Dockerfile

@@ -4,7 +4,7 @@ WORKDIR /app
 ### Pip
 USER root
 COPY ./requirements.txt /app/
-RUN pip config set global.index-url https://nexus.mujiannan.com:5001/repository/pypiserver/simple && \
+RUN pip3 config set global.index-url https://nexus.mujiannan.com:5001/repository/pypiserver/simple && \
     pip install -r requirements.txt
 USER 1001
 ## Copy files

doc-server.sh

@@ -1,2 +1,2 @@
 dbt docs generate
-dbt docs serve --host=0.0.0.0 --port=8080
+dbt docs serve

models/dw/dw.dim_time.sql

@@ -2,16 +2,14 @@
     config(
         materialized='table',
         engine='MergeTree',
-        order_by='(date_id_str, full_time_str, time_id)'
+        order_by='time_id'
     ) 
 }}
-Select toYYYYMMDDhhmmss(`full_time`) As time_id
+Select cast(formatDateTime(`full_time`, '%Y%m%d%H%i') As Int64) As time_id
 	, `full_time`
 	, `date_id`
 	, hour(`full_time`) As `hour`
 	, minute(`full_time`) As `minute`
-	, formatDateTimeInJodaSyntax(`full_time`, 'yyyy-MM-dd HH:mm:ss') As full_time_str
-	, Cast(`date_id` As String) As date_id_str
 From(
 	SELECT 
 		arrayJoin(

models/dw/dw.fact_stock_daily.sql

@@ -5,10 +5,6 @@
         order_by='ts_code, date_id',
         unique_key=['ts_code', 'date_id'],
         incremental_strategy='delete+insert',
-        query_settings={
-            "join_algorithm": "'full_sorting_merge'", 
-            "max_bytes_before_external_sort": "'1000M'"
-        }
     )
 }}
 Select 

models/dw/dw.fact_stock_minute.sql

@@ -1,42 +1,38 @@
 {{ 
     config(
-        materialized='incremental',
+        materialized='materialized_view',
         engine='MergeTree',
         order_by='ts_code, time_id',
         unique_key=['ts_code', 'time_id'],
-        incremental_strategy='delete+insert',
         partition_by=['cast(floor(time_id / 1000000) As Int32)'],
         query_settings={
             "join_algorithm": "'full_sorting_merge'", 
-            "max_bytes_before_external_sort": "'1000M'",
-            "max_bytes_before_external_group_by":"'1000M'",
+            "max_rows_in_set_to_optimize_join": "0",
+            "max_bytes_before_external_sort": "'1000M'"
         }
     )
 }}
 
 Select 
-    OdsMinutes.ts_code As ts_code,
-    OdsMinutes.time_id As time_id,
-    OdsMinutes.close As close,
-    OdsMinutes.open As open,
-    OdsMinutes.high As high,
-    OdsMinutes.low As low,
-    OdsMinutes.vol As vol,
-    OdsMinutes.amount As amount,
-    OdsAdjFactor.adj_factor As adj_factor,
+    StgMinutes.ts_code As ts_code,
+    DimTime.time_id As time_id,
+    StgMinutes.close As close,
+    StgMinutes.open As open,
+    StgMinutes.high As high,
+    StgMinutes.low As low,
+    StgMinutes.vol As vol,
+    StgMinutes.amount As amount,
+    StgAdjFactor.adj_factor As adj_factor,
     now() As dt
-From {{ ref('ods.tushare_minutes') }} As OdsMinutes
-Any Left Join {{ ref('dw.dim_time') }} As DimTime
-    On OdsMinutes.time_id = DimTime.time_id
-Any Left Join {{ ref('ods.tushare_adj_factor') }} As OdsAdjFactor
-    On OdsMinutes.ts_code = OdsAdjFactor.ts_code
-        And OdsAdjFactor.date_id = DimTime.date_id
+From {{ source('finance', 'stg.tushare_minutes') }} As StgMinutes 
+Inner Join {{ ref('dw.dim_time') }} As DimTime
+    On StgMinutes.trade_time = formatDateTimeInJodaSyntax(full_time, 'yyyy-MM-dd HH:mm:ss')
+Any Left Join {{ source('finance', 'stg.tushare_adj_factor') }} As StgAdjFactor
+    On StgMinutes.ts_code = StgAdjFactor.ts_code
+        And StgAdjFactor.trade_date = Cast(DimTime.date_id As String)
 where 1 = 1
-{% if is_incremental() %}
-    And OdsMinutes.time_id >= (Select max(`time_id`) From {{ this }})
-{% endif %}
 {% if 'dev' in target.name %}
-    And OdsMinutes.time_id >= toYYYYMMDDhhmmss(dateAdd(Month,-1,today()))
+And StgMinutes.trade_time >= formatDateTimeInJodaSyntax(today(), 'yyyy-01-01 00:00:00')
 {% elif target.name == 'test' %}
-    And OdsMinutes.time_id >= toYYYYMMDDhhmmss(dateAdd(Year,-1,today()))
+And StgMinutes.trade_time >= formatDateTimeInJodaSyntax(dateAdd(Year,-1,today()), 'yyyy-01-01 00:00:00')
 {% endif %}

models/dw/schema.yml

@@ -94,15 +94,6 @@ models:
     description: "分钟"
     tests:
     - not_null
-  - name: full_time_str
-    description: "时间字符串（yyyy-MM-dd HH:mm:ss）"
-    tests:
-    - not_null
-    - unique
-  - name: date_id_str
-    description: "日期字符串（yyyy-MM-dd）"
-    tests:
-    - not_null
 - name: dw.dim_hs_calendar
   description: "沪深交易日历"
   tests:

models/finance_source.yml

@@ -4,250 +4,250 @@ sources:
   schema: '{{ env_var("FINANCE_CLICKHOUSE_DATABASE") }}'
   description: "The source for financial data"
   tables:
-  - name: stg.tushare_trade_calendar
-    description: >
-      The source table for the trade calendar data from Tushare
-    tests:
-    - dbt_utils.unique_combination_of_columns:
-        combination_of_columns:
-        - exchange
-        - cal_date
-    columns:
-    - name: exchange
-      description: "The exchange code"
+    - name: stg.tushare_trade_calendar
+      description: >
+        The source table for the trade calendar data from Tushare
       tests:
-      - not_null
-    - name: cal_date
-      description: "The date"
-      tests:
-      - not_null
-    - name: is_open
-      description: "Whether the exchange is open"
-      tests:
-      - not_null
-    - name: pretrade_date
-      description: "The previous trading date"
-  - name: stg.tushare_stock_basic
-    columns:
-    - name: ts_code
-      description: TS代码
-      tests:
-      - not_null
-    - name: symbol
-      description: 股票代码
-    - name: name
-      description: 股票名称
-    - name: area
-      description: 所在地域
-    - name: industry
-      description: 所属行业
-    - name: fullname
-      description: 股票全称
-    - name: enname
-      description: 英文全称
-    - name: cnspell
-      description: 拼音缩写
-    - name: market
-      description: 市场类型 （主板/中小板/创业板）
-    - name: exchange
-      description: 交易所代码
-      tests:
-      - not_null
-    - name: curr_type
-      description: 交易货币
-    - name: list_status
-      description: 上市状态： L上市 D退市 P暂停上市
-    - name: list_date
-      description: 上市日期
-    - name: delist_date
-      description: 退市日期
-    - name: is_hs
-      description: 是否沪深港通标的，N否 H沪股通 S深股通
-    - name: act_name
-      description: 实控人名称
-    - name: act_ent_type
-      description: 实控人企业性质
-    - name: dt
-      description: 最后修改时间
-    unique_composite:
-    - name: unique_exchange_ts_code
+      - dbt_utils.unique_combination_of_columns:
+          combination_of_columns:
+            - exchange
+            - cal_date
       columns:
-      - exchange
-      - ts_code
-  - name: stg.tushare_daily
-    description: "沪深股票交易日线数据"
-    tests:
-    - dbt_utils.unique_combination_of_columns:
-        combination_of_columns:
-        - ts_code
-        - trade_date
-    columns:
-    - name: ts_code
-      description: TS代码
+      - name: exchange
+        description: "The exchange code"
+        tests:
+          - not_null
+      - name: cal_date
+        description: "The date"
+        tests:
+          - not_null
+      - name: is_open
+        description: "Whether the exchange is open"
+        tests:
+          - not_null
+      - name: pretrade_date
+        description: "The previous trading date"
+    - name: stg.tushare_stock_basic
+      columns:
+        - name: ts_code
+          description: TS代码
+          tests:
+            - not_null
+        - name: symbol
+          description: 股票代码
+        - name: name
+          description: 股票名称
+        - name: area
+          description: 所在地域
+        - name: industry
+          description: 所属行业
+        - name: fullname
+          description: 股票全称
+        - name: enname
+          description: 英文全称
+        - name: cnspell
+          description: 拼音缩写
+        - name: market
+          description: 市场类型 （主板/中小板/创业板）
+        - name: exchange
+          description: 交易所代码
+          tests:
+            - not_null
+        - name: curr_type
+          description: 交易货币
+        - name: list_status
+          description: 上市状态： L上市 D退市 P暂停上市
+        - name: list_date
+          description: 上市日期
+        - name: delist_date
+          description: 退市日期
+        - name: is_hs
+          description: 是否沪深港通标的，N否 H沪股通 S深股通
+        - name: act_name
+          description: 实控人名称
+        - name: act_ent_type
+          description: 实控人企业性质
+        - name: dt
+          description: 最后修改时间
+      unique_composite:
+        - name: unique_exchange_ts_code
+          columns:
+            - exchange
+            - ts_code
+    - name: stg.tushare_daily
+      description: "沪深股票交易日线数据"
       tests:
-      - not_null
-    - name: trade_date
-      description: 交易日期
+        - dbt_utils.unique_combination_of_columns:
+            combination_of_columns:
+              - ts_code
+              - trade_date
+      columns:
+        - name: ts_code
+          description: TS代码
+          tests:
+            - not_null
+        - name: trade_date
+          description: 交易日期
+          tests:
+            - not_null
+        - name: open
+          description: 开盘价
+          tests:
+            - not_null
+        - name: high
+          description: 最高价
+          tests:
+            - not_null
+        - name: low
+          description: 最低价
+          tests:
+            - not_null
+        - name: close
+          description: 收盘价
+          tests:
+            - not_null
+        - name: pre_close
+          description: 昨收价
+          tests:
+            - not_null
+        - name: change
+          description: 涨跌额
+          tests:
+            - not_null
+        - name: pct_chg
+          description: 涨跌幅
+          tests:
+            - not_null
+        - name: vol
+          description: 成交量
+          tests:
+            - not_null
+        - name: amount
+          description: 成交额
+    - name: stg.tushare_daily_basic
+      description: "沪深股票每日指标数据"
       tests:
-      - not_null
-    - name: open
-      description: 开盘价
-      tests:
-      - not_null
-    - name: high
-      description: 最高价
-      tests:
-      - not_null
-    - name: low
-      description: 最低价
-      tests:
-      - not_null
-    - name: close
-      description: 收盘价
-      tests:
-      - not_null
-    - name: pre_close
-      description: 昨收价
-      tests:
-      - not_null
-    - name: change
-      description: 涨跌额
-      tests:
-      - not_null
-    - name: pct_chg
-      description: 涨跌幅
-      tests:
-      - not_null
-    - name: vol
-      description: 成交量
-      tests:
-      - not_null
-    - name: amount
-      description: 成交额
-  - name: stg.tushare_daily_basic
-    description: "沪深股票每日指标数据"
-    tests:
-    - dbt_utils.unique_combination_of_columns:
-        combination_of_columns:
-        - ts_code
-        - trade_date
+        - dbt_utils.unique_combination_of_columns:
+            combination_of_columns:
+              - ts_code
+              - trade_date
 
-    columns:
-    - name: ts_code
-      description: "股票代码"
-      data_type: String
-    - name: trade_date
-      description: "交易日期"
-      data_type: String
-    - name: close
-      description: "当日收盘价"
-      data_type: Nullable(Float32)
-    - name: turnover_rate
-      description: "换手率（%）"
-      data_type: Nullable(Float32)
-    - name: turnover_rate_f
-      description: "换手率（自由流通股）"
-      data_type: Nullable(Float32)
-    - name: volume_ratio
-      description: "量比"
-      data_type: Nullable(Float32)
-    - name: pe
-      description: "市盈率（总市值/净利润， 亏损的PE为空）"
-      data_type: Nullable(Float32)
-    - name: pe_ttm
-      description: "市盈率（TTM，亏损的PE为空）"
-      data_type: Nullable(Float32)
-    - name: pb
-      description: "市净率（总市值/净资产）"
-      data_type: Nullable(Float32)
-    - name: ps
-      description: "市销率"
-      data_type: Nullable(Float32)
-    - name: ps_ttm
-      description: "市销率（TTM）"
-      data_type: Nullable(Float32)
-    - name: dv_ratio
-      description: "股息率 （%）"
-      data_type: Nullable(Float32)
-    - name: dv_ttm
-      description: "股息率（TTM）（%）"
-      data_type: Nullable(Float32)
-    - name: total_share
-      description: "总股本 （万股）"
-      data_type: Nullable(Float32)
-    - name: float_share
-      description: "流通股本 （万股）"
-      data_type: Nullable(Float32)
-    - name: free_share
-      description: "自由流通股本 （万）"
-      data_type: Nullable(Float32)
-    - name: total_mv
-      description: "总市值 （万元）"
-      data_type: Nullable(Float32)
-    - name: circ_mv
-      description: "流通市值（万元）"
-      data_type: Nullable(Float32)
-  - name: stg.tushare_adj_factor
-    description: "沪深股票复权因子"
-    tests:
-    - dbt_utils.unique_combination_of_columns:
-        combination_of_columns:
-        - ts_code
-        - trade_date
-    columns:
-    - name: ts_code
-      description: "股票代码"
-      data_type: String
-    - name: trade_date
-      description: "交易日期"
-      data_type: String
-    - name: adj_factor
-      description: "复权因子"
-      data_type: Nullable(Decimal(16, 6))
-    - name: dt
-      description: "更新时间"
-      data_type: DateTime
-  - name: stg.tushare_minutes
-    description: "沪深分钟级交易数据"
-    tests:
-    - dbt_utils.unique_combination_of_columns:
-        combination_of_columns:
-        - ts_code
-        - trade_time
-        config:
-          where: "left(trade_time,7)>=concat(cast(year(today())-1 As String), '-01')"
-    columns:
-    - name: ts_code
-      description: "The stock code."
-      data_type: String
+      columns:
+        - name: ts_code
+          description: "股票代码"
+          data_type: String
+        - name: trade_date
+          description: "交易日期"
+          data_type: String
+        - name: close
+          description: "当日收盘价"
+          data_type: Nullable(Float32)
+        - name: turnover_rate
+          description: "换手率（%）"
+          data_type: Nullable(Float32)
+        - name: turnover_rate_f
+          description: "换手率（自由流通股）"
+          data_type: Nullable(Float32)
+        - name: volume_ratio
+          description: "量比"
+          data_type: Nullable(Float32)
+        - name: pe
+          description: "市盈率（总市值/净利润， 亏损的PE为空）"
+          data_type: Nullable(Float32)
+        - name: pe_ttm
+          description: "市盈率（TTM，亏损的PE为空）"
+          data_type: Nullable(Float32)
+        - name: pb
+          description: "市净率（总市值/净资产）"
+          data_type: Nullable(Float32)
+        - name: ps
+          description: "市销率"
+          data_type: Nullable(Float32)
+        - name: ps_ttm
+          description: "市销率（TTM）"
+          data_type: Nullable(Float32)
+        - name: dv_ratio
+          description: "股息率 （%）"
+          data_type: Nullable(Float32)
+        - name: dv_ttm
+          description: "股息率（TTM）（%）"
+          data_type: Nullable(Float32)
+        - name: total_share
+          description: "总股本 （万股）"
+          data_type: Nullable(Float32)
+        - name: float_share
+          description: "流通股本 （万股）"
+          data_type: Nullable(Float32)
+        - name: free_share
+          description: "自由流通股本 （万）"
+          data_type: Nullable(Float32)
+        - name: total_mv
+          description: "总市值 （万元）"
+          data_type: Nullable(Float32)
+        - name: circ_mv
+          description: "流通市值（万元）"
+          data_type: Nullable(Float32)
+    - name: stg.tushare_adj_factor
+      description: "沪深股票复权因子"
       tests:
-      - not_null
-    - name: trade_time
-      description: "The trading time."
-      data_type: String
+        - dbt_utils.unique_combination_of_columns:
+            combination_of_columns:
+              - ts_code
+              - trade_date
+      columns:
+        - name: ts_code
+          description: "股票代码"
+          data_type: String
+        - name: trade_date
+          description: "交易日期"
+          data_type: String
+        - name: adj_factor
+          description: "复权因子"
+          data_type: Nullable(Decimal(16, 6))
+        - name: dt
+          description: "更新日期"
+          data_type: DateTime
+    - name: stg.tushare_minutes
+      description: "沪深分钟级交易数据"
       tests:
-      - not_null
-    - name: close
-      description: "The closing price."
-      data_type: Nullable(Float32)
-    - name: open
-      description: "The opening price."
-      data_type: Nullable(Float32)
-    - name: high
-      description: "The highest price."
-      data_type: Nullable(Float32)
-    - name: low
-      description: "The lowest price."
-      data_type: Nullable(Float32)
-    - name: vol
-      description: "The volume of trades."
-      data_type: Nullable(Float32)
-    - name: amount
-      description: "The amount of trades."
-      data_type: Nullable(Float32)
-    meta:
-      engine: ReplacingMergeTree
-      partition_by: "left(trade_time, 7)"
-      order_by: "(ts_code, trade_time)"
-      settings:
-        index_granularity: 8192
+        - dbt_utils.unique_combination_of_columns:
+            combination_of_columns:
+              - ts_code
+              - trade_time
+            config:
+              where: "left(trade_time,7)>=concat(cast(year(today())-1 As String), '-01')"
+      columns:
+        - name: ts_code
+          description: "The stock code."
+          data_type: String
+          tests:
+            - not_null
+        - name: trade_time
+          description: "The trading time."
+          data_type: String
+          tests:
+            - not_null
+        - name: close
+          description: "The closing price."
+          data_type: Nullable(Float32)
+        - name: open
+          description: "The opening price."
+          data_type: Nullable(Float32)
+        - name: high
+          description: "The highest price."
+          data_type: Nullable(Float32)
+        - name: low
+          description: "The lowest price."
+          data_type: Nullable(Float32)
+        - name: vol
+          description: "The volume of trades."
+          data_type: Nullable(Float32)
+        - name: amount
+          description: "The amount of trades."
+          data_type: Nullable(Float32)
+      meta:
+        engine: ReplacingMergeTree
+        partition_by: "left(trade_time, 7)"
+        order_by: "(ts_code, trade_time)"
+        settings:
+          index_granularity: 8192

models/ods/ods.tushare_adj_factor.sql

@@ -1,19 +0,0 @@
-{{ 
-    config(
-        materialized='incremental',
-        engine="MergeTree",
-        order_by="ts_code, date_id",
-        unique_key=['ts_code', 'date_id'],
-        incremental_strategy='delete+insert',
-    )
-}}
-
-Select
-    ts_code As ts_code,
-    toYYYYMMDD(toDate(trade_date)) As date_id,
-    adj_factor As adj_factor,
-    dt As dt
-From {{ source('finance', 'stg.tushare_adj_factor') }} As StgAdjFactor
-{% if is_incremental() %}
-Where `trade_date` >= (Select formatDateTimeInJodaSyntax(YYYYMMDDToDate(max(`date_id`)), 'yyyy-MM-dd') From {{ this }})
-{% endif %}

models/ods/ods.tushare_minutes.sql

@@ -1,29 +0,0 @@
-{{ 
-    config(
-        materialized='incremental',
-        engine="MergeTree",
-        order_by='ts_code, time_id',
-        unique_key=['ts_code', 'time_id'],
-        incremental_strategy='delete+insert',
-    )
-}}
-
-Select 
-    StgMinutes.ts_code As ts_code,
-    toYYYYMMDDhhmmss(toDateTime(`StgMinutes`.`trade_time`)) As time_id,
-    StgMinutes.close As close,
-    StgMinutes.open As open,
-    StgMinutes.high As high,
-    StgMinutes.low As low,
-    StgMinutes.vol As vol,
-    StgMinutes.amount As amount
-From {{ source('finance', 'stg.tushare_minutes') }} As StgMinutes 
-where 1 = 1
-{% if is_incremental() %}
-    And StgMinutes.trade_time >= (Select formatDateTimeInJodaSyntax(YYYYMMDDhhmmssToDateTime(max(time_id)), 'yyyy-MM-dd hh:mm:ss') From {{ this }})
-{% endif %}
-{% if 'dev' in target.name %}
-    And StgMinutes.trade_time >= formatDateTimeInJodaSyntax(dateAdd(Month,-1,today()), 'yyyy-01-01 00:00:00')
-{% elif target.name == 'test' %}
-    And StgMinutes.trade_time >= formatDateTimeInJodaSyntax(dateAdd(Year,-1,today()), 'yyyy-01-01 00:00:00')
-{% endif %}

models/ods/schema.yml

@@ -1,54 +0,0 @@
-
-version: 2
-
-models:
-- name: ods.tushare_minutes
-  description: "沪深股票交易分钟线数据"
-  tests:
-  - dbt_utils.unique_combination_of_columns:
-      combination_of_columns:
-      - ts_code
-      - time_id
-  columns:
-  - name: ts_code
-    description: TS代码
-    tests:
-    - not_null
-  - name: time_id
-    description: 交易日期
-    tests:
-    - not_null
-  - name: close
-    description: 收盘价
-  - name: open
-    description: 开盘价
-  - name: high
-    description: 最高价
-  - name: low
-    description: 最低价
-  - name: vol
-    description: 成交量
-  - name: amount
-    description: 成交额
-  - name: dt
-    description: 更新时间
-- name: ods.tushare_adj_factor
-  description: "沪深股票复权因子"
-  tests:
-  - dbt_utils.unique_combination_of_columns:
-      combination_of_columns:
-      - ts_code
-      - date_id
-  columns:
-  - name: ts_code
-    description: TS代码
-    tests:
-    - not_null
-  - name: date_id
-    description: 交易日期
-    tests:
-    - not_null
-  - name: adj_factor
-    description: 复权因子
-  - name: dt
-    description: 更新时间

requirements.txt

@@ -1 +1,2 @@
-dbt-clickhouse==1.8.0
+dbt==1.0.0.37.0
+dbt-clickhouse==1.7.3