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Palash Tyagi 2024-11-07 20:26:50 +00:00
parent b14a59b259
commit 63c1cf64b2
5 changed files with 196 additions and 317 deletions
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@ -77,9 +77,9 @@ dependencies = [
[[package]] [[package]]
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@ -180,27 +180,15 @@ dependencies = [
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@ -1242,9 +1162,10 @@ name = "macrosynergy_dataquery"
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] ]
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@ -2912,12 +2790,6 @@ dependencies = [
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version = "1.0.1" version = "1.0.1"
@ -2942,20 +2814,20 @@ dependencies = [
[[package]] [[package]]
name = "system-configuration" name = "system-configuration"
version = "0.5.1" version = "0.6.1"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "ba3a3adc5c275d719af8cb4272ea1c4a6d668a777f37e115f6d11ddbc1c8e0e7" checksum = "3c879d448e9d986b661742763247d3693ed13609438cf3d006f51f5368a5ba6b"
dependencies = [ dependencies = [
"bitflags 1.3.2", "bitflags",
"core-foundation", "core-foundation",
"system-configuration-sys", "system-configuration-sys",
] ]
[[package]] [[package]]
name = "system-configuration-sys" name = "system-configuration-sys"
version = "0.5.0" version = "0.6.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "a75fb188eb626b924683e3b95e3a48e63551fcfb51949de2f06a9d91dbee93c9" checksum = "8e1d1b10ced5ca923a1fcb8d03e96b8d3268065d724548c0211415ff6ac6bac4"
dependencies = [ dependencies = [
"core-foundation-sys", "core-foundation-sys",
"libc", "libc",
@ -3391,7 +3263,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "12342cb4d8e3b046f3d80effd474a7a02447231330ef77d71daa6fbc40681143" checksum = "12342cb4d8e3b046f3d80effd474a7a02447231330ef77d71daa6fbc40681143"
dependencies = [ dependencies = [
"windows-core 0.57.0", "windows-core 0.57.0",
"windows-targets 0.52.6", "windows-targets",
] ]
[[package]] [[package]]
@ -3400,7 +3272,7 @@ version = "0.52.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "33ab640c8d7e35bf8ba19b884ba838ceb4fba93a4e8c65a9059d08afcfc683d9" checksum = "33ab640c8d7e35bf8ba19b884ba838ceb4fba93a4e8c65a9059d08afcfc683d9"
dependencies = [ dependencies = [
"windows-targets 0.52.6", "windows-targets",
] ]
[[package]] [[package]]
@ -3412,7 +3284,7 @@ dependencies = [
"windows-implement", "windows-implement",
"windows-interface", "windows-interface",
"windows-result 0.1.2", "windows-result 0.1.2",
"windows-targets 0.52.6", "windows-targets",
] ]
[[package]] [[package]]
@ -3445,7 +3317,7 @@ checksum = "e400001bb720a623c1c69032f8e3e4cf09984deec740f007dd2b03ec864804b0"
dependencies = [ dependencies = [
"windows-result 0.2.0", "windows-result 0.2.0",
"windows-strings", "windows-strings",
"windows-targets 0.52.6", "windows-targets",
] ]
[[package]] [[package]]
@ -3454,7 +3326,7 @@ version = "0.1.2"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "5e383302e8ec8515204254685643de10811af0ed97ea37210dc26fb0032647f8" checksum = "5e383302e8ec8515204254685643de10811af0ed97ea37210dc26fb0032647f8"
dependencies = [ dependencies = [
"windows-targets 0.52.6", "windows-targets",
] ]
[[package]] [[package]]
@ -3463,7 +3335,7 @@ version = "0.2.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "1d1043d8214f791817bab27572aaa8af63732e11bf84aa21a45a78d6c317ae0e" checksum = "1d1043d8214f791817bab27572aaa8af63732e11bf84aa21a45a78d6c317ae0e"
dependencies = [ dependencies = [
"windows-targets 0.52.6", "windows-targets",
] ]
[[package]] [[package]]
@ -3473,16 +3345,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "4cd9b125c486025df0eabcb585e62173c6c9eddcec5d117d3b6e8c30e2ee4d10" checksum = "4cd9b125c486025df0eabcb585e62173c6c9eddcec5d117d3b6e8c30e2ee4d10"
dependencies = [ dependencies = [
"windows-result 0.2.0", "windows-result 0.2.0",
"windows-targets 0.52.6", "windows-targets",
]
[[package]]
name = "windows-sys"
version = "0.48.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "677d2418bec65e3338edb076e806bc1ec15693c5d0104683f2efe857f61056a9"
dependencies = [
"windows-targets 0.48.5",
] ]
[[package]] [[package]]
@ -3491,7 +3354,7 @@ version = "0.52.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "282be5f36a8ce781fad8c8ae18fa3f9beff57ec1b52cb3de0789201425d9a33d" checksum = "282be5f36a8ce781fad8c8ae18fa3f9beff57ec1b52cb3de0789201425d9a33d"
dependencies = [ dependencies = [
"windows-targets 0.52.6", "windows-targets",
] ]
[[package]] [[package]]
@ -3500,22 +3363,7 @@ version = "0.59.0"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "1e38bc4d79ed67fd075bcc251a1c39b32a1776bbe92e5bef1f0bf1f8c531853b" checksum = "1e38bc4d79ed67fd075bcc251a1c39b32a1776bbe92e5bef1f0bf1f8c531853b"
dependencies = [ dependencies = [
"windows-targets 0.52.6", "windows-targets",
]
[[package]]
name = "windows-targets"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "9a2fa6e2155d7247be68c096456083145c183cbbbc2764150dda45a87197940c"
dependencies = [
"windows_aarch64_gnullvm 0.48.5",
"windows_aarch64_msvc 0.48.5",
"windows_i686_gnu 0.48.5",
"windows_i686_msvc 0.48.5",
"windows_x86_64_gnu 0.48.5",
"windows_x86_64_gnullvm 0.48.5",
"windows_x86_64_msvc 0.48.5",
] ]
[[package]] [[package]]
@ -3524,46 +3372,28 @@ version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "9b724f72796e036ab90c1021d4780d4d3d648aca59e491e6b98e725b84e99973" checksum = "9b724f72796e036ab90c1021d4780d4d3d648aca59e491e6b98e725b84e99973"
dependencies = [ dependencies = [
"windows_aarch64_gnullvm 0.52.6", "windows_aarch64_gnullvm",
"windows_aarch64_msvc 0.52.6", "windows_aarch64_msvc",
"windows_i686_gnu 0.52.6", "windows_i686_gnu",
"windows_i686_gnullvm", "windows_i686_gnullvm",
"windows_i686_msvc 0.52.6", "windows_i686_msvc",
"windows_x86_64_gnu 0.52.6", "windows_x86_64_gnu",
"windows_x86_64_gnullvm 0.52.6", "windows_x86_64_gnullvm",
"windows_x86_64_msvc 0.52.6", "windows_x86_64_msvc",
] ]
[[package]]
name = "windows_aarch64_gnullvm"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "2b38e32f0abccf9987a4e3079dfb67dcd799fb61361e53e2882c3cbaf0d905d8"
[[package]] [[package]]
name = "windows_aarch64_gnullvm" name = "windows_aarch64_gnullvm"
version = "0.52.6" version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "32a4622180e7a0ec044bb555404c800bc9fd9ec262ec147edd5989ccd0c02cd3" checksum = "32a4622180e7a0ec044bb555404c800bc9fd9ec262ec147edd5989ccd0c02cd3"
[[package]]
name = "windows_aarch64_msvc"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "dc35310971f3b2dbbf3f0690a219f40e2d9afcf64f9ab7cc1be722937c26b4bc"
[[package]] [[package]]
name = "windows_aarch64_msvc" name = "windows_aarch64_msvc"
version = "0.52.6" version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "09ec2a7bb152e2252b53fa7803150007879548bc709c039df7627cabbd05d469" checksum = "09ec2a7bb152e2252b53fa7803150007879548bc709c039df7627cabbd05d469"
[[package]]
name = "windows_i686_gnu"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "a75915e7def60c94dcef72200b9a8e58e5091744960da64ec734a6c6e9b3743e"
[[package]] [[package]]
name = "windows_i686_gnu" name = "windows_i686_gnu"
version = "0.52.6" version = "0.52.6"
@ -3576,64 +3406,30 @@ version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "0eee52d38c090b3caa76c563b86c3a4bd71ef1a819287c19d586d7334ae8ed66" checksum = "0eee52d38c090b3caa76c563b86c3a4bd71ef1a819287c19d586d7334ae8ed66"
[[package]]
name = "windows_i686_msvc"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "8f55c233f70c4b27f66c523580f78f1004e8b5a8b659e05a4eb49d4166cca406"
[[package]] [[package]]
name = "windows_i686_msvc" name = "windows_i686_msvc"
version = "0.52.6" version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "240948bc05c5e7c6dabba28bf89d89ffce3e303022809e73deaefe4f6ec56c66" checksum = "240948bc05c5e7c6dabba28bf89d89ffce3e303022809e73deaefe4f6ec56c66"
[[package]]
name = "windows_x86_64_gnu"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "53d40abd2583d23e4718fddf1ebec84dbff8381c07cae67ff7768bbf19c6718e"
[[package]] [[package]]
name = "windows_x86_64_gnu" name = "windows_x86_64_gnu"
version = "0.52.6" version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "147a5c80aabfbf0c7d901cb5895d1de30ef2907eb21fbbab29ca94c5b08b1a78" checksum = "147a5c80aabfbf0c7d901cb5895d1de30ef2907eb21fbbab29ca94c5b08b1a78"
[[package]]
name = "windows_x86_64_gnullvm"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "0b7b52767868a23d5bab768e390dc5f5c55825b6d30b86c844ff2dc7414044cc"
[[package]] [[package]]
name = "windows_x86_64_gnullvm" name = "windows_x86_64_gnullvm"
version = "0.52.6" version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "24d5b23dc417412679681396f2b49f3de8c1473deb516bd34410872eff51ed0d" checksum = "24d5b23dc417412679681396f2b49f3de8c1473deb516bd34410872eff51ed0d"
[[package]]
name = "windows_x86_64_msvc"
version = "0.48.5"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "ed94fce61571a4006852b7389a063ab983c02eb1bb37b47f8272ce92d06d9538"
[[package]] [[package]]
name = "windows_x86_64_msvc" name = "windows_x86_64_msvc"
version = "0.52.6" version = "0.52.6"
source = "registry+https://github.com/rust-lang/crates.io-index" source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "589f6da84c646204747d1270a2a5661ea66ed1cced2631d546fdfb155959f9ec" checksum = "589f6da84c646204747d1270a2a5661ea66ed1cced2631d546fdfb155959f9ec"
[[package]]
name = "winreg"
version = "0.50.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "524e57b2c537c0f9b1e69f1965311ec12182b4122e45035b1508cd24d2adadb1"
dependencies = [
"cfg-if",
"windows-sys 0.48.0",
]
[[package]] [[package]]
name = "xxhash-rust" name = "xxhash-rust"
version = "0.8.12" version = "0.8.12"

5
Cargo.toml
View File

@ -4,11 +4,12 @@ version = "0.0.1"
edition = "2021" edition = "2021"
[dependencies] [dependencies]
reqwest = { version = "0.11", features = ["blocking", "json"] } reqwest = { version = "0.12.9", features = ["blocking", "json"] }
serde_json = "1.0" serde_json = "1.0"
serde_urlencoded = "0.7" serde_urlencoded = "0.7"
serde = { version = "1.0", features = ["derive"] } serde = { version = "1.0", features = ["derive"] }
polars = { version = "0.44.2", features = ["temporal", "lazy"] } polars = { version = "0.44.2", features = ["temporal", "lazy"] }
anyhow = "1.0" anyhow = "1.0.92"
rand = "0.8" rand = "0.8"
threadpool = "1.8.1" threadpool = "1.8.1"
log = "0.4.22"

33
src/main.rs
View File

@ -1,8 +1,11 @@
use log;
use macrosynergy_dataquery::oauth_client::OAuthClient; use macrosynergy_dataquery::oauth_client::OAuthClient;
use macrosynergy_dataquery::requester; use macrosynergy_dataquery::requester;
use macrosynergy_dataquery::requester::*; use macrosynergy_dataquery::requester::*;
use macrosynergy_dataquery::timeseries::*; use macrosynergy_dataquery::timeseries::*;
use rand::seq::SliceRandom; use rand::seq::SliceRandom;
use std::collections::HashSet;
use std::time::Instant;
fn main() { fn main() {
let mut requester = requester::DQRequester::new(OAuthClient::default()); let mut requester = requester::DQRequester::new(OAuthClient::default());
@ -10,7 +13,6 @@ fn main() {
let responses = requester.get_catalogue("JPMAQS", 1000).unwrap(); let responses = requester.get_catalogue("JPMAQS", 1000).unwrap();
let mut tickers_vec = vec![]; let mut tickers_vec = vec![];
for rsp in responses { for rsp in responses {
let response: DQCatalogueResponse = serde_json::from_str(&rsp.to_string()).unwrap(); let response: DQCatalogueResponse = serde_json::from_str(&rsp.to_string()).unwrap();
@ -41,12 +43,31 @@ fn main() {
} }
} }
let rsp = requester.get_timeseries(DQTimeseriesRequestArgs { // let rsp = requester.get_timeseries(DQTimeseriesRequestArgs {
expressions: expressions_vec[0..40].to_vec(), // expressions: expressions_vec[0..40].to_vec(),
..Default::default() // ..Default::default()
}); // });
for response in rsp { // for response in rsp {
// let dq_response: DQTimeSeriesResponse =
// serde_json::from_str(&response.text().unwrap()).unwrap();
// for ts_group in dq_response.get_timeseries_by_ticker() {
// let jpmi = JPMaQSIndicator::new(ts_group).unwrap();
// println!("{:?}", jpmi.as_qdf().unwrap());
// }
// }
// fetch first 50 expressions
let start = Instant::now();
let responses = requester
.get_timeseries(DQTimeseriesRequestArgs {
expressions: expressions_vec[0..50].to_vec(),
..Default::default()
})
.unwrap();
for response in responses {
let dq_response: DQTimeSeriesResponse = let dq_response: DQTimeSeriesResponse =
serde_json::from_str(&response.text().unwrap()).unwrap(); serde_json::from_str(&response.text().unwrap()).unwrap();
for ts_group in dq_response.get_timeseries_by_ticker() { for ts_group in dq_response.get_timeseries_by_ticker() {

103
src/requester.rs
View File

@ -167,10 +167,14 @@ impl DQRequester {
Ok(responses) Ok(responses)
} }
pub fn get_single_timeseries_batch( pub fn _fetch_single_timeseries_batch(
&mut self, &mut self,
args: DQTimeseriesRequestArgs, args: DQTimeseriesRequestArgs,
) -> Result<reqwest::blocking::Response, Box<dyn Error>> { ) -> Result<reqwest::blocking::Response, Box<dyn Error>> {
log::info!(
"Fetching timeseries batch with {} expressions",
args.expressions.len()
);
if args.expressions.len() < 1 || args.expressions.len() > 20 { if args.expressions.len() < 1 || args.expressions.len() > 20 {
return Err("Number of expressions must be between 1 and 20".into()); return Err("Number of expressions must be between 1 and 20".into());
} }
@ -179,49 +183,94 @@ impl DQRequester {
let endpoint = format!("{}?{}", TIMESERIES_ENDPOINT, query_string); let endpoint = format!("{}?{}", TIMESERIES_ENDPOINT, query_string);
let response = self._request(reqwest::Method::GET, &endpoint)?; let response = self._request(reqwest::Method::GET, &endpoint)?;
log::info!("Got response: {:?}", response.status());
Ok(response) Ok(response)
} }
pub fn get_single_timeseries_with_defaults( // pub fn get_timeseries(
&mut self, // &mut self,
expressions: Vec<&str>, // args: DQTimeseriesRequestArgs,
) -> Result<reqwest::blocking::Response, Box<dyn Error>> { // ) -> Vec<reqwest::blocking::Response> {
let args = DQTimeseriesRequestArgs { // let expressions_chunks: Vec<Vec<String>> = args
expressions: expressions.into_iter().map(|s| s.to_string()).collect(), // .expressions
..Default::default() // .chunks(20)
}; // .map(|chunk| chunk.to_vec())
// .collect();
self.get_single_timeseries_batch(args) // let mut responses: Vec<Result<reqwest::blocking::Response, Box<dyn Error>>> = Vec::new();
}
pub fn get_timeseries( // for expressions in expressions_chunks {
// let mut args = args.clone();
// args.update_expressions(expressions);
// let response = self.get_single_timeseries_batch(args);
// responses.push(response);
// // just sleep for a bit not threadsleep
// // println!("Sleeping for 500ms");
// std::thread::sleep(std::time::Duration::from_millis(500));
// }
// responses.into_iter().map(|r| r.unwrap()).collect()
// }
fn _fetch_timeseries_recursive(
&mut self, &mut self,
args: DQTimeseriesRequestArgs, args: DQTimeseriesRequestArgs,
) -> Vec<reqwest::blocking::Response> { max_retries: u32,
let expressions_chunks: Vec<Vec<String>> = args ) -> Result<Vec<reqwest::blocking::Response>, Box<dyn Error>> {
let expression_batches: Vec<Vec<String>> = args
.expressions .expressions
.chunks(20) .chunks(20)
.map(|chunk| chunk.to_vec()) .map(|chunk| chunk.to_vec())
.collect(); .collect();
let mut responses: Vec<Result<reqwest::blocking::Response, Box<dyn Error>>> = Vec::new(); let mut okay_responses: Vec<reqwest::blocking::Response> = Vec::new();
let mut failed_batches: Vec<Vec<String>> = Vec::new();
for expressions in expressions_chunks { for expr_batch in expression_batches {
let mut args = args.clone(); let mut args = args.clone();
args.update_expressions(expressions); args.update_expressions(expr_batch.clone());
println!( let response = self._fetch_single_timeseries_batch(args);
"Requesting timeseries for expressions: {:?}", std::thread::sleep(std::time::Duration::from_millis(200));
args.expressions match response {
); Ok(r) => {
let response = self.get_single_timeseries_batch(args); okay_responses.push(r);
responses.push(response);
// just sleep for a bit not threadsleep
println!("Sleeping for 500ms");
std::thread::sleep(std::time::Duration::from_millis(500));
log::info!("Got batch: {:?}", expr_batch);
}
Err(e) => {
failed_batches.push(expr_batch.clone());
log::error!("Failed to get batch: {:?} : {:?}", expr_batch, e);
}
}
} }
responses.into_iter().map(|r| r.unwrap()).collect() if !failed_batches.is_empty() && max_retries == 0 {
return Err("Max retries reached".into());
}
if !failed_batches.is_empty() && max_retries > 0 {
log::info!("Retrying failed batches");
let mut new_args = args.clone();
new_args.update_expressions(failed_batches.concat());
log::info!("Retrying with {} failed expressions", failed_batches.len());
let mut retry_responses =
self._fetch_timeseries_recursive(new_args, max_retries - 1)?;
okay_responses.append(&mut retry_responses);
}
log::info!("Returning {} responses", okay_responses.len());
Ok(okay_responses)
}
pub fn get_timeseries(
&mut self,
args: DQTimeseriesRequestArgs,
) -> Result<Vec<reqwest::blocking::Response>, Box<dyn Error>> {
let max_retries = 5;
println!(
"Invoking recursive function for {:?} expressions",
args.expressions.len()
);
self._fetch_timeseries_recursive(args, max_retries)
} }
} }

12
src/timeseries.rs
View File

@ -108,6 +108,18 @@ impl DQTimeSeries {
} }
impl DQTimeSeriesResponse { impl DQTimeSeriesResponse {
pub fn list_expressions(&self) -> Vec<String> {
self.instruments
.iter()
.flat_map(|instrument| {
instrument
.attributes
.iter()
.map(|attribute| attribute.expression.clone())
})
.collect()
}
/// Return a list of all DQTimeSeries in the response /// Return a list of all DQTimeSeries in the response
pub fn get_all_timeseries(&self) -> Vec<DQTimeSeries> { pub fn get_all_timeseries(&self) -> Vec<DQTimeSeries> {
self.instruments self.instruments