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Truncate timestamp to shift windowing in trade agg #87

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Sep 6, 2024
Merged

Truncate timestamp to shift windowing in trade agg #87

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10 changes: 5 additions & 5 deletions .pre-commit-config.yaml
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Original file line number Diff line number Diff line change
Expand Up @@ -20,14 +20,14 @@ repos:
language_version: 14.21.3

- repo: https://github.com/sqlfluff/sqlfluff
rev: 3.0.5
rev: 3.0.7
hooks:
- id: sqlfluff-lint
args: ["lint", "--processes", "0", "--config=./.sqlfluff"]
additional_dependencies:
[
"sqlfluff-templater-dbt==3.0.5",
"dbt-bigquery==1.3.0",
"sqlfluff-templater-dbt==3.0.7",
"dbt-bigquery==1.8.2",
"python-dotenv",
]
entry: ./pre-commit/for_pre_commit.sh
Expand All @@ -36,8 +36,8 @@ repos:
args: ["fix", "--force", "--processes", "0", "--config=./.sqlfluff"]
additional_dependencies:
[
"sqlfluff-templater-dbt==3.0.5",
"dbt-bigquery==1.3.0",
"sqlfluff-templater-dbt==3.0.7",
"dbt-bigquery==1.8.2",
"python-dotenv",
]
entry: ./pre-commit/for_pre_commit.sh
Expand Down
6 changes: 3 additions & 3 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 @@ -8,7 +8,7 @@
with
base_trades as (
select
date('{{ dbt_airflow_macros.ts(timezone=none) }}') as day_agg
date(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day)) as day_agg
, ledger_closed_at
, selling_asset_id
, selling_asset_code
Expand All @@ -25,8 +25,8 @@ with
, buying_amount
from {{ ref('stg_history_trades') }}
where
ledger_closed_at < TIMESTAMP_ADD('{{ dbt_airflow_macros.ts(timezone=none) }}', INTERVAL 1 DAY )
and ledger_closed_at >= '{{ dbt_airflow_macros.ts(timezone=none) }}'
ledger_closed_at < timestamp_add(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day), interval 1 day )
and ledger_closed_at >= timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day)
)

/* duplicates trades in order to obtain all trades between an asset pair, regardless
Expand Down
10 changes: 5 additions & 5 deletions models/intermediate/trades/int_trade_agg_month.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -25,8 +25,8 @@ with
, buying_amount
from {{ ref('stg_history_trades') }}
where
ledger_closed_at < timestamp_add('{{ dbt_airflow_macros.ts(timezone=none) }}', interval 1 day)
and ledger_closed_at >= timestamp_sub('{{ dbt_airflow_macros.ts(timezone=none) }}', interval 31 day)
ledger_closed_at < timestamp_add(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day), interval 1 day)
and ledger_closed_at >= timestamp_sub(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day), interval 31 day)
)

/* duplicates trades in order to obtain all trades between an asset pair, regardless
Expand Down Expand Up @@ -120,7 +120,7 @@ with
/* obtain aggregate function metrics for the asset pair */
, trade_day_agg_group as (
select
date('{{ dbt_airflow_macros.ts(timezone=none) }}') as day_agg
date('{{ dbt_airflow_macros.ts() }}') as day_agg
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Just wondering. Is there an issue with using timezones=none? I'd assume that's the same as the default UTC

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there isn't, but it is the default. My thought was why specify the default

, asset_a
, asset_a_code
, asset_a_issuer
Expand All @@ -136,7 +136,7 @@ with
, max(price_n / price_d) as high_price_monthly
, min(price_n / price_d) as low_price_monthly
from dedup_asset_pair
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts(timezone=none) }}'), interval 30 day)
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts() }}'), interval 30 day)
group by
asset_a
, asset_a_code
Expand Down Expand Up @@ -197,7 +197,7 @@ with
order by ledger_closed_at desc
) as dedup_rows
from dedup_asset_pair
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts(timezone=none) }}'), interval 30 day)
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts() }}'), interval 30 day)
)

/* joins all metrics related to the asset pair while deduplicating the window functions */
Expand Down
10 changes: 5 additions & 5 deletions models/intermediate/trades/int_trade_agg_week.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -25,8 +25,8 @@ with
, buying_amount
from {{ ref('stg_history_trades') }}
where
ledger_closed_at < timestamp_add('{{ dbt_airflow_macros.ts(timezone=none) }}', interval 1 day)
and ledger_closed_at >= timestamp_sub('{{ dbt_airflow_macros.ts(timezone=none) }}', interval 8 day)
ledger_closed_at < timestamp_add(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day), interval 1 day)
and ledger_closed_at >= timestamp_sub(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day), interval 8 day)
)

/* duplicates trades in order to obtain all trades between an asset pair, regardless
Expand Down Expand Up @@ -120,7 +120,7 @@ with
/* obtain aggregate function metrics for the asset pair */
, trade_day_agg_group as (
select
date('{{ dbt_airflow_macros.ts(timezone=none) }}') as day_agg
date('{{ dbt_airflow_macros.ts() }}') as day_agg
, asset_a
, asset_a_code
, asset_a_issuer
Expand All @@ -136,7 +136,7 @@ with
, max(price_n / price_d) as high_price_weekly
, min(price_n / price_d) as low_price_weekly
from dedup_asset_pair
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts(timezone=none) }}'), interval 7 day)
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts() }}'), interval 7 day)
group by
asset_a
, asset_a_code
Expand Down Expand Up @@ -197,7 +197,7 @@ with
order by ledger_closed_at desc
) as dedup_rows
from dedup_asset_pair
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts(timezone=none) }}'), interval 7 day)
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts() }}'), interval 7 day)
)

/* joins all metrics related to the asset pair while deduplicating the window functions */
Expand Down
10 changes: 5 additions & 5 deletions models/intermediate/trades/int_trade_agg_year.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -31,8 +31,8 @@ with
, buying_amount
from {{ ref('stg_history_trades') }}
where
ledger_closed_at < timestamp_add('{{ dbt_airflow_macros.ts(timezone=none) }}', interval 1 day)
and ledger_closed_at >= timestamp_sub('{{ dbt_airflow_macros.ts(timezone=none) }}', interval 366 day)
ledger_closed_at < timestamp_add(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day), interval 1 day)
and ledger_closed_at >= timestamp_sub(timestamp_trunc('{{ dbt_airflow_macros.ts() }}', day), interval 366 day)
)

/* duplicates trades in order to obtain all trades between an asset pair, regardless
Expand Down Expand Up @@ -126,7 +126,7 @@ with
/* obtain aggregate function metrics for the asset pair */
, trade_day_agg_group as (
select
date('{{ dbt_airflow_macros.ts(timezone=none) }}') as day_agg
date('{{ dbt_airflow_macros.ts() }}') as day_agg
, asset_a
, asset_a_code
, asset_a_issuer
Expand All @@ -142,7 +142,7 @@ with
, max(price_n / price_d) as high_price_yearly
, min(price_n / price_d) as low_price_yearly
from dedup_asset_pair
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts(timezone=none) }}'), interval 365 day)
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts() }}'), interval 365 day)
group by
asset_a
, asset_a_code
Expand Down Expand Up @@ -203,7 +203,7 @@ with
order by ledger_closed_at desc
) as dedup_rows
from dedup_asset_pair
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts(timezone=none) }}'), interval 365 day)
where cast(ledger_closed_at as date) >= date_sub(date('{{ dbt_airflow_macros.ts() }}'), interval 365 day)
)

/* joins all metrics related to the asset pair while deduplicating the window functions */
Expand Down
8 changes: 4 additions & 4 deletions models/marts/trade_agg.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -15,31 +15,31 @@ with
select *
from {{ ref('int_trade_agg_day') }}
{% if is_incremental() %}
where day_agg = date('{{ dbt_airflow_macros.ts(timezone=none) }}')
where day_agg = date('{{ dbt_airflow_macros.ts() }}')
{% endif %}
)

, trade_weekly as (
select *
from {{ ref('int_trade_agg_week') }}
{% if is_incremental() %}
where day_agg = date('{{ dbt_airflow_macros.ts(timezone=none) }}')
where day_agg = date('{{ dbt_airflow_macros.ts() }}')
{% endif %}
)

, trade_monthly as (
select *
from {{ ref('int_trade_agg_month') }}
{% if is_incremental() %}
where day_agg = date('{{ dbt_airflow_macros.ts(timezone=none) }}')
where day_agg = date('{{ dbt_airflow_macros.ts() }}')
{% endif %}
)

, trade_yearly as (
select *
from {{ ref('int_trade_agg_year') }}
{% if is_incremental() %}
where day_agg = date('{{ dbt_airflow_macros.ts(timezone=none) }}')
where day_agg = date('{{ dbt_airflow_macros.ts() }}')
{% endif %}
)

Expand Down
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