first commit

web/app.py

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+""" Web service app
+"""
+import json
+from datetime import datetime, timedelta
+
+import pytz
+from clickhouse_driver import Client
+from flask import Flask
+
+app = Flask(__name__)
+
+with open("config.json", "r") as fp:
+    config = json.load(fp)
+client = Client(**config["clickhouse"])
+
+
+@app.route("/instruments")
+def get_instruments():
+    """ Get list of instruments with the latest quote
+    """
+    data = client.execute("""
+    SELECT
+        isin,
+        description,
+        last_value
+    FROM (
+        SELECT
+            isin,
+            argMax(description, added_on) AS description,
+            argMax(status, added_on) AS status
+        FROM symbols FINAL
+        GROUP BY isin
+    ) ndsymbols
+    LEFT JOIN (
+        SELECT
+            isin,
+            toString(argMax(last_value, minute_start)) AS last_value
+        FROM (
+            SELECT
+                isin, minute_start,
+                maxMerge(last_record_timestamp) AS last_record_timestamp,
+                argMinMerge(first_value)/1000000.0 AS first_value,
+                argMaxMerge(last_value)/1000000.0 AS last_value,
+                minMerge(min_value)/1000000.0 AS min_value,
+                maxMerge(max_value)/1000000.0 AS max_value
+            FROM traderepublic.quotes
+            GROUP BY (isin, minute_start)
+        ) aquotes
+        GROUP BY isin
+    ) vals
+        ON vals.isin=ndsymbols.isin
+WHERE ndsymbols.status=1
+ORDER BY isin
+    """)
+    response_rows = []
+    for row in data:
+        response_rows.append({
+            "isin":
+            row[0],
+            "description":
+            row[1],
+            "last_value":
+            float(row[2]) if row[2] != "" else None
+        })
+    return {"data": response_rows}
+
+
+@app.route("/last30m/<string:isin>")
+def get_last30m(isin: str):
+    """ Get last 30 minutes of candlestick data with 1 minute resolution
+    """
+    time30m = datetime.utcnow() - timedelta(minutes=30)
+    time30m = time30m.replace(second=0, microsecond=0)
+    data = client.execute(
+        """
+    SELECT
+        minute_start,
+        first_value,
+        last_value,
+        min_value,
+        max_value
+    FROM (
+    SELECT
+        isin, minute_start,
+        argMinMerge(first_value)/1000000.0 AS first_value,
+        argMaxMerge(last_value)/1000000.0 AS last_value,
+        minMerge(min_value)/1000000.0 AS min_value,
+        maxMerge(max_value)/1000000.0 AS max_value
+    FROM traderepublic.quotes
+    WHERE isin=%(isin)s AND minute_start > %(time30m)s
+    GROUP BY (isin, minute_start)
+    ORDER BY minute_start
+    ) aquotes
+    """, {
+            "isin": isin,
+            "time30m": time30m,
+        })
+    if not data:
+        return {}
+    result = {"isin": isin, "candlesticks": []}
+    candlesticks = result["candlesticks"]
+    timezone = pytz.timezone("UTC")
+    for row in data:
+        time_start = row[0].replace(tzinfo=timezone)
+        candlesticks.append({
+            "time_start":
+            time_start.strftime("%Y-%m-%d %H:%M:%S%z"),
+            "open":
+            row[1],
+            "close":
+            row[2],
+            "min":
+            row[3],
+            "max":
+            row[4]
+        })
+    return result