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data catalog: set the min_rows_per_goup when writing a parquet datase… #1281

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data catalog: set the min_rows_per_goup when writing a parquet datase… #1281

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data catalog: set the min_rows_per_goup when writing a parquet datase…
davidblom603 Oct 18, 2023
fb78c91
Add unit test
davidblom603 Oct 19, 2023
0262109
formatting with black
davidblom603 Oct 20, 2023
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4 changes: 3 additions & 1 deletion nautilus_trader/persistence/catalog/parquet.py
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Original file line number Diff line number Diff line change
Expand Up @@ -208,12 +208,14 @@ def write_chunk(
self._fast_write(table=table, path=path, fs=self.fs)
else:
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My thinking is that it works without the partitioning flag here, perhaps an other check can be used here to enter the write_dataset code block.

# Write parquet file
min_max_rows_per_group = 5000
pds.write_dataset(
data=table,
base_dir=path,
format="parquet",
filesystem=self.fs,
max_rows_per_group=5000,
min_rows_per_group=min_max_rows_per_group,
max_rows_per_group=min_max_rows_per_group,
**self.dataset_kwargs,
**kwargs,
)
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46 changes: 46 additions & 0 deletions tests/unit_tests/persistence/test_catalog.py
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Expand Up @@ -313,3 +313,49 @@ def test_list_live_runs(

# Assert
assert result == ["abc"]

def test_partioning_min_rows_per_group(
self,
betfair_catalog: ParquetDataCatalog,
) -> None:
# Arrange
instrument = Equity(
instrument_id=InstrumentId(symbol=Symbol("AAPL"), venue=Venue("NASDAQ")),
raw_symbol=Symbol("AAPL"),
currency=USD,
price_precision=2,
price_increment=Price.from_str("0.01"),
multiplier=Quantity.from_int(1),
lot_size=Quantity.from_int(1),
isin="US0378331005",
ts_event=0,
ts_init=0,
margin_init=Decimal("0.01"),
margin_maint=Decimal("0.005"),
maker_fee=Decimal("0.005"),
taker_fee=Decimal("0.01"),
)
quote_ticks = []

# Num quotes needs to be less than 5000 (default value for min_rows_per_group)
expected_num_quotes = 100

for _ in range(expected_num_quotes):
quote_tick = QuoteTick(
instrument_id=instrument.id,
bid_price=Price.from_str("2.1"),
ask_price=Price.from_str("2.0"),
bid_size=Quantity.from_int(10),
ask_size=Quantity.from_int(10),
ts_event=0,
ts_init=0,
)
quote_ticks.append(quote_tick)

# Act
self.catalog.write_data(data=quote_ticks, partitioning=["ts_event"])

result = len(self.catalog.quote_ticks())

# Assert
assert result == expected_num_quotes