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

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avraham
2024-08-11 18:08:54 -04:00
parent 15a5d7c67b
commit d6762fdae5
14 changed files with 193 additions and 86 deletions
Download Patch File Download Diff File Expand all files Collapse all files
server/src/calendardb/clickhouse.ts → server/src/AggregateDatabase/Calendar/clickhouse.ts
+50 -1
View File
@@ -1,6 +1,6 @@
import type { CalendarDatabase, CalendarKey } from "./interfaces.js";
import type { Aggregate } from "../interfaces.js";
import { query } from "../lib/clickhouse.js";
import { query } from "../../lib/clickhouse.js";
function makeCalendarDatabase(): CalendarDatabase {
const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
@@ -31,6 +31,55 @@ function makeCalendarDatabase(): CalendarDatabase {
symbol,
}));
},
getAggregate: async ({
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
tsStart,
}) => {
const tsStartString = new Date(tsStart).toISOString();
return (
await query<Omit<Aggregate<CalendarKey>, "key">>(`
WITH front_option_contract_candlestick AS (
SELECT
tsStart,
open,
close,
high,
low
FROM option_contract_aggregates
WHERE symbol = '${symbol}'
AND type = '${type}'
AND strike = '${strike}'
AND expirationDate = '${frontExpirationDate}'
AND tsStart = '${tsStartString}'
),
back_option_contract_candlestick AS (
SELECT
tsStart,
open,
close,
high,
low
FROM option_contract_aggregates
WHERE symbol = '${symbol}'
AND type = '${type}'
AND strike = '${strike}'
AND expirationDate = '${backExpirationDate}'
AND tsStart = '${tsStartString}'
)
SELECT
toUnixTimestamp(front_option_contract_candlestick.tsStart) as tsStart,
back_option_contract_candlestick.open - front_option_contract_candlestick.open as open,
back_option_contract_candlestick.close - front_option_contract_candlestick.close as close
FROM front_option_contract_candlestick
INNER JOIN back_option_contract_candlestick
ON front_option_contract_candlestick.tsStart = back_option_contract_candlestick.tsStart
ORDER BY front_option_contract_candlestick.tsStart ASC
`)
).map((aggregate) => ({
...aggregate,
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
}))[0];
},
getAggregates: async ({
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
date,
server/src/AggregateDatabase/Calendar/interfaces.ts
+24
View File
@@ -0,0 +1,24 @@
import type { AggregateDatabase } from "../interfaces.js";
export type CalendarKey = {
symbol: string;
type: "call" | "put";
strike: number;
frontExpirationDate: string;
backExpirationDate: string;
};
export type CalendarDatabase = AggregateDatabase<CalendarKey> & {
getCalendars: AggregateDatabase<CalendarKey>["getKeys"];
getTargetPriceByProbability: ({
symbol,
calendarSpan,
strikePercentageFromTheMoney,
historicalProbabilityOfSuccess,
}: {
symbol: string;
calendarSpan: number;
strikePercentageFromTheMoney: number;
historicalProbabilityOfSuccess: number;
}) => Promise<number>;
};
server/src/calendardb/lmdbx.ts → server/src/AggregateDatabase/Calendar/lmdbx.ts
View File
server/src/calendardb/optiondb-lmdbx.ts → server/src/AggregateDatabase/Calendar/optiondb-lmdbx.ts
+1 -1
View File
@@ -1,4 +1,4 @@
import { optionContractDatabase } from "../optiondb/lmdbx.js";
import { optionContractDatabase } from "../OptionContract/lmdbx.js";
import type { CalendarDatabase } from "./interfaces.js";
/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
server/src/optiondb/clickhouse.ts → server/src/AggregateDatabase/OptionContract/clickhouse.ts
+27 -2
View File
@@ -3,7 +3,7 @@ import type {
OptionContractKey,
} from "./interfaces.js";
import type { Aggregate } from "../interfaces.js";
import { clickhouse, query } from "../lib/clickhouse.js";
import { clickhouse, query } from "../../lib/clickhouse.js";
function makeOptionContractDatabase(): OptionContractDatabase {
const optionContractDatabase: Omit<
@@ -48,6 +48,31 @@ function makeOptionContractDatabase(): OptionContractDatabase {
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
}));
},
getAggregate: async ({
key: { symbol, expirationDate, strike, type },
tsStart,
}) => {
const tsStartString = new Date(tsStart).toISOString();
return (
await query<Omit<Aggregate<OptionContractKey>, "key">>(`
SELECT
open,
close,
high,
low
FROM option_contract_aggregates
WHERE symbol = '${symbol}'
AND type = '${type}'
AND strike = '${strike}'
AND expirationDate = '${expirationDate}'
AND tsStart = '${tsStartString}'
ORDER BY tsStart ASC
`)
).map((aggregate) => ({
...aggregate,
tsStart,
}))[0];
},
insertAggregates: async (aggregates) => {
// stock existence is taken care of by clickhouse materialized view
await clickhouse.insert({
@@ -70,7 +95,7 @@ function makeOptionContractDatabase(): OptionContractDatabase {
close,
high,
low,
}),
})
),
});
},
server/src/optiondb/interfaces.ts → server/src/AggregateDatabase/OptionContract/interfaces.ts
View File
server/src/optiondb/lmdbx.ts → server/src/AggregateDatabase/OptionContract/lmdbx.ts
View File
server/src/stockdb/clickhouse.ts → server/src/AggregateDatabase/Stock/clickhouse.ts
+19 -2
View File
@@ -1,6 +1,6 @@
import type { StockDatabase, StockKey } from "./interfaces.js";
import type { Aggregate } from "../interfaces.js";
import { clickhouse, query } from "../lib/clickhouse.js";
import { clickhouse, query } from "../../lib/clickhouse.js";
function makeStockDatabase(): StockDatabase {
const stockDatabase: Omit<StockDatabase, "getSymbols"> = {
@@ -31,6 +31,23 @@ function makeStockDatabase(): StockDatabase {
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
}));
},
getAggregate: async ({ key: { symbol }, tsStart }) => {
return (
await query<Omit<Aggregate<StockKey>, "key">>(`
SELECT
open,
close,
high,
low
FROM stock_aggregates
WHERE symbol = '${symbol}'
AND tsStart = '${tsStart}'
`)
).map((aggregate) => ({
...aggregate,
tsStart,
}))[0];
},
insertAggregates: async (aggregates) => {
// stock existence is taken care of by clickhouse materialized view
await clickhouse.insert({
@@ -43,7 +60,7 @@ function makeStockDatabase(): StockDatabase {
close,
high,
low,
}),
})
),
});
},
server/src/stockdb/interfaces.ts → server/src/AggregateDatabase/Stock/interfaces.ts
View File
server/src/stockdb/lmdbx.ts → server/src/AggregateDatabase/Stock/lmdbx.ts
+4 -1
View File
@@ -45,6 +45,9 @@ function makeStockDatabase(): StockDatabase {
low: value.low,
})).asArray;
},
getAggregate: async ({ key: { symbol }, tsStart }) => {
return stockAggregatesDb.get([symbol, tsStart]);
},
insertAggregates: async (aggregates) => {
await stockExistenceDb.batch(() => {
for (const aggregate of aggregates) {
@@ -53,7 +56,7 @@ function makeStockDatabase(): StockDatabase {
new Date(aggregate.tsStart).toISOString().substring(0, 10),
aggregate.key.symbol,
],
null,
null
);
}
});
server/src/interfaces.ts → server/src/AggregateDatabase/interfaces.ts
View File
server/src/backtest.ts
+13 -3
View File
@@ -1,6 +1,6 @@
import { stockDatabase } from "./stockdb/lmdbx.js";
import { calendarDatabase } from "./calendardb/optiondb-lmdbx.js";
import type { CalendarKey } from "./calendardb/interfaces.js";
import { stockDatabase } from "./AggregateDatabase/Stock/lmdbx.js";
import { calendarDatabase } from "./AggregateDatabase/Calendar/optiondb-lmdbx.js";
import type { CalendarKey } from "./AggregateDatabase/Calendar/interfaces.js";
import { nextDate } from "./lib/utils/nextDate.js";
type BacktestInput = {
@@ -141,3 +141,13 @@ export async function backtest({
console.log("Ending Buying Power:", buyingPower);
console.log("Portfolio:", portfolio.values());
}
const args = process.argv.slice(2);
if (args.length > 0) {
if (args.length < 3) {
console.error("Please provide at least 3 command line arguments.");
process.exit(1);
} else {
await backtest({ symbol: args[0], startDate: args[1], endDate: args[2] });
}
}
server/src/calendardb/interfaces.ts
-24
View File
@@ -1,24 +0,0 @@
import type { AggregateDatabase } from "../interfaces.js";
export type CalendarKey = {
symbol: string;
type: "call" | "put";
strike: number;
frontExpirationDate: string;
backExpirationDate: string;
};
export type CalendarDatabase = AggregateDatabase<CalendarKey> & {
getCalendars: AggregateDatabase<CalendarKey>["getKeys"];
getTargetPriceByProbability: ({
symbol,
calendarSpan,
strikePercentageFromTheMoney,
historicalProbabilityOfSuccess,
}: {
symbol: string;
calendarSpan: number;
strikePercentageFromTheMoney: number;
historicalProbabilityOfSuccess: number;
}) => Promise<number>;
};
server/src/scripts/clickhouse-to-lmdbx.ts
+8 -5
View File
@@ -1,4 +1,4 @@
import type { AggregateDatabase } from "../interfaces.js";
import type { AggregateDatabase } from "../AggregateDatabase/interfaces.js";
import { stockDatabase as stockDatabaseClickhouse } from "../stockdb/clickhouse.js";
import { stockDatabase as stockDatabaseLmdbx } from "../stockdb/lmdbx.js";
// import { optionContractDatabase as optionContractDatabaseClickhouse } from "../optiondb.clickhouse.js";
@@ -20,7 +20,7 @@ async function syncAggregates<T>({
date: string;
}) {
const aggregatesFrom = (await fromDatabase.getAggregates({ key, date })).map(
(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key }),
(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key })
);
await toDatabase.insertAggregates(aggregatesFrom);
}
@@ -29,7 +29,10 @@ const symbols = ["AMD", "AAPL", "MSFT", "GOOGL", "NFLX", "NVDA"];
async function run<T extends StockKey | OptionContractKey>({
fromDatabase,
toDatabase,
}: { fromDatabase: AggregateDatabase<T>; toDatabase: AggregateDatabase<T> }) {
}: {
fromDatabase: AggregateDatabase<T>;
toDatabase: AggregateDatabase<T>;
}) {
const startDate = process.argv[2];
const endDate = process.argv[3];
@@ -48,7 +51,7 @@ async function run<T extends StockKey | OptionContractKey>({
key: { symbol } as T,
date,
}),
{ shouldRetry: retryOnTimeout },
{ shouldRetry: retryOnTimeout }
);
for (const key of keys) {
@@ -61,7 +64,7 @@ async function run<T extends StockKey | OptionContractKey>({
key,
date,
}),
{ shouldRetry: retryOnTimeout },
{ shouldRetry: retryOnTimeout }
);
}
}