begin ingest options from polygon

src/ingest-options-from-polygon.mjs

@@ -0,0 +1,109 @@
+//import { restClient as PolygonClient } from '@polygon.io/client-js';
+import { createClient as createClickhouseClient } from '@clickhouse/client'
+
+const apiKey = "H95NTsatM1iTWLUwDLxM2J5zhUVYdCEz";
+//const polygonClient = PolygonClient(apiKey, "https://api.polygon.io", {pagination: false, trace: true,}); // automatically call `next_url` if there is one
+
+const clickhouse = createClickhouseClient({username:'avraham', password:'buginoo'});
+
+const optionAggregatesTableName = "option_aggregates";
+async function deleteClickhouseTable(){
+  await clickhouse.command({
+    query: `DROP TABLE IF EXISTS ${optionAggregatesTableName}`,
+  })
+}
+async function createClickhouseTable(){
+  await clickhouse.command({
+    query: `
+      CREATE TABLE ${optionAggregatesTableName}
+      (
+        symbol LowCardinality(String), 
+        tsStart DateTime32,
+        
+        expirationDate DateTime32,
+        optionType Enum('call', 'put'),
+        strike Decimal64(9),
+
+        open Decimal64(9), 
+        close Decimal64(9), 
+        low Decimal64(9), 
+        high Decimal64(9), 
+        volume UInt64, 
+        volume_weighted_price Decimal64(9)
+      )
+      ENGINE MergeTree()
+      ORDER BY (symbol, tsStart)
+    `,
+  })
+}
+
+async function insertResultsIntoClickhouse(optionAggregatesResult){
+  await clickhouse.insert({
+    table: optionAggregatesTableName,
+    // structure should match the desired format, JSONEachRow in this example
+    values: optionAggregatesResult.results.map(r=>({
+      symbol: optionAggregatesResult.ticker, 
+      tsStart: (r.t || 0)/1000,
+      open: r.o, 
+      close: r.c, 
+      low: r.l, 
+      high: r.h, 
+      volume: r.v, 
+      volume_weighted_price: r.vw
+    })),
+    format: 'JSONEachRow',
+  });
+  console.log('inserted', optionAggregatesResult.ticker);
+}
+
+function sleep(ms){
+  return new Promise((resolve)=>{
+    setTimeout(resolve, ms);
+  });
+}
+/**
+ * Get the underlying price aggregates for every 10-minute period starting 2 years ago (the lookback period for the free tier) until now
+ */
+async function fetchOptionAggregates(symbol, fromDate, toDate, limit){
+  let optionAggregatesResult = await (await fetch(`https://api.polygon.io/v2/aggs/ticker/${symbol}/range/10/minute/${fromDate}/${toDate}?adjusted=false&sort=asc&limit=${limit}&apiKey=${apiKey}`)).json();
+  console.log(optionAggregatesResult.resultsCount);
+  if(optionAggregatesResult.status === 'OK' && typeof optionAggregatesResult.results !== "undefined" && optionAggregatesResult.results.length > 0){
+    await insertResultsIntoClickhouse(optionAggregatesResult);
+    while(optionAggregatesResult.hasOwnProperty("next_url")){
+      await sleep(13000);
+      optionAggregatesResult = await (await fetch(`${optionAggregatesResult.next_url}&apiKey=${apiKey}`)).json();
+      if(optionAggregatesResult.status === 'OK' && typeof optionAggregatesResult.results !== "undefined" && optionAggregatesResult.results.length > 0){
+        console.log(optionAggregatesResult.resultsCount);
+        await insertResultsIntoClickhouse(optionAggregatesResult);
+      }
+      else{
+        console.log(optionAggregatesResult);
+      }
+    }
+  }
+  else{
+    console.log(optionAggregatesResult);
+  }
+}
+
+await deleteClickhouseTable();
+await createClickhouseTable();
+for(let symbol of ["AAPL", "GOOGL", "MSFT", "TSLA", "AMD", "NFLX", "SPY"]){
+  //await fetchOptionAggregates(symbol, "2021-11-27", "2023-11-25", 50000);
+  await sleep(13000);
+}
+
+
+/**
+ * For each day (not aggregate), look-up the available option contracts (i.e.
+ * all unique type/strike/exp combinations). Limit is 1000, but it gives you a
+ * "nextUrl", so keep calling that until all results are in.
+ */
+
+/**
+ * For each aggregate and the contracts on that day, get option aggregates
+ */
+
+
+
+await clickhouse.close();