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calendar-optimizer-deno
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use pnpm, clickhouse; ingest scripts

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master
Avraham Sakal 1 year ago
parent 1dc049c7ee
commit 795a903eba
5 changed files with 778 additions and 615 deletions
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1
package.json
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@ -5,6 +5,7 @@
"build": "node build.mjs" "build": "node build.mjs"
}, },
"dependencies": { "dependencies": {
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"@fastify/cors": "^8.3.0", "@fastify/cors": "^8.3.0",
"csv-parse": "^5.4.0", "csv-parse": "^5.4.0",
"fastify": "^4.18.0", "fastify": "^4.18.0",

696
pnpm-lock.yaml
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@ -0,0 +1,696 @@
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97
src/ingest-options-from-polygon.mjs
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@ -1,18 +1,33 @@
//import { restClient as PolygonClient } from '@polygon.io/client-js'; //import { restClient as PolygonClient } from '@polygon.io/client-js';
import { createClient as createClickhouseClient } from '@clickhouse/client' import { createClient as createClickhouseClient } from '@clickhouse/client'
import { sleep, getPolygonApiKey } from './util.mjs';
const apiKey = "H95NTsatM1iTWLUwDLxM2J5zhUVYdCEz";
//const polygonClient = PolygonClient(apiKey, "https://api.polygon.io", {pagination: false, trace: true,}); // automatically call `next_url` if there is one //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 clickhouse = createClickhouseClient({username:'avraham', password:'buginoo'});
const optionAggregatesTableName = "option_aggregates"; const optionContractsTableName = "option_aggregates";
async function deleteClickhouseTable(){ async function deleteClickhouseTable(){
await clickhouse.command({ await clickhouse.command({
query: `DROP TABLE IF EXISTS ${optionAggregatesTableName}`, query: `DROP TABLE IF EXISTS ${optionContractsTableName}`,
}) })
} }
async function createClickhouseTable(){ async function createClickhouseTable(){
await clickhouse.command({
query: `
CREATE TABLE ${optionContractsTableName}
(
symbol LowCardinality(String),
asOfDate Date,
expirationDate Date,
optionType Enum('call', 'put'),
strike Decimal64(9)
)
ENGINE MergeTree()
ORDER BY (symbol, asOfDate, expirationDate, optionType, strike)
`,
});
/*
await clickhouse.command({ await clickhouse.command({
query: ` query: `
CREATE TABLE ${optionAggregatesTableName} CREATE TABLE ${optionAggregatesTableName}
@ -32,65 +47,71 @@ async function createClickhouseTable(){
volume_weighted_price Decimal64(9) volume_weighted_price Decimal64(9)
) )
ENGINE MergeTree() ENGINE MergeTree()
ORDER BY (symbol, tsStart) ORDER BY (tsStart, symbol, expirationDate, optionType, strike)
`, `,
}) });
*/
} }
async function insertResultsIntoClickhouse(optionAggregatesResult){ async function insertResultsIntoClickhouse(symbol, asOfDate, optionContractsResult){
await clickhouse.insert({ await clickhouse.insert({
table: optionAggregatesTableName, table: optionContractsTableName,
// structure should match the desired format, JSONEachRow in this example // structure should match the desired format, JSONEachRow in this example
values: optionAggregatesResult.results.map(r=>({ values: optionContractsResult.results.map(r=>({
symbol: optionAggregatesResult.ticker, symbol,
tsStart: (r.t || 0)/1000, asOfDate,
open: r.o, expirationDate: r.expiration_date,
close: r.c, optionType: r.contract_type,
low: r.l, strike: r.strike_price
high: r.h,
volume: r.v,
volume_weighted_price: r.vw
})), })),
format: 'JSONEachRow', format: 'JSONEachRow',
}); });
console.log('inserted', optionAggregatesResult.ticker); console.log('inserted', symbol);
} }
function sleep(ms){
return new Promise((resolve)=>{
setTimeout(resolve, ms);
});
}
/** /**
* Get the underlying price aggregates for every 10-minute period starting 2 years ago (the lookback period for the free tier) until now * Get all available option expirations and strikes, from the point-of-view of a given date
*/ */
async function fetchOptionAggregates(symbol, fromDate, toDate, limit){ async function fetchAvailableOptionExpirationsAndStrikesAsOfDate(symbol, asOfDate){
let optionAggregatesResult = await (await fetch(`https://api.polygon.io/v2/aggs/ticker/${symbol}/range/10/minute/${fromDate}/${toDate}?adjusted=false&sort=asc&limit=${limit}&apiKey=${apiKey}`)).json(); const limit = 1000;
console.log(optionAggregatesResult.resultsCount); let apiKey = await getPolygonApiKey();
if(optionAggregatesResult.status === 'OK' && typeof optionAggregatesResult.results !== "undefined" && optionAggregatesResult.results.length > 0){ let optionContractsResult = await (await fetch(`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${symbol}&contract_type=call&as_of=${asOfDate}&expired=false&order=asc&limit=${limit}&sort=expiration_date&apiKey=${apiKey}`)).json();
await insertResultsIntoClickhouse(optionAggregatesResult); console.log(optionContractsResult.results.length);
while(optionAggregatesResult.hasOwnProperty("next_url")){ if(optionContractsResult.status === 'OK' && typeof optionContractsResult.results !== "undefined" && optionContractsResult.results.length > 0){
await sleep(13000); await insertResultsIntoClickhouse(symbol, asOfDate, optionContractsResult);
optionAggregatesResult = await (await fetch(`${optionAggregatesResult.next_url}&apiKey=${apiKey}`)).json(); while(optionContractsResult.hasOwnProperty("next_url")){
if(optionAggregatesResult.status === 'OK' && typeof optionAggregatesResult.results !== "undefined" && optionAggregatesResult.results.length > 0){ apiKey = await getPolygonApiKey();
console.log(optionAggregatesResult.resultsCount); optionContractsResult = await (await fetch(`${optionContractsResult.next_url}&apiKey=${apiKey}`)).json();
await insertResultsIntoClickhouse(optionAggregatesResult); if(optionContractsResult.status === 'OK' && typeof optionContractsResult.results !== "undefined" && optionContractsResult.results.length > 0){
console.log(optionContractsResult.results.length);
await insertResultsIntoClickhouse(symbol, asOfDate, optionContractsResult);
} }
else{ else{
console.log(optionAggregatesResult); console.log(optionContractsResult);
} }
} }
} }
else{ else{
console.log(optionAggregatesResult); console.log(optionContractsResult);
} }
} }
const stockAggregatesTableName = "stock_aggregates";
async function fetchMarketDates(){
return (await (await clickhouse.query({
query: `SELECT DISTINCT(Date(tsStart)) FROM ${stockAggregatesTableName}`,
format: 'JSONCompactEachRow'
})).json()).map((r)=>r[0]);
}
await deleteClickhouseTable(); await deleteClickhouseTable();
await createClickhouseTable(); await createClickhouseTable();
const marketDates = await fetchMarketDates();
for(let asOfDate of marketDates){
for(let symbol of ["AAPL", "GOOGL", "MSFT", "TSLA", "AMD", "NFLX", "SPY"]){ for(let symbol of ["AAPL", "GOOGL", "MSFT", "TSLA", "AMD", "NFLX", "SPY"]){
//await fetchOptionAggregates(symbol, "2021-11-27", "2023-11-25", 50000); await fetchAvailableOptionExpirationsAndStrikesAsOfDate(symbol, asOfDate);
await sleep(13000); }
} }

21
src/util.mjs
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@ -0,0 +1,21 @@
export function sleep(ms){
return new Promise((resolve)=>{
setTimeout(resolve, ms);
});
}
/**
* Returns the api key, but applies a rate limit.
*/
export const getPolygonApiKey = ((rateLimit)=>{
const apiKey = "H95NTsatM1iTWLUwDLxM2J5zhUVYdCEz";
let lastInvocation = 0;
return async ()=>{
const now = Date.now();
if(now-lastInvocation < rateLimit){
await sleep(rateLimit - (now-lastInvocation));
}
lastInvocation = Date.now();
return apiKey;
}
})(13000);

576
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version "7.6.2"
resolved "https://registry.yarnpkg.com/find-my-way/-/find-my-way-7.6.2.tgz#4dd40200d3536aeef5c7342b10028e04cf79146c"
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dependencies:
fast-deep-equal "^3.1.3"
fast-querystring "^1.0.0"
safe-regex2 "^2.0.0"
forwarded@0.2.0:
version "0.2.0"
resolved "https://registry.yarnpkg.com/forwarded/-/forwarded-0.2.0.tgz#2269936428aad4c15c7ebe9779a84bf0b2a81811"
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ieee754@^1.2.1:
version "1.2.1"
resolved "https://registry.yarnpkg.com/ieee754/-/ieee754-1.2.1.tgz#8eb7a10a63fff25d15a57b001586d177d1b0d352"
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ipaddr.js@1.9.1:
version "1.9.1"
resolved "https://registry.yarnpkg.com/ipaddr.js/-/ipaddr.js-1.9.1.tgz#bff38543eeb8984825079ff3a2a8e6cbd46781b3"
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json-schema-traverse@^1.0.0:
version "1.0.0"
resolved "https://registry.yarnpkg.com/json-schema-traverse/-/json-schema-traverse-1.0.0.tgz#ae7bcb3656ab77a73ba5c49bf654f38e6b6860e2"
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light-my-request@^5.9.1:
version "5.10.0"
resolved "https://registry.yarnpkg.com/light-my-request/-/light-my-request-5.10.0.tgz#0a2bbc1d1bb573ed3b78143960920ecdc05bf157"
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dependencies:
cookie "^0.5.0"
process-warning "^2.0.0"
set-cookie-parser "^2.4.1"
lru-cache@^6.0.0:
version "6.0.0"
resolved "https://registry.yarnpkg.com/lru-cache/-/lru-cache-6.0.0.tgz#6d6fe6570ebd96aaf90fcad1dafa3b2566db3a94"
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dependencies:
yallist "^4.0.0"
mnemonist@0.39.5:
version "0.39.5"
resolved "https://registry.yarnpkg.com/mnemonist/-/mnemonist-0.39.5.tgz#5850d9b30d1b2bc57cc8787e5caa40f6c3420477"
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dependencies:
obliterator "^2.0.1"
ms@2.1.2:
version "2.1.2"
resolved "https://registry.yarnpkg.com/ms/-/ms-2.1.2.tgz#d09d1f357b443f493382a8eb3ccd183872ae6009"
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obliterator@^2.0.1:
version "2.0.4"
resolved "https://registry.yarnpkg.com/obliterator/-/obliterator-2.0.4.tgz#fa650e019b2d075d745e44f1effeb13a2adbe816"
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on-exit-leak-free@^2.1.0:
version "2.1.0"
resolved "https://registry.yarnpkg.com/on-exit-leak-free/-/on-exit-leak-free-2.1.0.tgz#5c703c968f7e7f851885f6459bf8a8a57edc9cc4"
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pino-abstract-transport@v1.0.0:
version "1.0.0"
resolved "https://registry.yarnpkg.com/pino-abstract-transport/-/pino-abstract-transport-1.0.0.tgz#cc0d6955fffcadb91b7b49ef220a6cc111d48bb3"
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dependencies:
readable-stream "^4.0.0"
split2 "^4.0.0"
pino-std-serializers@^6.0.0:
version "6.2.1"
resolved "https://registry.yarnpkg.com/pino-std-serializers/-/pino-std-serializers-6.2.1.tgz#369f4ae2a19eb6d769ddf2c88a2164b76879a284"
integrity sha512-wHuWB+CvSVb2XqXM0W/WOYUkVSPbiJb9S5fNB7TBhd8s892Xq910bRxwHtC4l71hgztObTjXL6ZheZXFjhDrDQ==
pino@^8.12.0:
version "8.14.1"
resolved "https://registry.yarnpkg.com/pino/-/pino-8.14.1.tgz#bb38dcda8b500dd90c1193b6c9171eb777a47ac8"
integrity sha512-8LYNv7BKWXSfS+k6oEc6occy5La+q2sPwU3q2ljTX5AZk7v+5kND2o5W794FyRaqha6DJajmkNRsWtPpFyMUdw==
dependencies:
atomic-sleep "^1.0.0"
fast-redact "^3.1.1"
on-exit-leak-free "^2.1.0"
pino-abstract-transport v1.0.0
pino-std-serializers "^6.0.0"
process-warning "^2.0.0"
quick-format-unescaped "^4.0.3"
real-require "^0.2.0"
safe-stable-stringify "^2.3.1"
sonic-boom "^3.1.0"
thread-stream "^2.0.0"
postgres@^3.3.5:
version "3.3.5"
resolved "https://registry.yarnpkg.com/postgres/-/postgres-3.3.5.tgz#8431605aae2112759d50e362fc08759165455677"
integrity sha512-+JD93VELV9gHkqpV5gdL5/70HdGtEw4/XE1S4BC8f1mcPmdib3K5XsKVbnR1XcAyC41zOnifJ+9YRKxdIsXiUw==
process-warning@^2.0.0, process-warning@^2.2.0:
version "2.2.0"
resolved "https://registry.yarnpkg.com/process-warning/-/process-warning-2.2.0.tgz#008ec76b579820a8e5c35d81960525ca64feb626"
integrity sha512-/1WZ8+VQjR6avWOgHeEPd7SDQmFQ1B5mC1eRXsCm5TarlNmx/wCsa5GEaxGm05BORRtyG/Ex/3xq3TuRvq57qg==
process@^0.11.10:
version "0.11.10"
resolved "https://registry.yarnpkg.com/process/-/process-0.11.10.tgz#7332300e840161bda3e69a1d1d91a7d4bc16f182"
integrity sha512-cdGef/drWFoydD1JsMzuFf8100nZl+GT+yacc2bEced5f9Rjk4z+WtFUTBu9PhOi9j/jfmBPu0mMEY4wIdAF8A==
proxy-addr@^2.0.7:
version "2.0.7"
resolved "https://registry.yarnpkg.com/proxy-addr/-/proxy-addr-2.0.7.tgz#f19fe69ceab311eeb94b42e70e8c2070f9ba1025"
integrity sha512-llQsMLSUDUPT44jdrU/O37qlnifitDP+ZwrmmZcoSKyLKvtZxpyV0n2/bD/N4tBAAZ/gJEdZU7KMraoK1+XYAg==
dependencies:
forwarded "0.2.0"
ipaddr.js "1.9.1"
punycode@^2.1.0:
version "2.3.0"
resolved "https://registry.yarnpkg.com/punycode/-/punycode-2.3.0.tgz#f67fa67c94da8f4d0cfff981aee4118064199b8f"
integrity sha512-rRV+zQD8tVFys26lAGR9WUuS4iUAngJScM+ZRSKtvl5tKeZ2t5bvdNFdNHBW9FWR4guGHlgmsZ1G7BSm2wTbuA==
quick-format-unescaped@^4.0.3:
version "4.0.4"
resolved "https://registry.yarnpkg.com/quick-format-unescaped/-/quick-format-unescaped-4.0.4.tgz#93ef6dd8d3453cbc7970dd614fad4c5954d6b5a7"
integrity sha512-tYC1Q1hgyRuHgloV/YXs2w15unPVh8qfu/qCTfhTYamaw7fyhumKa2yGpdSo87vY32rIclj+4fWYQXUMs9EHvg==
readable-stream@^4.0.0:
version "4.4.0"
resolved "https://registry.yarnpkg.com/readable-stream/-/readable-stream-4.4.0.tgz#55ce132d60a988c460d75c631e9ccf6a7229b468"
integrity sha512-kDMOq0qLtxV9f/SQv522h8cxZBqNZXuXNyjyezmfAAuribMyVXziljpQ/uQhfE1XLg2/TLTW2DsnoE4VAi/krg==
dependencies:
abort-controller "^3.0.0"
buffer "^6.0.3"
events "^3.3.0"
process "^0.11.10"
real-require@^0.2.0:
version "0.2.0"
resolved "https://registry.yarnpkg.com/real-require/-/real-require-0.2.0.tgz#209632dea1810be2ae063a6ac084fee7e33fba78"
integrity sha512-57frrGM/OCTLqLOAh0mhVA9VBMHd+9U7Zb2THMGdBUoZVOtGbJzjxsYGDJ3A9AYYCP4hn6y1TVbaOfzWtm5GFg==
require-from-string@^2.0.2:
version "2.0.2"
resolved "https://registry.yarnpkg.com/require-from-string/-/require-from-string-2.0.2.tgz#89a7fdd938261267318eafe14f9c32e598c36909"
integrity sha512-Xf0nWe6RseziFMu+Ap9biiUbmplq6S9/p+7w7YXP/JBHhrUDDUhwa+vANyubuqfZWTveU//DYVGsDG7RKL/vEw==
ret@~0.2.0:
version "0.2.2"
resolved "https://registry.yarnpkg.com/ret/-/ret-0.2.2.tgz#b6861782a1f4762dce43402a71eb7a283f44573c"
integrity sha512-M0b3YWQs7R3Z917WRQy1HHA7Ba7D8hvZg6UE5mLykJxQVE2ju0IXbGlaHPPlkY+WN7wFP+wUMXmBFA0aV6vYGQ==
reusify@^1.0.4:
version "1.0.4"
resolved "https://registry.yarnpkg.com/reusify/-/reusify-1.0.4.tgz#90da382b1e126efc02146e90845a88db12925d76"
integrity sha512-U9nH88a3fc/ekCF1l0/UP1IosiuIjyTh7hBvXVMHYgVcfGvt897Xguj2UOLDeI5BG2m7/uwyaLVT6fbtCwTyzw==
rfdc@^1.2.0, rfdc@^1.3.0:
version "1.3.0"
resolved "https://registry.yarnpkg.com/rfdc/-/rfdc-1.3.0.tgz#d0b7c441ab2720d05dc4cf26e01c89631d9da08b"
integrity sha512-V2hovdzFbOi77/WajaSMXk2OLm+xNIeQdMMuB7icj7bk6zi2F8GGAxigcnDFpJHbNyNcgyJDiP+8nOrY5cZGrA==
safe-regex2@^2.0.0:
version "2.0.0"
resolved "https://registry.yarnpkg.com/safe-regex2/-/safe-regex2-2.0.0.tgz#b287524c397c7a2994470367e0185e1916b1f5b9"
integrity sha512-PaUSFsUaNNuKwkBijoAPHAK6/eM6VirvyPWlZ7BAQy4D+hCvh4B6lIG+nPdhbFfIbP+gTGBcrdsOaUs0F+ZBOQ==
dependencies:
ret "~0.2.0"
safe-stable-stringify@^2.3.1:
version "2.4.3"
resolved "https://registry.yarnpkg.com/safe-stable-stringify/-/safe-stable-stringify-2.4.3.tgz#138c84b6f6edb3db5f8ef3ef7115b8f55ccbf886"
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secure-json-parse@^2.5.0:
version "2.7.0"
resolved "https://registry.yarnpkg.com/secure-json-parse/-/secure-json-parse-2.7.0.tgz#5a5f9cd6ae47df23dba3151edd06855d47e09862"
integrity sha512-6aU+Rwsezw7VR8/nyvKTx8QpWH9FrcYiXXlqC4z5d5XQBDRqtbfsRjnwGyqbi3gddNtWHuEk9OANUotL26qKUw==
semver@^7.5.0:
version "7.5.1"
resolved "https://registry.yarnpkg.com/semver/-/semver-7.5.1.tgz#c90c4d631cf74720e46b21c1d37ea07edfab91ec"
integrity sha512-Wvss5ivl8TMRZXXESstBA4uR5iXgEN/VC5/sOcuXdVLzcdkz4HWetIoRfG5gb5X+ij/G9rw9YoGn3QoQ8OCSpw==
dependencies:
lru-cache "^6.0.0"
set-cookie-parser@^2.4.1:
version "2.6.0"
resolved "https://registry.yarnpkg.com/set-cookie-parser/-/set-cookie-parser-2.6.0.tgz#131921e50f62ff1a66a461d7d62d7b21d5d15a51"
integrity sha512-RVnVQxTXuerk653XfuliOxBP81Sf0+qfQE73LIYKcyMYHG94AuH0kgrQpRDuTZnSmjpysHmzxJXKNfa6PjFhyQ==
sonic-boom@^3.1.0:
version "3.3.0"
resolved "https://registry.yarnpkg.com/sonic-boom/-/sonic-boom-3.3.0.tgz#cffab6dafee3b2bcb88d08d589394198bee1838c"
integrity sha512-LYxp34KlZ1a2Jb8ZQgFCK3niIHzibdwtwNUWKg0qQRzsDoJ3Gfgkf8KdBTFU3SkejDEIlWwnSnpVdOZIhFMl/g==
dependencies:
atomic-sleep "^1.0.0"
split2@^4.0.0:
version "4.2.0"
resolved "https://registry.yarnpkg.com/split2/-/split2-4.2.0.tgz#c9c5920904d148bab0b9f67145f245a86aadbfa4"
integrity sha512-UcjcJOWknrNkF6PLX83qcHM6KHgVKNkV62Y8a5uYDVv9ydGQVwAHMKqHdJje1VTWpljG0WYpCDhrCdAOYH4TWg==
thread-stream@^2.0.0:
version "2.3.0"
resolved "https://registry.yarnpkg.com/thread-stream/-/thread-stream-2.3.0.tgz#4fc07fb39eff32ae7bad803cb7dd9598349fed33"
integrity sha512-kaDqm1DET9pp3NXwR8382WHbnpXnRkN9xGN9dQt3B2+dmXiW8X1SOwmFOxAErEQ47ObhZ96J6yhZNXuyCOL7KA==
dependencies:
real-require "^0.2.0"
tiny-lru@^11.0.1:
version "11.0.1"
resolved "https://registry.yarnpkg.com/tiny-lru/-/tiny-lru-11.0.1.tgz#629d6ddd88bd03c0929722680167f1feadf576f2"
integrity sha512-iNgFugVuQgBKrqeO/mpiTTgmBsTP0WL6yeuLfLs/Ctf0pI/ixGqIRm8sDCwMcXGe9WWvt2sGXI5mNqZbValmJg==
uri-js@^4.2.2:
version "4.4.1"
resolved "https://registry.yarnpkg.com/uri-js/-/uri-js-4.4.1.tgz#9b1a52595225859e55f669d928f88c6c57f2a77e"
integrity sha512-7rKUyy33Q1yc98pQ1DAmLtwX109F7TIfWlW1Ydo8Wl1ii1SeHieeh0HHfPeL2fMXK6z0s8ecKs9frCuLJvndBg==
dependencies:
punycode "^2.1.0"
yallist@^4.0.0:
version "4.0.0"
resolved "https://registry.yarnpkg.com/yallist/-/yallist-4.0.0.tgz#9bb92790d9c0effec63be73519e11a35019a3a72"
integrity sha512-3wdGidZyq5PB084XLES5TpOSRA3wjXAlIWMhum2kRcv/41Sn2emQ0dycQW4uZXLejwKvg6EsvbdlVL+FYEct7A==
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