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calendar-optimizer
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refactor

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avraham 7 months ago
parent 82915fb0b5
commit 7bca5e701d
7 changed files with 333 additions and 310 deletions
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1
.tool-versions
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nodejs 20.15.1 nodejs 20.15.1
python 3.12.4 python 3.12.4
pnpm 9.7.1

87
server/src/CalendarCharacteristicsForm.ts
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import { query } from "./lib/clickhouse";
import { publicProcedure, RpcType, router } from "./trpc";
import {
Object as ObjectT,
String as StringT,
Number as NumberT,
} from "@sinclair/typebox";
/** Gets a list of symbols that have at least one option contract */
export const getAvailableUnderlyings = publicProcedure.query(async (opts) => {
// return (
// await query<{ symbol: string }>(`
// 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"];
});
export const getAvailableAsOfDates = publicProcedure
.input(RpcType(ObjectT({ underlying: StringT() })))
.query(async (opts) => {
const underlying = opts.input.underlying;
return (
await query<{ asOfDate: string }>(`
SELECT
DISTINCT(asOfDate) as asOfDate
FROM option_contract_existences
WHERE symbol = '${underlying}'
ORDER BY asOfDate
`)
).map(({ asOfDate }) => asOfDate);
});
export const getExpirationsForUnderlying = publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
asOfDate: StringT(),
})
)
)
.query(async (opts) => {
const { underlying, asOfDate } = opts.input;
return (
await query<{ expirationDate: string }>(`
SELECT
DISTINCT(expirationDate) as expirationDate
FROM option_contract_existences
WHERE symbol = '${underlying}'
AND asOfDate = '${asOfDate}'
ORDER BY expirationDate
`)
).map(({ expirationDate }) => expirationDate);
});
export const getStrikesForUnderlying = publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
asOfDate: StringT(),
expirationDate: StringT(),
})
)
)
.query(async (opts) => {
const { underlying, asOfDate, expirationDate } = opts.input;
return (
await query<{ strike: string }>(`
SELECT
DISTINCT(strike) as strike
FROM option_contract_existences
WHERE symbol = '${underlying}'
AND asOfDate = '${asOfDate}'
AND expirationDate = '${expirationDate}'
ORDER BY strike
`)
).map(({ strike }) => strike);
});
export default router({
getAvailableUnderlyings,
getAvailableAsOfDates,
getExpirationsForUnderlying,
getStrikesForUnderlying,
});

54
server/src/CalendarExitPriceChart.ts
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import { query } from "./lib/clickhouse";
import { publicProcedure, RpcType, router } from "./trpc";
import {
Object as ObjectT,
String as StringT,
Number as NumberT,
} from "@sinclair/typebox";
export const getChartData = publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
daysToFrontExpiration: NumberT(),
daysBetweenFrontAndBackExpiration: NumberT(),
lookbackPeriodStart: StringT({
pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}",
}),
lookbackPeriodEnd: StringT({ pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}" }),
})
)
)
.query(async (opts) => {
const {
underlying,
daysToFrontExpiration,
daysBetweenFrontAndBackExpiration,
lookbackPeriodStart,
lookbackPeriodEnd,
} = 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'
GROUP BY x, y
ORDER BY x ASC, y ASC
`,
"JSONEachRow"
);
});
export default router({
getChartData,
});

55
server/src/SimilarCalendarPriceChart.ts
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import { query } from "./lib/clickhouse";
import { publicProcedure, RpcType, router } from "./trpc";
import {
Object as ObjectT,
String as StringT,
Number as NumberT,
} from "@sinclair/typebox";
/** Returns prices for all matching calendars (i.e. those with similar
* characteristics to those given) */
export const getChartData = publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
daysToFrontExpiration: NumberT(),
daysBetweenFrontAndBackExpiration: NumberT(),
strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
lookbackPeriodStart: StringT(),
lookbackPeriodEnd: StringT(),
})
)
)
.query(async (opts) => {
const {
underlying,
daysToFrontExpiration,
daysBetweenFrontAndBackExpiration,
strikePercentageFromUnderlyingPriceRangeMin,
strikePercentageFromUnderlyingPriceRangeMax,
lookbackPeriodStart,
lookbackPeriodEnd,
} = 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'
`,
"JSONEachRow"
);
});
export default router({
getChartData,
});

34
server/src/UnderlyingPriceChart.ts
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import { query } from "./lib/clickhouse";
import { publicProcedure, RpcType, router } from "./trpc";
import { Object as ObjectT, String as StringT } from "@sinclair/typebox";
export const getChartData = publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
lookbackPeriodStart: StringT(),
lookbackPeriodEnd: StringT(),
})
)
)
.query(async (opts) => {
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"
);
});
export default router({
getChartData,
});

277
server/src/index.ts
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import { publicProcedure, router } from "./trpc.js"; import { publicProcedure, router, RpcType } from "./trpc.js";
import { query } from "./lib/clickhouse.js"; import { query } from "./lib/clickhouse.js";
import { createHTTPHandler } from "@trpc/server/adapters/standalone"; import { createHTTPHandler } from "@trpc/server/adapters/standalone";
import cors from "cors"; import cors from "cors";
import { import {
Object as ObjectT, Object as ObjectT,
String as StringT, String as StringT,
type TSchema,
Number as NumberT, Number as NumberT,
} from "@sinclair/typebox"; } from "@sinclair/typebox";
import { TypeCompiler } from "@sinclair/typebox/compiler";
import { TRPCError } from "@trpc/server";
import { createServer } from "node:http"; import { createServer } from "node:http";
import { Env } from "@humanwhocodes/env"; import { Env } from "@humanwhocodes/env";
import UnderlyingPriceChart from "./UnderlyingPriceChart.js";
import SimilarCalendarPriceChart from "./SimilarCalendarPriceChart.js";
import CalendarExitPriceChart from "./CalendarExitPriceChart.js";
import CalendarCharacteristicsForm from "./CalendarCharacteristicsForm.js";
const env = new Env(); const env = new Env();
const LISTEN_PORT = env.get("LISTEN_PORT", 3005); const LISTEN_PORT = env.get("LISTEN_PORT", 3005);
/** export const getOpensForUnderlying = publicProcedure
* Generate a TRPC-compatible validator function given a Typebox schema.
* This was copied from [https://github.com/sinclairzx81/typebox/blob/6cfcdc02cc813af2f1be57407c771fc4fadfc34a/example/trpc/readme.md].
* @param schema A Typebox schema
* @returns A TRPC-compatible validator function
*/
export function RpcType<T extends TSchema>(schema: T) {
const check = TypeCompiler.Compile(schema);
return (value: unknown) => {
if (check.Check(value)) return value;
const { path, message } = check.Errors(value).First();
throw new TRPCError({
message: `${message} for ${path}`,
code: "BAD_REQUEST",
});
};
}
const appRouter = router({
getAvailableUnderlyings: publicProcedure.query(async (opts) => {
// return (
// await query<{ symbol: string }>(`
// SELECT DISTINCT(symbol) as symbol FROM option_contract_existences WHERE asOfDate = (SELECT max(asOfDate) FROM option_contract_existences)
// `)
// ).map(({ symbol }) => symbol);
return ["AAPL", "AMD", "GOOGL", "MSFT", "NFLX"];
}),
getAvailableAsOfDates: publicProcedure
.input(RpcType(ObjectT({ underlying: StringT() })))
.query(async (opts) => {
const underlying = opts.input.underlying;
return (
await query<{ asOfDate: string }>(`
SELECT
DISTINCT(asOfDate) as asOfDate
FROM option_contract_existences
WHERE symbol = '${underlying}'
ORDER BY asOfDate
`)
).map(({ asOfDate }) => asOfDate);
}),
getExpirationsForUnderlying: publicProcedure
.input( .input(
RpcType( RpcType(
ObjectT({ ObjectT({
underlying: StringT({ maxLength: 5 }), underlying: StringT({ maxLength: 5 }),
asOfDate: StringT(), })
}),
),
) )
.query(async (opts) => {
const { underlying, asOfDate } = opts.input;
return (
await query<{ expirationDate: string }>(`
SELECT
DISTINCT(expirationDate) as expirationDate
FROM option_contract_existences
WHERE symbol = '${underlying}'
AND asOfDate = '${asOfDate}'
ORDER BY expirationDate
`)
).map(({ expirationDate }) => expirationDate);
}),
getStrikesForUnderlying: publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
asOfDate: StringT(),
expirationDate: StringT(),
}),
),
)
.query(async (opts) => {
const { underlying, asOfDate, expirationDate } = opts.input;
return (
await query<{ strike: string }>(`
SELECT
DISTINCT(strike) as strike
FROM option_contract_existences
WHERE symbol = '${underlying}'
AND asOfDate = '${asOfDate}'
AND expirationDate = '${expirationDate}'
ORDER BY strike
`)
).map(({ strike }) => strike);
}),
getOpensForUnderlying: publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
}),
),
) )
.query(async (opts) => { .query(async (opts) => {
const { underlying } = opts.input; const { underlying } = opts.input;
@ -123,18 +37,19 @@ const appRouter = router({
WHERE symbol = '${underlying}' WHERE symbol = '${underlying}'
ORDER BY tsStart ASC ORDER BY tsStart ASC
`, `,
"JSONEachRow", "JSONEachRow"
); );
}), });
getOpensForOptionContract: publicProcedure
export const getOpensForOptionContract = publicProcedure
.input( .input(
RpcType( RpcType(
ObjectT({ ObjectT({
underlying: StringT({ maxLength: 5 }), underlying: StringT({ maxLength: 5 }),
expirationDate: StringT(), expirationDate: StringT(),
strike: NumberT(), strike: NumberT(),
}), })
), )
) )
.query(async (opts) => { .query(async (opts) => {
const { underlying, expirationDate, strike } = opts.input; const { underlying, expirationDate, strike } = opts.input;
@ -150,162 +65,18 @@ const appRouter = router({
AND type = 'call' AND type = 'call'
ORDER BY tsStart ASC ORDER BY tsStart ASC
`, `,
"JSONEachRow", "JSONEachRow"
);
}),
getHistoricalCalendarPrices: publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
daysToFrontExpiration: NumberT(),
daysBetweenFrontAndBackExpiration: NumberT(),
strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
}),
),
)
.query(async (opts) => {
const {
underlying,
daysToFrontExpiration,
daysBetweenFrontAndBackExpiration,
strikePercentageFromUnderlyingPriceRangeMin,
strikePercentageFromUnderlyingPriceRangeMax,
} = opts.input;
return (
await query<[number, number]>(
`
SELECT
toUnixTimestamp(tsStart) as asOfTs,
calendarPrice
FROM calendar_histories
WHERE symbol = '${underlying}'
AND daysToFrontExpiration = ${daysToFrontExpiration}
AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
`,
"JSONCompactEachRow",
)
).reduce(
(columns, row) => {
columns[0].push(row[0]);
columns[1].push(row[1]);
return columns;
},
[[], []],
); );
}), });
getHistoricalStockQuoteChartData: publicProcedure
.input( const appRouter = router({
RpcType( CalendarCharacteristicsForm,
ObjectT({ UnderlyingPriceChart,
underlying: StringT({ maxLength: 5 }), SimilarCalendarPriceChart,
lookbackPeriodStart: StringT(), CalendarExitPriceChart,
lookbackPeriodEnd: StringT(),
}), getOpensForUnderlying,
), getOpensForOptionContract,
)
.query(async (opts) => {
const { underlying, lookbackPeriodStart, lookbackPeriodEnd } = opts.input;
return await query<[number, number]>(
`
SELECT
toUnixTimestamp(tsStart) as x,
open as y
FROM stock_aggregates
WHERE symbol = '${underlying}'
AND tsStart >= '${lookbackPeriodStart} 00:00:00'
AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
ORDER BY x ASC
`,
"JSONEachRow",
);
}),
getHistoricalCalendarQuoteChartData: publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
daysToFrontExpiration: NumberT(),
daysBetweenFrontAndBackExpiration: NumberT(),
strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
lookbackPeriodStart: StringT(),
lookbackPeriodEnd: StringT(),
}),
),
)
.query(async (opts) => {
const {
underlying,
daysToFrontExpiration,
daysBetweenFrontAndBackExpiration,
strikePercentageFromUnderlyingPriceRangeMin,
strikePercentageFromUnderlyingPriceRangeMax,
lookbackPeriodStart,
lookbackPeriodEnd,
} = 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 <= '${lookbackPeriodEnd} 00:00:00'
`,
"JSONEachRow",
);
}),
getHistoricalCalendarExitQuoteChartData: publicProcedure
.input(
RpcType(
ObjectT({
underlying: StringT({ maxLength: 5 }),
daysToFrontExpiration: NumberT(),
daysBetweenFrontAndBackExpiration: NumberT(),
lookbackPeriodStart: StringT({
pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}",
}),
lookbackPeriodEnd: StringT({ pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}" }),
}),
),
)
.query(async (opts) => {
const {
underlying,
daysToFrontExpiration,
daysBetweenFrontAndBackExpiration,
lookbackPeriodStart,
lookbackPeriodEnd,
} = opts.input;
return await query<[number, number, number]>(
`
SELECT
FLOOR(strikePercentageFromUnderlyingPrice, 1) as x,
FLOOR(calendarPrice, 1) as y,
count(*) as n
FROM calendar_histories
WHERE symbol = '${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'
GROUP BY x, y
ORDER BY x ASC, y ASC
`,
"JSONEachRow",
);
}),
}); });
// Export type router type signature, // Export type router type signature,

27
server/src/trpc.ts
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import { initTRPC } from '@trpc/server'; import { initTRPC } from "@trpc/server";
  import { TypeCompiler } from "@sinclair/typebox/compiler";
import { TRPCError } from "@trpc/server";
import type { TSchema } from "@sinclair/typebox";
/** /**
* Initialization of tRPC backend * Initialization of tRPC backend
* Should be done only once per backend! * Should be done only once per backend!
*/ */
const t = initTRPC.create(); const t = initTRPC.create();
 
/** /**
* Export reusable router and procedure helpers * Export reusable router and procedure helpers
* that can be used throughout the router * that can be used throughout the router
*/ */
export const router = t.router; export const router = t.router;
export const publicProcedure = t.procedure; export const publicProcedure = t.procedure;
/**
* Generate a TRPC-compatible validator function given a Typebox schema.
* This was copied from [https://github.com/sinclairzx81/typebox/blob/6cfcdc02cc813af2f1be57407c771fc4fadfc34a/example/trpc/readme.md].
* @param schema A Typebox schema
* @returns A TRPC-compatible validator function
*/
export function RpcType<T extends TSchema>(schema: T) {
const check = TypeCompiler.Compile(schema);
return (value: unknown) => {
if (check.Check(value)) return value;
const { path, message } = check.Errors(value).First();
throw new TRPCError({
message: `${message} for ${path}`,
code: "BAD_REQUEST",
});
};
}

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