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calendar-optimizer
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add dev envs; add `lookbackPeriod`

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main
Avraham Sakal 1 year ago
parent dc63f31647
commit 63185f485f
11 changed files with 82 additions and 5 deletions
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1
frontend/.env.development
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@ -0,0 +1 @@
VITE_SERVER_BASE_URL=http://127.0.0.1:3005

1
frontend/package.json
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@ -10,6 +10,7 @@
"@preact/signals": "^1.2.2",
"@trpc/client": "^10.45.0",
"chart.js": "^4.4.1",
"dotenv": "^16.4.1",
"preact": "^10.13.1",
"preact-iso": "^2.3.2",
"preact-render-to-string": "^6.3.1",

8
frontend/pnpm-lock.yaml
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@ -14,6 +14,9 @@ dependencies:
chart.js:
specifier: ^4.4.1
version: 4.4.1
dotenv:
specifier: ^16.4.1
version: 16.4.1
preact:
specifier: ^10.13.1
version: 10.19.3
@ -724,6 +727,11 @@ packages:
domhandler: 5.0.3
dev: true
/dotenv@16.4.1:
resolution: {integrity: sha512-CjA3y+Dr3FyFDOAMnxZEGtnW9KBR2M0JvvUtXNW+dYJL5ROWxP9DUHCwgFqpMk0OXCc0ljhaNTr2w/kutYIcHQ==}
engines: {node: '>=12'}
dev: false
/electron-to-chromium@1.4.623:
resolution: {integrity: sha512-lKoz10iCYlP1WtRYdh5MvocQPWVRoI7ysp6qf18bmeBgR8abE6+I2CsfyNKztRDZvhdWc+krKT6wS7Neg8sw3A==}
dev: true

7
frontend/src/env.ts
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@ -0,0 +1,7 @@
import dotenv from 'dotenv';
if(process.env.NODE_DEV==="development"){
dotenv.config({ path:"../.env.development" });
}
export default null;

1
frontend/src/index.tsx
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@ -1,3 +1,4 @@
import _ from './env';
import { render } from 'preact';
import { LocationProvider, Router, Route } from 'preact-iso';

28
frontend/src/pages/HistoricalCalendarPrices/HistoricalCalendarPrices.tsx
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@ -32,12 +32,17 @@ const historicalCalendarQuoteChartData = signal([]);
const historicalCalendarExitQuoteChartData = signal([]);
const chosenLookbackPeriodStart = signal("2022-01-01");
const chosenLookbackPeriodEnd = signal("2024-01-01");
export function HistoricalCalendarPrices(){
const refreshHistoricalStockQuoteChartData = useCallback(()=>{
trpc.getHistoricalStockQuoteChartData
.query({
underlying:chosenUnderlying.value,
lookbackPeriodStart:chosenLookbackPeriodStart.value,
lookbackPeriodEnd:chosenLookbackPeriodEnd.value,
})
.then((getHistoricalStockQuoteChartDataResponse)=>{
historicalStockQuoteChartData.value = getHistoricalStockQuoteChartDataResponse;
@ -51,6 +56,8 @@ export function HistoricalCalendarPrices(){
daysBetweenFrontAndBackExpiration:chosenDaysBetweenFrontAndBackExpiration.value,
strikePercentageFromUnderlyingPriceRangeMin:chosenStrikePercentageFromUnderlyingPrice.value - chosenStrikePercentageFromUnderlyingPriceRadius.value,
strikePercentageFromUnderlyingPriceRangeMax:chosenStrikePercentageFromUnderlyingPrice.value + chosenStrikePercentageFromUnderlyingPriceRadius.value,
lookbackPeriodStart:chosenLookbackPeriodStart.value,
lookbackPeriodEnd:chosenLookbackPeriodEnd.value,
})
.then((getHistoricalCalendarQuoteChartDataResponse)=>{
historicalCalendarQuoteChartData.value = getHistoricalCalendarQuoteChartDataResponse;
@ -62,6 +69,8 @@ export function HistoricalCalendarPrices(){
underlying:chosenUnderlying.value,
daysToFrontExpiration:chosenExitToFrontExpiration.value,
daysBetweenFrontAndBackExpiration:chosenDaysBetweenFrontAndBackExpiration.value,
lookbackPeriodStart:chosenLookbackPeriodStart.value,
lookbackPeriodEnd:chosenLookbackPeriodEnd.value,
})
.then((getHistoricalCalendarExitQuoteChartDataResponse)=>{
historicalCalendarExitQuoteChartData.value = getHistoricalCalendarExitQuoteChartDataResponse;
@ -106,6 +115,19 @@ export function HistoricalCalendarPrices(){
refreshHistoricalCalendarExitQuoteChartData();
},[]);
const handleLookbackPeriodStartChange = useCallback((e)=>{
chosenLookbackPeriodStart.value = e.target.value;
refreshHistoricalStockQuoteChartData();
refreshHistoricalCalendarQuoteChartData();
refreshHistoricalCalendarExitQuoteChartData();
},[]);
const handleLookbackPeriodEndChange = useCallback((e)=>{
chosenLookbackPeriodEnd.value = e.target.value;
refreshHistoricalStockQuoteChartData();
refreshHistoricalCalendarQuoteChartData();
refreshHistoricalCalendarExitQuoteChartData();
},[]);
useEffect(handleInit, []);
return (
@ -145,6 +167,12 @@ export function HistoricalCalendarPrices(){
<input type="text" onChange={handleExitToFrontExpirationChange} value={chosenExitToFrontExpiration.value} />
Days
</div>
<div>
<label>Lookback Period</label>
<input type="text" onChange={handleLookbackPeriodStartChange} value={chosenLookbackPeriodStart.value} />
-
<input type="text" onChange={handleLookbackPeriodEndChange} value={chosenLookbackPeriodEnd.value} />
</div>
<div className="chart-container">
{chosenUnderlying.value!==null && historicalStockQuoteChartData.value.length>0
? <div className="chart">

2
server/.env.development
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@ -0,0 +1,2 @@
CLICKHOUSE_HOST=http://localhost:8123
LISTEN_PORT=3005

3
server/package.json
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@ -12,7 +12,8 @@
"@clickhouse/client": "^0.2.7",
"@sinclair/typebox": "^0.32.5",
"@trpc/server": "^10.45.0",
"cors": "^2.8.5"
"cors": "^2.8.5",
"dotenv": "^16.4.1"
},
"devDependencies": {
"@types/cors": "^2.8.17",

8
server/pnpm-lock.yaml
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@ -17,6 +17,9 @@ dependencies:
cors:
specifier: ^2.8.5
version: 2.8.5
dotenv:
specifier: ^16.4.1
version: 16.4.1
devDependencies:
'@types/cors':
@ -386,6 +389,11 @@ packages:
object-keys: 1.1.1
dev: true
/dotenv@16.4.1:
resolution: {integrity: sha512-CjA3y+Dr3FyFDOAMnxZEGtnW9KBR2M0JvvUtXNW+dYJL5ROWxP9DUHCwgFqpMk0OXCc0ljhaNTr2w/kutYIcHQ==}
engines: {node: '>=12'}
dev: false
/error-ex@1.3.2:
resolution: {integrity: sha512-7dFHNmqeFSEt2ZBsCriorKnn3Z2pj+fd9kmI6QoWw4//DL+icEBfc0U7qJCisqrTsKTjw4fNFy2pW9OqStD84g==}
dependencies:

7
server/src/env.ts
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@ -0,0 +1,7 @@
import dotenv from 'dotenv';
if(process.env.NODE_DEV==="development"){
dotenv.config({ path:"../.env.development" });
}
export default null;

21
server/src/index.ts
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@ -1,6 +1,7 @@
import _ from './env';
import { publicProcedure, router } from './trpc.js';
import { query } from './clickhouse.js';
import { createHTTPHandler, createHTTPServer } from '@trpc/server/adapters/standalone';
import { createHTTPHandler } from '@trpc/server/adapters/standalone';
import cors from 'cors';
import { Object as ObjectT, String as StringT, TSchema, Number as NumberT } from '@sinclair/typebox';
import { TypeCompiler } from '@sinclair/typebox/compiler';
@ -140,15 +141,19 @@ const appRouter = router({
getHistoricalStockQuoteChartData: publicProcedure
.input(RpcType(ObjectT({
underlying:StringT(),
lookbackPeriodStart:StringT(),
lookbackPeriodEnd:StringT(),
})))
.query(async (opts)=>{
const {underlying, } = opts.input;
const { underlying, lookbackPeriodStart, lookbackPeriodEnd } = opts.input;
return (await query<[number,number]>(`
SELECT
toUnixTimestamp(tsStart) as x,
open as y
FROM stock_aggregates
WHERE symbol = '${underlying}'
AND tsStart >= '${lookbackPeriodStart} 00:00:00'
AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
ORDER BY x ASC
`,'JSONEachRow'));
}),
@ -159,9 +164,11 @@ const appRouter = router({
daysBetweenFrontAndBackExpiration:NumberT(),
strikePercentageFromUnderlyingPriceRangeMin:NumberT(),
strikePercentageFromUnderlyingPriceRangeMax:NumberT(),
lookbackPeriodStart:StringT(),
lookbackPeriodEnd:StringT(),
})))
.query(async (opts)=>{
const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPriceRangeMin, strikePercentageFromUnderlyingPriceRangeMax, } = opts.input;
const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPriceRangeMin, strikePercentageFromUnderlyingPriceRangeMax, lookbackPeriodStart, lookbackPeriodEnd, } = opts.input;
return (await query<[number,number]>(`
SELECT
toUnixTimestamp(tsStart) as x,
@ -172,6 +179,8 @@ const appRouter = router({
AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
AND tsStart >= '${lookbackPeriodStart} 00:00:00'
AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
`,'JSONEachRow'));
}),
getHistoricalCalendarExitQuoteChartData: publicProcedure
@ -179,9 +188,11 @@ const appRouter = router({
underlying:StringT(),
daysToFrontExpiration:NumberT(),
daysBetweenFrontAndBackExpiration:NumberT(),
lookbackPeriodStart:StringT(),
lookbackPeriodEnd:StringT(),
})))
.query(async (opts)=>{
const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, } = opts.input;
const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, lookbackPeriodStart, lookbackPeriodEnd, } = opts.input;
return (await query<[number,number]>(`
SELECT
FLOOR(strikePercentageFromUnderlyingPrice, 1) as x,
@ -192,6 +203,8 @@ const appRouter = router({
AND strikePercentageFromUnderlyingPrice >= -5.0
AND strikePercentageFromUnderlyingPrice <= 5.0
AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
AND tsStart >= '${lookbackPeriodStart} 00:00:00'
AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
ORDER BY x ASC
`,'JSONEachRow'));
}),

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