Add Phase 1A-C + ICE warehouse stocks: prices, methodology, pipeline automation
Phase 1A — KC=F Coffee Futures Prices: - New extract/coffee_prices/ package (yfinance): downloads KC=F daily OHLCV, stores as gzip CSV with SHA256-based idempotency - SQLMesh models: raw/coffee_prices → foundation/fct_coffee_prices → serving/coffee_prices (with 20d/50d SMA, 52-week high/low, daily return %) - Dashboard: 4 metric cards + dual-line chart (close, 20d MA, 50d MA) - API: GET /commodities/<ticker>/prices Phase 1B — Data Methodology Page: - New /methodology route with full-page template (base.html) - 6 anchored sections: USDA PSD, CFTC COT, KC=F price, ICE warehouse stocks, data quality model, update schedule table - "Methodology" link added to marketing footer Phase 1C — Automated Pipeline: - supervisor.sh updated: runs extract_cot, extract_prices, extract_ice in sequence before transform - Webhook failure alerting via ALERT_WEBHOOK_URL env var (ntfy/Slack/Telegram) ICE Warehouse Stocks: - New extract/ice_stocks/ package (niquests): normalizes ICE Report Center CSV to canonical schema, hash-based idempotency, soft-fail on 404 with guidance - SQLMesh models: raw/ice_warehouse_stocks → foundation/fct_ice_warehouse_stocks → serving/ice_warehouse_stocks (30d avg, WoW change, 52w drawdown) - Dashboard: 4 metric cards + line chart (certified bags + 30d avg) - API: GET /commodities/<code>/stocks Foundation: - dim_commodity: added ticker (KC=F) and ice_stock_report_code (COFFEE-C) columns - macros/__init__.py: added prices_glob() and ice_stocks_glob() - pipelines.py: added extract_prices and extract_ice entries Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Deeman
@@ -17,7 +17,7 @@ MODEL (
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kind FULL
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);
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SELECT usda_commodity_code, cftc_commodity_code, commodity_name, commodity_group
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SELECT usda_commodity_code, cftc_commodity_code, ticker, ice_stock_report_code, commodity_name, commodity_group
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FROM (VALUES
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('0711100', '083', 'Coffee, Green', 'Softs')
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) AS t(usda_commodity_code, cftc_commodity_code, commodity_name, commodity_group)
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('0711100', '083', 'KC=F', 'COFFEE-C', 'Coffee, Green', 'Softs')
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) AS t(usda_commodity_code, cftc_commodity_code, ticker, ice_stock_report_code, commodity_name, commodity_group)
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@@ -0,0 +1,57 @@
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-- Foundation fact: daily KC=F Coffee C futures prices.
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--
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-- Casts raw varchar columns to proper types and deduplicates via hash key.
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-- Covers all available history from the landing directory.
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--
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-- Grain: one row per trade_date.
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-- Dedup: hash of (trade_date, close) — if Yahoo Finance corrects a price,
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-- the new hash triggers a re-ingest on the next incremental run.
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MODEL (
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name foundation.fct_coffee_prices,
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kind INCREMENTAL_BY_TIME_RANGE (
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time_column trade_date
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),
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grain (trade_date),
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start '1971-08-16',
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cron '@daily'
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);
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WITH cast_and_clean AS (
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SELECT
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TRY_CAST(Date AS date) AS trade_date,
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TRY_CAST(Open AS double) AS open,
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TRY_CAST(High AS double) AS high,
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TRY_CAST(Low AS double) AS low,
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TRY_CAST(Close AS double) AS close,
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TRY_CAST(Adj_Close AS double) AS adj_close,
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TRY_CAST(Volume AS bigint) AS volume,
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-- Filename encodes the content hash — use as ingest identifier
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filename AS source_file,
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-- Dedup key: trade date + close price
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hash(Date, Close) AS hkey
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FROM raw.coffee_prices
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WHERE TRY_CAST(Date AS date) IS NOT NULL
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AND TRY_CAST(Close AS double) IS NOT NULL
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),
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deduplicated AS (
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SELECT
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any_value(trade_date) AS trade_date,
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any_value(open) AS open,
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any_value(high) AS high,
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any_value(low) AS low,
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any_value(close) AS close,
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any_value(adj_close) AS adj_close,
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any_value(volume) AS volume,
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any_value(source_file) AS source_file,
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hkey
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FROM cast_and_clean
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GROUP BY hkey
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)
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SELECT *
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FROM deduplicated
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WHERE trade_date BETWEEN @start_ds AND @end_ds
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@@ -0,0 +1,47 @@
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-- Foundation fact: ICE certified Coffee C (Arabica) warehouse stocks.
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--
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-- Casts raw varchar columns to proper types and deduplicates via hash key.
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-- "Certified" means Coffee C graded and stamped as delivery-eligible
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-- against ICE futures contracts — a key physical supply indicator.
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--
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-- Grain: one row per report_date.
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MODEL (
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name foundation.fct_ice_warehouse_stocks,
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kind INCREMENTAL_BY_TIME_RANGE (
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time_column report_date
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),
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grain (report_date),
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start '2000-01-01',
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cron '@daily'
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);
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WITH cast_and_clean AS (
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SELECT
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TRY_CAST(report_date AS date) AS report_date,
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TRY_CAST(total_certified_bags AS bigint) AS total_certified_bags,
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TRY_CAST(pending_grading_bags AS bigint) AS pending_grading_bags,
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filename AS source_file,
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-- Dedup key: report date + total bags
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hash(report_date, total_certified_bags) AS hkey
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FROM raw.ice_warehouse_stocks
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WHERE TRY_CAST(report_date AS date) IS NOT NULL
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AND TRY_CAST(total_certified_bags AS bigint) IS NOT NULL
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),
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deduplicated AS (
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SELECT
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any_value(report_date) AS report_date,
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any_value(total_certified_bags) AS total_certified_bags,
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any_value(pending_grading_bags) AS pending_grading_bags,
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any_value(source_file) AS source_file,
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hkey
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FROM cast_and_clean
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GROUP BY hkey
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)
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SELECT *
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FROM deduplicated
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WHERE report_date BETWEEN @start_ds AND @end_ds
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46
transform/sqlmesh_materia/models/raw/coffee_prices.sql
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46
transform/sqlmesh_materia/models/raw/coffee_prices.sql
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@@ -0,0 +1,46 @@
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-- Raw KC=F Coffee C futures prices — technical ingestion layer.
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--
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-- Reads daily OHLCV gzip CSVs from the landing directory. All values are
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-- varchar; casting happens in foundation.fct_coffee_prices.
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--
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-- Source: Yahoo Finance via yfinance (KC=F ticker)
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-- Coverage: 1971-present (historical futures data)
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-- Frequency: daily (trading days only)
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MODEL (
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name raw.coffee_prices,
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kind FULL,
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grain (Date),
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cron '@daily',
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columns (
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Date varchar,
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Open varchar,
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High varchar,
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Low varchar,
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Close varchar,
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Adj_Close varchar,
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Volume varchar,
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filename varchar
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)
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);
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SELECT
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"Date" AS Date,
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"Open" AS Open,
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"High" AS High,
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"Low" AS Low,
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"Close" AS Close,
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"Adj Close" AS Adj_Close,
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"Volume" AS Volume,
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filename
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FROM read_csv(
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@prices_glob(),
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delim = ',',
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encoding = 'utf-8',
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compression = 'gzip',
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header = true,
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union_by_name = true,
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filename = true,
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all_varchar = true,
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ignore_errors = true
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)
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@@ -0,0 +1,37 @@
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-- Raw ICE certified warehouse stocks — technical ingestion layer.
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--
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-- Reads daily stock report gzip CSVs from the landing directory.
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-- All values are varchar; casting happens in foundation.fct_ice_warehouse_stocks.
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--
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-- Source: ICE Report Center (Coffee C certified warehouse stocks)
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-- Coverage: varies by download history
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-- Frequency: daily (ICE updates after market close)
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MODEL (
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name raw.ice_warehouse_stocks,
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kind FULL,
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cron '@daily',
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columns (
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report_date varchar,
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total_certified_bags varchar,
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pending_grading_bags varchar,
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filename varchar
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)
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);
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SELECT
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report_date,
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total_certified_bags,
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pending_grading_bags,
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filename
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FROM read_csv(
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@ice_stocks_glob(),
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delim = ',',
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encoding = 'utf-8',
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compression = 'gzip',
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header = true,
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union_by_name = true,
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filename = true,
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all_varchar = true,
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ignore_errors = true
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)
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77
transform/sqlmesh_materia/models/serving/coffee_prices.sql
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77
transform/sqlmesh_materia/models/serving/coffee_prices.sql
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@@ -0,0 +1,77 @@
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-- Serving mart: KC=F Coffee C futures prices, analytics-ready.
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--
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-- Adds moving averages (20-day, 50-day SMA) and 52-week high/low range.
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-- Filtered to trading days only (NULL close rows excluded upstream).
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--
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-- Grain: one row per trade_date.
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MODEL (
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name serving.coffee_prices,
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kind INCREMENTAL_BY_TIME_RANGE (
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time_column trade_date
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),
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grain (trade_date),
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start '1971-08-16',
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cron '@daily'
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);
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WITH base AS (
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SELECT
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f.trade_date,
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f.open,
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f.high,
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f.low,
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f.close,
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f.adj_close,
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f.volume,
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-- Daily return: (close - prev_close) / prev_close * 100
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round(
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(f.close - LAG(f.close, 1) OVER (ORDER BY f.trade_date))
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/ NULLIF(LAG(f.close, 1) OVER (ORDER BY f.trade_date), 0) * 100,
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4
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) AS daily_return_pct,
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-- 20-day simple moving average (1 trading month)
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round(
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AVG(f.close) OVER (ORDER BY f.trade_date ROWS BETWEEN 19 PRECEDING AND CURRENT ROW),
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4
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) AS sma_20d,
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-- 50-day simple moving average (2.5 trading months)
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round(
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AVG(f.close) OVER (ORDER BY f.trade_date ROWS BETWEEN 49 PRECEDING AND CURRENT ROW),
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4
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) AS sma_50d,
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-- 52-week high (approximately 252 trading days)
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MAX(f.high) OVER (ORDER BY f.trade_date ROWS BETWEEN 251 PRECEDING AND CURRENT ROW)
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AS high_52w,
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-- 52-week low
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MIN(f.low) OVER (ORDER BY f.trade_date ROWS BETWEEN 251 PRECEDING AND CURRENT ROW)
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AS low_52w
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FROM foundation.fct_coffee_prices f
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WHERE f.trade_date BETWEEN @start_ds AND @end_ds
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)
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SELECT
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b.trade_date,
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d.commodity_name,
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d.ticker,
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b.open,
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b.high,
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b.low,
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b.close,
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b.adj_close,
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b.volume,
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b.daily_return_pct,
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b.sma_20d,
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b.sma_50d,
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b.high_52w,
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b.low_52w
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FROM base b
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CROSS JOIN foundation.dim_commodity d
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WHERE d.ticker = 'KC=F'
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ORDER BY b.trade_date
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@@ -0,0 +1,78 @@
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-- Serving mart: ICE certified Coffee C warehouse stocks, analytics-ready.
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--
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-- Adds 30-day rolling average, week-over-week change, and drawdown from
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-- 52-week high. Physical supply indicator used alongside S/D and positioning.
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--
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-- "Certified stocks" = coffee graded and stamped as eligible for delivery
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-- against ICE Coffee C futures — traders watch this as a squeeze indicator.
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--
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-- Grain: one row per report_date.
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MODEL (
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name serving.ice_warehouse_stocks,
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kind INCREMENTAL_BY_TIME_RANGE (
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time_column report_date
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),
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grain (report_date),
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start '2000-01-01',
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cron '@daily'
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);
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WITH base AS (
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SELECT
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f.report_date,
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f.total_certified_bags,
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f.pending_grading_bags,
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-- Week-over-week change (compare to 7 calendar days ago via LAG over ordered rows)
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-- Using LAG(1) since data is daily: compares to previous trading/reporting day
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f.total_certified_bags
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- LAG(f.total_certified_bags, 1) OVER (ORDER BY f.report_date) AS wow_change_bags,
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-- 30-day rolling average (smooths daily noise)
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round(
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AVG(f.total_certified_bags::double) OVER (
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ORDER BY f.report_date ROWS BETWEEN 29 PRECEDING AND CURRENT ROW
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),
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0
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) AS avg_30d_bags,
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-- 52-week high (365 calendar days ≈ 252 trading days; use 365-row window as proxy)
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MAX(f.total_certified_bags) OVER (
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ORDER BY f.report_date ROWS BETWEEN 364 PRECEDING AND CURRENT ROW
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) AS high_52w_bags,
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-- Drawdown from 52-week high (pct below peak — squeeze indicator)
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round(
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(f.total_certified_bags::double
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- MAX(f.total_certified_bags) OVER (
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ORDER BY f.report_date ROWS BETWEEN 364 PRECEDING AND CURRENT ROW
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)::double
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)
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/ NULLIF(
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MAX(f.total_certified_bags) OVER (
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ORDER BY f.report_date ROWS BETWEEN 364 PRECEDING AND CURRENT ROW
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)::double,
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0
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) * 100,
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2
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) AS drawdown_from_52w_high_pct
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FROM foundation.fct_ice_warehouse_stocks f
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WHERE f.report_date BETWEEN @start_ds AND @end_ds
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)
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SELECT
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b.report_date,
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d.commodity_name,
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d.ice_stock_report_code,
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b.total_certified_bags,
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b.pending_grading_bags,
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b.wow_change_bags,
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b.avg_30d_bags,
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b.high_52w_bags,
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b.drawdown_from_52w_high_pct
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FROM base b
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CROSS JOIN foundation.dim_commodity d
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WHERE d.ice_stock_report_code = 'COFFEE-C'
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ORDER BY b.report_date
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