avraham
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calendar-optimizer-deno
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use node, esbuild, lowdb, csv-parse

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master
Avraham Sakal 2 years ago
parent 64fb6cfaf3
commit d6445cd239
6 changed files with 198 additions and 929 deletions
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1
.gitignore vendored
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@ -3,4 +3,5 @@
*.duckdb *.duckdb
*.duckdb.wal *.duckdb.wal
*.parquet *.parquet
dist
node_modules node_modules

9
build.mjs
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import * as esbuild from 'esbuild'
await esbuild.build({
entryPoints: ['src/index.ts'],
bundle: true,
outdir: 'dist',
platform: 'node',
format: 'esm'
})

105
dist/ingest.js vendored
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import fs from "fs/promises";
import duckdb from "duckdb";
const db = new duckdb.Database("quotes.duckdb");
const pathToCsvs = "/home/brian/Downloads/options-data";
const statements = [
"CREATE TYPE OPTION_TYPE as ENUM ('put', 'call');",
"CREATE TYPE OPTION_STYLE as ENUM ('A', 'E');",
`CREATE TABLE IF NOT EXISTS option_quote (
contract VARCHAR GENERATED ALWAYS AS (
CONCAT(
underlying ,
RIGHT(YEAR(expiration)::VARCHAR,2) ,
LPAD(MONTH(expiration)::VARCHAR,2,'0') ,
LPAD(DAY(expiration)::VARCHAR,2,'0') ,
(CASE WHEN type = 'call' THEN 'C' ELSE 'P' END) ,
LPAD(((strike*1000)::INTEGER)::VARCHAR,8,'0')
)
) VIRTUAL,
underlying VARCHAR,
expiration DATE,
type OPTION_TYPE,
strike FLOAT,
style OPTION_STYLE,
bid FLOAT,
bid_size INTEGER DEFAULT 0,
ask FLOAT,
ask_size INTEGER DEFAULT 0,
volume INTEGER,
open_interest INTEGER,
quote_date DATE,
delta FLOAT,
gamma FLOAT,
theta FLOAT,
vega FLOAT,
implied_volatility FLOAT
);`,
`CREATE TABLE IF NOT EXISTS stock_quote (
quote_date DATE,
symbol VARCHAR,
open FLOAT DEFAULT 0.0,
high FLOAT DEFAULT 0.0,
low FLOAT DEFAULT 0.0,
close FLOAT DEFAULT 0.0,
volume FLOAT DEFAULT 0.0,
adjust_close FLOAT DEFAULT 0.0
);`
];
try {
const files = await fs.readdir(pathToCsvs);
for (const filename of files) {
const fileExtension = filename.substring(filename.length - 11);
if (fileExtension === "options.csv" || fileExtension === "options.cvs") {
const quoteDate = filename.substring(0, 10);
statements.push(`INSERT INTO option_quote (
SELECT
underlying,
expiration,
type,
strike,
style,
bid,
bid_size,
ask,
ask_size,
volume,
open_interest,
quote_date,
delta,
gamma,
theta,
vega,
implied_volatility
FROM read_csv_auto('${pathToCsvs}/${filename}')
);`);
statements.push(`INSERT INTO stock_quote (
SELECT
'${quoteDate}',
symbol,
open,
high,
low,
close,
volume,
adjust_close
FROM read_csv_auto('${pathToCsvs}/${quoteDate}stocks.cvs')
);`);
}
}
console.log(statements);
db.exec(statements.join(" "), (err) => {
if (err) {
console.error(err);
return;
}
db.all("SELECT contract FROM option_quote WHERE underlying = 'TSLA' LIMIT 10", (err2, res) => {
if (err2) {
console.error(err2);
return;
}
console.log(res[0]);
});
});
} catch (err) {
console.error(err);
}

7
package.json
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"name": "calendar-optimizer-deno", "name": "calendar-optimizer-deno",
"type": "module", "type": "module",
"scripts": { "scripts": {
"build": "yarn esbuild ingest.ts --outdir=dist --platform=node --format=esm" "build": "node build.mjs"
}, },
"dependencies": { "dependencies": {
"duckdb": "^0.7.1" "csv-parse": "^5.4.0",
"lowdb": "^6.0.1"
}, },
"devDependencies": { "devDependencies": {
"@types/node": "^18.16.3", "@types/node": "^18.16.3",
"esbuild": "^0.17.18" "esbuild": "^0.18.0"
} }
} }

28
src/index.ts
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import { join, dirname } from 'node:path'
import { fileURLToPath } from 'node:url'
import fs from 'node:fs/promises';
import { Low } from 'lowdb'
import { JSONFile } from 'lowdb/node'
import {parse} from 'csv-parse/sync';
// initialize lowdb:
// db.json file path
const __dirname = dirname(fileURLToPath(import.meta.url))
const file = join(__dirname, 'db.json')
// Configure lowdb to write data to JSON file
const adapter = new JSONFile<{ stocks: Array<any>, options: Array<any> }>(file)
const defaultData = { stocks: [], options: [] }
const db = new Low(adapter, defaultData)
// read each csv, and ingest each row into lowdb
const csvDir = '/home/avraham/programming/calendar-optimizer-csv/';
const csvFiles = await fs.readdir(csvDir);
await Promise.all(csvFiles.filter((csvFile)=>csvFile.substring(10,16)==='stocks').map(async (csvFile)=>{
db.data.stocks.push( parse(await fs.readFile(join(csvDir, csvFile))) );
}));
await db.write();

977
yarn.lock
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@ -2,827 +2,162 @@
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