trade/data/init-db/001_init.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 $$
BEGIN
    RAISE NOTICE '001_init.sql — TimescaleDB initialization complete.';
    RAISE NOTICE 'Hypertable: klines';
    RAISE NOTICE 'Continuous aggregates: klines_5m, klines_15m, klines_1h, klines_1d';
    RAISE NOTICE 'Compression: 7 days delay, 90 days retention';
END $$;