well-interfaced pluggable databases
parent
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commit
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.pnpm-store
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.pnpm-store
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node_modules
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{
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"$schema": "https://biomejs.dev/schemas/1.8.3/schema.json",
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"organizeImports": {
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"enabled": true
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},
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"formatter": {
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"indentWidth": 2,
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"indentStyle": "space"
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},
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"linter": {
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"enabled": true,
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"rules": {
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"recommended": true
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}
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}
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}
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{
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"devDependencies": {
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"@biomejs/biome": "^1.8.3"
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}
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}
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@ -0,0 +1,105 @@
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lockfileVersion: '9.0'
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settings:
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autoInstallPeers: true
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excludeLinksFromLockfile: false
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importers:
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.:
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devDependencies:
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'@biomejs/biome':
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specifier: ^1.8.3
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version: 1.8.3
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packages:
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'@biomejs/biome@1.8.3':
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resolution: {integrity: sha512-/uUV3MV+vyAczO+vKrPdOW0Iaet7UnJMU4bNMinggGJTAnBPjCoLEYcyYtYHNnUNYlv4xZMH6hVIQCAozq8d5w==}
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engines: {node: '>=14.21.3'}
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hasBin: true
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'@biomejs/cli-darwin-arm64@1.8.3':
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engines: {node: '>=14.21.3'}
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cpu: [arm64]
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os: [darwin]
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'@biomejs/cli-darwin-x64@1.8.3':
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engines: {node: '>=14.21.3'}
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cpu: [x64]
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os: [darwin]
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'@biomejs/cli-linux-arm64-musl@1.8.3':
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resolution: {integrity: sha512-9yjUfOFN7wrYsXt/T/gEWfvVxKlnh3yBpnScw98IF+oOeCYb5/b/+K7YNqKROV2i1DlMjg9g/EcN9wvj+NkMuQ==}
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engines: {node: '>=14.21.3'}
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cpu: [arm64]
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os: [linux]
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'@biomejs/cli-linux-arm64@1.8.3':
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resolution: {integrity: sha512-fed2ji8s+I/m8upWpTJGanqiJ0rnlHOK3DdxsyVLZQ8ClY6qLuPc9uehCREBifRJLl/iJyQpHIRufLDeotsPtw==}
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engines: {node: '>=14.21.3'}
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|
cpu: [arm64]
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os: [linux]
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'@biomejs/cli-linux-x64-musl@1.8.3':
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resolution: {integrity: sha512-UHrGJX7PrKMKzPGoEsooKC9jXJMa28TUSMjcIlbDnIO4EAavCoVmNQaIuUSH0Ls2mpGMwUIf+aZJv657zfWWjA==}
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engines: {node: '>=14.21.3'}
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cpu: [x64]
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os: [linux]
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'@biomejs/cli-linux-x64@1.8.3':
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resolution: {integrity: sha512-I8G2QmuE1teISyT8ie1HXsjFRz9L1m5n83U1O6m30Kw+kPMPSKjag6QGUn+sXT8V+XWIZxFFBoTDEDZW2KPDDw==}
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engines: {node: '>=14.21.3'}
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cpu: [x64]
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os: [linux]
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'@biomejs/cli-win32-arm64@1.8.3':
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resolution: {integrity: sha512-J+Hu9WvrBevfy06eU1Na0lpc7uR9tibm9maHynLIoAjLZpQU3IW+OKHUtyL8p6/3pT2Ju5t5emReeIS2SAxhkQ==}
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engines: {node: '>=14.21.3'}
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cpu: [arm64]
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os: [win32]
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'@biomejs/cli-win32-x64@1.8.3':
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resolution: {integrity: sha512-/PJ59vA1pnQeKahemaQf4Nyj7IKUvGQSc3Ze1uIGi+Wvr1xF7rGobSrAAG01T/gUDG21vkDsZYM03NAmPiVkqg==}
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engines: {node: '>=14.21.3'}
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cpu: [x64]
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os: [win32]
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snapshots:
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'@biomejs/biome@1.8.3':
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optionalDependencies:
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'@biomejs/cli-darwin-arm64': 1.8.3
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'@biomejs/cli-darwin-x64': 1.8.3
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'@biomejs/cli-linux-arm64': 1.8.3
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'@biomejs/cli-linux-arm64-musl': 1.8.3
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'@biomejs/cli-linux-x64': 1.8.3
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'@biomejs/cli-linux-x64-musl': 1.8.3
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'@biomejs/cli-win32-arm64': 1.8.3
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'@biomejs/cli-win32-x64': 1.8.3
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'@biomejs/cli-darwin-arm64@1.8.3':
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optional: true
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'@biomejs/cli-darwin-x64@1.8.3':
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optional: true
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'@biomejs/cli-linux-arm64-musl@1.8.3':
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optional: true
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'@biomejs/cli-linux-arm64@1.8.3':
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optional: true
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'@biomejs/cli-linux-x64-musl@1.8.3':
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optional: true
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'@biomejs/cli-linux-x64@1.8.3':
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optional: true
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'@biomejs/cli-win32-arm64@1.8.3':
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optional: true
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'@biomejs/cli-win32-x64@1.8.3':
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optional: true
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@ -0,0 +1,17 @@
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import { open } from 'lmdbx'; // or require
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const MAXIMUM_KEY = Buffer.from([0xff]);
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// or in deno: import { open } from 'https://deno.land/x/lmdbx/mod.ts';
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const myDB = open({
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path: '/tmp/my.db',
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// any options go here, we can turn on compression like this:
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compression: true,
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});
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await myDB.put(["a","b"], "ab");
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await myDB.put(["a","c"], "ac");
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await myDB.put(["a","d"], "ad");
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await myDB.put(["b","a"], "ba");
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await myDB.put(["b","c"], "bc");
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console.log(Array.from(myDB.getRange({start: ["a"], end: ["a", MAXIMUM_KEY]}).asArray))
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import { stockDatabase } from "./stockdb.clickhouse.js";
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import { calendarDatabase } from "./calendardb.clickhouse.js";
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import type { CalendarKey } from "./calendardb.interfaces.js";
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import type { Aggregate } from "./interfaces.js";
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function nextDate(date: string) {
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const dateObject = new Date(date);
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dateObject.setDate(dateObject.getDate() + 1);
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return dateObject.toISOString().substring(0, 10);
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}
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type BacktestInput = {
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symbol: string;
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startDate: string;
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endDate: string;
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/** Between 0 and 1. The frequency that similar calendars have historically ended (i.e. within the last hour) at a higher price than the current calendar's price. */
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historicalProbabilityOfSuccess?: number;
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initialAvailableValue?: number;
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};
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export async function backtest({
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symbol,
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startDate,
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endDate,
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historicalProbabilityOfSuccess = 0.8,
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initialAvailableValue: initialBuyingPower = 2000,
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}: BacktestInput) {
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let buyingPower = initialBuyingPower;
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const portfolio = new Set<CalendarKey>();
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// for each day:
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for (
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let date = startDate, didBuyCalendar = false;
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date <= endDate;
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date = nextDate(date), didBuyCalendar = false
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) {
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console.log("Current Date:", date);
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const calendars = await calendarDatabase.getCalendars({
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key: { symbol },
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date,
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});
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const stockAggregates = await stockDatabase.getAggregates({
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key: symbol,
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date,
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});
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const calendarsAggregates = new Map<
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CalendarKey,
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Array<Pick<Aggregate<CalendarKey>, "tsStart" | "open" | "close">>
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>();
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for (const calendar of calendars) {
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calendarsAggregates.set(
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calendar,
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await calendarDatabase.getAggregates({
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key: {
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...calendar,
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},
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date,
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}),
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);
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}
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// for each minute of that day for which we have a stock candlestick:
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for (const stockAggregate of stockAggregates) {
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console.log("Current Time:", new Date(stockAggregate.tsStart));
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// filter-out calendars that are far-from-the-money (10%)
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const calendarsNearTheMoney = calendars.filter(
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({ strike }) =>
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Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.1,
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);
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// for each relevant calendar on that day:
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for (const calendar of calendarsNearTheMoney) {
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const strikePercentageFromTheMoney = Math.abs(
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(stockAggregate.open - calendar.strike) / stockAggregate.open,
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);
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/** In days. */
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const calendarSpan =
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(new Date(calendar.backExpirationDate).valueOf() -
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new Date(calendar.frontExpirationDate).valueOf()) /
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(1000 * 60 * 60 * 24);
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const targetCalendarPrice =
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await calendarDatabase.getTargetPriceByProbability({
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symbol,
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calendarSpan,
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strikePercentageFromTheMoney,
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historicalProbabilityOfSuccess,
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});
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const calendarAggregates = calendarsAggregates.get(calendar);
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const calendarAggregateAtCurrentTime = calendarAggregates.find(
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({ tsStart }) => tsStart === stockAggregate.tsStart,
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);
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// if there exists a matching calendar candlestick for the current minute:
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if (calendarAggregateAtCurrentTime) {
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// if the current candlestick is a good price (i.e. less than the target price):
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const minCalendarPriceInCandlestick = Math.min(
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calendarAggregateAtCurrentTime.open,
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calendarAggregateAtCurrentTime.close,
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);
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if (
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minCalendarPriceInCandlestick < targetCalendarPrice &&
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minCalendarPriceInCandlestick >
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0.07 /* sometimes the calendar price is zero or negative, which is of course impossible; some institution got a good deal */
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) {
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// if we can afford to buy the calendar:
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if (buyingPower > minCalendarPriceInCandlestick) {
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// buy the calendar, and continue to the next day:
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portfolio.add(calendar);
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buyingPower = buyingPower - minCalendarPriceInCandlestick * 100;
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console.log(
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"Bought",
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calendar,
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"for",
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minCalendarPriceInCandlestick * 100,
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"...$",
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buyingPower,
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"left",
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);
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didBuyCalendar = true;
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}
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}
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}
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if (didBuyCalendar) {
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break;
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}
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}
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if (didBuyCalendar) {
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break;
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}
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}
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// for each calendar in portfolio, if today is the last day, close the position:
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for (const calendar of portfolio.values()) {
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if (calendar.frontExpirationDate === date) {
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const calendarClosingPrice = await calendarDatabase.getClosingPrice({
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key: {
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...calendar,
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},
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});
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portfolio.delete(calendar);
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buyingPower = buyingPower + calendarClosingPrice * 100;
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console.log(
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"Sold",
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calendar,
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"for",
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calendarClosingPrice,
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"...$",
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buyingPower,
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"left",
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);
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}
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}
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}
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console.log("Ending Buying Power:", buyingPower);
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console.log("Portfolio:", portfolio.values());
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}
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@ -0,0 +1,142 @@
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import type { CalendarDatabase, CalendarKey } from "./calendardb.interfaces.js";
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import type { Aggregate } from "./interfaces.js";
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import { query } from "./lib/clickhouse.js";
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function makeCalendarDatabase(): CalendarDatabase {
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const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
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getKeys: async ({ key: { symbol }, date }) => {
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const calendarsForSymbolOnDate = await query<
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Omit<CalendarKey, "symbol">
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>(`
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WITH today_option_contracts AS (
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SELECT expirationDate, strike, type
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FROM option_contract_existences
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WHERE symbol = '${symbol}'
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AND asOfDate = '${date}'
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)
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SELECT
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front_option_contract.type as type,
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front_option_contract.strike as strike,
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front_option_contract.expirationDate as frontExpirationDate,
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back_option_contract.expirationDate as backExpirationDate
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FROM today_option_contracts AS front_option_contract
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ASOF INNER JOIN today_option_contracts AS back_option_contract
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ON front_option_contract.type = back_option_contract.type
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AND front_option_contract.strike = back_option_contract.strike
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AND front_option_contract.expirationDate < back_option_contract.expirationDate
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`);
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return calendarsForSymbolOnDate.map((calendarWithoutSymbol) => ({
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...calendarWithoutSymbol,
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symbol,
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}));
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},
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getAggregates: async ({
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key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
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date,
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}) => {
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return (
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await query<Omit<Aggregate<CalendarKey>, "key">>(`
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WITH front_option_contract_candlestick AS (
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SELECT
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tsStart,
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open,
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close,
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high,
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low
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FROM option_contract_aggregates
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WHERE symbol = '${symbol}'
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AND type = '${type}'
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AND strike = '${strike}'
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AND expirationDate = '${frontExpirationDate}'
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AND toDate(tsStart) = '${date}'
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),
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back_option_contract_candlestick AS (
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SELECT
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tsStart,
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open,
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close,
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high,
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low
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FROM option_contract_aggregates
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WHERE symbol = '${symbol}'
|
||||||
|
AND type = '${type}'
|
||||||
|
AND strike = '${strike}'
|
||||||
|
AND expirationDate = '${backExpirationDate}'
|
||||||
|
AND toDate(tsStart) = '${date}'
|
||||||
|
)
|
||||||
|
SELECT
|
||||||
|
toUnixTimestamp(front_option_contract_candlestick.tsStart) as tsStart,
|
||||||
|
back_option_contract_candlestick.open - front_option_contract_candlestick.open as open,
|
||||||
|
back_option_contract_candlestick.close - front_option_contract_candlestick.close as close
|
||||||
|
FROM front_option_contract_candlestick
|
||||||
|
INNER JOIN back_option_contract_candlestick
|
||||||
|
ON front_option_contract_candlestick.tsStart = back_option_contract_candlestick.tsStart
|
||||||
|
ORDER BY front_option_contract_candlestick.tsStart ASC
|
||||||
|
`)
|
||||||
|
).map((aggregate) => ({
|
||||||
|
...aggregate,
|
||||||
|
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
|
||||||
|
}));
|
||||||
|
},
|
||||||
|
insertAggregates: async (aggregates) => {
|
||||||
|
// no-op: we insert individual option contracts, not calendars
|
||||||
|
},
|
||||||
|
getClosingPrice: async ({
|
||||||
|
key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
|
||||||
|
}) => {
|
||||||
|
return (
|
||||||
|
await query<{ calendarClosingPrice: number }>(`
|
||||||
|
WITH front_option_contract_candlestick AS (
|
||||||
|
SELECT
|
||||||
|
tsStart,
|
||||||
|
open,
|
||||||
|
close,
|
||||||
|
high,
|
||||||
|
low
|
||||||
|
FROM option_contract_aggregates
|
||||||
|
WHERE symbol = '${symbol}'
|
||||||
|
AND type = '${type}'
|
||||||
|
AND strike = '${strike}'
|
||||||
|
AND expirationDate = '${frontExpirationDate}'
|
||||||
|
AND toDate(tsStart) = '${frontExpirationDate}'
|
||||||
|
),
|
||||||
|
back_option_contract_candlestick AS (
|
||||||
|
SELECT
|
||||||
|
tsStart,
|
||||||
|
open,
|
||||||
|
close,
|
||||||
|
high,
|
||||||
|
low
|
||||||
|
FROM option_contract_aggregates
|
||||||
|
WHERE symbol = '${symbol}'
|
||||||
|
AND type = '${type}'
|
||||||
|
AND strike = '${strike}'
|
||||||
|
AND expirationDate = '${backExpirationDate}'
|
||||||
|
AND toDate(tsStart) = '${frontExpirationDate}'
|
||||||
|
)
|
||||||
|
SELECT
|
||||||
|
min(back_option_contract_candlestick.close - front_option_contract_candlestick.close) as calendarClosingPrice
|
||||||
|
FROM front_option_contract_candlestick
|
||||||
|
INNER JOIN back_option_contract_candlestick
|
||||||
|
ON front_option_contract_candlestick.tsStart = back_option_contract_candlestick.tsStart
|
||||||
|
`)
|
||||||
|
)[0]?.calendarClosingPrice;
|
||||||
|
},
|
||||||
|
getTargetPriceByProbability: async ({
|
||||||
|
symbol,
|
||||||
|
calendarSpan,
|
||||||
|
strikePercentageFromTheMoney,
|
||||||
|
historicalProbabilityOfSuccess,
|
||||||
|
}) => {
|
||||||
|
return 0.24;
|
||||||
|
},
|
||||||
|
};
|
||||||
|
|
||||||
|
return {
|
||||||
|
...calendarDatabase,
|
||||||
|
getCalendars: calendarDatabase.getKeys,
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();
|
||||||
@ -0,0 +1,24 @@
|
|||||||
|
import type { AggregateDatabase } from "./interfaces.js";
|
||||||
|
|
||||||
|
export type CalendarKey = {
|
||||||
|
symbol: string;
|
||||||
|
type: "call" | "put";
|
||||||
|
strike: number;
|
||||||
|
frontExpirationDate: string;
|
||||||
|
backExpirationDate: string;
|
||||||
|
};
|
||||||
|
|
||||||
|
export type CalendarDatabase = AggregateDatabase<CalendarKey> & {
|
||||||
|
getCalendars: AggregateDatabase<CalendarKey>["getKeys"];
|
||||||
|
getTargetPriceByProbability: ({
|
||||||
|
symbol,
|
||||||
|
calendarSpan,
|
||||||
|
strikePercentageFromTheMoney,
|
||||||
|
historicalProbabilityOfSuccess,
|
||||||
|
}: {
|
||||||
|
symbol: string;
|
||||||
|
calendarSpan: number;
|
||||||
|
strikePercentageFromTheMoney: number;
|
||||||
|
historicalProbabilityOfSuccess: number;
|
||||||
|
}) => Promise<number>;
|
||||||
|
};
|
||||||
@ -0,0 +1,153 @@
|
|||||||
|
import type { CalendarDatabase } from "./calendardb.interfaces.js";
|
||||||
|
import { open } from "lmdbx";
|
||||||
|
|
||||||
|
const calendarAggregatesDb = open({
|
||||||
|
path: "/tmp/calendar-aggregates.db",
|
||||||
|
// any options go here, we can turn on compression like this:
|
||||||
|
compression: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
const calendarExistenceDb = open({
|
||||||
|
path: "/tmp/calendar-existence.db",
|
||||||
|
// any options go here, we can turn on compression like this:
|
||||||
|
compression: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
|
||||||
|
const MAXIMUM_KEY = Buffer.from([0xff]);
|
||||||
|
|
||||||
|
function makeCalendarDatabase(): CalendarDatabase {
|
||||||
|
const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
|
||||||
|
getKeys: async ({ key: { symbol }, date }) => {
|
||||||
|
return calendarExistenceDb
|
||||||
|
.getRange({
|
||||||
|
start: [date, symbol],
|
||||||
|
end: [date, symbol, MAXIMUM_KEY],
|
||||||
|
})
|
||||||
|
.map(({ key }) => ({
|
||||||
|
symbol,
|
||||||
|
frontExpirationDate: key[2],
|
||||||
|
backExpirationDate: key[3],
|
||||||
|
strike: key[4],
|
||||||
|
type: key[5],
|
||||||
|
})).asArray;
|
||||||
|
},
|
||||||
|
getAggregates: async ({
|
||||||
|
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||||
|
date,
|
||||||
|
}) => {
|
||||||
|
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||||
|
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||||
|
return calendarAggregatesDb
|
||||||
|
.getRange({
|
||||||
|
start: [
|
||||||
|
symbol,
|
||||||
|
frontExpirationDate,
|
||||||
|
backExpirationDate,
|
||||||
|
strike,
|
||||||
|
type,
|
||||||
|
startOfDayUnix,
|
||||||
|
],
|
||||||
|
end: [
|
||||||
|
symbol,
|
||||||
|
frontExpirationDate,
|
||||||
|
backExpirationDate,
|
||||||
|
strike,
|
||||||
|
type,
|
||||||
|
endOfDayUnix,
|
||||||
|
],
|
||||||
|
})
|
||||||
|
.map(({ value }) => ({
|
||||||
|
tsStart: value.tsStart,
|
||||||
|
open: value.open,
|
||||||
|
close: value.close,
|
||||||
|
high: value.high,
|
||||||
|
low: value.low,
|
||||||
|
})).asArray;
|
||||||
|
},
|
||||||
|
insertAggregates: async (aggregates) => {
|
||||||
|
await calendarExistenceDb.batch(() => {
|
||||||
|
for (const aggregate of aggregates) {
|
||||||
|
calendarExistenceDb.put(
|
||||||
|
[
|
||||||
|
new Date(aggregate.tsStart).toISOString().substring(0, 10),
|
||||||
|
aggregate.key.symbol,
|
||||||
|
aggregate.key.frontExpirationDate,
|
||||||
|
aggregate.key.backExpirationDate,
|
||||||
|
aggregate.key.strike,
|
||||||
|
aggregate.key.type,
|
||||||
|
],
|
||||||
|
null,
|
||||||
|
);
|
||||||
|
}
|
||||||
|
});
|
||||||
|
await calendarAggregatesDb.batch(() => {
|
||||||
|
for (const aggregate of aggregates) {
|
||||||
|
calendarAggregatesDb.put(
|
||||||
|
[
|
||||||
|
aggregate.key.symbol,
|
||||||
|
aggregate.key.frontExpirationDate,
|
||||||
|
aggregate.key.backExpirationDate,
|
||||||
|
aggregate.key.strike,
|
||||||
|
aggregate.key.type,
|
||||||
|
aggregate.tsStart,
|
||||||
|
],
|
||||||
|
{
|
||||||
|
open: aggregate.open,
|
||||||
|
close: aggregate.close,
|
||||||
|
high: aggregate.high,
|
||||||
|
low: aggregate.low,
|
||||||
|
},
|
||||||
|
);
|
||||||
|
}
|
||||||
|
});
|
||||||
|
},
|
||||||
|
getClosingPrice: async ({
|
||||||
|
key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
|
||||||
|
}) => {
|
||||||
|
const startOfLastHourUnix = new Date(
|
||||||
|
`${frontExpirationDate}T00:00:00Z`,
|
||||||
|
).valueOf();
|
||||||
|
const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
|
||||||
|
let minPrice = 0;
|
||||||
|
for (const { value } of calendarAggregatesDb.getRange({
|
||||||
|
start: [
|
||||||
|
symbol,
|
||||||
|
frontExpirationDate,
|
||||||
|
backExpirationDate,
|
||||||
|
strike,
|
||||||
|
type,
|
||||||
|
startOfLastHourUnix,
|
||||||
|
],
|
||||||
|
end: [
|
||||||
|
symbol,
|
||||||
|
frontExpirationDate,
|
||||||
|
backExpirationDate,
|
||||||
|
strike,
|
||||||
|
type,
|
||||||
|
endOfLastHourUnix,
|
||||||
|
],
|
||||||
|
})) {
|
||||||
|
if (value.close < minPrice || minPrice === 0) {
|
||||||
|
minPrice = value.close;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
return minPrice;
|
||||||
|
},
|
||||||
|
getTargetPriceByProbability: async ({
|
||||||
|
symbol,
|
||||||
|
calendarSpan,
|
||||||
|
strikePercentageFromTheMoney,
|
||||||
|
historicalProbabilityOfSuccess,
|
||||||
|
}) => {
|
||||||
|
return 0.24;
|
||||||
|
},
|
||||||
|
};
|
||||||
|
|
||||||
|
return {
|
||||||
|
...calendarDatabase,
|
||||||
|
getCalendars: calendarDatabase.getKeys,
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();
|
||||||
@ -0,0 +1,25 @@
|
|||||||
|
export type Candlestick = {
|
||||||
|
open: number;
|
||||||
|
close: number;
|
||||||
|
high: number;
|
||||||
|
low: number;
|
||||||
|
};
|
||||||
|
|
||||||
|
export type Aggregate<T> = {
|
||||||
|
key: T;
|
||||||
|
/** UNIX time in milliseconds */
|
||||||
|
tsStart: number;
|
||||||
|
} & Candlestick;
|
||||||
|
|
||||||
|
export type AggregateDatabase<T> = {
|
||||||
|
getKeys: ({
|
||||||
|
key,
|
||||||
|
date,
|
||||||
|
}: { key?: T | Partial<T>; date?: string }) => Promise<Array<T>>;
|
||||||
|
getAggregates: ({
|
||||||
|
key,
|
||||||
|
date,
|
||||||
|
}: { key: T; date: string }) => Promise<Array<Omit<Aggregate<T>, "key">>>;
|
||||||
|
insertAggregates: (aggregates: Array<Aggregate<T>>) => Promise<void>;
|
||||||
|
getClosingPrice: ({ key }: { key: T }) => Promise<number>;
|
||||||
|
};
|
||||||
@ -0,0 +1,90 @@
|
|||||||
|
import type {
|
||||||
|
OptionContractDatabase,
|
||||||
|
OptionContractKey,
|
||||||
|
} from "./optiondb.interfaces.js";
|
||||||
|
import type { Aggregate } from "./interfaces.js";
|
||||||
|
import { clickhouse, query } from "./lib/clickhouse.js";
|
||||||
|
|
||||||
|
function makeOptionContractDatabase(): OptionContractDatabase {
|
||||||
|
const optionContractDatabase: Omit<
|
||||||
|
OptionContractDatabase,
|
||||||
|
"getOptionContracts"
|
||||||
|
> = {
|
||||||
|
getKeys: async ({ key: { symbol }, date }) => {
|
||||||
|
return (
|
||||||
|
await query<Omit<OptionContractKey, "symbol">>(`
|
||||||
|
SELECT expirationDate, strike, type
|
||||||
|
FROM option_contract_existences
|
||||||
|
WHERE symbol = '${symbol}'
|
||||||
|
AND asOfDate = '${date}'
|
||||||
|
`)
|
||||||
|
).map((optionContractWithoutKey) => ({
|
||||||
|
...optionContractWithoutKey,
|
||||||
|
symbol,
|
||||||
|
}));
|
||||||
|
},
|
||||||
|
getAggregates: async ({
|
||||||
|
key: { symbol, expirationDate, strike, type },
|
||||||
|
date,
|
||||||
|
}) => {
|
||||||
|
return (
|
||||||
|
await query<Omit<Aggregate<OptionContractKey>, "key">>(`
|
||||||
|
SELECT
|
||||||
|
toUnixTimestamp(tsStart) as tsStart,
|
||||||
|
open,
|
||||||
|
close,
|
||||||
|
high,
|
||||||
|
low
|
||||||
|
FROM option_contract_aggregates
|
||||||
|
WHERE symbol = '${symbol}'
|
||||||
|
AND type = '${type}'
|
||||||
|
AND strike = '${strike}'
|
||||||
|
AND expirationDate = '${expirationDate}'
|
||||||
|
AND toDate(tsStart) = '${date}'
|
||||||
|
ORDER BY tsStart ASC
|
||||||
|
`)
|
||||||
|
).map((aggregate) => ({
|
||||||
|
...aggregate,
|
||||||
|
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
|
||||||
|
}));
|
||||||
|
},
|
||||||
|
insertAggregates: async (aggregates) => {
|
||||||
|
// stock existence is taken care of by clickhouse materialized view
|
||||||
|
await clickhouse.insert({
|
||||||
|
table: "option_contract_aggregates",
|
||||||
|
values: aggregates.map(
|
||||||
|
({
|
||||||
|
key: { symbol, expirationDate, strike, type },
|
||||||
|
tsStart,
|
||||||
|
open,
|
||||||
|
close,
|
||||||
|
high,
|
||||||
|
low,
|
||||||
|
}) => ({
|
||||||
|
symbol,
|
||||||
|
expirationDate,
|
||||||
|
strike,
|
||||||
|
type,
|
||||||
|
tsStart,
|
||||||
|
open,
|
||||||
|
close,
|
||||||
|
high,
|
||||||
|
low,
|
||||||
|
}),
|
||||||
|
),
|
||||||
|
});
|
||||||
|
},
|
||||||
|
getClosingPrice: async ({ key }) => {
|
||||||
|
// no-op: not used since stocks don't have a "closing" price, unlike options.
|
||||||
|
return 0;
|
||||||
|
},
|
||||||
|
};
|
||||||
|
|
||||||
|
return {
|
||||||
|
...optionContractDatabase,
|
||||||
|
getOptionContracts: optionContractDatabase.getKeys,
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
export const optionContractDatabase: OptionContractDatabase =
|
||||||
|
makeOptionContractDatabase();
|
||||||
@ -0,0 +1,12 @@
|
|||||||
|
import type { AggregateDatabase } from "./interfaces.js";
|
||||||
|
|
||||||
|
export type OptionContractKey = {
|
||||||
|
symbol: string;
|
||||||
|
expirationDate: string;
|
||||||
|
strike: number;
|
||||||
|
type: "call" | "put";
|
||||||
|
};
|
||||||
|
|
||||||
|
export type OptionContractDatabase = AggregateDatabase<OptionContractKey> & {
|
||||||
|
getOptionContracts: AggregateDatabase<OptionContractKey>["getKeys"];
|
||||||
|
};
|
||||||
@ -0,0 +1,118 @@
|
|||||||
|
import type { OptionContractDatabase } from "./optiondb.interfaces.js";
|
||||||
|
import { open } from "lmdbx";
|
||||||
|
|
||||||
|
const optionContractAggregatesDb = open({
|
||||||
|
path: "/tmp/option-contract-aggregates.db",
|
||||||
|
// any options go here, we can turn on compression like this:
|
||||||
|
compression: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
const optionContractExistenceDb = open({
|
||||||
|
path: "/tmp/option-contract-existence.db",
|
||||||
|
// any options go here, we can turn on compression like this:
|
||||||
|
compression: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
|
||||||
|
const MAXIMUM_KEY = Buffer.from([0xff]);
|
||||||
|
|
||||||
|
function makeOptionContractDatabase(): OptionContractDatabase {
|
||||||
|
const optionContractDatabase: Omit<
|
||||||
|
OptionContractDatabase,
|
||||||
|
"getOptionContracts"
|
||||||
|
> = {
|
||||||
|
getKeys: async ({ key: { symbol }, date }) => {
|
||||||
|
return optionContractExistenceDb
|
||||||
|
.getRange({
|
||||||
|
start: [date, symbol],
|
||||||
|
end: [date, symbol, MAXIMUM_KEY],
|
||||||
|
})
|
||||||
|
.map(({ key }) => ({
|
||||||
|
symbol,
|
||||||
|
expirationDate: key[2],
|
||||||
|
strike: key[3],
|
||||||
|
type: key[4],
|
||||||
|
})).asArray;
|
||||||
|
},
|
||||||
|
getAggregates: async ({
|
||||||
|
key: { symbol, expirationDate, strike, type },
|
||||||
|
date,
|
||||||
|
}) => {
|
||||||
|
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||||
|
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||||
|
return optionContractAggregatesDb
|
||||||
|
.getRange({
|
||||||
|
start: [symbol, expirationDate, strike, type, startOfDayUnix],
|
||||||
|
end: [symbol, expirationDate, strike, type, endOfDayUnix],
|
||||||
|
})
|
||||||
|
.map(({ value }) => ({
|
||||||
|
tsStart: value.tsStart,
|
||||||
|
open: value.open,
|
||||||
|
close: value.close,
|
||||||
|
high: value.high,
|
||||||
|
low: value.low,
|
||||||
|
})).asArray;
|
||||||
|
},
|
||||||
|
insertAggregates: async (aggregates) => {
|
||||||
|
await optionContractExistenceDb.batch(() => {
|
||||||
|
for (const aggregate of aggregates) {
|
||||||
|
optionContractExistenceDb.put(
|
||||||
|
[
|
||||||
|
new Date(aggregate.tsStart).toISOString().substring(0, 10),
|
||||||
|
aggregate.key.symbol,
|
||||||
|
aggregate.key.expirationDate,
|
||||||
|
aggregate.key.strike,
|
||||||
|
aggregate.key.type,
|
||||||
|
],
|
||||||
|
null,
|
||||||
|
);
|
||||||
|
}
|
||||||
|
});
|
||||||
|
await optionContractAggregatesDb.batch(() => {
|
||||||
|
for (const aggregate of aggregates) {
|
||||||
|
optionContractAggregatesDb.put(
|
||||||
|
[
|
||||||
|
aggregate.key.symbol,
|
||||||
|
aggregate.key.expirationDate,
|
||||||
|
aggregate.key.strike,
|
||||||
|
aggregate.key.type,
|
||||||
|
aggregate.tsStart,
|
||||||
|
],
|
||||||
|
{
|
||||||
|
open: aggregate.open,
|
||||||
|
close: aggregate.close,
|
||||||
|
high: aggregate.high,
|
||||||
|
low: aggregate.low,
|
||||||
|
},
|
||||||
|
);
|
||||||
|
}
|
||||||
|
});
|
||||||
|
},
|
||||||
|
getClosingPrice: async ({
|
||||||
|
key: { symbol, strike, type, expirationDate },
|
||||||
|
}) => {
|
||||||
|
const startOfLastHourUnix = new Date(
|
||||||
|
`${expirationDate}T00:00:00Z`,
|
||||||
|
).valueOf();
|
||||||
|
const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
|
||||||
|
let minPrice = 0;
|
||||||
|
for (const { value } of optionContractAggregatesDb.getRange({
|
||||||
|
start: [symbol, expirationDate, strike, type, startOfLastHourUnix],
|
||||||
|
end: [symbol, expirationDate, strike, type, endOfLastHourUnix],
|
||||||
|
})) {
|
||||||
|
if (value.close < minPrice || minPrice === 0) {
|
||||||
|
minPrice = value.close;
|
||||||
|
}
|
||||||
|
}
|
||||||
|
return minPrice;
|
||||||
|
},
|
||||||
|
};
|
||||||
|
|
||||||
|
return {
|
||||||
|
...optionContractDatabase,
|
||||||
|
getOptionContracts: optionContractDatabase.getKeys,
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
export const optionContractDatabase: OptionContractDatabase =
|
||||||
|
makeOptionContractDatabase();
|
||||||
@ -0,0 +1,51 @@
|
|||||||
|
import type { AggregateDatabase } from "../interfaces.js";
|
||||||
|
// import { stockDatabase as stockDatabaseClickhouse } from "../stockdb.clickhouse.js";
|
||||||
|
// import { stockDatabase as stockDatabaseLmdbx } from "../stockdb.lmdbx.js";
|
||||||
|
import { optionContractDatabase as optionContractDatabaseClickhouse } from "../optiondb.clickhouse.js";
|
||||||
|
import { optionContractDatabase as optionContractDatabaseLmdbx } from "../optiondb.lmdbx.js";
|
||||||
|
|
||||||
|
function nextDate(date: string) {
|
||||||
|
const dateObject = new Date(date);
|
||||||
|
dateObject.setDate(dateObject.getDate() + 1);
|
||||||
|
return dateObject.toISOString().substring(0, 10);
|
||||||
|
}
|
||||||
|
|
||||||
|
async function syncAggregates<T>({
|
||||||
|
from,
|
||||||
|
to,
|
||||||
|
key,
|
||||||
|
date,
|
||||||
|
}: {
|
||||||
|
from: AggregateDatabase<T>;
|
||||||
|
to: AggregateDatabase<T>;
|
||||||
|
key: T;
|
||||||
|
date: string;
|
||||||
|
}) {
|
||||||
|
const aggregatesFrom = (await from.getAggregates({ key, date })).map(
|
||||||
|
(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key }),
|
||||||
|
);
|
||||||
|
await to.insertAggregates(aggregatesFrom);
|
||||||
|
}
|
||||||
|
|
||||||
|
const symbols = ["AMD", "AAPL", "MSFT", "GOOGL", "NFLX", "NVDA"];
|
||||||
|
async function run() {
|
||||||
|
const startDate = "2022-02-01";
|
||||||
|
const endDate = "2024-07-15";
|
||||||
|
for (let date = startDate; date <= endDate; date = nextDate(date)) {
|
||||||
|
// const symbols = await stockDatabaseClickhouse.getSymbols({ date });
|
||||||
|
for (const symbol of symbols) {
|
||||||
|
console.log(date, symbol);
|
||||||
|
const keys = await optionContractDatabaseClickhouse.getKeys({key: {symbol}, date});
|
||||||
|
for(const key of keys){
|
||||||
|
await syncAggregates({
|
||||||
|
from: optionContractDatabaseClickhouse,
|
||||||
|
to: optionContractDatabaseLmdbx,
|
||||||
|
key,
|
||||||
|
date,
|
||||||
|
});
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
await run();
|
||||||
@ -0,0 +1,59 @@
|
|||||||
|
import type { StockDatabase, StockKey } from "./stockdb.interfaces.js";
|
||||||
|
import type { Aggregate } from "./interfaces.js";
|
||||||
|
import { clickhouse, query } from "./lib/clickhouse.js";
|
||||||
|
|
||||||
|
function makeStockDatabase(): StockDatabase {
|
||||||
|
const stockDatabase: Omit<StockDatabase, "getSymbols"> = {
|
||||||
|
getKeys: async ({ date }) => {
|
||||||
|
return (
|
||||||
|
await query(`
|
||||||
|
SELECT DISTINCT symbol FROM stock_aggregates WHERE toDate(tsStart) = '${date}'
|
||||||
|
`)
|
||||||
|
).map(({ symbol }) => symbol);
|
||||||
|
},
|
||||||
|
getAggregates: async ({ key: symbol, date }) => {
|
||||||
|
return (
|
||||||
|
await query<Omit<Aggregate<StockKey>, "key">>(`
|
||||||
|
SELECT
|
||||||
|
toUnixTimestamp(tsStart) as tsStart,
|
||||||
|
open,
|
||||||
|
close,
|
||||||
|
high,
|
||||||
|
low
|
||||||
|
FROM stock_aggregates
|
||||||
|
WHERE symbol = '${symbol}'
|
||||||
|
AND toDate(tsStart) = '${date}'
|
||||||
|
ORDER BY tsStart ASC
|
||||||
|
`)
|
||||||
|
).map((aggregate) => ({
|
||||||
|
...aggregate,
|
||||||
|
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
|
||||||
|
}));
|
||||||
|
},
|
||||||
|
insertAggregates: async (aggregates) => {
|
||||||
|
// stock existence is taken care of by clickhouse materialized view
|
||||||
|
await clickhouse.insert({
|
||||||
|
table: "stock_aggregates",
|
||||||
|
values: aggregates.map(({ key, tsStart, open, close, high, low }) => ({
|
||||||
|
symbol: key,
|
||||||
|
tsStart,
|
||||||
|
open,
|
||||||
|
close,
|
||||||
|
high,
|
||||||
|
low,
|
||||||
|
})),
|
||||||
|
});
|
||||||
|
},
|
||||||
|
getClosingPrice: async ({ key }) => {
|
||||||
|
// no-op: not used since stocks don't have a "closing" price, unlike options.
|
||||||
|
return 0;
|
||||||
|
},
|
||||||
|
};
|
||||||
|
|
||||||
|
return {
|
||||||
|
...stockDatabase,
|
||||||
|
getSymbols: stockDatabase.getKeys,
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
export const stockDatabase: StockDatabase = makeStockDatabase();
|
||||||
@ -0,0 +1,7 @@
|
|||||||
|
import type { AggregateDatabase } from "./interfaces.js";
|
||||||
|
|
||||||
|
export type StockKey = string;
|
||||||
|
|
||||||
|
export type StockDatabase = AggregateDatabase<StockKey> & {
|
||||||
|
getSymbols: AggregateDatabase<StockKey>["getKeys"];
|
||||||
|
};
|
||||||
@ -0,0 +1,80 @@
|
|||||||
|
import type { StockDatabase } from "./stockdb.interfaces.js";
|
||||||
|
import { open } from "lmdbx";
|
||||||
|
|
||||||
|
const stockAggregatesDb = open({
|
||||||
|
path: "/tmp/stock-aggregates.db",
|
||||||
|
// any options go here, we can turn on compression like this:
|
||||||
|
compression: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
const stockExistenceDb = open({
|
||||||
|
path: "/tmp/stock-existence.db",
|
||||||
|
// any options go here, we can turn on compression like this:
|
||||||
|
compression: true,
|
||||||
|
});
|
||||||
|
|
||||||
|
/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
|
||||||
|
const MAXIMUM_KEY = Buffer.from([0xff]);
|
||||||
|
|
||||||
|
function makeStockDatabase(): StockDatabase {
|
||||||
|
const stockDatabase: Omit<StockDatabase, "getSymbols"> = {
|
||||||
|
getKeys: async ({ date }) => {
|
||||||
|
return stockExistenceDb
|
||||||
|
.getRange({
|
||||||
|
start: [date],
|
||||||
|
end: [date, MAXIMUM_KEY],
|
||||||
|
})
|
||||||
|
.map(({ key }) => key[1]).asArray;
|
||||||
|
},
|
||||||
|
getAggregates: async ({ key: symbol, date }) => {
|
||||||
|
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||||
|
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||||
|
return stockAggregatesDb
|
||||||
|
.getRange({
|
||||||
|
start: [symbol, startOfDayUnix],
|
||||||
|
end: [symbol, endOfDayUnix],
|
||||||
|
})
|
||||||
|
.map(({ key, value }) => ({
|
||||||
|
tsStart: key[1],
|
||||||
|
open: value.open,
|
||||||
|
close: value.close,
|
||||||
|
high: value.high,
|
||||||
|
low: value.low,
|
||||||
|
})).asArray;
|
||||||
|
},
|
||||||
|
insertAggregates: async (aggregates) => {
|
||||||
|
await stockExistenceDb.batch(() => {
|
||||||
|
for (const aggregate of aggregates) {
|
||||||
|
stockExistenceDb.put(
|
||||||
|
[
|
||||||
|
new Date(aggregate.tsStart).toISOString().substring(0, 10),
|
||||||
|
aggregate.key,
|
||||||
|
],
|
||||||
|
null,
|
||||||
|
);
|
||||||
|
}
|
||||||
|
});
|
||||||
|
await stockAggregatesDb.batch(() => {
|
||||||
|
for (const aggregate of aggregates) {
|
||||||
|
stockAggregatesDb.put([aggregate.key, aggregate.tsStart], {
|
||||||
|
open: aggregate.open,
|
||||||
|
close: aggregate.close,
|
||||||
|
high: aggregate.high,
|
||||||
|
low: aggregate.low,
|
||||||
|
});
|
||||||
|
}
|
||||||
|
});
|
||||||
|
},
|
||||||
|
getClosingPrice: async ({ key }) => {
|
||||||
|
// no-op: not used since stocks don't have a "closing" price, unlike options.
|
||||||
|
return 0;
|
||||||
|
},
|
||||||
|
};
|
||||||
|
|
||||||
|
return {
|
||||||
|
...stockDatabase,
|
||||||
|
getSymbols: stockDatabase.getKeys,
|
||||||
|
};
|
||||||
|
}
|
||||||
|
|
||||||
|
export const stockDatabase: StockDatabase = makeStockDatabase();
|
||||||
Loading…
Reference in New Issue