option aggregate sync statuses usable by ingest script

server/src/scripts/ingest-option-quotes-from-polygon-to-clickhouse.ts

@@ -4,7 +4,17 @@ import pAll from "p-all";
 import pQueue from "p-queue";
 import pSeries from "p-series";
 
-const optionContractToTicker = ({ symbol, expirationDate, strike, type }) =>
+const optionContractToTicker = ({
+  symbol,
+  expirationDate,
+  strike,
+  type,
+}: {
+  symbol: string;
+  expirationDate: string;
+  strike: number;
+  type: "call" | "put";
+}) =>
   `O:${symbol}${expirationDate.substring(2, 4)}${expirationDate.substring(
     5,
     7
@@ -28,11 +38,11 @@ type PolygonResponse = {
   }>;
 };
 async function getOptionAggregates(
-  asOfDate,
-  underlyingSymbol,
-  expirationDate,
-  strike,
-  type
+  asOfDate: string,
+  underlyingSymbol: string,
+  expirationDate: string,
+  strike: number,
+  type: "call" | "put"
 ) {
   const optionContractTicker = optionContractToTicker({
     symbol: underlyingSymbol,
@@ -42,7 +52,7 @@ async function getOptionAggregates(
   });
   // first mark the sync of this particular option contract as "pending":
   await clickhouse.insert({
-    table: "option_aggregate_sync_statuses",
+    table: "amg_option_aggregate_sync_statuses",
     values: [
       {
         asOfDate,
@@ -61,6 +71,10 @@ async function getOptionAggregates(
       `https://api.polygon.io/v2/aggs/ticker/${optionContractTicker}/range/1/minute/${asOfDate}/${asOfDate}?adjusted=false&sort=asc&limit=50000&apiKey=${await getApiKey()}`
     )
   ).json()) as PolygonResponse;
+  if (!latestBatchResponse.results) {
+    console.log(latestBatchResponse);
+    return;
+  }
   let latestBatch = latestBatchResponse.results.map((result) => ({
     symbol: underlyingSymbol,
     expirationDate,
@@ -79,7 +93,7 @@ async function getOptionAggregates(
     format: "JSONEachRow",
   });
   await clickhouse.insert({
-    table: "option_contract_quote_sync_statuses",
+    table: "amg_option_aggregate_sync_statuses",
     values: [
       {
         asOfDate,
@@ -114,16 +128,9 @@ async function getNextBatchOfUnstartedOptionAggregates(
       symbol, 
       expirationDate, 
       strike, 
-      type,
-      last_value(status) as latestStatus
-    FROM (
-      SELECT * 
-      FROM option_aggregate_sync_statuses 
-      ORDER BY ts ASC
-    )
-    GROUP BY asOfDate, symbol, expirationDate, strike, type
-    HAVING latestStatus = 'not-started'
-    AND (
+      type
+    FROM amg_option_aggregate_sync_statuses
+    WHERE (
       (
         asOfDate = '${previousUnstartedOptionContract.asOfDate}'
         AND symbol = '${previousUnstartedOptionContract.symbol}'
@@ -151,6 +158,7 @@ async function getNextBatchOfUnstartedOptionAggregates(
         asOfDate > '${previousUnstartedOptionContract.asOfDate}'
       )
     )
+    AND status = 'not-started'
     ORDER BY asOfDate, symbol, expirationDate, strike, type
     LIMIT ${limit}
   `);
@@ -166,6 +174,7 @@ async function getNextBatchOfUnstartedOptionAggregates(
  */
 async function revertPendingSyncs() {
   const pendingOptionContracts = await query<{
+    asOfDate: string;
     symbol: string;
     expirationDate: string;
     strike: number;
@@ -173,58 +182,69 @@ async function revertPendingSyncs() {
     latestStatus: "not-started" | "pending" | "done";
   }>(`
     SELECT 
+      asOfDate,
       symbol,
       expirationDate,
       strike,
-      type,
-      last_value(status) as latestStatus
-    FROM (
-      SELECT * 
-      FROM option_aggregate_sync_statuses 
-      ORDER BY symbol, expirationDate, strike, type, ts ASC
-    )
-    GROUP BY symbol, expirationDate, strike, type
-    HAVING latestStatus = 'pending'
-    ORDER BY symbol, expirationDate, strike, type
+      type
+    FROM amg_option_aggregate_sync_statuses
+    WHERE status = 'pending'
+    ORDER BY asOfDate, symbol, expirationDate, strike, type
   `);
   console.log(
     "Pending operations:",
     pendingOptionContracts.map(
-      ({ symbol, expirationDate, strike, type }) =>
-        `${symbol} ${expirationDate} ${strike} ${type}`
+      ({ asOfDate, symbol, expirationDate, strike, type }) =>
+        `${symbol} ${expirationDate} ${strike} ${type}  @  ${asOfDate}`
     )
   );
   await pAll(
     pendingOptionContracts.map(
-      ({ symbol, expirationDate, strike, type }) =>
+      ({ asOfDate, symbol, expirationDate, strike, type }) =>
         () =>
           pSeries([
             // Delete option_contracts first, in case this `pAll` operation fails and we need to restart; so `option_contract_sync_statuses` "pending" rows are still there for the restart
             () =>
-              clickhouse.command({
+              clickhouse
+                .command({
                   query: `
                   DELETE FROM option_aggregates 
                   WHERE symbol = '${symbol}' 
                   AND expirationDate = '${expirationDate}'
                   AND strike = ${strike}
                   AND type = '${type}'
+                  AND toDate(tsStart) = '${asOfDate}'
                 `,
+                })
+                .then(() => {
+                  console.log(`Deleted aggregates for `);
                 }),
             () =>
-              clickhouse.command({
-                query: `
-                  DELETE FROM option_aggregate_sync_statuses 
-                  WHERE symbol = '${symbol}' 
-                  AND expirationDate = '${expirationDate}'
-                  AND strike = ${strike}
-                  AND type = '${type}'
-                  AND status = 'pending'`,
+              clickhouse
+                .insert({
+                  table: "amg_option_aggregate_sync_statuses",
+                  values: [
+                    {
+                      asOfDate,
+                      symbol,
+                      expirationDate,
+                      strike,
+                      type,
+                      status: "not-started",
+                    },
+                  ],
+                  format: "JSONEachRow",
+                })
+                .then(() => {
+                  console.log();
                 }),
           ])
     )
   );
 }
-//await revertPendingSyncs();
+
+// First, revert 'pending' syncs:
+await revertPendingSyncs();
 
 /** Second, for each option contract, get all of its quotes.
  *
@@ -236,7 +256,7 @@ const q = new pQueue({ concurrency: 6 });
  */
 let nextBatchOfUnstartedOptionContracts: Array<OptionContractDay> = [
   {
-    asOfDate: "2022-02-01",
+    asOfDate: "2022-03-15",
     symbol: "A",
     expirationDate: "2022-02-01",
     strike: 0,
@@ -255,15 +275,15 @@ while (
       (unstartedOptionContract) => () =>
         q.add(async () => {
           console.log(
-            `Getting aggregates for ${unstartedOptionContract.asOfDate} ${unstartedOptionContract.symbol} at ${unstartedOptionContract.expirationDate} ${unstartedOptionContract.strike} ${unstartedOptionContract.type}`
+            `Getting aggregates for ${unstartedOptionContract.symbol} ${unstartedOptionContract.expirationDate} ${unstartedOptionContract.strike} ${unstartedOptionContract.type}  @  ${unstartedOptionContract.asOfDate}`
+          );
+          await getOptionAggregates(
+            unstartedOptionContract.asOfDate,
+            unstartedOptionContract.symbol,
+            unstartedOptionContract.expirationDate,
+            unstartedOptionContract.strike,
+            unstartedOptionContract.type
           );
-          // await getOptionAggregates(
-          //   unstartedOptionContract.asOfDate,
-          //   unstartedOptionContract.symbol,
-          //   unstartedOptionContract.expirationDate,
-          //   unstartedOptionContract.strike,
-          //   unstartedOptionContract.type
-          // );
         })
     )
   );

server/tables.sql

@@ -67,6 +67,23 @@ SELECT
   now() as ts
 FROM option_contracts;
 
+CREATE TABLE amg_option_aggregate_sync_statuses (
+  asOfDate Date,
+  symbol LowCardinality(String),
+  expirationDate Date,
+  strike Float32,
+  type ENUM('call', 'put'),
+  status SimpleAggregateFunction(anyLast, ENUM('not-started','pending','done')),
+  ts DateTime64 DEFAULT now()
+) 
+ENGINE=AggregatingMergeTree 
+ORDER BY (asOfDate, symbol, expirationDate, strike, type, ts);
+
+INSERT INTO amg_option_aggregate_sync_statuses
+SELECT asOfDate, symbol, expirationDate, strike, type, status, ts 
+FROM option_aggregate_sync_statuses 
+ORDER BY asOfDate, symbol, expirationDate, strike, type, ts;
+
 -- END: Option Contract Quotes
 
 CREATE TABLE stock_aggregates