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@ -1,26 +1,106 @@
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import { clickhouse, query } from "../clickhouse.js";
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import { getApiKey } from "./polygon.js";
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import pAll from 'p-all';
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import pQueue from 'p-queue';
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type PolygonResponse = {next_url?:string, results:Array<{ticker:string}>};
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type PolygonResponse = {next_url?:string, results:Array<{ticker:string, expiration_date:string, strike_price:number, contract_type:'call'|'put'}>};
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async function getOptionContracts(underlyingSymbol, asOfDate){
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let latestBatch = await (await fetch(`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${underlyingSymbol}&as_of=${asOfDate}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
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console.log(latestBatch.results.map((r)=>r.ticker));
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while(latestBatch.hasOwnProperty('next_url')){
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latestBatch = await (await fetch(`${latestBatch.next_url}&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
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console.log(latestBatch.results.map((r)=>r.ticker));
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// first mark the sync of this particular symbol and asOfDate as "pending":
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await clickhouse.insert({
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table: 'option_contract_sync_statuses',
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values: [{symbol: underlyingSymbol, asOfDate, status: 'pending'}],
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format: 'JSONEachRow',
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});
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// then commence the sync with the initial request:
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let latestBatchResponse = await (await fetch(`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${underlyingSymbol}&as_of=${asOfDate}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
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let latestBatch = latestBatchResponse.results
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.map((result)=>({
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate: result.expiration_date,
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strike: result.strike_price,
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type: result.contract_type,
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}));
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await clickhouse.insert({
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table: 'option_contracts',
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values: latestBatch,
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format: 'JSONEachRow',
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});
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//console.log(latestBatch.results.map((r)=>r.ticker));
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// as long as there's a `next_url`, call that:
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while(latestBatchResponse.hasOwnProperty('next_url')){
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latestBatchResponse = await (await fetch(`${latestBatchResponse.next_url}&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
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latestBatch = latestBatchResponse.results
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.map((result)=>({
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate: result.expiration_date,
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strike: result.strike_price,
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type: result.contract_type,
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}));
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//console.log(latestBatch.results.map((r)=>r.ticker));
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await clickhouse.insert({
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table: 'option_contracts',
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values: latestBatch,
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format: 'JSONEachRow',
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});
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}
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await clickhouse.insert({
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table: 'option_contract_sync_statuses',
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values: [{symbol: underlyingSymbol, asOfDate, status: 'done'}],
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format: 'JSONEachRow',
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});
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}
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//await getOptionContracts('AAPL','2024-01-30');
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async function getNextUnstartedSymbolAndAsOfDate(previousUnstartedSymbolAndAsOfDate:{symbol:string, asOfDate:string}){
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const rows = await query<{symbol:string, earliestAsOfDate:string}>(`
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SELECT
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symbol,
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first_value(asOfDate) as earliestAsOfDate
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FROM (
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SELECT
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symbol,
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asOfDate,
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last_value(status) as latestStatus
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FROM (
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SELECT *
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FROM option_contract_sync_statuses
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ORDER BY asOfDate ASC, symbol ASC
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)
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GROUP BY symbol, asOfDate
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HAVING latestStatus = 'not-started'
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ORDER BY symbol ASC, asOfDate ASC
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)
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GROUP BY symbol
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HAVING (
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symbol = '${previousUnstartedSymbolAndAsOfDate.symbol}'
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AND asOfDate > '${previousUnstartedSymbolAndAsOfDate.asOfDate}'
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)
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OR (
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symbol > '${previousUnstartedSymbolAndAsOfDate.symbol}'
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)
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ORDER BY symbol ASC
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LIMIT 1
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`);
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if(rows.length === 0){
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return null;
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}
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else{
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return {
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symbol: rows[0].symbol,
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asOfDate: rows[0].earliestAsOfDate,
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}
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}
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}
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/**
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* For each symbol in `symbols` table, check the latest `asOfDate`
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* in `symbol_sync_statuses` for that symbol. Then fill-in the rest
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* in `option_contract_sync_statuses` for that symbol. Then fill-in the rest
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* of the dates until today's date.
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*/
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async function fillSyncStatuses(){
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const symbols = (await query(`
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const symbols = (await query<{symbol:string}>(`
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SELECT symbol from symbols
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`)).map(({symbol})=>symbol);
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@ -30,11 +110,11 @@ async function fillSyncStatuses(){
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()=>query<{latestAsOfDate:string}>(`
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SELECT
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latestAsOfDate
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FROM(
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FROM (
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SELECT last_value(asOfDate) as latestAsOfDate
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FROM (
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SELECT *
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FROM symbol_sync_statuses
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FROM option_contract_sync_statuses
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WHERE symbol = '${symbol}'
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ORDER BY asOfDate ASC
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)
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@ -43,7 +123,7 @@ async function fillSyncStatuses(){
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`).then((rows)=>
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clickhouse.command({
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query: `
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INSERT INTO symbol_sync_statuses
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INSERT INTO option_contract_sync_statuses
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SELECT
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'${symbol}' as symbol,
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Date(dateAdd(DAY,number,'${rows[0]?.latestAsOfDate || '2022-02-19'}')) as asOfDate,
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@ -59,4 +139,15 @@ async function fillSyncStatuses(){
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);
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}
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await fillSyncStatuses();
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await fillSyncStatuses();
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const q = new pQueue({concurrency: 6});
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let nextUnstartedSymbolAndAsOfDate = {symbol:'A', asOfDate:'2022-02-01'};
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while((nextUnstartedSymbolAndAsOfDate = await getNextUnstartedSymbolAndAsOfDate(nextUnstartedSymbolAndAsOfDate)) !== null){
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await q.add(async ()=>{
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console.log(`Getting contracts for ${nextUnstartedSymbolAndAsOfDate.symbol} at ${nextUnstartedSymbolAndAsOfDate.asOfDate}`);
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await getOptionContracts(nextUnstartedSymbolAndAsOfDate.symbol, nextUnstartedSymbolAndAsOfDate.asOfDate);
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});
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// don't loop again until the queue has less than 50 items; we don't want it to grow in memory without bound:
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console.log("Waiting till less than 50 in queue");
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await q.onSizeLessThan(50);
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}
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Avraham Sakal
1 year ago