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Pass asset info in trade agg #15

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merged 3 commits into from
Jan 23, 2024
Merged

Pass asset info in trade agg #15

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3e46332
Pass asset info in trade agg
chowbao Jan 23, 2024
6739002
Add correct group by
chowbao Jan 23, 2024
479fea7
Update joins
chowbao Jan 23, 2024
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54 changes: 54 additions & 0 deletions models/intermediate/trades/int_trade_agg_day.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,13 @@ with
date('{{ dbt_airflow_macros.ds() }}') as day_agg
, ledger_closed_at
, selling_asset_id
, selling_asset_code
, selling_asset_issuer
, selling_asset_type
, buying_asset_id
, buying_asset_code
, buying_asset_issuer
, buying_asset_type
, concat(history_operation_id, `order`) as trade_key
, price_n
, price_d
Expand All @@ -29,7 +35,13 @@ with
day_agg
, ledger_closed_at
, selling_asset_id as asset_a
, selling_asset_code as asset_a_code
, selling_asset_issuer as asset_a_issuer
, selling_asset_type as asset_a_type
, buying_asset_id as asset_b
, buying_asset_code as asset_b_code
, buying_asset_issuer as asset_b_issuer
, buying_asset_type as asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -41,7 +53,13 @@ with
day_agg
, ledger_closed_at
, selling_asset_id as asset_b
, selling_asset_code as asset_b_code
, selling_asset_issuer as asset_b_issuer
, selling_asset_type as asset_b_type
, buying_asset_id as asset_a
, buying_asset_code as asset_a_code
, buying_asset_issuer as asset_a_issuer
, buying_asset_type as asset_a_type
, trade_key
, price_n
, price_d
Expand All @@ -56,7 +74,13 @@ with
day_agg
, ledger_closed_at
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -76,7 +100,13 @@ with
day_agg
, ledger_closed_at
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -91,7 +121,13 @@ with
select
day_agg
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, count(trade_key) as trade_count_daily
, sum(asset_a_amount) as asset_a_volume_daily
, sum(asset_b_amount) as asset_b_volume_daily
Expand All @@ -102,15 +138,27 @@ with
group by
day_agg
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
)

/* obtain window function metrics for the asset pair */
, trade_day_agg_window as (
select
day_agg
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, ledger_closed_at
, first_value(price_n) over (
partition by
Expand Down Expand Up @@ -155,7 +203,13 @@ with
select
trade_day_agg_group.day_agg
, trade_day_agg_group.asset_a
, trade_day_agg_group.asset_a_code
, trade_day_agg_group.asset_a_issuer
, trade_day_agg_group.asset_a_type
, trade_day_agg_group.asset_b
, trade_day_agg_group.asset_b_code
, trade_day_agg_group.asset_b_issuer
, trade_day_agg_group.asset_b_type
, trade_day_agg_group.trade_count_daily
, trade_day_agg_group.asset_a_volume_daily
, trade_day_agg_group.asset_b_volume_daily
Expand Down
54 changes: 54 additions & 0 deletions models/intermediate/trades/int_trade_agg_month.sql
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,13 @@ with
ledger_closed_at
, cast(ledger_closed_at as date) as day_agg
, selling_asset_id
, selling_asset_code
, selling_asset_issuer
, selling_asset_type
, buying_asset_id
, buying_asset_code
, buying_asset_issuer
, buying_asset_type
, concat(history_operation_id, `order`) as trade_key
, price_n
, price_d
Expand All @@ -29,7 +35,13 @@ with
day_agg
, ledger_closed_at
, selling_asset_id as asset_a
, selling_asset_code as asset_a_code
, selling_asset_issuer as asset_a_issuer
, selling_asset_type as asset_a_type
, buying_asset_id as asset_b
, buying_asset_code as asset_b_code
, buying_asset_issuer as asset_b_issuer
, buying_asset_type as asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -41,7 +53,13 @@ with
day_agg
, ledger_closed_at
, selling_asset_id as asset_b
, selling_asset_code as asset_b_code
, selling_asset_issuer as asset_b_issuer
, selling_asset_type as asset_b_type
, buying_asset_id as asset_a
, buying_asset_code as asset_a_code
, buying_asset_issuer as asset_a_issuer
, buying_asset_type as asset_a_type
, trade_key
, price_n
, price_d
Expand All @@ -56,7 +74,13 @@ with
day_agg
, ledger_closed_at
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -76,7 +100,13 @@ with
day_agg
, ledger_closed_at
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -91,7 +121,13 @@ with
select
date('{{ dbt_airflow_macros.ds() }}') as day_agg
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, count(trade_key) as trade_count_monthly
, sum(asset_a_amount) as asset_a_volume_monthly
, sum(asset_b_amount) as asset_b_volume_monthly
Expand All @@ -102,15 +138,27 @@ with
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ds() }}'), interval 30 day)
group by
asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
)

/* obtain window function metrics for the asset pair */
, trade_day_agg_window as (
select
day_agg
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, ledger_closed_at
, first_value(price_n) over (
partition by
Expand Down Expand Up @@ -156,7 +204,13 @@ with
select
trade_day_agg_group.day_agg
, trade_day_agg_group.asset_a
, trade_day_agg_group.asset_a_code
, trade_day_agg_group.asset_a_issuer
, trade_day_agg_group.asset_a_type
, trade_day_agg_group.asset_b
, trade_day_agg_group.asset_b_code
, trade_day_agg_group.asset_b_issuer
, trade_day_agg_group.asset_b_type
, trade_day_agg_group.trade_count_monthly
, trade_day_agg_group.asset_a_volume_monthly
, trade_day_agg_group.asset_b_volume_monthly
Expand Down
54 changes: 54 additions & 0 deletions models/intermediate/trades/int_trade_agg_week.sql
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,13 @@ with
ledger_closed_at
, cast(ledger_closed_at as date) as day_agg
, selling_asset_id
, selling_asset_code
, selling_asset_issuer
, selling_asset_type
, buying_asset_id
, buying_asset_code
, buying_asset_issuer
, buying_asset_type
, concat(history_operation_id, `order`) as trade_key
, price_n
, price_d
Expand All @@ -29,7 +35,13 @@ with
day_agg
, ledger_closed_at
, selling_asset_id as asset_a
, selling_asset_code as asset_a_code
, selling_asset_issuer as asset_a_issuer
, selling_asset_type as asset_a_type
, buying_asset_id as asset_b
, buying_asset_code as asset_b_code
, buying_asset_issuer as asset_b_issuer
, buying_asset_type as asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -41,7 +53,13 @@ with
day_agg
, ledger_closed_at
, selling_asset_id as asset_b
, selling_asset_code as asset_b_code
, selling_asset_issuer as asset_b_issuer
, selling_asset_type as asset_b_type
, buying_asset_id as asset_a
, buying_asset_code as asset_a_code
, buying_asset_issuer as asset_a_issuer
, buying_asset_type as asset_a_type
, trade_key
, price_n
, price_d
Expand All @@ -56,7 +74,13 @@ with
day_agg
, ledger_closed_at
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -76,7 +100,13 @@ with
day_agg
, ledger_closed_at
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, trade_key
, price_n
, price_d
Expand All @@ -91,7 +121,13 @@ with
select
date('{{ dbt_airflow_macros.ds() }}') as day_agg
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, count(trade_key) as trade_count_weekly
, sum(asset_a_amount) as asset_a_volume_weekly
, sum(asset_b_amount) as asset_b_volume_weekly
Expand All @@ -102,15 +138,27 @@ with
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ds() }}'), interval 7 day)
group by
asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
)

/* obtain window function metrics for the asset pair */
, trade_day_agg_window as (
select
day_agg
, asset_a
, asset_a_code
, asset_a_issuer
, asset_a_type
, asset_b
, asset_b_code
, asset_b_issuer
, asset_b_type
, ledger_closed_at
, first_value(price_n) over (
partition by
Expand Down Expand Up @@ -156,7 +204,13 @@ with
select
trade_day_agg_group.day_agg
, trade_day_agg_group.asset_a
, trade_day_agg_group.asset_a_code
, trade_day_agg_group.asset_a_issuer
, trade_day_agg_group.asset_a_type
, trade_day_agg_group.asset_b
, trade_day_agg_group.asset_b_code
, trade_day_agg_group.asset_b_issuer
, trade_day_agg_group.asset_b_type
, trade_day_agg_group.trade_count_weekly
, trade_day_agg_group.asset_a_volume_weekly
, trade_day_agg_group.asset_b_volume_weekly
Expand Down
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