fake-stocks/web/app.py

""" 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