feat: 接入 USDT-M 合约数据 — type 字段方案
- PairType 定义移至 types/kline.ts (spot/um/cm) - Kline 接口新增 type 字段，全链路透传 - klines 5列复合主键 (exchange, symbol, type, interval, time) - 拆出 BinanceFuturesRestClient (USDMClient) - exchanges/index.ts 注册 binance_futures - trading_pairs 唯一约束加 type，种子数据加合约对 - 12个连续聚合视图 SELECT/GROUP BY/INDEX 加 type - 清理 bnkline.ts 废弃代码和 pair.ts 空函数
This commit is contained in:
Rekey
@@ -4,6 +4,8 @@
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-- 从 klines（1m）基表创建分层连续聚合物化视图链：
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-- 1m → 3m → 5m → 15m → 30m → 1h → 2h → 4h → 6h → 8h → 1d → 1w → 1mon
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--
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-- GROUP BY 包含 type 列，现货与合约数据隔离聚合。
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--
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-- 执行前提：
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-- 1. klines hypertable 已创建（由 02-init-tables.sql 创建）
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-- 2. klines 表中已有数据（至少一条，否则视图创建成功但无数据）
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@@ -45,6 +47,7 @@ SELECT
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time_bucket('3 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'3m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -56,7 +59,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines
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GROUP BY time_bucket('3 minutes', klines.time), exchange, symbol
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GROUP BY time_bucket('3 minutes', klines.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -76,6 +79,7 @@ SELECT
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time_bucket('5 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'5m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -87,7 +91,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines
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GROUP BY time_bucket('5 minutes', klines.time), exchange, symbol
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GROUP BY time_bucket('5 minutes', klines.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -107,6 +111,7 @@ SELECT
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time_bucket('15 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'15m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -118,7 +123,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_5m
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GROUP BY time_bucket('15 minutes', klines_5m.time), exchange, symbol
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GROUP BY time_bucket('15 minutes', klines_5m.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -138,6 +143,7 @@ SELECT
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time_bucket('30 minutes', time) AS time,
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exchange,
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symbol,
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type,
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'30m'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -149,7 +155,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_15m
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GROUP BY time_bucket('30 minutes', klines_15m.time), exchange, symbol
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GROUP BY time_bucket('30 minutes', klines_15m.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -169,6 +175,7 @@ SELECT
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time_bucket('1 hour', time) AS time,
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exchange,
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symbol,
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type,
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'1h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -180,7 +187,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_30m
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GROUP BY time_bucket('1 hour', klines_30m.time), exchange, symbol
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GROUP BY time_bucket('1 hour', klines_30m.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -200,6 +207,7 @@ SELECT
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time_bucket('2 hours', time) AS time,
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exchange,
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symbol,
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type,
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'2h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -211,7 +219,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1h
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GROUP BY time_bucket('2 hours', klines_1h.time), exchange, symbol
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GROUP BY time_bucket('2 hours', klines_1h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -231,6 +239,7 @@ SELECT
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time_bucket('4 hours', time) AS time,
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exchange,
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symbol,
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type,
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'4h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -242,7 +251,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1h
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GROUP BY time_bucket('4 hours', klines_1h.time), exchange, symbol
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GROUP BY time_bucket('4 hours', klines_1h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -262,6 +271,7 @@ SELECT
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time_bucket('6 hours', time) AS time,
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exchange,
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symbol,
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type,
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'6h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -273,7 +283,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1h
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GROUP BY time_bucket('6 hours', klines_1h.time), exchange, symbol
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GROUP BY time_bucket('6 hours', klines_1h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -293,6 +303,7 @@ SELECT
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time_bucket('8 hours', time) AS time,
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exchange,
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symbol,
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type,
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'8h'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -304,7 +315,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_4h
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GROUP BY time_bucket('8 hours', klines_4h.time), exchange, symbol
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GROUP BY time_bucket('8 hours', klines_4h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -324,6 +335,7 @@ SELECT
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time_bucket('1 day', time) AS time,
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exchange,
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symbol,
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type,
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'1d'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -335,7 +347,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_4h
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GROUP BY time_bucket('1 day', klines_4h.time), exchange, symbol
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GROUP BY time_bucket('1 day', klines_4h.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -355,6 +367,7 @@ SELECT
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time_bucket('1 week', time) AS time,
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exchange,
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symbol,
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type,
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'1w'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -366,7 +379,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1d
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GROUP BY time_bucket('1 week', klines_1d.time), exchange, symbol
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GROUP BY time_bucket('1 week', klines_1d.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -386,6 +399,7 @@ SELECT
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time_bucket('1 month', time) AS time,
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exchange,
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symbol,
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type,
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'1mon'::text AS interval,
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FIRST(open, time) AS open,
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MAX(high) AS high,
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@@ -397,7 +411,7 @@ SELECT
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count)::integer AS trade_count
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FROM klines_1d
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GROUP BY time_bucket('1 month', klines_1d.time), exchange, symbol
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GROUP BY time_bucket('1 month', klines_1d.time), exchange, symbol, type
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WITH NO DATA;
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-- 【模式 A 用户】取消下面注释以启用定时调度刷新
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@@ -409,29 +423,26 @@ WITH NO DATA;
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-- );
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-- ============================================================
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-- 推荐索引：加速按 symbol + time 的查询
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-- 推荐索引：加速按 symbol + type + time 的查询
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-- ============================================================
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CREATE INDEX IF NOT EXISTS idx_klines_3m_symbol_time ON klines_3m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_5m_symbol_time ON klines_5m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_15m_symbol_time ON klines_15m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_30m_symbol_time ON klines_30m (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1h_symbol_time ON klines_1h (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_2h_symbol_time ON klines_2h (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_4h_symbol_time ON klines_4h (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_6h_symbol_time ON klines_6h (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_8h_symbol_time ON klines_8h (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1d_symbol_time ON klines_1d (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1w_symbol_time ON klines_1w (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1mon_symbol_time ON klines_1mon (exchange, symbol, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_3m_symbol_time ON klines_3m (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_5m_symbol_time ON klines_5m (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_15m_symbol_time ON klines_15m (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_30m_symbol_time ON klines_30m (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1h_symbol_time ON klines_1h (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_2h_symbol_time ON klines_2h (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_4h_symbol_time ON klines_4h (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_6h_symbol_time ON klines_6h (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_8h_symbol_time ON klines_8h (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1d_symbol_time ON klines_1d (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1w_symbol_time ON klines_1w (exchange, symbol, type, time DESC);
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CREATE INDEX IF NOT EXISTS idx_klines_1mon_symbol_time ON klines_1mon (exchange, symbol, type, time DESC);
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-- ============================================================
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-- 截面查询索引：加速同一时间点多品种回测查询
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-- 查询模式：WHERE exchange='binance' AND time='2024-01-01' AND symbol IN (…)
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-- 回测中跨品种截面查询最常见于日线和周线，因此只在这两层建额外索引。
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-- 如需其他周期（如 1h、4h）的截面查询，按同样模式扩展。
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-- ============================================================
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CREATE INDEX IF NOT EXISTS idx_klines_1d_exchange_time_symbol ON klines_1d (exchange, time DESC, symbol);
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CREATE INDEX IF NOT EXISTS idx_klines_1w_exchange_time_symbol ON klines_1w (exchange, time DESC, symbol);
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CREATE INDEX IF NOT EXISTS idx_klines_1d_exchange_time_symbol ON klines_1d (exchange, time DESC, symbol, type);
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CREATE INDEX IF NOT EXISTS idx_klines_1w_exchange_time_symbol ON klines_1w (exchange, time DESC, symbol, type);
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-- ============================================================
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-- 首次创建后手动刷新所有视图（填充历史数据）
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