- Created data/examples/download_ml_training_data.rs using reqwest + Databento HTTP API - Downloaded 90 days × 4 symbols (ES.FUT, NQ.FUT, ZN.FUT, 6E.FUT) - Files saved to test_data/real/databento/ml_training/ - Total: 360 files, 15 MB compressed DBN format - Used existing Rust pattern from download_nq_fut.rs - API key loaded from .env file - 100% success rate (360/360 files) - Ready for ML training benchmarks Next: Create simplified training benchmark for RTX 3050 Ti GPU measurements
135 lines
4.2 KiB
Rust
135 lines
4.2 KiB
Rust
//! CLI Tool: DBN to Parquet Converter
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//!
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//! Command-line tool for converting Databento binary format (DBN) files to Parquet format.
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//!
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//! ## Usage
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//!
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//! ```bash
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//! # Convert a single DBN file
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//! cargo run --example convert_dbn_to_parquet -- \
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//! --input test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn \
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//! --output market_data/converted
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//!
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//! # With custom configuration
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//! cargo run --example convert_dbn_to_parquet -- \
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//! --input data.dbn \
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//! --output ./parquet \
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//! --batch-size 5000 \
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//! --compression snappy
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//! ```
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use anyhow::{Context, Result};
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use clap::Parser;
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use data::parquet_persistence::ParquetConfig;
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use data::providers::databento::{ConversionReport, DbnToParquetConverter};
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use std::path::PathBuf;
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use tracing_subscriber::{layer::SubscriberExt, util::SubscriberInitExt};
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#[derive(Parser, Debug)]
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#[clap(name = "dbn-to-parquet")]
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#[clap(about = "Convert Databento DBN files to Parquet format", long_about = None)]
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struct Args {
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/// Input DBN file path
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#[clap(short, long)]
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input: PathBuf,
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/// Output directory for Parquet files
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#[clap(short, long, default_value = "./market_data")]
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output: PathBuf,
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/// Batch size for processing (events per batch)
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#[clap(short, long, default_value_t = 10000)]
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batch_size: usize,
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/// Compression algorithm (snappy, gzip, lz4, zstd, none)
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#[clap(short, long, default_value = "snappy")]
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compression: String,
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/// Enable verbose logging
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#[clap(short, long)]
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verbose: bool,
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}
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#[tokio::main]
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async fn main() -> Result<()> {
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let args = Args::parse();
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// Initialize tracing
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let log_level = if args.verbose {
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tracing::Level::DEBUG
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} else {
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tracing::Level::INFO
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};
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tracing_subscriber::registry()
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.with(
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tracing_subscriber::fmt::layer()
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.with_target(false)
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.with_level(true),
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)
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.with(
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tracing_subscriber::filter::LevelFilter::from_level(log_level),
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)
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.init();
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// Validate input file exists
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if !args.input.exists() {
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anyhow::bail!("Input file does not exist: {:?}", args.input);
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}
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// Create output directory if needed
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if !args.output.exists() {
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std::fs::create_dir_all(&args.output)
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.with_context(|| format!("Failed to create output directory: {:?}", args.output))?;
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}
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// Parse compression algorithm
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let compression = match args.compression.to_lowercase().as_str() {
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"snappy" => parquet::basic::Compression::SNAPPY,
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"gzip" => parquet::basic::Compression::GZIP(parquet::basic::GzipLevel::default()),
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"lz4" => parquet::basic::Compression::LZ4,
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"zstd" => parquet::basic::Compression::ZSTD(parquet::basic::ZstdLevel::default()),
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"none" => parquet::basic::Compression::UNCOMPRESSED,
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other => anyhow::bail!("Unknown compression algorithm: {}", other),
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};
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// Configure Parquet writer
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let config = ParquetConfig {
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base_path: args.output.to_string_lossy().to_string(),
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batch_size: args.batch_size,
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compression,
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..Default::default()
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};
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// Create converter
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tracing::info!("Initializing DBN to Parquet converter...");
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let mut converter = DbnToParquetConverter::new(config).await?;
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// Convert file
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tracing::info!("Converting {:?}...", args.input);
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let report = converter.convert_file(&args.input).await?;
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// Print results
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print_report(&report);
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if !report.is_success() {
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anyhow::bail!("Conversion completed with {} errors", report.events_failed);
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}
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tracing::info!("✓ Conversion successful!");
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Ok(())
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}
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fn print_report(report: &ConversionReport) {
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println!("\n{}", "=".repeat(60));
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println!("Conversion Report");
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println!("{}", "=".repeat(60));
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println!("Events processed: {}", report.events_processed);
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println!("Events skipped: {}", report.events_skipped);
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println!("Events failed: {}", report.events_failed);
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println!("Duration: {:?}", report.duration);
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println!("Throughput: {} events/sec", report.throughput_events_per_sec);
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println!("Success rate: {:.2}%", report.success_rate());
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println!("{}", "=".repeat(60));
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}
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