Rekey
e91cad79e6
- 新增 data/db/ 数据库访问层：pool 管理、类型定义、Zod 校验、参数化 SQL 查询 - 新增 data/db/config-crud.ts：MonitoredSymbolsRepo / ExchangeConfigRepo / AppConfigRepo 三个 CRUD 服务类 - 新增 data/config.ts：中心化配置模块，零依赖 .env 解析 + Zod 校验 - 新增 data/schema/：klines.sql + config.sql 参考 DDL - 新增 data/exchanges/：交易所类型定义与 Binance WebSocket 封装 - 新增 data/run/：交易所连接启动入口 - 重构 data/init-db/：001_init.sql 仅保留 TimescaleDB + klines，配置表拆分至 002_config.sql - 更新 docker-compose.yml：挂载 init-db 初始化脚本
207 lines
8.2 KiB
SQL
207 lines
8.2 KiB
SQL
-- ============================================================
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-- schema/klines.sql — K 线表 DDL（参考副本）
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-- ============================================================
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-- 数据库：TimescaleDB (PostgreSQL 17 + timescaledb 2.x)
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-- 说明：存储全交易所 OHLCV 数据，按时间自动分区压缩
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--
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-- ⚠️ 权威初始化脚本：data/init-db/001_init.sql
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-- 本文件保留作为 pg.initSchema() 非 Docker 部署的回退方案和文档参考。
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-- 修改表结构时请同步更新 001_init.sql。
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-- ============================================================
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-- ============================================================
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-- 1. klines — K 线主表（hypertable）
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-- ============================================================
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CREATE TABLE IF NOT EXISTS klines (
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-- ---- 时间维度 ----
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time TIMESTAMPTZ NOT NULL, -- K 线开盘时间（UTC）
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-- ---- 标识维度 ----
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exchange TEXT NOT NULL, -- 交易所：binance / okx / bybit
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symbol TEXT NOT NULL, -- 交易对：BTCUSDT / ETHUSDT
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interval TEXT NOT NULL, -- 周期：1m / 5m / 15m / 1h / 4h / 1d
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-- ---- OHLCV 核心数据 ----
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open NUMERIC(20,8) NOT NULL,
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high NUMERIC(20,8) NOT NULL,
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low NUMERIC(20,8) NOT NULL,
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close NUMERIC(20,8) NOT NULL,
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volume NUMERIC(20,8) NOT NULL DEFAULT 0, -- 成交量（基准币种）
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-- ---- 扩展字段 ----
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quote_volume NUMERIC(20,8) DEFAULT 0, -- 成交额（计价币种）
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taker_buy_base_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入量（基准币种）
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taker_buy_quote_vol NUMERIC(20,8) DEFAULT 0, -- 主动买入额（计价币种）
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trade_count INTEGER DEFAULT 0, -- 成交笔数
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is_closed BOOLEAN DEFAULT TRUE, -- K 线是否已闭合
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-- ---- 元数据 ----
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created_at TIMESTAMPTZ DEFAULT NOW(),
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updated_at TIMESTAMPTZ DEFAULT NOW(),
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-- 唯一约束：同一根 K 线不可重复
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UNIQUE (time, exchange, symbol, interval)
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);
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-- ============================================================
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-- 2. 转换为 TimescaleDB hypertable
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-- ============================================================
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-- 按 time 列做 1 天分区，按 exchange 做 4 空间分区
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SELECT create_hypertable(
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'klines',
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'time',
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chunk_time_interval => INTERVAL '1 day',
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partitioning_column => 'exchange',
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number_partitions => 4,
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if_not_exists => TRUE
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);
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-- ============================================================
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-- 3. 索引设计
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-- ============================================================
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-- 主力查询索引（覆盖 95% 查询场景）
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-- 用途：按交易对+周期+时间范围查询最新 K 线
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CREATE INDEX IF NOT EXISTS idx_klines_lookup
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ON klines (exchange, symbol, interval, time DESC);
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-- 回测专用索引
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-- 用途：按交易对+周期+时间正序遍历（策略回测）
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CREATE INDEX IF NOT EXISTS idx_klines_backtest
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ON klines (symbol, interval, time ASC);
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-- 最新已闭合 K 线索引（部分索引，减小体积）
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-- 用途：获取已完成的最新 K 线（避免扫描未闭合数据）
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CREATE INDEX IF NOT EXISTS idx_klines_latest
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ON klines (exchange, symbol, interval, time DESC)
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WHERE is_closed = TRUE;
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-- ============================================================
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-- 4. 压缩策略（列式压缩，压缩比约 90%）
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-- ============================================================
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ALTER TABLE klines SET (
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timescaledb.compress,
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timescaledb.compress_segmentby = 'exchange, symbol, interval',
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timescaledb.compress_orderby = 'time DESC'
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);
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-- K 线闭合 7 天后自动触发压缩
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SELECT add_compression_policy('klines', INTERVAL '7 days', if_not_exists => TRUE);
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-- ============================================================
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-- 5. 数据保留策略
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-- ============================================================
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-- 1m 粒度 K 线保留 90 天（更粗粒度由连续聚合视图覆盖）
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SELECT add_retention_policy('klines', INTERVAL '90 days', if_not_exists => TRUE);
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-- ============================================================
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-- 6. 连续聚合视图（从 1m 自动派生高周期 K 线）
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-- ============================================================
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-- ---- 5m K 线 ----
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_5m
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WITH (timescaledb.continuous) AS
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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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'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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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('5 minutes', time), exchange, symbol;
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-- ---- 15m K 线 ----
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_15m
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WITH (timescaledb.continuous) AS
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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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'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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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('15 minutes', time), exchange, symbol;
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-- ---- 1h K 线 ----
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1h
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WITH (timescaledb.continuous) AS
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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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'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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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('1 hour', time), exchange, symbol;
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-- ---- 1d K 线 ----
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CREATE MATERIALIZED VIEW IF NOT EXISTS klines_1d
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WITH (timescaledb.continuous) AS
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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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'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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MIN(low) AS low,
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LAST(close, time) AS close,
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SUM(volume) AS volume,
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SUM(quote_volume) AS quote_volume,
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SUM(taker_buy_base_vol) AS taker_buy_base_vol,
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SUM(taker_buy_quote_vol) AS taker_buy_quote_vol,
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SUM(trade_count) AS trade_count
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FROM klines
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WHERE interval = '1m'
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GROUP BY time_bucket('1 day', time), exchange, symbol;
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-- 连续聚合视图也启用压缩
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ALTER MATERIALIZED VIEW klines_5m SET (timescaledb.compress = true);
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ALTER MATERIALIZED VIEW klines_15m SET (timescaledb.compress = true);
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ALTER MATERIALIZED VIEW klines_1h SET (timescaledb.compress = true);
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ALTER MATERIALIZED VIEW klines_1d SET (timescaledb.compress = true);
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-- ============================================================
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-- 7. 常用查询示例
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-- ============================================================
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-- 查询最新 N 根 1h K 线
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-- SELECT time, open, high, low, close, volume
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-- FROM klines_1h
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-- WHERE exchange = 'binance' AND symbol = 'BTCUSDT'
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-- ORDER BY time DESC LIMIT 100;
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-- 查询某个时间范围内的原始 1m K 线
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-- SELECT time, open, high, low, close, volume
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-- FROM klines
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-- WHERE exchange = 'binance' AND symbol = 'ETHUSDT' AND interval = '1m'
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-- AND time BETWEEN '2026-06-01' AND '2026-06-06'
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-- ORDER BY time ASC;
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