re-organized code; implemented getAggregate() where it was missing

server/src/AggregateDatabase/OptionContract/lmdbx.ts

@@ -0,0 +1,139 @@
+import type { OptionContractDatabase } from "./interfaces.js";
+import { open } from "lmdbx";
+
+const optionContractAggregatesDb = open({
+  path: "./option-contract-aggregates.db",
+  // any options go here, we can turn on compression like this:
+  compression: true,
+});
+
+const optionContractExistenceDb = open({
+  path: "./option-contract-existence.db",
+  // any options go here, we can turn on compression like this:
+  compression: true,
+});
+
+/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
+const MAXIMUM_KEY = Buffer.from([0xff]);
+
+function makeOptionContractDatabase(): OptionContractDatabase {
+  const getAggregatesSync = ({
+    key: { symbol, expirationDate, strike, type },
+    date,
+  }) => {
+    const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
+    const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
+    return optionContractAggregatesDb
+      .getRange({
+        start: [symbol, expirationDate, strike, type, startOfDayUnix],
+        end: [symbol, expirationDate, strike, type, endOfDayUnix],
+      })
+      .map(({ key, value }) => ({
+        tsStart: key[4],
+        open: value.open,
+        close: value.close,
+        high: value.high,
+        low: value.low,
+      })).asArray;
+  };
+  const optionContractDatabase: Omit<
+    OptionContractDatabase,
+    "getOptionContracts"
+  > = {
+    getKeys: async ({ key: { symbol }, date }) => {
+      return optionContractExistenceDb
+        .getRange({
+          start: [date, symbol],
+          end: [date, symbol, MAXIMUM_KEY],
+        })
+        .map(({ key }) => ({
+          symbol,
+          expirationDate: key[2],
+          strike: key[3],
+          type: key[4],
+        })).asArray;
+    },
+    getAggregatesSync,
+    getAggregates: async ({
+      key: { symbol, expirationDate, strike, type },
+      date,
+    }) =>
+      getAggregatesSync({
+        key: { symbol, expirationDate, strike, type },
+        date,
+      }),
+    insertAggregates: async (aggregates) => {
+      await optionContractExistenceDb.batch(() => {
+        for (const aggregate of aggregates) {
+          optionContractExistenceDb.put(
+            [
+              new Date(aggregate.tsStart).toISOString().substring(0, 10),
+              aggregate.key.symbol,
+              aggregate.key.expirationDate,
+              aggregate.key.strike,
+              aggregate.key.type,
+            ],
+            null
+          );
+        }
+      });
+      await optionContractAggregatesDb.batch(() => {
+        for (const aggregate of aggregates) {
+          optionContractAggregatesDb.put(
+            [
+              aggregate.key.symbol,
+              aggregate.key.expirationDate,
+              aggregate.key.strike,
+              aggregate.key.type,
+              aggregate.tsStart,
+            ],
+            {
+              open: aggregate.open,
+              close: aggregate.close,
+              high: aggregate.high,
+              low: aggregate.low,
+            }
+          );
+        }
+      });
+    },
+    getClosingPrice: async ({
+      key: { symbol, strike, type, expirationDate },
+    }) => {
+      const startOfLastHourUnix = new Date(
+        `${expirationDate}T00:00:00Z`
+      ).valueOf();
+      const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
+      let minPrice = 0;
+      for (const { value } of optionContractAggregatesDb.getRange({
+        start: [symbol, expirationDate, strike, type, startOfLastHourUnix],
+        end: [symbol, expirationDate, strike, type, endOfLastHourUnix],
+      })) {
+        if (value.close < minPrice || minPrice === 0) {
+          minPrice = value.close;
+        }
+      }
+      return minPrice;
+    },
+    getAggregate: async ({
+      key: { symbol, expirationDate, strike, type },
+      tsStart,
+    }) => {
+      return await optionContractAggregatesDb.get([
+        symbol,
+        expirationDate,
+        strike,
+        type,
+        tsStart,
+      ]);
+    },
+  };
+
+  return {
+    ...optionContractDatabase,
+    getOptionContracts: optionContractDatabase.getKeys,
+  };
+}
+
+export const optionContractDatabase: OptionContractDatabase =
+  makeOptionContractDatabase();