This commit is contained in:
10
Dockerfile.analytics
Normal file
10
Dockerfile.analytics
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@@ -0,0 +1,10 @@
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FROM python:3.12-slim
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WORKDIR /app
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COPY requirements.txt .
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RUN pip install --no-cache-dir -r requirements.txt
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COPY . .
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CMD ["python", "-m", "src.analytics.worker"]
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22
daemon.py
22
daemon.py
@@ -6,7 +6,6 @@ import requests
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from src.exchanges.eix import EIXExchange
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from src.exchanges.ls import LSExchange
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from src.database.questdb_client import DatabaseClient
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from src.analytics.worker import AnalyticsWorker
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logging.basicConfig(
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level=logging.INFO,
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@@ -28,6 +27,8 @@ def get_last_trade_timestamp(db_url, exchange_name):
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data = response.json()
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if data['dataset']:
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# QuestDB returns timestamp in micros since epoch by default in some views, or ISO
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# Let's assume the timestamp is in the dataset
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# ILP timestamps are stored as designated timestamps.
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ts_value = data['dataset'][0][0] # Adjust index based on column order
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if isinstance(ts_value, str):
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return datetime.datetime.fromisoformat(ts_value.replace('Z', '+00:00'))
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@@ -44,8 +45,14 @@ def run_task(historical=False):
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eix = EIXExchange()
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ls = LSExchange()
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# Pass last_ts to fetcher to allow smart filtering
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# daemon.py runs daily, so we want to fetch everything since DB state
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# BUT we need to be careful: eix.py's fetch_latest_trades needs 'since_date' argument
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# We can't pass it here directly in the tuple easily because last_ts is calculated inside the loop.
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# We will modify the loop below to handle args dynamically
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exchanges_to_process = [
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(eix, {'limit': None if historical else 5}),
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(eix, {'limit': None if historical else 5}), # Default limit 5 for safety if no historical
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(ls, {'include_yesterday': historical})
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]
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@@ -84,14 +91,6 @@ def run_task(historical=False):
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except Exception as e:
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logger.error(f"Error processing exchange {exchange.name}: {e}")
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def run_analytics(db_url="questdb", db_port=9000):
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try:
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worker = AnalyticsWorker(db_host=db_url, db_port=db_port, auth=DB_AUTH)
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worker.initialize_tables()
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worker.run_aggregation()
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except Exception as e:
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logger.error(f"Analytics aggregation failed: {e}")
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def main():
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logger.info("Trading Daemon started.")
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@@ -112,12 +111,10 @@ def main():
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if is_empty:
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logger.info("Database is empty or table doesn't exist. Triggering initial historical fetch...")
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run_task(historical=True)
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run_analytics()
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else:
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logger.info("Found existing data in database. Triggering catch-up sync...")
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# Run a normal task to fetch any missing data since the last run
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run_task(historical=False)
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run_analytics()
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logger.info("Catch-up sync completed. Waiting for scheduled run at 23:00.")
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while True:
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@@ -125,7 +122,6 @@ def main():
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# Täglich um 23:00 Uhr
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if now.hour == 23 and now.minute == 0:
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run_task(historical=False)
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run_analytics()
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# Warte 61s, um Mehrfachausführung in derselben Minute zu verhindern
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time.sleep(61)
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@@ -251,6 +251,40 @@
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<div class="h-80"><canvas id="continentChart"></canvas></div>
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</div>
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</div>
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<!-- Neue Statistiken Sektion -->
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<div class="mt-10 mb-6">
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<div class="flex items-center justify-between mb-6">
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<h2 class="text-2xl font-bold text-slate-200">Erweiterte Statistiken</h2>
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<select id="statisticsPeriod" class="input-glass px-4 py-2" onchange="loadStatistics()">
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<option value="7">7 Tage</option>
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<option value="30">30 Tage</option>
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<option value="42">42 Tage</option>
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<option value="69">69 Tage</option>
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<option value="180">180 Tage</option>
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<option value="365">365 Tage</option>
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</select>
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</div>
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<!-- Moving Average Graph -->
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<div class="glass p-8 mb-8">
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<h3 class="text-lg font-bold mb-6 text-slate-300">Moving Average: Tradezahlen & Volumen je Exchange</h3>
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<div class="h-96"><canvas id="movingAverageChart"></canvas></div>
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</div>
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<!-- Volumen-Änderungen -->
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<div class="glass p-8 mb-8">
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<h3 class="text-lg font-bold mb-6 text-slate-300">Tradingvolumen & Anzahl Änderungen</h3>
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<div class="h-96"><canvas id="volumeChangesChart"></canvas></div>
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</div>
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<!-- Stock Trends -->
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<div class="glass p-8">
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<h3 class="text-lg font-bold mb-6 text-slate-300">Trendanalyse: Häufig gehandelte Aktien</h3>
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<div class="h-96"><canvas id="stockTrendsChart"></canvas></div>
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<div id="stockTrendsTable" class="mt-6 overflow-x-auto"></div>
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</div>
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</div>
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</div>
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<!-- REPORT BUILDER VIEW -->
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@@ -268,10 +302,6 @@
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<option value="1">Today</option>
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<option value="7">Last 7 Days</option>
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<option value="30">Last 30 Days</option>
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<option value="42">Last 42 Days</option>
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<option value="69">Last 69 Days</option>
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<option value="180">Last 6 Months (180d)</option>
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<option value="365">Last Year (365d)</option>
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<option value="ytd">Year to Date (YTD)</option>
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<option value="year">Full Year 2026</option>
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<option value="custom">Custom Range...</option>
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@@ -534,6 +564,10 @@
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document.getElementById('statIsins').innerText = store.metadata.length.toLocaleString();
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renderDashboardCharts();
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fillMetadataTable();
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// Lade Statistiken neu wenn Dashboard aktualisiert wird
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if (window.activeView === 'dashboard') {
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loadStatistics();
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}
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}
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function setChartType(type) { currentChartType = type; renderAnalyticsReport(); }
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@@ -589,36 +623,18 @@
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if (y === 'all') {
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// Dual axis for breakdown
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// Volume Dataset
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const volData = labels.map(l => {
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const row = data.find(r => r[0] === l && r[1] === name);
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return row ? row[3] : 0; // value_volume is index 3
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});
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datasets.push({
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label: `${name} (Vol)`,
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data: volData,
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data: labels.map(l => {
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const row = data.find(r => r[0] === l && r[1] === name);
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return row ? row[3] : 0; // value_volume is index 3
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}),
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backgroundColor: `hsla(${hue}, 75%, 50%, 0.7)`,
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borderColor: `hsla(${hue}, 75%, 50%, 1)`,
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borderWidth: 2,
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yAxisID: 'y',
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type: 'bar'
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});
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// Add MA7 for Volume if enough data points
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if (volData.length > 7) {
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const ma7 = calculateMA(volData, 7);
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datasets.push({
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label: `${name} (Vol MA7)`,
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data: ma7,
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borderColor: `hsla(${hue}, 90%, 80%, 0.8)`,
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borderWidth: 1.5,
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borderDash: [5, 5],
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pointRadius: 0,
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yAxisID: 'y',
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type: 'line',
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tension: 0.4
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});
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}
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// Count Dataset
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datasets.push({
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label: `${name} (Cnt)`,
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@@ -886,22 +902,6 @@
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updateUrlParams();
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}
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function calculateMA(data, period) {
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let ma = [];
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for (let i = 0; i < data.length; i++) {
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if (i < period - 1) {
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ma.push(null);
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continue;
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}
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let sum = 0;
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for (let j = 0; j < period; j++) {
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sum += data[i - j] || 0;
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}
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ma.push(sum / period);
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}
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return ma;
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}
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function fillMetadataTable() {
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const tbody = document.getElementById('metadataRows');
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tbody.innerHTML = store.metadata.map(r => `
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@@ -931,7 +931,355 @@
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rows.forEach(r => r.style.display = r.innerText.toLowerCase().includes(q.toLowerCase()) ? '' : 'none');
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}
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window.onload = async () => { await fetchData(); syncStateFromUrl(); setInterval(fetchData, 30000); };
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async function loadStatistics() {
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const days = document.getElementById('statisticsPeriod').value;
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await Promise.all([
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loadMovingAverage(days),
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loadVolumeChanges(days),
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loadStockTrends(days)
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]);
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}
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async function loadMovingAverage(days) {
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try {
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const res = await fetch(`${API}/statistics/moving-average?days=${days}`).then(r => r.json());
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const data = res.dataset || [];
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const columns = res.columns || [];
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if (!data.length) {
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console.log('No moving average data available');
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return;
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}
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const ctx = document.getElementById('movingAverageChart').getContext('2d');
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if (charts.movingAverage) charts.movingAverage.destroy();
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// Finde Spaltenindizes
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const dateIdx = columns.findIndex(c => c.name === 'date' || c.name === 'timestamp');
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const exchangeIdx = columns.findIndex(c => c.name === 'exchange');
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const countIdx = columns.findIndex(c => c.name === 'trade_count');
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const volumeIdx = columns.findIndex(c => c.name === 'volume');
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const maCountIdx = columns.findIndex(c => c.name === 'ma_count');
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const maVolumeIdx = columns.findIndex(c => c.name === 'ma_volume');
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// Gruppiere nach Exchange
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const exchanges = [...new Set(data.map(r => r[exchangeIdx]))];
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const dates = [...new Set(data.map(r => r[dateIdx]))].sort();
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const datasets = [];
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const colors = ['#38bdf8', '#f43f5e', '#10b981', '#fbbf24', '#8b5cf6'];
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// Trade Count Datasets
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exchanges.forEach((exchange, idx) => {
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datasets.push({
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label: `${exchange} - Trade Count`,
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data: dates.map(d => {
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const row = data.find(r => r[dateIdx] === d && r[exchangeIdx] === exchange);
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return row ? (row[countIdx] || 0) : 0;
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}),
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borderColor: colors[idx % colors.length],
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backgroundColor: colors[idx % colors.length] + '33',
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borderWidth: 2,
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yAxisID: 'y',
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tension: 0.3
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});
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});
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// Moving Average Datasets
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exchanges.forEach((exchange, idx) => {
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datasets.push({
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label: `${exchange} - MA Count`,
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data: dates.map(d => {
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const row = data.find(r => r[dateIdx] === d && r[exchangeIdx] === exchange);
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return row ? (row[maCountIdx] || 0) : 0;
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}),
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borderColor: colors[idx % colors.length],
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backgroundColor: 'transparent',
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borderWidth: 2,
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borderDash: [5, 5],
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yAxisID: 'y',
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tension: 0.3
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});
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});
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// Volume Datasets
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exchanges.forEach((exchange, idx) => {
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datasets.push({
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label: `${exchange} - Volume`,
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data: dates.map(d => {
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const row = data.find(r => r[dateIdx] === d && r[exchangeIdx] === exchange);
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return row ? (row[volumeIdx] || 0) : 0;
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}),
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borderColor: colors[(idx + 2) % colors.length],
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backgroundColor: colors[(idx + 2) % colors.length] + '33',
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borderWidth: 2,
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yAxisID: 'y1',
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tension: 0.3
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});
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});
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charts.movingAverage = new Chart(ctx, {
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type: 'line',
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data: {
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labels: dates.map(d => new Date(d).toLocaleDateString()),
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datasets: datasets
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},
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options: {
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responsive: true,
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maintainAspectRatio: false,
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interaction: { mode: 'index', intersect: false },
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scales: {
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y: {
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type: 'linear',
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display: true,
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position: 'left',
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title: { display: true, text: 'Trade Count', color: '#94a3b8' },
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grid: { color: 'rgba(255,255,255,0.05)' },
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ticks: { color: '#64748b' }
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},
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y1: {
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type: 'linear',
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display: true,
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position: 'right',
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title: { display: true, text: 'Volume (€)', color: '#94a3b8' },
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grid: { drawOnChartArea: false },
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ticks: { color: '#64748b' }
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},
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x: {
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grid: { display: false },
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ticks: { color: '#64748b' }
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}
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},
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plugins: {
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legend: {
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display: true,
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position: 'bottom',
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labels: { color: '#94a3b8', boxWidth: 12, usePointStyle: true, padding: 15 }
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},
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tooltip: {
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backgroundColor: '#1e293b',
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titleColor: '#38bdf8',
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bodyColor: '#e2e8f0',
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borderColor: 'rgba(255,255,255,0.1)',
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borderWidth: 1
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}
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}
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}
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});
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} catch (err) {
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console.error('Error loading moving average:', err);
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}
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}
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async function loadVolumeChanges(days) {
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try {
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const res = await fetch(`${API}/statistics/volume-changes?days=${days}`).then(r => r.json());
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const data = res.dataset || [];
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const columns = res.columns || [];
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if (!data.length) {
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console.log('No volume changes data available');
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return;
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}
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const ctx = document.getElementById('volumeChangesChart').getContext('2d');
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if (charts.volumeChanges) charts.volumeChanges.destroy();
|
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// Finde Spaltenindizes
|
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const exchangeIdx = columns.findIndex(c => c.name === 'exchange');
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const countChangeIdx = columns.findIndex(c => c.name === 'count_change_pct');
|
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const volumeChangeIdx = columns.findIndex(c => c.name === 'volume_change_pct');
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const trendIdx = columns.findIndex(c => c.name === 'trend');
|
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const exchanges = data.map(r => r[exchangeIdx]);
|
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const countChanges = data.map(r => r[countChangeIdx] || 0);
|
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const volumeChanges = data.map(r => r[volumeChangeIdx] || 0);
|
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charts.volumeChanges = new Chart(ctx, {
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type: 'bar',
|
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data: {
|
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labels: exchanges,
|
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datasets: [
|
||||
{
|
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label: 'Anzahl Änderung (%)',
|
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data: countChanges,
|
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backgroundColor: '#38bdf866',
|
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borderColor: '#38bdf8',
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borderWidth: 2,
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yAxisID: 'y'
|
||||
},
|
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{
|
||||
label: 'Volumen Änderung (%)',
|
||||
data: volumeChanges,
|
||||
backgroundColor: '#fbbf2466',
|
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borderColor: '#fbbf24',
|
||||
borderWidth: 2,
|
||||
yAxisID: 'y'
|
||||
}
|
||||
]
|
||||
},
|
||||
options: {
|
||||
responsive: true,
|
||||
maintainAspectRatio: false,
|
||||
scales: {
|
||||
y: {
|
||||
type: 'linear',
|
||||
display: true,
|
||||
title: { display: true, text: 'Änderung (%)', color: '#94a3b8' },
|
||||
grid: { color: 'rgba(255,255,255,0.05)' },
|
||||
ticks: { color: '#64748b' }
|
||||
},
|
||||
x: {
|
||||
grid: { display: false },
|
||||
ticks: { color: '#64748b' }
|
||||
}
|
||||
},
|
||||
plugins: {
|
||||
legend: {
|
||||
display: true,
|
||||
position: 'top',
|
||||
labels: { color: '#94a3b8', boxWidth: 12, usePointStyle: true, padding: 15 }
|
||||
},
|
||||
tooltip: {
|
||||
backgroundColor: '#1e293b',
|
||||
titleColor: '#38bdf8',
|
||||
bodyColor: '#e2e8f0',
|
||||
borderColor: 'rgba(255,255,255,0.1)',
|
||||
borderWidth: 1,
|
||||
callbacks: {
|
||||
afterLabel: (context) => {
|
||||
const idx = context.dataIndex;
|
||||
const trend = data[idx][trendIdx]; // trend
|
||||
return `Trend: ${trend || 'N/A'}`;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
});
|
||||
} catch (err) {
|
||||
console.error('Error loading volume changes:', err);
|
||||
}
|
||||
}
|
||||
|
||||
async function loadStockTrends(days) {
|
||||
try {
|
||||
const res = await fetch(`${API}/statistics/stock-trends?days=${days}&limit=20`).then(r => r.json());
|
||||
const data = res.dataset || [];
|
||||
const columns = res.columns || [];
|
||||
|
||||
if (!data.length) {
|
||||
console.log('No stock trends data available');
|
||||
return;
|
||||
}
|
||||
|
||||
const ctx = document.getElementById('stockTrendsChart').getContext('2d');
|
||||
const tableContainer = document.getElementById('stockTrendsTable');
|
||||
|
||||
if (charts.stockTrends) charts.stockTrends.destroy();
|
||||
|
||||
// Finde Spaltenindizes
|
||||
const isinIdx = columns.findIndex(c => c.name === 'isin');
|
||||
const volumeIdx = columns.findIndex(c => c.name === 'volume');
|
||||
const countIdx = columns.findIndex(c => c.name === 'trade_count');
|
||||
const countChangeIdx = columns.findIndex(c => c.name === 'count_change_pct');
|
||||
const volumeChangeIdx = columns.findIndex(c => c.name === 'volume_change_pct');
|
||||
|
||||
// Sortiere nach Volumen
|
||||
const sorted = [...data].sort((a, b) => (b[volumeIdx] || 0) - (a[volumeIdx] || 0)).slice(0, 10);
|
||||
|
||||
const isins = sorted.map(r => r[isinIdx]);
|
||||
const volumes = sorted.map(r => r[volumeIdx] || 0);
|
||||
const countChanges = sorted.map(r => r[countChangeIdx] || 0);
|
||||
const volumeChanges = sorted.map(r => r[volumeChangeIdx] || 0);
|
||||
|
||||
charts.stockTrends = new Chart(ctx, {
|
||||
type: 'bar',
|
||||
data: {
|
||||
labels: isins.map(i => i.substring(0, 12) + '...'),
|
||||
datasets: [
|
||||
{
|
||||
label: 'Volumen (€)',
|
||||
data: volumes,
|
||||
backgroundColor: '#10b98166',
|
||||
borderColor: '#10b981',
|
||||
borderWidth: 2,
|
||||
yAxisID: 'y'
|
||||
}
|
||||
]
|
||||
},
|
||||
options: {
|
||||
responsive: true,
|
||||
maintainAspectRatio: false,
|
||||
scales: {
|
||||
y: {
|
||||
type: 'linear',
|
||||
display: true,
|
||||
title: { display: true, text: 'Volumen (€)', color: '#94a3b8' },
|
||||
grid: { color: 'rgba(255,255,255,0.05)' },
|
||||
ticks: { color: '#64748b' }
|
||||
},
|
||||
x: {
|
||||
grid: { display: false },
|
||||
ticks: { color: '#64748b', maxRotation: 45, minRotation: 45 }
|
||||
}
|
||||
},
|
||||
plugins: {
|
||||
legend: {
|
||||
display: true,
|
||||
position: 'top',
|
||||
labels: { color: '#94a3b8', boxWidth: 12, usePointStyle: true, padding: 15 }
|
||||
},
|
||||
tooltip: {
|
||||
backgroundColor: '#1e293b',
|
||||
titleColor: '#38bdf8',
|
||||
bodyColor: '#e2e8f0',
|
||||
borderColor: 'rgba(255,255,255,0.1)',
|
||||
borderWidth: 1
|
||||
}
|
||||
}
|
||||
}
|
||||
});
|
||||
|
||||
// Erstelle Tabelle
|
||||
tableContainer.innerHTML = `
|
||||
<table class="w-full text-left text-sm">
|
||||
<thead>
|
||||
<tr class="border-b border-white/10">
|
||||
<th class="p-3 text-slate-400 font-bold">ISIN</th>
|
||||
<th class="p-3 text-slate-400 font-bold">Trades</th>
|
||||
<th class="p-3 text-slate-400 font-bold">Volumen (€)</th>
|
||||
<th class="p-3 text-slate-400 font-bold">Anzahl Δ (%)</th>
|
||||
<th class="p-3 text-slate-400 font-bold">Volumen Δ (%)</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
${sorted.map(r => `
|
||||
<tr class="border-b border-white/5 hover:bg-white/5">
|
||||
<td class="p-3 font-mono text-sky-400">${r[isinIdx]}</td>
|
||||
<td class="p-3 text-slate-300">${(r[countIdx] || 0).toLocaleString()}</td>
|
||||
<td class="p-3 text-slate-300">€${((r[volumeIdx] || 0) / 1e6).toFixed(2)}M</td>
|
||||
<td class="p-3 ${(r[countChangeIdx] || 0) >= 0 ? 'text-green-400' : 'text-red-400'}">${((r[countChangeIdx] || 0)).toFixed(2)}%</td>
|
||||
<td class="p-3 ${(r[volumeChangeIdx] || 0) >= 0 ? 'text-green-400' : 'text-red-400'}">${((r[volumeChangeIdx] || 0)).toFixed(2)}%</td>
|
||||
</tr>
|
||||
`).join('')}
|
||||
</tbody>
|
||||
</table>
|
||||
`;
|
||||
} catch (err) {
|
||||
console.error('Error loading stock trends:', err);
|
||||
}
|
||||
}
|
||||
|
||||
window.onload = async () => {
|
||||
await fetchData();
|
||||
syncStateFromUrl();
|
||||
setInterval(fetchData, 30000);
|
||||
// Lade Statistiken beim Start
|
||||
setTimeout(() => loadStatistics(), 1000);
|
||||
};
|
||||
</script>
|
||||
</body>
|
||||
|
||||
|
||||
@@ -114,168 +114,46 @@ async def get_analytics(
|
||||
"exchange_sector": f"concat({t_prefix}exchange, ' - ', coalesce({m_prefix}sector, 'Unknown'))" if needs_metadata else "'Unknown'"
|
||||
}
|
||||
|
||||
# Determine table based on granularity and needs
|
||||
# For day/month aggregation without ISIN specific filtering, use analytics_daily
|
||||
# But analytics_daily doesn't have individual ISINs (except via another table)
|
||||
# So if ISIN filter is off, use analytics_daily
|
||||
selected_metric = metrics_map.get(metric, metrics_map["volume"])
|
||||
selected_group = groups_map.get(group_by, groups_map["day"])
|
||||
|
||||
use_analytics_table = False
|
||||
query = f"select {selected_group} as label"
|
||||
|
||||
# Check if we can use the pre-aggregated table
|
||||
if not isins and not sub_group_by == "isin" and group_by != "isin" and group_by != "name":
|
||||
use_analytics_table = True
|
||||
|
||||
table_name = "analytics_daily" if use_analytics_table else "trades"
|
||||
|
||||
# If using analytics table, columns might be named differently?
|
||||
# analytics_daily: timestamp, exchange, sector, continent, volume, trade_count, avg_price
|
||||
|
||||
# We need to map our generic query builder to this table
|
||||
# This might be tricky if column names don't align exactly or if we need dynamic mapping.
|
||||
# To keep it safe for now, let's just stick to 'trades' but hint towards optimization.
|
||||
# Actually, let's implement IT for the main view (Exchange/Continent breakdown)
|
||||
|
||||
if use_analytics_table:
|
||||
# Simplified query for analytics table
|
||||
# Note: timestamps are day-aligned in analytics table
|
||||
|
||||
# Adjust metric mapping for analytics table
|
||||
metrics_map_opt = {
|
||||
"volume": "sum(volume)",
|
||||
"count": "sum(trade_count)",
|
||||
"avg_price": "avg(avg_price)", # Not mathematically perfect but close for display
|
||||
"all": "count(*) as value_count, sum(volume) as value_volume" # Wait, 'all' needs specific handling
|
||||
}
|
||||
|
||||
if metric == 'all':
|
||||
metric_expr = "sum(trade_count) as value_count, sum(volume) as value_volume"
|
||||
else:
|
||||
metric_expr = f"{metrics_map_opt.get(metric, 'sum(volume)')} as value"
|
||||
|
||||
|
||||
# Group mapping logic
|
||||
# analytics_daily has: timestamp, exchange, sector, continent
|
||||
groups_map_opt = {
|
||||
"day": "timestamp",
|
||||
"month": "date_trunc('month', timestamp)",
|
||||
"exchange": "exchange",
|
||||
"continent": "continent",
|
||||
"sector": "sector",
|
||||
"exchange_continent": "concat(exchange, ' - ', continent)",
|
||||
"exchange_sector": "concat(exchange, ' - ', sector)"
|
||||
}
|
||||
|
||||
sel_group_expr = groups_map_opt.get(group_by, "timestamp")
|
||||
|
||||
query = f"select {sel_group_expr} as label"
|
||||
|
||||
if sub_group_by and sub_group_by in groups_map_opt:
|
||||
query += f", {groups_map_opt[sub_group_by]} as sub_label"
|
||||
|
||||
query += f", {metric_expr} from analytics_daily where 1=1"
|
||||
|
||||
if date_from: query += f" and timestamp >= '{date_from}'"
|
||||
if date_to: query += f" and timestamp <= '{date_to}'"
|
||||
|
||||
# Filters
|
||||
if continents:
|
||||
cont_list = ",".join([f"'{c.strip()}'" for c in continents.split(",")])
|
||||
query += f" and continent in ({cont_list})"
|
||||
|
||||
query += f" group by {sel_group_expr}"
|
||||
if sub_group_by: query += f", {groups_map_opt[sub_group_by]}"
|
||||
|
||||
query += " order by label asc"
|
||||
|
||||
if sub_group_by and sub_group_by in groups_map:
|
||||
query += f", {groups_map[sub_group_by]} as sub_label"
|
||||
|
||||
if metric == 'all':
|
||||
query += f", count(*) as value_count, sum({t_prefix}price * {t_prefix}quantity) as value_volume from trades"
|
||||
else:
|
||||
# Fallback to RAW TRADES query (existing logic)
|
||||
# ... (keep existing logic but indented/wrapped)
|
||||
selected_metric = metrics_map.get(metric, metrics_map["volume"])
|
||||
selected_group = groups_map.get(group_by, groups_map["day"])
|
||||
|
||||
query = f"select {selected_group} as label"
|
||||
|
||||
if sub_group_by and sub_group_by in groups_map:
|
||||
query += f", {groups_map[sub_group_by]} as sub_label"
|
||||
|
||||
if metric == 'all':
|
||||
query += f", count(*) as value_count, sum({t_prefix}price * {t_prefix}quantity) as value_volume from trades"
|
||||
else:
|
||||
query += f", {selected_metric} as value from trades"
|
||||
|
||||
if needs_metadata:
|
||||
query += " t left join metadata m on t.isin = m.isin"
|
||||
|
||||
query += " where 1=1"
|
||||
|
||||
if date_from:
|
||||
query += f" and {t_prefix}timestamp >= '{date_from}'"
|
||||
if date_to:
|
||||
query += f" and {t_prefix}timestamp <= '{date_to}'"
|
||||
|
||||
if isins:
|
||||
isins_list = ",".join([f"'{i.strip()}'" for i in isins.split(",")])
|
||||
query += f" and {t_prefix}isin in ({isins_list})"
|
||||
|
||||
if continents and needs_metadata:
|
||||
cont_list = ",".join([f"'{c.strip()}'" for c in continents.split(",")])
|
||||
query += f" and {m_prefix}continent in ({cont_list})"
|
||||
|
||||
query += f" group by {selected_group}"
|
||||
if sub_group_by and sub_group_by in groups_map:
|
||||
query += f", {groups_map[sub_group_by]}"
|
||||
|
||||
query += " order by label asc"
|
||||
query += f", {selected_metric} as value from trades"
|
||||
if needs_metadata:
|
||||
query += " t left join metadata m on t.isin = m.isin"
|
||||
|
||||
query += " where 1=1"
|
||||
|
||||
if date_from:
|
||||
query += f" and {t_prefix}timestamp >= '{date_from}'"
|
||||
if date_to:
|
||||
query += f" and {t_prefix}timestamp <= '{date_to}'"
|
||||
|
||||
if isins:
|
||||
isins_list = ",".join([f"'{i.strip()}'" for i in isins.split(",")])
|
||||
query += f" and {t_prefix}isin in ({isins_list})"
|
||||
|
||||
if continents and needs_metadata:
|
||||
cont_list = ",".join([f"'{c.strip()}'" for c in continents.split(",")])
|
||||
query += f" and {m_prefix}continent in ({cont_list})"
|
||||
|
||||
query += f" group by {selected_group}"
|
||||
if sub_group_by and sub_group_by in groups_map:
|
||||
query += f", {groups_map[sub_group_by]}"
|
||||
|
||||
query += " order by label asc"
|
||||
|
||||
print(f"Executing Query: {query}")
|
||||
try:
|
||||
response = requests.get(f"http://{DB_HOST}:9000/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
return response.json()
|
||||
|
||||
print(f"DEBUG: Query Failed: {response.text}")
|
||||
|
||||
if use_analytics_table:
|
||||
print("DEBUG: Analytics query failed, falling back to RAW trades query...")
|
||||
|
||||
selected_metric = metrics_map.get(metric, metrics_map["volume"])
|
||||
selected_group = groups_map.get(group_by, groups_map["day"])
|
||||
|
||||
raw_query = f"select {selected_group} as label"
|
||||
|
||||
if sub_group_by and sub_group_by in groups_map:
|
||||
raw_query += f", {groups_map[sub_group_by]} as sub_label"
|
||||
|
||||
if metric == 'all':
|
||||
raw_query += f", count(*) as value_count, sum({t_prefix}price * {t_prefix}quantity) as value_volume from trades"
|
||||
else:
|
||||
raw_query += f", {selected_metric} as value from trades"
|
||||
|
||||
if needs_metadata:
|
||||
raw_query += " t left join metadata m on t.isin = m.isin"
|
||||
|
||||
raw_query += " where 1=1"
|
||||
|
||||
if date_from: raw_query += f" and {t_prefix}timestamp >= '{date_from}'"
|
||||
if date_to: raw_query += f" and {t_prefix}timestamp <= '{date_to}'"
|
||||
if isins:
|
||||
isins_list = ",".join([f"'{i.strip()}'" for i in isins.split(",")])
|
||||
raw_query += f" and {t_prefix}isin in ({isins_list})"
|
||||
if continents and needs_metadata:
|
||||
cont_list = ",".join([f"'{c.strip()}'" for c in continents.split(",")])
|
||||
raw_query += f" and {m_prefix}continent in ({cont_list})"
|
||||
|
||||
raw_query += f" group by {selected_group}"
|
||||
if sub_group_by and sub_group_by in groups_map:
|
||||
raw_query += f", {groups_map[sub_group_by]}"
|
||||
|
||||
raw_query += " order by label asc"
|
||||
|
||||
print(f"Executing Fallback Query: {raw_query}")
|
||||
fb_response = requests.get(f"http://{DB_HOST}:9000/exec", params={'query': raw_query}, auth=DB_AUTH)
|
||||
if fb_response.status_code == 200:
|
||||
return fb_response.json()
|
||||
|
||||
throw_http_error(response)
|
||||
except Exception as e:
|
||||
raise HTTPException(status_code=500, detail=str(e))
|
||||
@@ -292,6 +170,104 @@ async def search_metadata(q: str):
|
||||
except Exception as e:
|
||||
raise HTTPException(status_code=500, detail=str(e))
|
||||
|
||||
@app.get("/api/statistics/moving-average")
|
||||
async def get_moving_average(days: int = 7, exchange: str = None):
|
||||
"""
|
||||
Gibt Moving Average Daten für Tradezahlen und Volumen je Exchange zurück.
|
||||
Unterstützte Zeiträume: 7, 30, 42, 69, 180, 365 Tage
|
||||
"""
|
||||
if days not in [7, 30, 42, 69, 180, 365]:
|
||||
raise HTTPException(status_code=400, detail="Invalid days parameter. Must be one of: 7, 30, 42, 69, 180, 365")
|
||||
|
||||
# Hole Daten aus der vorberechneten analytics_exchange_daily Tabelle
|
||||
query = f"""
|
||||
select
|
||||
timestamp as date,
|
||||
exchange,
|
||||
trade_count,
|
||||
volume,
|
||||
ma{days}_count as ma_count,
|
||||
ma{days}_volume as ma_volume
|
||||
from analytics_exchange_daily
|
||||
where timestamp >= dateadd('d', -{days}, now())
|
||||
"""
|
||||
|
||||
if exchange:
|
||||
query += f" and exchange = '{exchange}'"
|
||||
|
||||
query += " order by date asc, exchange asc"
|
||||
|
||||
try:
|
||||
response = requests.get(f"http://{DB_HOST}:9000/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
return response.json()
|
||||
throw_http_error(response)
|
||||
except Exception as e:
|
||||
raise HTTPException(status_code=500, detail=str(e))
|
||||
|
||||
@app.get("/api/statistics/volume-changes")
|
||||
async def get_volume_changes(days: int = 7):
|
||||
"""
|
||||
Gibt Änderungen in Volumen und Anzahl je Exchange zurück.
|
||||
Unterstützte Zeiträume: 7, 30, 42, 69, 180, 365 Tage
|
||||
"""
|
||||
if days not in [7, 30, 42, 69, 180, 365]:
|
||||
raise HTTPException(status_code=400, detail="Invalid days parameter. Must be one of: 7, 30, 42, 69, 180, 365")
|
||||
|
||||
query = f"""
|
||||
select
|
||||
timestamp as date,
|
||||
exchange,
|
||||
trade_count,
|
||||
volume,
|
||||
count_change_pct,
|
||||
volume_change_pct,
|
||||
trend
|
||||
from analytics_volume_changes
|
||||
where period_days = {days}
|
||||
order by date desc, exchange asc
|
||||
"""
|
||||
|
||||
try:
|
||||
response = requests.get(f"http://{DB_HOST}:9000/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
return response.json()
|
||||
throw_http_error(response)
|
||||
except Exception as e:
|
||||
raise HTTPException(status_code=500, detail=str(e))
|
||||
|
||||
@app.get("/api/statistics/stock-trends")
|
||||
async def get_stock_trends(days: int = 7, limit: int = 20):
|
||||
"""
|
||||
Gibt Trendanalyse für häufig gehandelte Aktien zurück.
|
||||
Unterstützte Zeiträume: 7, 30, 42, 69, 180, 365 Tage
|
||||
"""
|
||||
if days not in [7, 30, 42, 69, 180, 365]:
|
||||
raise HTTPException(status_code=400, detail="Invalid days parameter. Must be one of: 7, 30, 42, 69, 180, 365")
|
||||
|
||||
# Hole Top-Aktien nach Volumen für den Zeitraum
|
||||
query = f"""
|
||||
select
|
||||
timestamp as date,
|
||||
isin,
|
||||
trade_count,
|
||||
volume,
|
||||
count_change_pct,
|
||||
volume_change_pct
|
||||
from analytics_stock_trends
|
||||
where period_days = {days}
|
||||
order by volume desc
|
||||
limit {limit}
|
||||
"""
|
||||
|
||||
try:
|
||||
response = requests.get(f"http://{DB_HOST}:9000/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
return response.json()
|
||||
throw_http_error(response)
|
||||
except Exception as e:
|
||||
raise HTTPException(status_code=500, detail=str(e))
|
||||
|
||||
def throw_http_error(res):
|
||||
raise HTTPException(status_code=res.status_code, detail=f"QuestDB error: {res.text}")
|
||||
|
||||
|
||||
@@ -60,5 +60,19 @@ services:
|
||||
- DB_PASSWORD=${DB_PASSWORD:-quest}
|
||||
- DB_HOST=questdb
|
||||
|
||||
analytics_worker:
|
||||
build:
|
||||
context: .
|
||||
dockerfile: Dockerfile.analytics
|
||||
container_name: analytics_worker
|
||||
depends_on:
|
||||
- questdb
|
||||
restart: always
|
||||
environment:
|
||||
- PYTHONUNBUFFERED=1
|
||||
- DB_USER=${DB_USER:-admin}
|
||||
- DB_PASSWORD=${DB_PASSWORD:-quest}
|
||||
- DB_HOST=questdb
|
||||
|
||||
volumes:
|
||||
questdb_data:
|
||||
|
||||
1
src/analytics/__init__.py
Normal file
1
src/analytics/__init__.py
Normal file
@@ -0,0 +1 @@
|
||||
# Analytics module for trading data aggregation
|
||||
@@ -1,168 +1,446 @@
|
||||
import logging
|
||||
import requests
|
||||
import time
|
||||
from datetime import datetime, timedelta
|
||||
import logging
|
||||
import datetime
|
||||
import os
|
||||
import requests
|
||||
from typing import Dict, List, Tuple, Optional
|
||||
import pandas as pd
|
||||
|
||||
logging.basicConfig(
|
||||
level=logging.INFO,
|
||||
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s'
|
||||
)
|
||||
logger = logging.getLogger("AnalyticsWorker")
|
||||
|
||||
DB_USER = os.getenv("DB_USER", "admin")
|
||||
DB_PASSWORD = os.getenv("DB_PASSWORD", "quest")
|
||||
DB_AUTH = (DB_USER, DB_PASSWORD) if DB_USER and DB_PASSWORD else None
|
||||
DB_HOST = os.getenv("DB_HOST", "questdb")
|
||||
DB_URL = f"http://{DB_HOST}:9000"
|
||||
|
||||
# Unterstützte Zeiträume
|
||||
TIME_PERIODS = [7, 30, 42, 69, 180, 365]
|
||||
|
||||
class AnalyticsWorker:
|
||||
def __init__(self, db_host="questdb", db_port=9000, auth=None):
|
||||
self.db_url = f"http://{db_host}:{db_port}"
|
||||
self.auth = auth
|
||||
|
||||
def execute_query(self, query):
|
||||
def __init__(self):
|
||||
self.last_processed_timestamp = None
|
||||
self.db_url = DB_URL
|
||||
|
||||
def get_last_processed_timestamp(self) -> Optional[datetime.datetime]:
|
||||
"""Holt den letzten verarbeiteten Timestamp aus der Analytics-Tabelle"""
|
||||
try:
|
||||
response = requests.get(f"{self.db_url}/exec", params={'query': query}, auth=self.auth)
|
||||
query = "select max(timestamp) as last_ts from analytics_exchange_daily"
|
||||
response = requests.get(f"{self.db_url}/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
logger.debug(f"Query executed successfully: {query[:50]}...")
|
||||
return response.json()
|
||||
else:
|
||||
logger.error(f"Query failed: {response.text} - Query: {query}")
|
||||
return None
|
||||
data = response.json()
|
||||
if data.get('dataset') and data['dataset'] and len(data['dataset']) > 0 and data['dataset'][0][0]:
|
||||
ts_value = data['dataset'][0][0]
|
||||
if isinstance(ts_value, str):
|
||||
return datetime.datetime.fromisoformat(ts_value.replace('Z', '+00:00'))
|
||||
elif isinstance(ts_value, (int, float)):
|
||||
# QuestDB gibt Timestamps in Mikrosekunden zurück
|
||||
return datetime.datetime.fromtimestamp(ts_value / 1000000, tz=datetime.timezone.utc)
|
||||
except Exception as e:
|
||||
logger.error(f"DB connection error: {e}")
|
||||
return None
|
||||
|
||||
def initialize_tables(self):
|
||||
"""Create necessary tables for pre-aggregation if they don't exist"""
|
||||
logger.debug(f"Could not get last processed timestamp: {e}")
|
||||
return None
|
||||
|
||||
def get_new_trades(self, since: Optional[datetime.datetime] = None) -> List[Dict]:
|
||||
"""Holt neue Trades seit dem letzten Verarbeitungszeitpunkt"""
|
||||
if since:
|
||||
since_str = since.strftime('%Y-%m-%d %H:%M:%S')
|
||||
query = f"select timestamp, exchange, isin, price, quantity from trades where timestamp > '{since_str}' order by timestamp asc"
|
||||
else:
|
||||
# Erste Ausführung: nur die letzten 7 Tage
|
||||
query = f"select timestamp, exchange, isin, price, quantity from trades where timestamp > dateadd('d', -7, now()) order by timestamp asc"
|
||||
|
||||
# 1. Daily Stats (Global & Per Exchange)
|
||||
# We store daily stats broken down by Exchange, Sector, Continent
|
||||
# Actually, let's keep it simple first: One big table for flexible queries?
|
||||
# Or multiple small tables?
|
||||
# For performance, pre-aggregating by (Day, Exchange, Sector) is best.
|
||||
|
||||
# Table: analytics_daily
|
||||
# timestamp | exchange | sector | continent | sum_volume | count_trades | avg_price
|
||||
|
||||
queries = [
|
||||
"""
|
||||
CREATE TABLE IF NOT EXISTS analytics_daily (
|
||||
timestamp TIMESTAMP,
|
||||
exchange SYMBOL,
|
||||
sector SYMBOL,
|
||||
continent SYMBOL,
|
||||
volume DOUBLE,
|
||||
trade_count LONG,
|
||||
avg_price DOUBLE
|
||||
) TIMESTAMP(timestamp) PARTITION BY YEAR;
|
||||
""",
|
||||
"""
|
||||
CREATE TABLE IF NOT EXISTS isin_stats_daily (
|
||||
timestamp TIMESTAMP,
|
||||
isin SYMBOL,
|
||||
volume DOUBLE,
|
||||
trade_count LONG,
|
||||
vwap DOUBLE
|
||||
) TIMESTAMP(timestamp) PARTITION BY YEAR;
|
||||
"""
|
||||
]
|
||||
|
||||
for q in queries:
|
||||
self.execute_query(q)
|
||||
|
||||
def run_aggregation(self):
|
||||
"""Run aggregation logic to fill tables"""
|
||||
logger.info("Starting analytics aggregation...")
|
||||
|
||||
# 1. Aggregate into analytics_daily
|
||||
# We perform an INSERT INTO ... SELECT
|
||||
# We need to manage deduplication or delete/replace. QuestDB append only model
|
||||
# implies we should be careful.
|
||||
# Simple strategy: Delete stats for "today" (if creating incomplete stats) or
|
||||
# rely on the fact that this runs once a day after full import.
|
||||
# But for 'catch-up' we might process ranges.
|
||||
|
||||
# Let's try to aggregate everything that is NOT in analytics_daily.
|
||||
# Efficient approach: Get max timestamp from analytics_daily, aggregate trades > max_ts
|
||||
|
||||
last_ts = self.get_last_aggregated_ts("analytics_daily")
|
||||
logger.info(f"Last analytics_daily timestamp: {last_ts}")
|
||||
|
||||
# QuestDB INSERT INTO ... SELECT
|
||||
# Grouping by 1d, exchange, sector, continent (requires join)
|
||||
try:
|
||||
response = requests.get(f"{self.db_url}/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
data = response.json()
|
||||
columns = data.get('columns', [])
|
||||
dataset = data.get('dataset', [])
|
||||
|
||||
trades = []
|
||||
for row in dataset:
|
||||
trade = {}
|
||||
for i, col in enumerate(columns):
|
||||
trade[col['name']] = row[i]
|
||||
trades.append(trade)
|
||||
return trades
|
||||
except Exception as e:
|
||||
logger.error(f"Error fetching new trades: {e}")
|
||||
return []
|
||||
|
||||
def calculate_exchange_daily_aggregations(self, days_back: int = 365) -> List[Dict]:
|
||||
"""Berechnet tägliche Aggregationen je Exchange mit Moving Averages"""
|
||||
end_date = datetime.datetime.now(datetime.timezone.utc)
|
||||
start_date = end_date - datetime.timedelta(days=days_back)
|
||||
|
||||
query = f"""
|
||||
INSERT INTO analytics_daily
|
||||
SELECT
|
||||
timestamp,
|
||||
select
|
||||
date_trunc('day', timestamp) as date,
|
||||
exchange,
|
||||
coalesce(m.sector, 'Unknown'),
|
||||
coalesce(m.continent, 'Unknown'),
|
||||
sum(price * quantity),
|
||||
count(*),
|
||||
sum(price * quantity) / sum(quantity)
|
||||
FROM trades t
|
||||
LEFT JOIN metadata m ON t.isin = m.isin
|
||||
WHERE timestamp >= '{last_ts}'::timestamp
|
||||
SAMPLE BY 1d FILL(none) ALIGN TO CALENDAR
|
||||
"""
|
||||
# Note: SAMPLE BY with multipile groups in QuestDB might require attention to syntax or
|
||||
# iterating. QuestDB's SAMPLE BY creates a time series bucket.
|
||||
# If we want grouping by other columns, we use GROUP BY, but 'SAMPLE BY' is preferred for time buckets.
|
||||
# SAMPLE BY 1d, exchange, m.sector, m.continent -- not standard SQL.
|
||||
|
||||
# Correct QuestDB approach for multi-dimensional time buckets:
|
||||
# SAMPLE BY 1d, symbol works if symbol is the designated symbol column?
|
||||
# No, QuestDB SAMPLE BY groups by time. For other columns we need standard GROUP BY
|
||||
# combined with time bucketing functions like date_trunc('day', timestamp).
|
||||
|
||||
query_daily = f"""
|
||||
INSERT INTO analytics_daily
|
||||
SELECT
|
||||
date_trunc('day', t.timestamp) as timestamp,
|
||||
t.exchange,
|
||||
coalesce(m.sector, 'Unknown') as sector,
|
||||
coalesce(m.continent, 'Unknown') as continent,
|
||||
sum(t.price * t.quantity) as volume,
|
||||
count(*) as trade_count,
|
||||
sum(t.price * t.quantity) / sum(t.quantity) as avg_price
|
||||
FROM trades t
|
||||
LEFT JOIN metadata m ON t.isin = m.isin
|
||||
WHERE t.timestamp > '{last_ts}'::timestamp
|
||||
GROUP BY
|
||||
date_trunc('day', t.timestamp),
|
||||
t.exchange,
|
||||
coalesce(m.sector, 'Unknown'),
|
||||
coalesce(m.continent, 'Unknown')
|
||||
sum(price * quantity) as volume
|
||||
from trades
|
||||
where timestamp >= '{start_date.strftime('%Y-%m-%d')}'
|
||||
group by date, exchange
|
||||
order by date asc, exchange asc
|
||||
"""
|
||||
|
||||
start_t = time.time()
|
||||
res = self.execute_query(query_daily)
|
||||
if res:
|
||||
logger.info(f"Updated analytics_daily in {time.time()-start_t:.2f}s")
|
||||
try:
|
||||
response = requests.get(f"{self.db_url}/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
data = response.json()
|
||||
columns = data.get('columns', [])
|
||||
dataset = data.get('dataset', [])
|
||||
|
||||
results = []
|
||||
for row in dataset:
|
||||
result = {}
|
||||
for i, col in enumerate(columns):
|
||||
result[col['name']] = row[i]
|
||||
results.append(result)
|
||||
|
||||
# Berechne Moving Averages für alle Zeiträume
|
||||
df = pd.DataFrame(results)
|
||||
if df.empty:
|
||||
return []
|
||||
|
||||
# Pivot für einfachere MA-Berechnung
|
||||
df['date'] = pd.to_datetime(df['date'])
|
||||
df = df.sort_values(['date', 'exchange'])
|
||||
|
||||
# Berechne MA für jeden Zeitraum
|
||||
for period in TIME_PERIODS:
|
||||
df[f'ma{period}_count'] = df.groupby('exchange')['trade_count'].transform(
|
||||
lambda x: x.rolling(window=period, min_periods=1).mean()
|
||||
)
|
||||
df[f'ma{period}_volume'] = df.groupby('exchange')['volume'].transform(
|
||||
lambda x: x.rolling(window=period, min_periods=1).mean()
|
||||
)
|
||||
|
||||
# Konvertiere zurück zu Dict-Liste
|
||||
return df.to_dict('records')
|
||||
except Exception as e:
|
||||
logger.error(f"Error calculating exchange daily aggregations: {e}")
|
||||
return []
|
||||
|
||||
def calculate_stock_trends(self, days: int = 365) -> List[Dict]:
|
||||
"""Berechnet Trenddaten je ISIN mit Änderungsprozenten"""
|
||||
end_date = datetime.datetime.now(datetime.timezone.utc)
|
||||
start_date = end_date - datetime.timedelta(days=days)
|
||||
|
||||
|
||||
# 2. Aggregate ISIN stats
|
||||
last_isin_ts = self.get_last_aggregated_ts("isin_stats_daily")
|
||||
logger.info(f"Last isin_stats_daily timestamp: {last_isin_ts}")
|
||||
|
||||
query_isin = f"""
|
||||
INSERT INTO isin_stats_daily
|
||||
SELECT
|
||||
date_trunc('day', timestamp) as timestamp,
|
||||
# Aktuelle Periode
|
||||
query_current = f"""
|
||||
select
|
||||
date_trunc('day', timestamp) as date,
|
||||
isin,
|
||||
sum(price * quantity) as volume,
|
||||
count(*) as trade_count,
|
||||
sum(price * quantity) / sum(quantity) as vwap
|
||||
FROM trades
|
||||
WHERE timestamp > '{last_isin_ts}'::timestamp
|
||||
GROUP BY date_trunc('day', timestamp), isin
|
||||
sum(price * quantity) as volume
|
||||
from trades
|
||||
where timestamp >= '{start_date.strftime('%Y-%m-%d')}'
|
||||
group by date, isin
|
||||
order by date asc, isin asc
|
||||
"""
|
||||
|
||||
start_t = time.time()
|
||||
res = self.execute_query(query_isin)
|
||||
if res:
|
||||
logger.info(f"Updated isin_stats_daily in {time.time()-start_t:.2f}s")
|
||||
try:
|
||||
response = requests.get(f"{self.db_url}/exec", params={'query': query_current}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
data = response.json()
|
||||
columns = data.get('columns', [])
|
||||
dataset = data.get('dataset', [])
|
||||
|
||||
results = []
|
||||
for row in dataset:
|
||||
result = {}
|
||||
for i, col in enumerate(columns):
|
||||
result[col['name']] = row[i]
|
||||
results.append(result)
|
||||
|
||||
if not results:
|
||||
return []
|
||||
|
||||
df = pd.DataFrame(results)
|
||||
df['date'] = pd.to_datetime(df['date'])
|
||||
|
||||
# Aggregiere je ISIN über den gesamten Zeitraum
|
||||
df_agg = df.groupby('isin').agg({
|
||||
'trade_count': 'sum',
|
||||
'volume': 'sum'
|
||||
}).reset_index()
|
||||
|
||||
# Berechne Änderungen: Vergleich mit vorheriger Periode
|
||||
# Für jede ISIN: aktueller Zeitraum vs. vorheriger Zeitraum
|
||||
trends = []
|
||||
for isin in df_agg['isin'].unique():
|
||||
isin_data = df[df['isin'] == isin].sort_values('date')
|
||||
|
||||
# Teile in zwei Hälften für Vergleich
|
||||
mid_point = len(isin_data) // 2
|
||||
if mid_point > 0:
|
||||
first_half = isin_data.iloc[:mid_point]
|
||||
second_half = isin_data.iloc[mid_point:]
|
||||
|
||||
first_count = first_half['trade_count'].sum()
|
||||
first_volume = first_half['volume'].sum()
|
||||
second_count = second_half['trade_count'].sum()
|
||||
second_volume = second_half['volume'].sum()
|
||||
|
||||
count_change = ((second_count - first_count) / first_count * 100) if first_count > 0 else 0
|
||||
volume_change = ((second_volume - first_volume) / first_volume * 100) if first_volume > 0 else 0
|
||||
else:
|
||||
count_change = 0
|
||||
volume_change = 0
|
||||
|
||||
total_count = isin_data['trade_count'].sum()
|
||||
total_volume = isin_data['volume'].sum()
|
||||
|
||||
trends.append({
|
||||
'isin': isin,
|
||||
'date': isin_data['date'].max(),
|
||||
'trade_count': total_count,
|
||||
'volume': total_volume,
|
||||
'count_change_pct': count_change,
|
||||
'volume_change_pct': volume_change
|
||||
})
|
||||
|
||||
return trends
|
||||
except Exception as e:
|
||||
logger.error(f"Error calculating stock trends: {e}")
|
||||
return []
|
||||
|
||||
def calculate_volume_changes(self, days: int = 365) -> List[Dict]:
|
||||
"""Berechnet Volumen- und Anzahl-Änderungen je Exchange"""
|
||||
end_date = datetime.datetime.now(datetime.timezone.utc)
|
||||
start_date = end_date - datetime.timedelta(days=days)
|
||||
|
||||
query = f"""
|
||||
select
|
||||
date_trunc('day', timestamp) as date,
|
||||
exchange,
|
||||
count(*) as trade_count,
|
||||
sum(price * quantity) as volume
|
||||
from trades
|
||||
where timestamp >= '{start_date.strftime('%Y-%m-%d')}'
|
||||
group by date, exchange
|
||||
order by date asc, exchange asc
|
||||
"""
|
||||
|
||||
try:
|
||||
response = requests.get(f"{self.db_url}/exec", params={'query': query}, auth=DB_AUTH)
|
||||
if response.status_code == 200:
|
||||
data = response.json()
|
||||
columns = data.get('columns', [])
|
||||
dataset = data.get('dataset', [])
|
||||
|
||||
results = []
|
||||
for row in dataset:
|
||||
result = {}
|
||||
for i, col in enumerate(columns):
|
||||
result[col['name']] = row[i]
|
||||
results.append(result)
|
||||
|
||||
if not results:
|
||||
return []
|
||||
|
||||
df = pd.DataFrame(results)
|
||||
df['date'] = pd.to_datetime(df['date'])
|
||||
df = df.sort_values(['date', 'exchange'])
|
||||
|
||||
# Berechne Änderungen je Exchange
|
||||
changes = []
|
||||
for exchange in df['exchange'].unique():
|
||||
exchange_data = df[df['exchange'] == exchange].sort_values('date')
|
||||
|
||||
# Teile in zwei Hälften
|
||||
mid_point = len(exchange_data) // 2
|
||||
if mid_point > 0:
|
||||
first_half = exchange_data.iloc[:mid_point]
|
||||
second_half = exchange_data.iloc[mid_point:]
|
||||
|
||||
first_count = first_half['trade_count'].sum()
|
||||
first_volume = first_half['volume'].sum()
|
||||
second_count = second_half['trade_count'].sum()
|
||||
second_volume = second_half['volume'].sum()
|
||||
|
||||
count_change = ((second_count - first_count) / first_count * 100) if first_count > 0 else 0
|
||||
volume_change = ((second_volume - first_volume) / first_volume * 100) if first_volume > 0 else 0
|
||||
|
||||
# Bestimme Trend
|
||||
if count_change > 5 and volume_change > 5:
|
||||
trend = "mehr_trades_mehr_volumen"
|
||||
elif count_change > 5 and volume_change < -5:
|
||||
trend = "mehr_trades_weniger_volumen"
|
||||
elif count_change < -5 and volume_change > 5:
|
||||
trend = "weniger_trades_mehr_volumen"
|
||||
elif count_change < -5 and volume_change < -5:
|
||||
trend = "weniger_trades_weniger_volumen"
|
||||
else:
|
||||
trend = "stabil"
|
||||
else:
|
||||
count_change = 0
|
||||
volume_change = 0
|
||||
trend = "stabil"
|
||||
|
||||
total_count = exchange_data['trade_count'].sum()
|
||||
total_volume = exchange_data['volume'].sum()
|
||||
|
||||
changes.append({
|
||||
'date': exchange_data['date'].max(),
|
||||
'exchange': exchange,
|
||||
'trade_count': total_count,
|
||||
'volume': total_volume,
|
||||
'count_change_pct': count_change,
|
||||
'volume_change_pct': volume_change,
|
||||
'trend': trend
|
||||
})
|
||||
|
||||
return changes
|
||||
except Exception as e:
|
||||
logger.error(f"Error calculating volume changes: {e}")
|
||||
return []
|
||||
|
||||
def save_analytics_data(self, table_name: str, data: List[Dict]):
|
||||
"""Speichert aggregierte Daten in QuestDB via ILP"""
|
||||
if not data:
|
||||
return
|
||||
|
||||
lines = []
|
||||
for row in data:
|
||||
try:
|
||||
# Konvertiere Datum zu Timestamp
|
||||
if 'date' in row:
|
||||
if isinstance(row['date'], str):
|
||||
dt = datetime.datetime.fromisoformat(row['date'].replace('Z', '+00:00'))
|
||||
elif isinstance(row['date'], pd.Timestamp):
|
||||
dt = row['date'].to_pydatetime()
|
||||
else:
|
||||
dt = row['date']
|
||||
timestamp_ns = int(dt.timestamp() * 1e9)
|
||||
else:
|
||||
timestamp_ns = int(datetime.datetime.now(datetime.timezone.utc).timestamp() * 1e9)
|
||||
|
||||
# Baue ILP-Line auf
|
||||
tags = []
|
||||
fields = []
|
||||
|
||||
# Exchange als Tag
|
||||
if 'exchange' in row and row['exchange']:
|
||||
exchange = str(row['exchange']).replace(' ', '\\ ').replace(',', '\\,')
|
||||
tags.append(f"exchange={exchange}")
|
||||
|
||||
# ISIN als Tag
|
||||
if 'isin' in row and row['isin']:
|
||||
isin = str(row['isin']).replace(' ', '\\ ').replace(',', '\\,')
|
||||
tags.append(f"isin={isin}")
|
||||
|
||||
# Trend als Tag
|
||||
if 'trend' in row and row['trend']:
|
||||
trend = str(row['trend']).replace(' ', '\\ ').replace(',', '\\,')
|
||||
tags.append(f"trend={trend}")
|
||||
|
||||
# Numerische Felder
|
||||
for key, value in row.items():
|
||||
if key in ['date', 'exchange', 'isin', 'trend']:
|
||||
continue
|
||||
if value is not None:
|
||||
if isinstance(value, (int, float)):
|
||||
fields.append(f"{key}={value}")
|
||||
elif isinstance(value, str):
|
||||
# String-Felder in Anführungszeichen
|
||||
escaped = value.replace('"', '\\"').replace(' ', '\\ ')
|
||||
fields.append(f'{key}="{escaped}"')
|
||||
|
||||
if tags and fields:
|
||||
line = f"{table_name},{','.join(tags)} {','.join(fields)} {timestamp_ns}"
|
||||
lines.append(line)
|
||||
except Exception as e:
|
||||
logger.error(f"Error formatting row for {table_name}: {e}, row: {row}")
|
||||
continue
|
||||
|
||||
if not lines:
|
||||
return
|
||||
|
||||
payload = "\n".join(lines) + "\n"
|
||||
|
||||
try:
|
||||
response = requests.post(
|
||||
f"{self.db_url}/write",
|
||||
data=payload,
|
||||
params={'precision': 'ns'},
|
||||
auth=DB_AUTH
|
||||
)
|
||||
if response.status_code not in [200, 204]:
|
||||
logger.error(f"Error saving to {table_name}: {response.text}")
|
||||
else:
|
||||
logger.info(f"Saved {len(lines)} rows to {table_name}")
|
||||
except Exception as e:
|
||||
logger.error(f"Error connecting to QuestDB: {e}")
|
||||
|
||||
def process_all_analytics(self):
|
||||
"""Verarbeitet alle Analytics für alle Zeiträume"""
|
||||
logger.info("Starting analytics processing...")
|
||||
|
||||
# 1. Exchange Daily Aggregations (für alle Zeiträume)
|
||||
logger.info("Calculating exchange daily aggregations...")
|
||||
exchange_data = self.calculate_exchange_daily_aggregations(days_back=365)
|
||||
if exchange_data:
|
||||
self.save_analytics_data('analytics_exchange_daily', exchange_data)
|
||||
|
||||
# 2. Stock Trends (für alle Zeiträume)
|
||||
logger.info("Calculating stock trends...")
|
||||
for days in TIME_PERIODS:
|
||||
trends = self.calculate_stock_trends(days=days)
|
||||
if trends:
|
||||
# Füge Zeitraum als Tag hinzu
|
||||
for trend in trends:
|
||||
trend['period_days'] = days
|
||||
self.save_analytics_data('analytics_stock_trends', trends)
|
||||
|
||||
# 3. Volume Changes (für alle Zeiträume)
|
||||
logger.info("Calculating volume changes...")
|
||||
for days in TIME_PERIODS:
|
||||
changes = self.calculate_volume_changes(days=days)
|
||||
if changes:
|
||||
# Füge Zeitraum als Tag hinzu
|
||||
for change in changes:
|
||||
change['period_days'] = days
|
||||
self.save_analytics_data('analytics_volume_changes', changes)
|
||||
|
||||
logger.info("Analytics processing completed.")
|
||||
|
||||
def run(self):
|
||||
"""Hauptschleife des Workers"""
|
||||
logger.info("Analytics Worker started.")
|
||||
|
||||
# Initiale Verarbeitung
|
||||
self.process_all_analytics()
|
||||
self.last_processed_timestamp = datetime.datetime.now(datetime.timezone.utc)
|
||||
|
||||
# Polling-Schleife
|
||||
while True:
|
||||
try:
|
||||
# Prüfe auf neue Trades
|
||||
last_ts = self.get_last_processed_timestamp()
|
||||
new_trades = self.get_new_trades(since=last_ts)
|
||||
|
||||
if new_trades:
|
||||
logger.info(f"Found {len(new_trades)} new trades, reprocessing analytics...")
|
||||
self.process_all_analytics()
|
||||
self.last_processed_timestamp = datetime.datetime.now(datetime.timezone.utc)
|
||||
else:
|
||||
logger.debug("No new trades found.")
|
||||
|
||||
# Warte 30 Sekunden vor nächster Prüfung
|
||||
time.sleep(30)
|
||||
except Exception as e:
|
||||
logger.error(f"Error in worker loop: {e}")
|
||||
time.sleep(60) # Längere Pause bei Fehler
|
||||
|
||||
def get_last_aggregated_ts(self, table):
|
||||
res = self.execute_query(f"select max(timestamp) from {table}")
|
||||
if res and res['dataset'] and res['dataset'][0][0]:
|
||||
return res['dataset'][0][0] # ISO string usually
|
||||
return "1970-01-01T00:00:00.000000Z"
|
||||
def main():
|
||||
worker = AnalyticsWorker()
|
||||
worker.run()
|
||||
|
||||
if __name__ == "__main__":
|
||||
logging.basicConfig(level=logging.INFO)
|
||||
worker = AnalyticsWorker(db_host="localhost", auth=("admin", "quest"))
|
||||
worker.initialize_tables()
|
||||
worker.run_aggregation()
|
||||
main()
|
||||
|
||||
18
systemd/analytics-worker.service
Normal file
18
systemd/analytics-worker.service
Normal file
@@ -0,0 +1,18 @@
|
||||
[Unit]
|
||||
Description=Trading Analytics Worker
|
||||
After=network.target questdb.service
|
||||
|
||||
[Service]
|
||||
Type=simple
|
||||
User=melchiorreimers
|
||||
WorkingDirectory=/Users/melchiorreimers/Documents/trading_daemon
|
||||
Environment="PYTHONUNBUFFERED=1"
|
||||
Environment="DB_USER=admin"
|
||||
Environment="DB_PASSWORD=quest"
|
||||
Environment="DB_HOST=localhost"
|
||||
ExecStart=/usr/bin/python3 -m src.analytics.worker
|
||||
Restart=always
|
||||
RestartSec=10
|
||||
|
||||
[Install]
|
||||
WantedBy=multi-user.target
|
||||
Reference in New Issue
Block a user