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gap_supplement/code/build_trades_supplement_from_gap_parquets.py
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#!/usr/bin/env python3
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"""
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将本地补充的 gap_*.parquet(链上 OrderFilled 解码结果)转为 trades 表,并与 Polymarket_data 仓库约定对齐。
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目标
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- 校验列与仓库 decode 落盘格式一致(与 EventDecoder.format_batch / run_recent_recovery 一致)。
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- 使用仓库 polymarket.processors.trades.extract_trades 生成 trades。
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- 可选传入 markets.parquet 做 token 映射;可选与已有 trades.parquet 合并去重,为「无缺失 trades」打基础。
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输出默认
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- data/supplement/gap_derived_trades.parquet
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- data/supplement/gap_to_trades_report.json
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"""
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from __future__ import annotations
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import argparse
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import json
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import os
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import sys
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from pathlib import Path
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import pandas as pd
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import pyarrow as pa
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import pyarrow.parquet as pq
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REPO = Path(__file__).resolve().parents[2]
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POLY = Path(os.environ.get("POLY_ROOT", str(REPO.parent / "poly_data")))
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PROJ = REPO
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CHUNKS = POLY / "data" / "recovered_chunks"
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OUT_DIR = POLY / "data" / "supplement"
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OUT_TRADES = OUT_DIR / "gap_derived_trades.parquet"
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OUT_REPORT = OUT_DIR / "gap_to_trades_report.json"
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EXPECTED_ORDERFILLED_COLS = [
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"transaction_hash",
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"block_number",
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"log_index",
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"timestamp",
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"contract",
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"event_name",
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"datetime",
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"order_hash",
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"maker",
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"taker",
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"maker_asset_id",
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"taker_asset_id",
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"maker_amount_filled",
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"taker_amount_filled",
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"maker_fee",
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"taker_fee",
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"protocol_fee",
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]
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TRADES_DEDUPE_KEYS = ["timestamp", "transaction_hash", "maker", "taker"]
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def _validate_columns(cols: list[str]) -> list[str]:
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missing = [c for c in EXPECTED_ORDERFILLED_COLS if c not in cols]
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extra = [c for c in cols if c not in EXPECTED_ORDERFILLED_COLS]
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return missing, extra
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def main() -> int:
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ap = argparse.ArgumentParser()
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ap.add_argument(
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"--gap-glob",
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type=str,
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default=str(CHUNKS / "gap_*.parquet"),
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help="glob,默认 recovered_chunks 下全部 gap_*.parquet(含 gap_lack_remedy_*)",
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)
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ap.add_argument(
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"--markets-parquet",
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type=Path,
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default=None,
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help="可选:markets.parquet 路径,用于 load_token_mapping(与仓库 cli 一致)",
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)
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ap.add_argument(
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"--merge-with",
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type=Path,
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default=None,
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help="可选:已有 trades.parquet,与补充 trades 纵向合并后按四键去重",
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)
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ap.add_argument("--out-trades", type=Path, default=OUT_TRADES)
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ap.add_argument(
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"--max-files",
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type=int,
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default=0,
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help="仅处理前 N 个 gap 文件(按路径排序,0=不限制)",
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)
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args = ap.parse_args()
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sys.path.insert(0, str(PROJ))
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from polymarket.processors.trades import extract_trades, load_token_mapping # noqa: E402
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import glob as glob_mod
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glob_base = args.gap_glob
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if not Path(glob_base).is_absolute():
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glob_base = str((POLY / glob_base.lstrip("./")).resolve())
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paths = sorted(Path(p) for p in glob_mod.glob(glob_base))
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paths = [p for p in paths if p.is_file()]
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if not paths:
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print(f"未匹配到 parquet: {glob_base}", flush=True)
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return 1
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paths_nonempty = [p for p in paths if pq.read_metadata(p).num_rows > 0]
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if args.max_files and args.max_files > 0:
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paths_nonempty = paths_nonempty[: args.max_files]
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if not paths_nonempty:
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print("所选 glob 下无非空 parquet", flush=True)
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return 1
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per_file = []
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all_parts: list[pd.DataFrame] = []
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for p in paths_nonempty:
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t = pq.read_table(p)
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cols = list(t.column_names)
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miss, extra = _validate_columns(cols)
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per_file.append({"path": str(p), "rows": t.num_rows, "missing_cols": miss, "extra_cols": extra})
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if miss:
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print(f"列缺失 {p.name}: {miss}", flush=True)
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return 2
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all_parts.append(t.to_pandas())
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gap_df = pd.concat(all_parts, ignore_index=True)
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events = gap_df.to_dict("records")
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token_map = load_token_mapping(args.markets_parquet) if args.markets_parquet else None
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trades_df = extract_trades(events, token_map)
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if trades_df.empty:
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print("extract_trades 结果为空", flush=True)
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return 3
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before = len(trades_df)
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trades_df = trades_df.drop_duplicates(subset=TRADES_DEDUPE_KEYS, keep="first")
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deduped = before - len(trades_df)
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merge_info: dict = {}
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out_final = trades_df
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if args.merge_with and args.merge_with.is_file():
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base = pd.read_parquet(args.merge_with, engine="pyarrow")
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out_final = pd.concat([base, trades_df], ignore_index=True)
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m0 = len(out_final)
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out_final = out_final.drop_duplicates(subset=TRADES_DEDUPE_KEYS, keep="first")
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merge_info = {
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"base_rows": len(base),
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"supplement_rows_before_merge": len(trades_df),
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"concat_rows": m0,
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"rows_after_dedupe": len(out_final),
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"merge_source": str(args.merge_with),
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}
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OUT_DIR.mkdir(parents=True, exist_ok=True)
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args.out_trades.parent.mkdir(parents=True, exist_ok=True)
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table = pa.Table.from_pandas(out_final, preserve_index=False)
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pq.write_table(table, args.out_trades, compression="zstd")
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report = {
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"repo_polymarket_data": str(PROJ),
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"expected_orderfilled_columns": EXPECTED_ORDERFILLED_COLS,
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"gap_files_in_glob": len(paths),
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"gap_files_processed_nonempty": len(paths_nonempty),
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"gap_event_rows": len(gap_df),
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"trades_rows_extract": before,
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"trades_dedupe_removed_same_four_keys": deduped,
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"trades_rows_after_internal_dedupe": len(trades_df),
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"output_trades_parquet": str(args.out_trades),
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"trades_columns": list(out_final.columns),
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"per_gap_file": per_file,
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"merge": merge_info or None,
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"next_steps": (
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"若需 market_id 等字段完整:提供 --markets-parquet;"
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"与全量 HF/本地 trades 合并:--merge-with <trades.parquet>;"
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"合并后仍缺:继续用 Goldsky/RPC 补 orderfilled 再跑本脚本。"
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),
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}
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OUT_REPORT.write_text(json.dumps(report, indent=2, ensure_ascii=False, default=str), encoding="utf-8")
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print(json.dumps({k: v for k, v in report.items() if k != "per_gap_file"}, indent=2, ensure_ascii=False))
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print(f"\n明细 per 文件: {OUT_REPORT}", flush=True)
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return 0
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if __name__ == "__main__":
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sys.exit(main())
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