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feat: interval& None value for prev&`next (#252)

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* test: for builtin functions

* test: expect fail for `datetime()`

* feat: add `interval()` fn(WIP)

* feat: `interval()` fn in builtin(UNTEST)

* refactor: move `py_vec_obj_to_array` to util.rs

* style: fmt

* test: simple `interval()` cases

* test: `interval()` with `last()`&`first()`

* doc: `ts` param of `interval()`

* log: common_telemetry for logging in script crate

* doc: corrsponding test fn for each .ron file

* feat: change to`mpsc` for schedule_job

* test: schedule_job

* dep: rm rustpython dep in common-function

* refactor: mv `schedule_job` into `Script` trait

* test: change to use `interval` to sample datapoint

* feat: add gen_none_array for generate None Array

* feat: impl Missing value for `prev`&`next`

* test: `sum(prev(values))`

* doc: add comment for why not support Float16 in `prev()`

* feat: add `interval` in py side mock module

* style: cargo fmt

* refactor: according to comments

* refactor: extract `apply_interval_function`

* style: cargo fmt

* refactor: remove `schedule()`

* style: cargo fmt
This commit is contained in:
discord9
2022-09-14 10:48:27 +08:00
committed by GitHub
parent ec99eb0cd0
commit 20dcaa6897
18 changed files with 918 additions and 146 deletions
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20
component/script/python/example/calc_rv.py
View File

@@ -44,13 +44,15 @@ def as_table(kline: list):
"rv_60d",
"rv_90d",
"rv_180d"
],
sql="select open_time, close from k_line")
])
def calc_rvs(open_time, close):
from greptime import vector, log, prev, sqrt, datetime, pow, sum
from greptime import vector, log, prev, sqrt, datetime, pow, sum, last
import greptime as g
def calc_rv(close, open_time, time, interval):
mask = (open_time < time) & (open_time > time - interval)
close = close[mask]
open_time = open_time[mask]
close = g.interval(open_time, close, datetime("10m"), lambda x:last(x))
avg_time_interval = (open_time[-1] - open_time[0])/(len(open_time)-1)
ref = log(close/prev(close))
@@ -60,10 +62,10 @@ def calc_rvs(open_time, close):
# how to get env var,
# maybe through accessing scope and serde then send to remote?
timepoint = open_time[-1]
rv_7d = calc_rv(close, open_time, timepoint, datetime("7d"))
rv_15d = calc_rv(close, open_time, timepoint, datetime("15d"))
rv_30d = calc_rv(close, open_time, timepoint, datetime("30d"))
rv_60d = calc_rv(close, open_time, timepoint, datetime("60d"))
rv_90d = calc_rv(close, open_time, timepoint, datetime("90d"))
rv_180d = calc_rv(close, open_time, timepoint, datetime("180d"))
rv_7d = vector([calc_rv(close, open_time, timepoint, datetime("7d"))])
rv_15d = vector([calc_rv(close, open_time, timepoint, datetime("15d"))])
rv_30d = vector([calc_rv(close, open_time, timepoint, datetime("30d"))])
rv_60d = vector([calc_rv(close, open_time, timepoint, datetime("60d"))])
rv_90d = vector([calc_rv(close, open_time, timepoint, datetime("90d"))])
rv_180d = vector([calc_rv(close, open_time, timepoint, datetime("180d"))])
return rv_7d, rv_15d, rv_30d, rv_60d, rv_90d, rv_180d

22
component/script/python/example/kline.json
View File

@@ -7,7 +7,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231300,
"open_time": 300,
"open": "10107",
"high": "10109.34",
"low": "10106.71",
@@ -16,7 +16,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231360,
"open_time": 900,
"open": "10106.79",
"high": "10109.27",
"low": "10105.92",
@@ -25,7 +25,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231420,
"open_time": 1200,
"open": "10106.09",
"high": "10108.75",
"low": "10104.66",
@@ -34,7 +34,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231480,
"open_time": 1800,
"open": "10108.73",
"high": "10109.52",
"low": "10106.07",
@@ -43,7 +43,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231540,
"open_time": 2400,
"open": "10106.38",
"high": "10109.48",
"low": "10104.81",
@@ -52,7 +52,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231600,
"open_time": 3000,
"open": "10106.95",
"high": "10109.48",
"low": "10106.6",
@@ -61,7 +61,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231660,
"open_time": 3600,
"open": "10107.55",
"high": "10109.28",
"low": "10104.68",
@@ -70,7 +70,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231720,
"open_time": 4200,
"open": "10104.68",
"high": "10109.18",
"low": "10104.14",
@@ -79,7 +79,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231780,
"open_time": 4800,
"open": "10108.8",
"high": "10117.36",
"low": "10108.8",
@@ -88,7 +88,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231840,
"open_time": 5400,
"open": "10115.96",
"high": "10119.19",
"low": "10115.96",
@@ -97,7 +97,7 @@
{
"symbol": "BTCUSD",
"period": "1",
"open_time": 1581231900,
"open_time": 6000,
"open": "10117.08",
"high": "10120.73",
"low": "10116.96",