From 64a5172ea81f0b505f17d06c68d52aaa531c1c84 Mon Sep 17 00:00:00 2001
From: avraham <briansakal@gmail.com>
Date: Fri, 7 Feb 2025 09:23:47 -0500
Subject: [PATCH] use new clickhouse tables

---
 server/src/CalendarCharacteristicsForm.ts |  2 +-
 server/src/CalendarExitPriceChart.ts      | 23 +++++++++++------------
 server/src/SimilarCalendarPriceChart.ts   | 21 ++++++++++-----------
 server/src/StockPriceChart.ts             | 11 ++++++-----
 4 files changed, 28 insertions(+), 29 deletions(-)

diff --git a/server/src/CalendarCharacteristicsForm.ts b/server/src/CalendarCharacteristicsForm.ts
index ccb172b..2357e2e 100644
--- a/server/src/CalendarCharacteristicsForm.ts
+++ b/server/src/CalendarCharacteristicsForm.ts
@@ -13,7 +13,7 @@ export const getAvailableUnderlyings = publicProcedure.query(async (opts) => {
   //   SELECT DISTINCT(symbol) as symbol FROM option_contract_existences WHERE asOfDate = (SELECT max(asOfDate) FROM option_contract_existences)
   // `)
   // ).map(({ symbol }) => symbol);
-  return ["AAPL", "AMD", "GOOGL", "MSFT", "NFLX"];
+  return ["SPY"];
 });
 
 export const getAvailableAsOfDates = publicProcedure
diff --git a/server/src/CalendarExitPriceChart.ts b/server/src/CalendarExitPriceChart.ts
index 4e3e423..f2fb205 100644
--- a/server/src/CalendarExitPriceChart.ts
+++ b/server/src/CalendarExitPriceChart.ts
@@ -30,18 +30,17 @@ export const getChartData = publicProcedure
     } = opts.input;
     return await query<[number, number, number]>(
       `
-		 SELECT
-			 FLOOR(strikePercentageFromUnderlyingPrice, 1) as x,
-			 FLOOR(calendarPrice, 1) as y,
-			 count(*) as n
-		 FROM calendar_histories
-		 WHERE symbol = '${underlying}'
-		 AND daysToFrontExpiration = ${daysToFrontExpiration}
-		 AND strikePercentageFromUnderlyingPrice >= -5.0
-		 AND strikePercentageFromUnderlyingPrice <= 5.0
-		 AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
-		 AND tsStart >= '${lookbackPeriodStart} 00:00:00'
-		 AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
+     SELECT
+			 moniness as x,
+			 FLOOR(price, 1) as y,
+			 sum(number_of_quotes) as n
+		 FROM calendar_stats
+		 WHERE dte = ${daysToFrontExpiration}
+		 AND moniness >= -0.05
+		 AND moniness <= 0.05
+		 AND span = ${daysBetweenFrontAndBackExpiration}
+		 AND date >= '${lookbackPeriodStart}'
+		 AND date <= '${lookbackPeriodEnd}'
 		 GROUP BY x, y
 		 ORDER BY x ASC, y ASC
 	 `,
diff --git a/server/src/SimilarCalendarPriceChart.ts b/server/src/SimilarCalendarPriceChart.ts
index 3407592..21e1f45 100644
--- a/server/src/SimilarCalendarPriceChart.ts
+++ b/server/src/SimilarCalendarPriceChart.ts
@@ -34,17 +34,16 @@ export const getChartData = publicProcedure
     } = opts.input;
     return await query<[number, number]>(
       `
-		 SELECT
-			 toUnixTimestamp(tsStart) as x,
-			 truncate(calendarPrice, 2) as y
-		 FROM calendar_histories
-		 WHERE symbol = '${underlying}'
-		 AND daysToFrontExpiration = ${daysToFrontExpiration}
-		 AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
-		 AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
-		 AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
-		 AND tsStart >= '${lookbackPeriodStart} 00:00:00'
-		 AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
+     SELECT
+			 toUnixTimestamp(date) as x,
+			 price as y
+		 FROM calendar_stats
+		 WHERE dte = ${daysToFrontExpiration}
+		 AND moniness >= ${strikePercentageFromUnderlyingPriceRangeMin}
+		 AND moniness <= ${strikePercentageFromUnderlyingPriceRangeMax}
+		 AND span = ${daysBetweenFrontAndBackExpiration}
+		 AND date >= '${lookbackPeriodStart}'
+		 AND date <= '${lookbackPeriodEnd}'
 	 `,
       "JSONEachRow"
     );
diff --git a/server/src/StockPriceChart.ts b/server/src/StockPriceChart.ts
index eb12218..78a6649 100644
--- a/server/src/StockPriceChart.ts
+++ b/server/src/StockPriceChart.ts
@@ -17,12 +17,13 @@ export const getChartData = publicProcedure
     return await query<[number, number]>(
       `
 		 SELECT
-			 toUnixTimestamp(tsStart) as x,
-			 open as y
-		 FROM stock_aggregates
+			 toUnixTimestamp(toStartOfHour(ts)) as x,
+			 avg(price) as y
+		 FROM stock_aggregates_filled
 		 WHERE symbol = '${underlying}'
-		 AND tsStart >= '${lookbackPeriodStart} 00:00:00'
-		 AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
+		 AND ts >= '${lookbackPeriodStart} 00:00:00'
+		 AND ts <= '${lookbackPeriodEnd} 00:00:00'
+     GROUP BY x
 		 ORDER BY x ASC
 	 `,
       "JSONEachRow"