|
|
|
|
@ -1,26 +1,106 @@
|
|
|
|
|
import { clickhouse, query } from "../clickhouse.js";
|
|
|
|
|
import { getApiKey } from "./polygon.js";
|
|
|
|
|
import pAll from 'p-all';
|
|
|
|
|
import pQueue from 'p-queue';
|
|
|
|
|
|
|
|
|
|
type PolygonResponse = {next_url?:string, results:Array<{ticker:string}>};
|
|
|
|
|
type PolygonResponse = {next_url?:string, results:Array<{ticker:string, expiration_date:string, strike_price:number, contract_type:'call'|'put'}>};
|
|
|
|
|
async function getOptionContracts(underlyingSymbol, asOfDate){
|
|
|
|
|
let latestBatch = await (await fetch(`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${underlyingSymbol}&as_of=${asOfDate}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
|
|
|
|
|
console.log(latestBatch.results.map((r)=>r.ticker));
|
|
|
|
|
while(latestBatch.hasOwnProperty('next_url')){
|
|
|
|
|
latestBatch = await (await fetch(`${latestBatch.next_url}&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
|
|
|
|
|
console.log(latestBatch.results.map((r)=>r.ticker));
|
|
|
|
|
// first mark the sync of this particular symbol and asOfDate as "pending":
|
|
|
|
|
await clickhouse.insert({
|
|
|
|
|
table: 'option_contract_sync_statuses',
|
|
|
|
|
values: [{symbol: underlyingSymbol, asOfDate, status: 'pending'}],
|
|
|
|
|
format: 'JSONEachRow',
|
|
|
|
|
});
|
|
|
|
|
// then commence the sync with the initial request:
|
|
|
|
|
let latestBatchResponse = await (await fetch(`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${underlyingSymbol}&as_of=${asOfDate}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
|
|
|
|
|
let latestBatch = latestBatchResponse.results
|
|
|
|
|
.map((result)=>({
|
|
|
|
|
asOfDate,
|
|
|
|
|
symbol: underlyingSymbol,
|
|
|
|
|
expirationDate: result.expiration_date,
|
|
|
|
|
strike: result.strike_price,
|
|
|
|
|
type: result.contract_type,
|
|
|
|
|
}));
|
|
|
|
|
await clickhouse.insert({
|
|
|
|
|
table: 'option_contracts',
|
|
|
|
|
values: latestBatch,
|
|
|
|
|
format: 'JSONEachRow',
|
|
|
|
|
});
|
|
|
|
|
//console.log(latestBatch.results.map((r)=>r.ticker));
|
|
|
|
|
// as long as there's a `next_url`, call that:
|
|
|
|
|
while(latestBatchResponse.hasOwnProperty('next_url')){
|
|
|
|
|
latestBatchResponse = await (await fetch(`${latestBatchResponse.next_url}&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
|
|
|
|
|
latestBatch = latestBatchResponse.results
|
|
|
|
|
.map((result)=>({
|
|
|
|
|
asOfDate,
|
|
|
|
|
symbol: underlyingSymbol,
|
|
|
|
|
expirationDate: result.expiration_date,
|
|
|
|
|
strike: result.strike_price,
|
|
|
|
|
type: result.contract_type,
|
|
|
|
|
}));
|
|
|
|
|
//console.log(latestBatch.results.map((r)=>r.ticker));
|
|
|
|
|
await clickhouse.insert({
|
|
|
|
|
table: 'option_contracts',
|
|
|
|
|
values: latestBatch,
|
|
|
|
|
format: 'JSONEachRow',
|
|
|
|
|
});
|
|
|
|
|
}
|
|
|
|
|
await clickhouse.insert({
|
|
|
|
|
table: 'option_contract_sync_statuses',
|
|
|
|
|
values: [{symbol: underlyingSymbol, asOfDate, status: 'done'}],
|
|
|
|
|
format: 'JSONEachRow',
|
|
|
|
|
});
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
//await getOptionContracts('AAPL','2024-01-30');
|
|
|
|
|
async function getNextUnstartedSymbolAndAsOfDate(previousUnstartedSymbolAndAsOfDate:{symbol:string, asOfDate:string}){
|
|
|
|
|
const rows = await query<{symbol:string, earliestAsOfDate:string}>(`
|
|
|
|
|
SELECT
|
|
|
|
|
symbol,
|
|
|
|
|
first_value(asOfDate) as earliestAsOfDate
|
|
|
|
|
FROM (
|
|
|
|
|
SELECT
|
|
|
|
|
symbol,
|
|
|
|
|
asOfDate,
|
|
|
|
|
last_value(status) as latestStatus
|
|
|
|
|
FROM (
|
|
|
|
|
SELECT *
|
|
|
|
|
FROM option_contract_sync_statuses
|
|
|
|
|
ORDER BY asOfDate ASC, symbol ASC
|
|
|
|
|
)
|
|
|
|
|
GROUP BY symbol, asOfDate
|
|
|
|
|
HAVING latestStatus = 'not-started'
|
|
|
|
|
ORDER BY symbol ASC, asOfDate ASC
|
|
|
|
|
)
|
|
|
|
|
GROUP BY symbol
|
|
|
|
|
HAVING (
|
|
|
|
|
symbol = '${previousUnstartedSymbolAndAsOfDate.symbol}'
|
|
|
|
|
AND asOfDate > '${previousUnstartedSymbolAndAsOfDate.asOfDate}'
|
|
|
|
|
)
|
|
|
|
|
OR (
|
|
|
|
|
symbol > '${previousUnstartedSymbolAndAsOfDate.symbol}'
|
|
|
|
|
)
|
|
|
|
|
ORDER BY symbol ASC
|
|
|
|
|
LIMIT 1
|
|
|
|
|
`);
|
|
|
|
|
if(rows.length === 0){
|
|
|
|
|
return null;
|
|
|
|
|
}
|
|
|
|
|
else{
|
|
|
|
|
return {
|
|
|
|
|
symbol: rows[0].symbol,
|
|
|
|
|
asOfDate: rows[0].earliestAsOfDate,
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
/**
|
|
|
|
|
* For each symbol in `symbols` table, check the latest `asOfDate`
|
|
|
|
|
* in `symbol_sync_statuses` for that symbol. Then fill-in the rest
|
|
|
|
|
* in `option_contract_sync_statuses` for that symbol. Then fill-in the rest
|
|
|
|
|
* of the dates until today's date.
|
|
|
|
|
*/
|
|
|
|
|
async function fillSyncStatuses(){
|
|
|
|
|
const symbols = (await query(`
|
|
|
|
|
const symbols = (await query<{symbol:string}>(`
|
|
|
|
|
SELECT symbol from symbols
|
|
|
|
|
`)).map(({symbol})=>symbol);
|
|
|
|
|
|
|
|
|
|
@ -30,11 +110,11 @@ async function fillSyncStatuses(){
|
|
|
|
|
()=>query<{latestAsOfDate:string}>(`
|
|
|
|
|
SELECT
|
|
|
|
|
latestAsOfDate
|
|
|
|
|
FROM(
|
|
|
|
|
FROM (
|
|
|
|
|
SELECT last_value(asOfDate) as latestAsOfDate
|
|
|
|
|
FROM (
|
|
|
|
|
SELECT *
|
|
|
|
|
FROM symbol_sync_statuses
|
|
|
|
|
FROM option_contract_sync_statuses
|
|
|
|
|
WHERE symbol = '${symbol}'
|
|
|
|
|
ORDER BY asOfDate ASC
|
|
|
|
|
)
|
|
|
|
|
@ -43,7 +123,7 @@ async function fillSyncStatuses(){
|
|
|
|
|
`).then((rows)=>
|
|
|
|
|
clickhouse.command({
|
|
|
|
|
query: `
|
|
|
|
|
INSERT INTO symbol_sync_statuses
|
|
|
|
|
INSERT INTO option_contract_sync_statuses
|
|
|
|
|
SELECT
|
|
|
|
|
'${symbol}' as symbol,
|
|
|
|
|
Date(dateAdd(DAY,number,'${rows[0]?.latestAsOfDate || '2022-02-19'}')) as asOfDate,
|
|
|
|
|
@ -60,3 +140,14 @@ async function fillSyncStatuses(){
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
await fillSyncStatuses();
|
|
|
|
|
const q = new pQueue({concurrency: 6});
|
|
|
|
|
let nextUnstartedSymbolAndAsOfDate = {symbol:'A', asOfDate:'2022-02-01'};
|
|
|
|
|
while((nextUnstartedSymbolAndAsOfDate = await getNextUnstartedSymbolAndAsOfDate(nextUnstartedSymbolAndAsOfDate)) !== null){
|
|
|
|
|
await q.add(async ()=>{
|
|
|
|
|
console.log(`Getting contracts for ${nextUnstartedSymbolAndAsOfDate.symbol} at ${nextUnstartedSymbolAndAsOfDate.asOfDate}`);
|
|
|
|
|
await getOptionContracts(nextUnstartedSymbolAndAsOfDate.symbol, nextUnstartedSymbolAndAsOfDate.asOfDate);
|
|
|
|
|
});
|
|
|
|
|
// don't loop again until the queue has less than 50 items; we don't want it to grow in memory without bound:
|
|
|
|
|
console.log("Waiting till less than 50 in queue");
|
|
|
|
|
await q.onSizeLessThan(50);
|
|
|
|
|
}
|
Avraham Sakal
1 year ago