -> Result<i32, DataError> {
        let cid = ticker.currency.id;
        let row = sqlx::query!(
            "INSERT INTO ticker (name, asset_id, source, priority, currency_id, factor, tz, cal)
                VALUES ($1, $2, $3, $4, $5, $6, $7, $8) RETURNING id",
            ticker.name,
            (ticker.asset as i32),
            (ticker.source.to_string()),
            ticker.priority,
            cid,
            ticker.factor,
            ticker.tz,
            ticker.cal
        )
        .fetch_one(&self.pool)
        .await?;
        let id: i32 = row.id;
        Ok(id)
    }

    async fn get_ticker_id(&self, ticker: &str) -> Option<i32> {
        let row = sqlx::query!("SELECT id FROM ticker WHERE name=$1", ticker)
            .fetch_one(&self.pool)
            .await;
        match row {
            Ok(row) => {
                let id: i32 = row.id;
                Some(id)
            }
            _ => None,
        }
    }

    async fn insert_if_new_ticker(&self, ticker: &Ticker) -> Result<i32, DataError> {
        match self.get_ticker_id(&ticker.name).await {
            Some(id) => Ok(id),
            None => self.insert_ticker(ticker).await,
        }
    }

    async fn get_ticker_by_id(&self, id: i32) -> Result<Ticker, DataError> {
        let row = sqlx::query!(
            "SELECT
                    t.name,
                    t.asset_id,
                    t.source,
                    t.priority,
                    t.factor,
                    t.tz,
                    t.cal,
                    c.id AS currency_id,
                    c.iso_code AS currency_iso_code,
                    c.rounding_digits AS currency_rounding_digits
                 FROM ticker t
                 JOIN currencies c ON c.id = t.currency_id
                 WHERE t.id = $1",
            (id as i32),
        )
        .fetch_one(&self.pool)
        .await?;
        let name = row.name;
        let asset = row.asset_id;
        let source = row.source;
        let currency = Currency::new(
            Some(row.currency_id),
            CurrencyISOCode::from_str(&row.currency_iso_code)?,
            Some(row.currency_rounding_digits),
        );

        Ok(Ticker {
            id: Some(id),
            name,
            asset,
            source,
            priority: row.priority,
            currency,
            factor: row.factor,
            tz: row.tz,
            cal: row.cal,
        })
    }

    async fn get_all_ticker(&self) -> Result<Vec<Ticker>, DataError> {
        let mut all_ticker = Vec::new();
        for row in sqlx::query!(
            r#"SELECT
                   t.id AS "id!",
                   t.name AS "name!",
                   t.asset_id AS "asset_id!",
                   t.priority AS "priority!",
                   t.source AS "source!",
                   t.factor AS "factor!",
                   t.tz,
                   t.cal,
                   c.id AS "currency_id!",
                   c.iso_code AS "currency_iso_code!",
                   c.rounding_digits AS "currency_rounding_digits!"
                 FROM ticker t
                 JOIN currencies c ON c.id = t.currency_id"#
        )
        .fetch_all(&self.pool)
        .await?
        {
            let id = row.id;
            let source = row.source;
            let currency = Currency::new(
                Some(row.currency_id),
                CurrencyISOCode::from_str(&row.currency_iso_code)?,
                Some(row.currency_rounding_digits),
            );
            let factor = row.factor;
            all_ticker.push(Ticker {
                id: Some(id),
                name: row.name,
                asset: row.asset_id,
                source,
                priority: row.priority,
                currency,
                factor,
                tz: row.tz,
                cal: row.cal,
            });
        }
        Ok(all_ticker)
    }

    async fn get_all_ticker_for_source(&self, source: &str) -> Result<Vec<Ticker>, DataError> {
        let mut all_ticker = Vec::new();
        for row in sqlx::query!(
            "SELECT
                   t.id,
                   t.name,
                   t.asset_id,
                   t.priority,
                   t.source,
                   t.factor,
                   t.tz,
                   t.cal,
                   c.id AS currency_id,
                   c.iso_code AS currency_iso_code,
                   c.rounding_digits AS currency_rounding_digits
                 FROM ticker t
                 JOIN currencies c ON c.id = t.currency_id
                 WHERE t.source = $1",
            (source.to_string()),
        )
        .fetch_all(&self.pool)
        .await?
        {
            let id = row.id;
            let asset = row.asset_id;
            let currency = Currency::new(
                Some(row.currency_id),
                CurrencyISOCode::from_str(&row.currency_iso_code)?,
                Some(row.currency_rounding_digits),
            );
            let factor = row.factor;
            all_ticker.push(Ticker {
                id: Some(id),
                name: row.name,
                asset,
                source: source.to_string(),
                priority: row.priority,
                currency,
                factor,
                tz: row.tz,
                cal: row.cal,
            });
        }
        Ok(all_ticker)
    }

    async fn get_all_ticker_for_asset(&self, asset_id: i32) -> Result<Vec<Ticker>, DataError> {
        let mut all_ticker = Vec::new();
        for row in sqlx::query!(
            "SELECT
                   t.id,
                   t.name,
                   t.asset_id,
                   t.priority,
                   t.source,
                   t.factor,
                   t.tz,
                   t.cal,
                   c.id AS currency_id,
                   c.iso_code AS currency_iso_code,
                   c.rounding_digits AS currency_rounding_digits
                 FROM ticker t
                 JOIN currencies c ON c.id = t.currency_id
                 WHERE t.asset_id = $1",
            (asset_id as i32),
        )
        .fetch_all(&self.pool)
        .await?
        {
            let id = row.id;
            let source = row.source;
            let currency = Currency::new(
                Some(row.currency_id),
                CurrencyISOCode::from_str(&row.currency_iso_code)?,
                Some(row.currency_rounding_digits),
            );
            let factor: f64 = row.factor;
            all_ticker.push(Ticker {
                id: Some(id),
                name: row.name,
                asset: asset_id,
                source,
                priority: row.priority,
                currency,
                factor,
                tz: row.tz,
                cal: row.cal,
            });
        }
        Ok(all_ticker)
    }

    async fn update_ticker(&self, ticker: &Ticker) -> Result<(), DataError> {
        if ticker.id.is_none() {
            return Err(DataError::NotFound(
                "not yet stored to database".to_string(),
            ));
        }
        let id = ticker.id.unwrap() as i32;
        let cid = ticker.currency.id.expect("currency asset_id required");
        sqlx::query!(
                "UPDATE ticker SET name = $2, asset_id = $3, source = $4, priority = $5, currency_id = $6, factor = $7, tz = $8, cal = $9
                WHERE id = $1",
                id,
                ticker.name,
                (ticker.asset as i32),
                ticker.source.to_string(),
                ticker.priority,
                (cid as i32),
                ticker.factor,
                ticker.tz,
                ticker.cal
            )
            .execute(&self.pool).await?;
        Ok(())
    }

    async fn delete_ticker(&self, id: i32) -> Result<(), DataError> {
        sqlx::query!("DELETE FROM ticker WHERE id=$1;", (id as i32))
            .execute(&self.pool)
            .await?;
        Ok(())
    }

    // insert, get, update and delete for market data sources
    async fn insert_quote(&self, quote: &Quote) -> Result<i32, DataError> {
        let row = sqlx::query!(
            "INSERT INTO quotes (ticker_id, price, time, volume) 
                VALUES ($1, $2, $3, $4) RETURNING id",
            (quote.ticker as i32),
            quote.price,
            quote.time,
            quote.volume,
        )
        .fetch_one(&self.pool)
        .await?;
        let id = row.id;
        Ok(id)
    }

    async fn get_last_fx_quote_before(
        &self,
        curr: &CurrencyISOCode,
        time: DateTime<Local>,
    ) -> Result<(Quote, Currency), DataError> {
        let row = sqlx::query!(
            "SELECT
                   q.id,
                   q.ticker_id,
                   q.price,
                   q.time,
                   q.volume,
                   qc.id AS currency_id,
                   qc.iso_code,
                   qc.rounding_digits,
                   t.priority
                FROM quotes q
                JOIN ticker t ON t.id = q.ticker_id
                JOIN currencies c ON c.id = t.asset_id
                JOIN currencies qc ON qc.id = t.currency_id
                WHERE
                    c.iso_code = $1
                    AND q.time <= $2
                ORDER BY q.time DESC, t.priority ASC
                LIMIT 1",
            curr.to_string(),
            time,
        )
        .fetch_one(&self.pool)
        .await?;
        let id = row.id;
        let c = Currency::new(
            Some(row.currency_id),
            CurrencyISOCode::new(&row.iso_code)?,
            Some(row.rounding_digits),
        );
        let ticker = row.ticker_id;
        let price = row.price;
        let time: DateTime<Local> = row.time.into();
        let volume = row.volume;
        Ok((
            Quote {
                id: Some(id),
                ticker,
                price,
                time,
                volume,
            },
            c,
        ))
    }

    async fn get_last_quote_before_by_id(
        &self,
        asset_id: i32,
        time: DateTime<Local>,
    ) -> Result<(Quote, Currency), DataError> {
        let row = sqlx::query!(
            "SELECT q.id, q.ticker_id, q.price, q.time, q.volume, t.currency_id, t.priority
                FROM quotes q
                JOIN ticker t ON t.id = q.ticker_id
                WHERE t.asset_id = $1 AND q.time <= $2
                ORDER BY q.time DESC, t.priority ASC
                LIMIT 1",
            asset_id,
            time,
        )
        .fetch_one(&self.pool)
        .await?;

        let id = row.id;
        let ticker = row.ticker_id;
        let price = row.price;
        let time: DateTime<Local> = row.time.into();
        let volume = row.volume;
        let currency_id = row.currency_id;

        if let Ok(Asset::Currency(ca)) = self.get_asset_by_id(currency_id).await {
            Ok((
                Quote {
                    id: Some(id),
                    ticker,
                    price,
                    time,
                    volume,
                },
                ca,
            ))
        } else {
            Err(DataError::InvalidAsset(format!(
                "Couldn't find currency with id={}",
                currency_id
            )))
        }
    }

    async fn get_quotes_in_range_by_id(
        &self,
        asset_id: i32,
        start: DateTime<Local>,
        end: DateTime<Local>,
    ) -> Result<Vec<(Quote, i32)>, DataError> {
        let mut quotes = Vec::new();
        for row in sqlx::query!(
            "SELECT q.id, q.ticker_id, q.price, q.time, q.volume, t.currency_id, t.priority
                FROM quotes q
                JOIN ticker t ON t.id = q.ticker_id
                WHERE t.asset_id = $1 AND q.time>= $2 AND q.time <= $3
                ORDER BY q.time DESC, t.priority ASC",
            asset_id,
            start,
            end
        )
        .fetch_all(&self.pool)
        .await?
        {
            quotes.push((
                Quote {
                    id: Some(row.id),
                    ticker: row.ticker_id,
                    price: row.price,
                    time: row.time.into(),
                    volume: row.volume,
                },
                row.currency_id,
            ));
        }
        Ok(quotes)
    }

    async fn get_all_quotes_for_ticker(&self, ticker_id: i32) -> Result<Vec<Quote>, DataError> {
        let mut quotes = Vec::new();
        for row in sqlx::query!(
            "SELECT id, price, time, volume FROM quotes 
                WHERE ticker_id=$1 ORDER BY time ASC;",
            (ticker_id as i32),
        )
        .fetch_all(&self.pool)
        .await?
        {
            let id = row.id;
            let time = row.time.into();
            quotes.push(Quote {
                id: Some(id),
                ticker: ticker_id,
                price: row.price,
                time,
                volume: row.volume,
            });
        }
        Ok(quotes)
    }

    async fn update_quote(&self, quote: &Quote) -> Result<(), DataError> {
        if quote.id.is_none() {
            return Err(DataError::NotFound(
                "not yet stored to database".to_string(),
            ));
        }
        let id = quote.id.unwrap() as i32;
        sqlx::query!(
            "UPDATE quotes SET ticker_id=$2, price=$3, time=$4, volume=$5
                WHERE id=$1",
            id,
            (quote.ticker as i32),
            quote.price,
            quote.time,
            quote.volume,
        )
        .execute(&self.pool)
        .await?;
        Ok(())
    }

    async fn delete_quote(&self, id: i32) -> Result<(), DataError> {
        sqlx::query!("DELETE FROM quotes WHERE id=$1;", (id as i32))
            .execute(&self.pool)
            .await?;
        Ok(())
    }

    async fn remove_duplicates(&self) -> Result<(), DataError> {
        sqlx::query!(
            "
            delete from quotes q 
            where q.id in
            (select q2.id
            from 
                quotes q1,
                quotes q2
            where 
                q1.id < q2.id
            and q1.ticker_id = q2.ticker_id 
            and q1.time = q2.time
            and q1.price = q2.price) 
            "
        )
        .execute(&self.pool)
        .await?;
        Ok(())
    }
}