Rekey
229 lines
8.4 KiB
SQL
229 lines
8.4 KiB
SQL
-- ============================================================
|
||
-- 001_init.sql — TimescaleDB 数据初始化
|
||
--
|
||
-- Docker Compose 首次启动时自动执行
|
||
-- 挂载路径：./data/init-db:/docker-entrypoint-initdb.d
|
||
-- ============================================================
|
||
|
||
-- 扩展
|
||
CREATE EXTENSION IF NOT EXISTS timescaledb;
|
||
CREATE EXTENSION IF NOT EXISTS timescaledb_toolkit;
|
||
|
||
-- ============================================================
|
||
-- 1. K 线主表
|
||
-- ============================================================
|
||
CREATE TABLE IF NOT EXISTS klines (
|
||
-- 时间维度
|
||
time TIMESTAMPTZ NOT NULL, -- K 线开盘时间（UTC）
|
||
|
||
-- 标识维度
|
||
exchange TEXT NOT NULL, -- 交易所：binance/okx/bybit
|
||
symbol TEXT NOT NULL, -- 交易对：BTCUSDT/ETHUSDT
|
||
interval TEXT NOT NULL, -- 周期：1m/5m/15m/1h/4h/1d
|
||
|
||
-- OHLCV
|
||
open NUMERIC(20,8) NOT NULL,
|
||
high NUMERIC(20,8) NOT NULL,
|
||
low NUMERIC(20,8) NOT NULL,
|
||
close NUMERIC(20,8) NOT NULL,
|
||
volume NUMERIC(20,8) NOT NULL DEFAULT 0, -- 成交量（基准币种）
|
||
|
||
-- 扩展字段
|
||
quote_volume NUMERIC(20,8) DEFAULT 0, -- 成交额（计价币种）
|
||
taker_buy_base_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入量
|
||
taker_buy_quote_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入额
|
||
trade_count INTEGER DEFAULT 0, -- 成交笔数
|
||
is_closed BOOLEAN DEFAULT TRUE, -- K 线是否已闭合
|
||
|
||
-- 元数据
|
||
created_at TIMESTAMPTZ DEFAULT NOW(),
|
||
updated_at TIMESTAMPTZ DEFAULT NOW(),
|
||
|
||
-- 唯一约束（同一根 K 线不可重复）
|
||
UNIQUE (time, exchange, symbol, interval)
|
||
);
|
||
|
||
-- ============================================================
|
||
-- 2. 转换为 hypertable（时序分区）
|
||
-- ============================================================
|
||
SELECT create_hypertable(
|
||
'klines',
|
||
'time', -- 时间列
|
||
chunk_time_interval => INTERVAL '1 day', -- 每个 chunk = 1 天数据
|
||
partitioning_column => 'exchange', -- 空间分区列
|
||
number_partitions => 4, -- 4 个空间分区
|
||
if_not_exists => TRUE
|
||
);
|
||
|
||
-- ============================================================
|
||
-- 3. 索引
|
||
-- ============================================================
|
||
|
||
-- 主力查询索引：按交易对+周期+时间范围查（覆盖 95% 查询）
|
||
CREATE INDEX IF NOT EXISTS idx_klines_lookup
|
||
ON klines (exchange, symbol, interval, time DESC);
|
||
|
||
-- 回测专用索引：按交易对+周期+时间正序
|
||
CREATE INDEX IF NOT EXISTS idx_klines_backtest
|
||
ON klines (symbol, interval, time ASC);
|
||
|
||
-- 最新 K 线索引（部分索引，仅覆盖已闭合 K 线）
|
||
CREATE INDEX IF NOT EXISTS idx_klines_latest
|
||
ON klines (exchange, symbol, interval, time DESC)
|
||
WHERE is_closed = TRUE;
|
||
|
||
-- ============================================================
|
||
-- 4. 压缩策略
|
||
-- ============================================================
|
||
|
||
-- 启用列式压缩（按 symbol+interval 分组，按 time 排序）
|
||
ALTER TABLE klines SET (
|
||
timescaledb.compress,
|
||
timescaledb.compress_segmentby = 'exchange, symbol, interval',
|
||
timescaledb.compress_orderby = 'time DESC'
|
||
);
|
||
|
||
-- 自动压缩：K 线闭合 7 天后自动压缩（压缩比约 90%）
|
||
SELECT add_compression_policy('klines', INTERVAL '7 days', if_not_exists => TRUE);
|
||
|
||
-- ============================================================
|
||
-- 5. 数据保留策略
|
||
-- ============================================================
|
||
-- 1m K 线保留 90 天（回测通常用更粗粒度）
|
||
SELECT add_retention_policy('klines', INTERVAL '90 days', if_not_exists => TRUE);
|
||
|
||
-- ============================================================
|
||
-- 6. 连续聚合（从 1m 自动派生高周期 K 线）
|
||
-- ============================================================
|
||
|
||
-- ---------- 5m K 线 ----------
|
||
CREATE MATERIALIZED VIEW IF NOT EXISTS klines_5m
|
||
WITH (timescaledb.continuous) AS
|
||
SELECT
|
||
time_bucket('5 minutes', time) AS time,
|
||
exchange,
|
||
symbol,
|
||
'5m'::TEXT AS interval,
|
||
FIRST(open, time) AS open,
|
||
MAX(high) AS high,
|
||
MIN(low) AS low,
|
||
LAST(close, time) AS close,
|
||
SUM(volume) AS volume,
|
||
SUM(quote_volume) AS quote_volume,
|
||
SUM(taker_buy_base_vol) AS taker_buy_base_vol,
|
||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||
SUM(trade_count) AS trade_count
|
||
FROM klines
|
||
WHERE interval = '1m'
|
||
GROUP BY time_bucket('5 minutes', time), exchange, symbol;
|
||
|
||
SELECT add_continuous_aggregate_policy('klines_5m',
|
||
start_offset => INTERVAL '1 day',
|
||
end_offset => INTERVAL '10 minutes',
|
||
schedule_interval => INTERVAL '1 minute',
|
||
if_not_exists => TRUE
|
||
);
|
||
|
||
-- ---------- 15m K 线 ----------
|
||
CREATE MATERIALIZED VIEW IF NOT EXISTS klines_15m
|
||
WITH (timescaledb.continuous) AS
|
||
SELECT
|
||
time_bucket('15 minutes', time) AS time,
|
||
exchange,
|
||
symbol,
|
||
'15m'::TEXT AS interval,
|
||
FIRST(open, time) AS open,
|
||
MAX(high) AS high,
|
||
MIN(low) AS low,
|
||
LAST(close, time) AS close,
|
||
SUM(volume) AS volume,
|
||
SUM(quote_volume) AS quote_volume,
|
||
SUM(taker_buy_base_vol) AS taker_buy_base_vol,
|
||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||
SUM(trade_count) AS trade_count
|
||
FROM klines
|
||
WHERE interval = '1m'
|
||
GROUP BY time_bucket('15 minutes', time), exchange, symbol;
|
||
|
||
SELECT add_continuous_aggregate_policy('klines_15m',
|
||
start_offset => INTERVAL '2 days',
|
||
end_offset => INTERVAL '30 minutes',
|
||
schedule_interval => INTERVAL '5 minutes',
|
||
if_not_exists => TRUE
|
||
);
|
||
|
||
-- ---------- 1h K 线 ----------
|
||
CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1h
|
||
WITH (timescaledb.continuous) AS
|
||
SELECT
|
||
time_bucket('1 hour', time) AS time,
|
||
exchange,
|
||
symbol,
|
||
'1h'::TEXT AS interval,
|
||
FIRST(open, time) AS open,
|
||
MAX(high) AS high,
|
||
MIN(low) AS low,
|
||
LAST(close, time) AS close,
|
||
SUM(volume) AS volume,
|
||
SUM(quote_volume) AS quote_volume,
|
||
SUM(taker_buy_base_vol) AS taker_buy_base_vol,
|
||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||
SUM(trade_count) AS trade_count
|
||
FROM klines
|
||
WHERE interval = '1m'
|
||
GROUP BY time_bucket('1 hour', time), exchange, symbol;
|
||
|
||
SELECT add_continuous_aggregate_policy('klines_1h',
|
||
start_offset => INTERVAL '3 days',
|
||
end_offset => INTERVAL '1 hour',
|
||
schedule_interval => INTERVAL '5 minutes',
|
||
if_not_exists => TRUE
|
||
);
|
||
|
||
-- ---------- 1d K 线 ----------
|
||
CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1d
|
||
WITH (timescaledb.continuous) AS
|
||
SELECT
|
||
time_bucket('1 day', time) AS time,
|
||
exchange,
|
||
symbol,
|
||
'1d'::TEXT AS interval,
|
||
FIRST(open, time) AS open,
|
||
MAX(high) AS high,
|
||
MIN(low) AS low,
|
||
LAST(close, time) AS close,
|
||
SUM(volume) AS volume,
|
||
SUM(quote_volume) AS quote_volume,
|
||
SUM(taker_buy_base_vol) AS taker_buy_base_vol,
|
||
SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
|
||
SUM(trade_count) AS trade_count
|
||
FROM klines
|
||
WHERE interval = '1m'
|
||
GROUP BY time_bucket('1 day', time), exchange, symbol;
|
||
|
||
SELECT add_continuous_aggregate_policy('klines_1d',
|
||
start_offset => INTERVAL '7 days',
|
||
end_offset => INTERVAL '2 hours',
|
||
schedule_interval => INTERVAL '1 hour',
|
||
if_not_exists => TRUE
|
||
);
|
||
|
||
-- ============================================================
|
||
-- 7. 连续聚合的压缩（减少视图存储）
|
||
-- ============================================================
|
||
ALTER MATERIALIZED VIEW klines_5m SET (timescaledb.compress = true);
|
||
ALTER MATERIALIZED VIEW klines_15m SET (timescaledb.compress = true);
|
||
ALTER MATERIALIZED VIEW klines_1h SET (timescaledb.compress = true);
|
||
ALTER MATERIALIZED VIEW klines_1d SET (timescaledb.compress = true);
|
||
|
||
-- ============================================================
|
||
-- 初始化完成
|
||
-- ============================================================
|
||
DO $$
|
||
BEGIN
|
||
RAISE NOTICE 'TimescaleDB initialization complete.';
|
||
RAISE NOTICE 'Hypertable: klines';
|
||
RAISE NOTICE 'Continuous aggregates: klines_5m, klines_15m, klines_1h, klines_1d';
|
||
RAISE NOTICE 'Compression: 7 days delay, 90 days retention';
|
||
END $$;
|