From dc63f316472f889a85d265ab90e8346a6077d1be Mon Sep 17 00:00:00 2001 From: Avraham Sakal Date: Sun, 4 Feb 2024 15:36:28 -0500 Subject: [PATCH] init --- frontend/.gitignore | 24 + frontend/Dockerfile | 22 + frontend/ci.sh | 13 + frontend/deploy.sh | 3 + frontend/index.html | 14 + frontend/package.json | 23 + frontend/pnpm-lock.yaml | 1057 ++++++++++++++++ frontend/public/vite.svg | 1 + frontend/src/assets/preact.svg | 1 + frontend/src/components/Header.tsx | 24 + frontend/src/index.tsx | 27 + .../src/pages/CalendarOptimizer/index.tsx | 130 ++ .../HistoricalCalendarPrices.tsx | 321 +++++ .../pages/HistoricalCalendarPrices/style.css | 11 + frontend/src/pages/Home/index.tsx | 47 + frontend/src/pages/Home/style.css | 47 + frontend/src/pages/_404.tsx | 8 + frontend/src/style.css | 72 ++ frontend/src/trpc.ts | 15 + frontend/tsconfig.json | 20 + frontend/vite.config.ts | 7 + server/.gitignore | 24 + server/Dockerfile | 23 + server/ci.sh | 13 + server/clickhouse.sh | 2 + server/deploy.sh | 3 + server/package.json | 24 + server/pnpm-lock.yaml | 1083 +++++++++++++++++ server/src/clickhouse.ts | 15 + server/src/index.ts | 223 ++++ server/src/trpc.ts | 14 + server/tables.sql | 100 ++ server/tsconfig.json | 12 + 33 files changed, 3423 insertions(+) create mode 100644 frontend/.gitignore create mode 100644 frontend/Dockerfile create mode 100755 frontend/ci.sh create mode 100755 frontend/deploy.sh create mode 100644 frontend/index.html create mode 100644 frontend/package.json create mode 100644 frontend/pnpm-lock.yaml create mode 100644 frontend/public/vite.svg create mode 100644 frontend/src/assets/preact.svg create mode 100644 frontend/src/components/Header.tsx create mode 100644 frontend/src/index.tsx create mode 100644 frontend/src/pages/CalendarOptimizer/index.tsx create mode 100644 frontend/src/pages/HistoricalCalendarPrices/HistoricalCalendarPrices.tsx create mode 100644 frontend/src/pages/HistoricalCalendarPrices/style.css create mode 100644 frontend/src/pages/Home/index.tsx create mode 100644 frontend/src/pages/Home/style.css create mode 100644 frontend/src/pages/_404.tsx create mode 100644 frontend/src/style.css create mode 100644 frontend/src/trpc.ts create mode 100644 frontend/tsconfig.json create mode 100644 frontend/vite.config.ts create mode 100644 server/.gitignore create mode 100644 server/Dockerfile create mode 100755 server/ci.sh create mode 100755 server/clickhouse.sh create mode 100755 server/deploy.sh create mode 100644 server/package.json create mode 100644 server/pnpm-lock.yaml create mode 100644 server/src/clickhouse.ts create mode 100644 server/src/index.ts create mode 100644 server/src/trpc.ts create mode 100644 server/tables.sql create mode 100644 server/tsconfig.json diff --git a/frontend/.gitignore b/frontend/.gitignore new file mode 100644 index 0000000..a547bf3 --- /dev/null +++ b/frontend/.gitignore @@ -0,0 +1,24 @@ +# Logs +logs +*.log +npm-debug.log* +yarn-debug.log* +yarn-error.log* +pnpm-debug.log* +lerna-debug.log* + +node_modules +dist +dist-ssr +*.local + +# Editor directories and files +.vscode/* +!.vscode/extensions.json +.idea +.DS_Store +*.suo +*.ntvs* +*.njsproj +*.sln +*.sw? diff --git a/frontend/Dockerfile b/frontend/Dockerfile new file mode 100644 index 0000000..34a329f --- /dev/null +++ b/frontend/Dockerfile @@ -0,0 +1,22 @@ +# adapted from example on pnpm.io +FROM node:20-slim AS build +ENV PNPM_HOME="/pnpm" +ENV PATH="$PNPM_HOME:$PATH" +RUN corepack enable +WORKDIR /app +# copy what's necessary to install dependencies: +COPY package.json pnpm-lock.yaml /app/ +# install dependencies: +RUN --mount=type=cache,id=pnpm,target=/pnpm/store pnpm install --frozen-lockfile +# copy what's necessary to build: +COPY tsconfig.json vite.config.ts index.html /app/ +COPY src /app/src +# Vite injects envvars at build time, not runtime: +ENV VITE_SERVER_BASE_URL=https://calendar-optimizer-server.sakal.us +# run the build: +RUN pnpm run build +# hack to get spa-to-http to answer `/healthz` query: +RUN echo OK > ./dist/healthz + +FROM devforth/spa-to-http:latest +COPY --from=build /app/dist . \ No newline at end of file diff --git a/frontend/ci.sh b/frontend/ci.sh new file mode 100755 index 0000000..983cb01 --- /dev/null +++ b/frontend/ci.sh @@ -0,0 +1,13 @@ +#!/bin/bash + +IMAGE_NAME=calendar-optimizer-frontend +VERSION=prod + +docker login registry.sakal.us + +if [ $? -eq 0 ] +then + docker build -t "registry.sakal.us/${IMAGE_NAME}:${VERSION}" . + docker push "registry.sakal.us/${IMAGE_NAME}:${VERSION}" +fi + diff --git a/frontend/deploy.sh b/frontend/deploy.sh new file mode 100755 index 0000000..9e07ed5 --- /dev/null +++ b/frontend/deploy.sh @@ -0,0 +1,3 @@ +#!/bin/sh + +kubectl rollout restart -n calendar-optimizer deployments/frontend \ No newline at end of file diff --git a/frontend/index.html b/frontend/index.html new file mode 100644 index 0000000..cbc1f5a --- /dev/null +++ b/frontend/index.html @@ -0,0 +1,14 @@ + + + + + + + + Vite + Preact + + +
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b/frontend/public/vite.svg new file mode 100644 index 0000000..e7b8dfb --- /dev/null +++ b/frontend/public/vite.svg @@ -0,0 +1 @@ + \ No newline at end of file diff --git a/frontend/src/assets/preact.svg b/frontend/src/assets/preact.svg new file mode 100644 index 0000000..908f17d --- /dev/null +++ b/frontend/src/assets/preact.svg @@ -0,0 +1 @@ + \ No newline at end of file diff --git a/frontend/src/components/Header.tsx b/frontend/src/components/Header.tsx new file mode 100644 index 0000000..f69e6b7 --- /dev/null +++ b/frontend/src/components/Header.tsx @@ -0,0 +1,24 @@ +import { useLocation } from 'preact-iso'; + +export function Header() { + const { url } = useLocation(); + + return ( +
+ +
+ ); +} diff --git a/frontend/src/index.tsx b/frontend/src/index.tsx new file mode 100644 index 0000000..f66fb47 --- /dev/null +++ b/frontend/src/index.tsx @@ -0,0 +1,27 @@ +import { render } from 'preact'; +import { LocationProvider, Router, Route } from 'preact-iso'; + +import { Header } from './components/Header.jsx'; +import { Home } from './pages/Home/index.jsx'; +import { CalendarOptimizer } from './pages/CalendarOptimizer/index.jsx'; +import { NotFound } from './pages/_404.jsx'; +import './style.css'; +import { HistoricalCalendarPrices } from './pages/HistoricalCalendarPrices/HistoricalCalendarPrices.js'; + +export function App() { + return ( + +
+
+ + + + + + +
+ + ); +} + +render(, document.getElementById('app')); diff --git a/frontend/src/pages/CalendarOptimizer/index.tsx b/frontend/src/pages/CalendarOptimizer/index.tsx new file mode 100644 index 0000000..dd24b4b --- /dev/null +++ b/frontend/src/pages/CalendarOptimizer/index.tsx @@ -0,0 +1,130 @@ +import { signal } from "@preact/signals"; +import { useCallback, useEffect } from "preact/hooks"; +import {trpc} from '../../trpc.js'; + +const availableUnderlyings = signal([]); +const chosenUnderlying = signal(null); + +const availableAsOfDates = signal([]); +const chosenAsOfDate = signal(null); + +const availableExpirations = signal([]); +const chosenExpiration = signal(null); + +const availableStrikes = signal([]); +const chosenStrike = signal(null); + +const optionContractUplotData = signal([]); +const underlyingUplotData = signal([]); + +export function CalendarOptimizer(){ + const handleInit = useCallback(()=>{ + trpc.getAvailableUnderlyings + .query() + .then((availableUnderlyingsResponse)=>{ + availableUnderlyings.value = availableUnderlyingsResponse; + }); + },[]); + const handleUnderlyingChange = useCallback((e)=>{ + console.log(`Chose Underlying: ${e.target.value}`); + chosenUnderlying.value = e.target.value; + trpc.getAvailableAsOfDates + .query({underlying:e.target.value}) + .then((getAvailableAsOfDatesResponse)=>{ + availableAsOfDates.value = getAvailableAsOfDatesResponse; + }); + trpc.getOpensForUnderlying + .query({underlying:e.target.value}) + .then((getOpensForUnderlyingResponse)=>{ + underlyingUplotData.value = getOpensForUnderlyingResponse; + }); + },[]); + const handleAsOfDateChange = useCallback((e)=>{ + console.log(`Chose Date: ${e.target.value}`); + chosenAsOfDate.value = e.target.value; + trpc.getExpirationsForUnderlying + .query({underlying:chosenUnderlying.value, asOfDate:chosenAsOfDate.value}) + .then((getExpirationsForUnderlyingResponse)=>{ + availableExpirations.value = getExpirationsForUnderlyingResponse; + }); + },[]); + const handleExpirationChange = useCallback((e)=>{ + console.log(`Chose Expiration: ${e.target.value}`); + chosenExpiration.value = e.target.value; + trpc.getStrikesForUnderlying + .query({underlying:chosenUnderlying.value, asOfDate:chosenAsOfDate.value, expirationDate: e.target.value}) + .then((getStrikesForUnderlyingResponse)=>{ + availableStrikes.value = getStrikesForUnderlyingResponse; + }); + },[]); + const handleStrikeChange = useCallback((e)=>{ + console.log(`Chose Strike: ${e.target.value}`); + chosenStrike.value = e.target.value; + trpc.getOpensForOptionContract + .query({underlying:chosenUnderlying.value, expirationDate:chosenExpiration.value, strike:parseFloat(e.target.value)}) + .then((getOpensForOptionContractResponse)=>{ + optionContractUplotData.value = getOpensForOptionContractResponse; + }); + },[]); + + useEffect(handleInit, []); + + return ( +
+
+ + { + availableUnderlyings.value.length === 0 + ? "Loading..." + : + } +
+
+ + { + availableAsOfDates.value.length === 0 + ? "Loading..." + : + } +
+
+ + { + availableExpirations.value.length === 0 + ? "Loading..." + : + } +
+
+ + { + availableStrikes.value.length === 0 + ? "Loading..." + : + } +
+ {/* {chosenUnderlying.value!==null && underlyingUplotData.value.length>0 + ? + : <>} + {chosenUnderlying.value!==null && chosenAsOfDate.value!==null && chosenExpiration.value!==null && chosenStrike.value!==null && optionContractUplotData.value.length>0 + ? + : <>} */} +
+ ); +} \ No newline at end of file diff --git a/frontend/src/pages/HistoricalCalendarPrices/HistoricalCalendarPrices.tsx b/frontend/src/pages/HistoricalCalendarPrices/HistoricalCalendarPrices.tsx new file mode 100644 index 0000000..d2ae7df --- /dev/null +++ b/frontend/src/pages/HistoricalCalendarPrices/HistoricalCalendarPrices.tsx @@ -0,0 +1,321 @@ +import { signal } from "@preact/signals"; +import { useCallback, useEffect } from "preact/hooks"; +import {trpc} from '../../trpc.js'; +import { + Chart as ChartJS, + LinearScale, + CategoryScale, + PointElement, + Tooltip, + Title, +} from 'chart.js'; +import { Scatter } from 'react-chartjs-2'; +import './style.css'; + +ChartJS.register(LinearScale, CategoryScale, PointElement, Tooltip, Title,); + +const availableUnderlyings = signal([]); +const chosenUnderlying = signal(null); + +const chosenDaysToFrontExpiration = signal(14); + +const chosenDaysBetweenFrontAndBackExpiration = signal(14); + +const chosenStrikePercentageFromUnderlyingPrice = signal(1.4); +const chosenStrikePercentageFromUnderlyingPriceRadius = signal(0.05); + +const chosenExitToFrontExpiration = signal(2); + +const historicalStockQuoteChartData = signal([]); + +const historicalCalendarQuoteChartData = signal([]); + +const historicalCalendarExitQuoteChartData = signal([]); + + +export function HistoricalCalendarPrices(){ + const refreshHistoricalStockQuoteChartData = useCallback(()=>{ + trpc.getHistoricalStockQuoteChartData + .query({ + underlying:chosenUnderlying.value, + }) + .then((getHistoricalStockQuoteChartDataResponse)=>{ + historicalStockQuoteChartData.value = getHistoricalStockQuoteChartDataResponse; + }) + },[]); + const refreshHistoricalCalendarQuoteChartData = useCallback(()=>{ + trpc.getHistoricalCalendarQuoteChartData + .query({ + underlying:chosenUnderlying.value, + daysToFrontExpiration:chosenDaysToFrontExpiration.value, + daysBetweenFrontAndBackExpiration:chosenDaysBetweenFrontAndBackExpiration.value, + strikePercentageFromUnderlyingPriceRangeMin:chosenStrikePercentageFromUnderlyingPrice.value - chosenStrikePercentageFromUnderlyingPriceRadius.value, + strikePercentageFromUnderlyingPriceRangeMax:chosenStrikePercentageFromUnderlyingPrice.value + chosenStrikePercentageFromUnderlyingPriceRadius.value, + }) + .then((getHistoricalCalendarQuoteChartDataResponse)=>{ + historicalCalendarQuoteChartData.value = getHistoricalCalendarQuoteChartDataResponse; + }) + },[]); + const refreshHistoricalCalendarExitQuoteChartData = useCallback(()=>{ + trpc.getHistoricalCalendarExitQuoteChartData + .query({ + underlying:chosenUnderlying.value, + daysToFrontExpiration:chosenExitToFrontExpiration.value, + daysBetweenFrontAndBackExpiration:chosenDaysBetweenFrontAndBackExpiration.value, + }) + .then((getHistoricalCalendarExitQuoteChartDataResponse)=>{ + historicalCalendarExitQuoteChartData.value = getHistoricalCalendarExitQuoteChartDataResponse; + }) + },[]); + const handleInit = useCallback(()=>{ + trpc.getAvailableUnderlyings + .query() + .then((availableUnderlyingsResponse)=>{ + availableUnderlyings.value = availableUnderlyingsResponse; + chosenUnderlying.value = availableUnderlyingsResponse[0]; + refreshHistoricalStockQuoteChartData(); + refreshHistoricalCalendarQuoteChartData(); + refreshHistoricalCalendarExitQuoteChartData(); + }); + },[]); + const handleUnderlyingChange = useCallback((e)=>{ + chosenUnderlying.value = e.target.value; + refreshHistoricalStockQuoteChartData(); + refreshHistoricalCalendarQuoteChartData(); + refreshHistoricalCalendarExitQuoteChartData(); + },[]); + const handleDaysToFrontExpirationChange = useCallback((e)=>{ + chosenDaysToFrontExpiration.value = parseInt(e.target.value); + refreshHistoricalCalendarQuoteChartData(); + },[]); + const handleDaysBetweenFrontAndBackExpirationChange = useCallback((e)=>{ + chosenDaysBetweenFrontAndBackExpiration.value = parseInt(e.target.value); + refreshHistoricalCalendarQuoteChartData(); + refreshHistoricalCalendarExitQuoteChartData(); + },[]); + const handleStrikePercentageFromUnderlyingPriceChange = useCallback((e)=>{ + chosenStrikePercentageFromUnderlyingPrice.value = parseFloat(e.target.value); + refreshHistoricalCalendarQuoteChartData(); + },[]); + const handleStrikePercentageFromUnderlyingPriceRadiusChange = useCallback((e)=>{ + chosenStrikePercentageFromUnderlyingPriceRadius.value = parseFloat(e.target.value); + refreshHistoricalCalendarQuoteChartData(); + },[]); + const handleExitToFrontExpirationChange = useCallback((e)=>{ + chosenExitToFrontExpiration.value = parseInt(e.target.value); + refreshHistoricalCalendarExitQuoteChartData(); + },[]); + + useEffect(handleInit, []); + + return ( +
+
+ + { + availableUnderlyings.value.length === 0 + ? "Loading..." + : + } +
+
+ + + Days +
+
+ + + Days Difference +
+
+ + + % + +/- + + % from ATM +
+
+ + + Days +
+
+ {chosenUnderlying.value!==null && historicalStockQuoteChartData.value.length>0 + ?
+ +
+ :
Loading Chart...
} +
+
+ {chosenUnderlying.value!==null && historicalCalendarQuoteChartData.value.length>0 + ?
+ +
+ :
Loading Chart...
} + + {chosenUnderlying.value!==null && historicalCalendarQuoteChartData.value.length>0 + ?
+ +
+ :
Loading Chart...
} +
+
+ ); +} \ No newline at end of file diff --git a/frontend/src/pages/HistoricalCalendarPrices/style.css b/frontend/src/pages/HistoricalCalendarPrices/style.css new file mode 100644 index 0000000..dc4fb2a --- /dev/null +++ b/frontend/src/pages/HistoricalCalendarPrices/style.css @@ -0,0 +1,11 @@ +.chart-container { + display: flex; + flex-direction: row; + flex-wrap: nowrap; + justify-content: space-around; + width: 1800px; + height: 480px; +} +.chart-container > .chart { + width: 880px; +} diff --git a/frontend/src/pages/Home/index.tsx b/frontend/src/pages/Home/index.tsx new file mode 100644 index 0000000..22b467f --- /dev/null +++ b/frontend/src/pages/Home/index.tsx @@ -0,0 +1,47 @@ +import preactLogo from '../../assets/preact.svg'; +import './style.css'; + +export function Logo(){ + return ( + + Preact logo + + ); +} + +export function Home() { + return ( +
+ +

Get Started with the Calendar Optimizer

+ Calendar Optimizer + Historical Calendar Prices +
+ + + +
+
+ ); +} + +function Resource(props) { + return ( + +

{props.title}

+

{props.description}

+ + ); +} diff --git a/frontend/src/pages/Home/style.css b/frontend/src/pages/Home/style.css new file mode 100644 index 0000000..f51cfc1 --- /dev/null +++ b/frontend/src/pages/Home/style.css @@ -0,0 +1,47 @@ +img { + margin-bottom: 1.5rem; +} + +img:hover { + filter: drop-shadow(0 0 2em #673ab8aa); +} + +.home section { + margin-top: 5rem; + display: grid; + grid-template-columns: repeat(3, 1fr); + column-gap: 1.5rem; +} + +.resource { + padding: 0.75rem 1.5rem; + border-radius: 0.5rem; + text-align: left; + text-decoration: none; + color: #222; + background-color: #f1f1f1; + border: 1px solid transparent; +} + +.resource:hover { + border: 1px solid #000; + box-shadow: 0 25px 50px -12px #673ab888; +} + +@media (max-width: 639px) { + .home section { + margin-top: 5rem; + grid-template-columns: 1fr; + row-gap: 1rem; + } +} + +@media (prefers-color-scheme: dark) { + .resource { + color: #ccc; + background-color: #161616; + } + .resource:hover { + border: 1px solid #bbb; + } +} diff --git a/frontend/src/pages/_404.tsx b/frontend/src/pages/_404.tsx new file mode 100644 index 0000000..36182c8 --- /dev/null +++ b/frontend/src/pages/_404.tsx @@ -0,0 +1,8 @@ +export function NotFound() { + return ( +
+

404: Not Found

+

It's gone :(

+
+ ); +} diff --git a/frontend/src/style.css b/frontend/src/style.css new file mode 100644 index 0000000..104128b --- /dev/null +++ b/frontend/src/style.css @@ -0,0 +1,72 @@ +:root { + font-family: Inter, system-ui, Avenir, Helvetica, Arial, sans-serif; + line-height: 1.5; + font-weight: 400; + + color: #222; + background-color: #ffffff; + + font-synthesis: none; + text-rendering: optimizeLegibility; + -webkit-font-smoothing: antialiased; + -moz-osx-font-smoothing: grayscale; + -webkit-text-size-adjust: 100%; +} + +body { + margin: 0; +} + +#app { + display: flex; + flex-direction: column; + min-height: 100vh; + justify-content: start; +} + +header { + display: flex; + justify-content: flex-end; + background-color: #673ab8; +} + +header nav { + display: flex; +} + +header a { + color: #fff; + padding: 0.75rem; + text-decoration: none; +} + +header a.active { + background-color: #0005; +} + +header a:hover { + background-color: #0008; +} + +main { + flex: auto; + display: flex; + flex-direction: column; + align-items: start; + max-width: 1280px; + justify-content: center; + text-align: center; +} + +@media (max-width: 639px) { + main { + margin: 2rem; + } +} + +@media (prefers-color-scheme: dark) { + :root { + color: #ccc; + background-color: #1a1a1a; + } +} diff --git a/frontend/src/trpc.ts b/frontend/src/trpc.ts new file mode 100644 index 0000000..b72fe98 --- /dev/null +++ b/frontend/src/trpc.ts @@ -0,0 +1,15 @@ +import { createTRPCProxyClient, httpBatchLink } from '@trpc/client'; +import type { AppRouter } from '../../server/src/index'; + +export const trpc = createTRPCProxyClient({ + links: [ + httpBatchLink({ + // `import.meta.env` is what Vite uses to expose envvars: + url: import.meta.env.VITE_SERVER_BASE_URL || 'https://calendar-optimizer-server.sakal.us', + }), + ], + transformer: { + serialize: (x)=>x, + deserialize: (x)=>x, + } +}); \ No newline at end of file diff --git a/frontend/tsconfig.json b/frontend/tsconfig.json new file mode 100644 index 0000000..12bb30b --- /dev/null +++ b/frontend/tsconfig.json @@ -0,0 +1,20 @@ +{ + "compilerOptions": { + "target": "ES2020", + "module": "ESNext", + "moduleResolution": "bundler", + "noEmit": true, + "allowJs": true, + "checkJs": true, + + /* Preact Config */ + "jsx": "react-jsx", + "jsxImportSource": "preact", + "skipLibCheck": true, + "paths": { + "react": ["./node_modules/preact/compat/"], + "react-dom": ["./node_modules/preact/compat/"] + } + }, + "include": ["node_modules/vite/client.d.ts", "**/*"] +} diff --git a/frontend/vite.config.ts b/frontend/vite.config.ts new file mode 100644 index 0000000..0e309b2 --- /dev/null +++ b/frontend/vite.config.ts @@ -0,0 +1,7 @@ +import { defineConfig } from 'vite'; +import preact from '@preact/preset-vite'; + +// https://vitejs.dev/config/ +export default defineConfig({ + plugins: [preact()], +}); diff --git a/server/.gitignore b/server/.gitignore new file mode 100644 index 0000000..a547bf3 --- /dev/null +++ b/server/.gitignore @@ -0,0 +1,24 @@ +# Logs +logs +*.log +npm-debug.log* +yarn-debug.log* +yarn-error.log* +pnpm-debug.log* +lerna-debug.log* + +node_modules +dist +dist-ssr +*.local + +# Editor directories and files +.vscode/* +!.vscode/extensions.json +.idea +.DS_Store +*.suo +*.ntvs* +*.njsproj +*.sln +*.sw? diff --git a/server/Dockerfile b/server/Dockerfile new file mode 100644 index 0000000..0753861 --- /dev/null +++ b/server/Dockerfile @@ -0,0 +1,23 @@ +# adapted from example on pnpm.io +FROM node:20-slim AS base +ENV PNPM_HOME="/pnpm" +ENV PATH="$PNPM_HOME:$PATH" +RUN corepack enable +COPY package.json pnpm-lock.yaml /app/ +WORKDIR /app + +FROM base AS prod-deps +RUN --mount=type=cache,id=pnpm,target=/pnpm/store pnpm install --prod --frozen-lockfile + +# install dev dependencies which are needed for building, such as typescript: +FROM base AS build +RUN --mount=type=cache,id=pnpm,target=/pnpm/store pnpm install --frozen-lockfile +COPY tsconfig.json /app/ +COPY src /app/src +RUN pnpm run build + +FROM base +COPY --from=prod-deps /app/node_modules /app/node_modules +COPY --from=build /app/dist /app/dist +WORKDIR /app/dist +CMD [ "node", "index.js" ] \ No newline at end of file diff --git a/server/ci.sh b/server/ci.sh new file mode 100755 index 0000000..8ff1fbd --- /dev/null +++ b/server/ci.sh @@ -0,0 +1,13 @@ +#!/bin/bash + +IMAGE_NAME=calendar-optimizer-server +VERSION=prod + +docker login registry.sakal.us + +if [ $? -eq 0 ] +then + docker build -t "registry.sakal.us/${IMAGE_NAME}:${VERSION}" . + docker push "registry.sakal.us/${IMAGE_NAME}:${VERSION}" +fi + diff --git a/server/clickhouse.sh b/server/clickhouse.sh new file mode 100755 index 0000000..d02ec95 --- /dev/null +++ b/server/clickhouse.sh @@ -0,0 +1,2 @@ +#!/bin/sh +kubectl port-forward -n clickhouse clickhouse 8123:8123 \ No newline at end of file diff --git a/server/deploy.sh b/server/deploy.sh new file mode 100755 index 0000000..db1f13d --- /dev/null +++ b/server/deploy.sh @@ -0,0 +1,3 @@ +#!/bin/sh + +kubectl rollout restart -n calendar-optimizer deployments/server \ No newline at end of file diff --git a/server/package.json b/server/package.json new file mode 100644 index 0000000..d6716fe --- /dev/null +++ b/server/package.json @@ -0,0 +1,24 @@ +{ + "private": true, + "type": "module", + "scripts": { + "build": "esbuild src/*.ts --platform=node --outdir=dist --format=esm", + "build-scripts": "esbuild scripts/*.ts --platform=node --outdir=dist/scripts --format=esm", + "dev:node": "node --watch dist/index.js", + "dev:esbuild": "pnpm run build --watch", + "dev": "run-p dev:*" + }, + "dependencies": { + "@clickhouse/client": "^0.2.7", + "@sinclair/typebox": "^0.32.5", + "@trpc/server": "^10.45.0", + "cors": "^2.8.5" + }, + "devDependencies": { + "@types/cors": "^2.8.17", + "@types/node": "^20.10.7", + "esbuild": "^0.19.11", + "npm-run-all": "^4.1.5", + "typescript": "^5.3.3" + } +} diff --git a/server/pnpm-lock.yaml b/server/pnpm-lock.yaml new file mode 100644 index 0000000..882e5ce --- /dev/null +++ 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+import type { DataFormat } from '@clickhouse/client'; + +export const clickhouse = createClickhouseClient({ + host: process.env.CLICKHOUSE_HOST || "http://localhost:8123", + username:'avraham', + password:'buginoo' +}); + +export async function query(queryString:string, format:DataFormat='JSONEachRow') : Promise>{ + return await (await clickhouse.query({ + query: queryString, + format + })).json() +} \ No newline at end of file diff --git a/server/src/index.ts b/server/src/index.ts new file mode 100644 index 0000000..ebb00c1 --- /dev/null +++ b/server/src/index.ts @@ -0,0 +1,223 @@ +import { publicProcedure, router } from './trpc.js'; +import { query } from './clickhouse.js'; +import { createHTTPHandler, createHTTPServer } from '@trpc/server/adapters/standalone'; +import cors from 'cors'; +import { Object as ObjectT, String as StringT, TSchema, Number as NumberT } from '@sinclair/typebox'; +import { TypeCompiler } from '@sinclair/typebox/compiler'; +import { TRPCError } from '@trpc/server'; +import { createServer } from 'http'; + +/** + * 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(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 ${path}`, code: 'BAD_REQUEST' }) + } +} + + +const appRouter = router({ + getAvailableUnderlyings: publicProcedure + .query(async (opts) => { + return (await query<{symbol:string}>(` + SELECT DISTINCT(symbol) as symbol FROM option_contracts + `)) + .map(({symbol})=>symbol); + }), + getAvailableAsOfDates: publicProcedure + .input(RpcType(ObjectT({underlying:StringT()}))) + .query(async (opts) => { + const underlying = opts.input.underlying; + return (await query<{asOfDate:string}>(` + SELECT + DISTINCT(asOfDate) as asOfDate + FROM option_contracts + WHERE symbol = '${underlying}' + `)) + .map(({asOfDate})=>asOfDate); + }), + getExpirationsForUnderlying: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT(), + asOfDate:StringT() + }))) + .query(async (opts)=>{ + const {underlying, asOfDate} = opts.input; + return (await query<{expirationDate:string}>(` + SELECT + DISTINCT(expirationDate) + FROM option_contracts + WHERE symbol = '${underlying}' + AND asOfDate = '${asOfDate}' + `)) + .map(({expirationDate})=>expirationDate); + }), + getStrikesForUnderlying: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT(), + asOfDate:StringT(), + expirationDate:StringT(), + }))) + .query(async (opts)=>{ + const {underlying, asOfDate, expirationDate} = opts.input; + return (await query<{strike:string}>(` + SELECT + DISTINCT(strike) + FROM option_contracts + WHERE symbol = '${underlying}' + AND asOfDate = '${asOfDate}' + AND expirationDate = '${expirationDate}' + `)) + .map(({strike})=>strike); + }), + getOpensForUnderlying: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT() + }))) + .query(async (opts)=>{ + const {underlying} = opts.input; + return (await query<[number,number]>(` + SELECT + toUnixTimestamp(tsStart), + open + FROM stock_aggregates + WHERE symbol = '${underlying}' + ORDER BY tsStart ASC + `,'JSONCompactEachRow')) + .reduce((columns, row)=>{ columns[0].push(row[0]); columns[1].push(row[1]); return columns; },[[],[]]); + }), + getOpensForOptionContract: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT(), + expirationDate:StringT(), + strike:NumberT() + }))) + .query(async (opts)=>{ + const {underlying, expirationDate, strike} = opts.input; + return (await query<[number,number]>(` + SELECT + toUnixTimestamp(tsStart), + open + FROM option_aggregates + WHERE symbol = '${underlying}' + AND expirationDate = '${expirationDate}' + AND strike = ${strike} + AND optionType = 'call' + ORDER BY tsStart ASC + `,'JSONCompactEachRow')) + .reduce((columns, row)=>{ columns[0].push(row[0]); columns[1].push(row[1]); return columns; },[[],[]]); + }), + getHistoricalCalendarPrices: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT(), + daysToFrontExpiration:NumberT(), + daysBetweenFrontAndBackExpiration:NumberT(), + strikePercentageFromUnderlyingPriceRangeMin:NumberT(), + strikePercentageFromUnderlyingPriceRangeMax:NumberT(), + }))) + .query(async (opts)=>{ + const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPriceRangeMin, strikePercentageFromUnderlyingPriceRangeMax, } = opts.input; + return (await query<[number,number]>(` + SELECT + toUnixTimestamp(tsStart) as asOfTs, + calendarPrice + FROM calendar_histories + WHERE symbol = '${underlying}' + AND daysToFrontExpiration = ${daysToFrontExpiration} + AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin} + AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax} + AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration} + `,'JSONCompactEachRow')) + .reduce((columns, row)=>{ columns[0].push(row[0]); columns[1].push(row[1]); return columns; },[[],[]]); + }), + getHistoricalStockQuoteChartData: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT(), + }))) + .query(async (opts)=>{ + const {underlying, } = opts.input; + return (await query<[number,number]>(` + SELECT + toUnixTimestamp(tsStart) as x, + open as y + FROM stock_aggregates + WHERE symbol = '${underlying}' + ORDER BY x ASC + `,'JSONEachRow')); + }), + getHistoricalCalendarQuoteChartData: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT(), + 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 x, + calendarPrice as y + FROM calendar_histories + WHERE symbol = '${underlying}' + AND daysToFrontExpiration = ${daysToFrontExpiration} + AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin} + AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax} + AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration} + `,'JSONEachRow')); + }), + getHistoricalCalendarExitQuoteChartData: publicProcedure + .input(RpcType(ObjectT({ + underlying:StringT(), + daysToFrontExpiration:NumberT(), + daysBetweenFrontAndBackExpiration:NumberT(), + }))) + .query(async (opts)=>{ + const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, } = opts.input; + return (await query<[number,number]>(` + SELECT + FLOOR(strikePercentageFromUnderlyingPrice, 1) as x, + calendarPrice as y + FROM calendar_histories + WHERE symbol = '${underlying}' + AND daysToFrontExpiration = ${daysToFrontExpiration} + AND strikePercentageFromUnderlyingPrice >= -5.0 + AND strikePercentageFromUnderlyingPrice <= 5.0 + AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration} + ORDER BY x ASC + `,'JSONEachRow')); + }), +}); + +// Export type router type signature, +// NOT the router itself. +export type AppRouter = typeof appRouter; + + +const handler = createHTTPHandler({ + middleware: cors(), + router: appRouter, + createContext() { + return {}; + }, +}); + +const server = createServer((req, res)=>{ + if(req.url.startsWith("/healthz")){ + res.statusCode = 200; + res.end("OK"); + } + else{ + handler(req, res); + } +}); + +server.listen(parseInt(process.env.LISTEN_PORT) || 3005); \ No newline at end of file diff --git a/server/src/trpc.ts b/server/src/trpc.ts new file mode 100644 index 0000000..02a8c08 --- /dev/null +++ b/server/src/trpc.ts @@ -0,0 +1,14 @@ +import { initTRPC } from '@trpc/server'; +  +/** + * Initialization of tRPC backend + * Should be done only once per backend! + */ +const t = initTRPC.create(); +  +/** + * Export reusable router and procedure helpers + * that can be used throughout the router + */ +export const router = t.router; +export const publicProcedure = t.procedure; \ No newline at end of file diff --git a/server/tables.sql b/server/tables.sql new file mode 100644 index 0000000..9f806ac --- /dev/null +++ b/server/tables.sql @@ -0,0 +1,100 @@ +CREATE TABLE stock_aggregates +( + symbol LowCardinality(String), + tsStart DateTime32, + open Float64, + close Float64, + low Float64, + high Float64, + volume UInt64, + volume_weighted_price Float64 +) +ENGINE MergeTree() +ORDER BY (symbol, tsStart) + +CREATE TABLE option_aggregates +( + symbol LowCardinality(String), + expirationDate Date, + optionType Enum('call', 'put'), + strike Float64, + + tsStart DateTime32, + open Float64, + close Float64, + low Float64, + high Float64, + volume UInt64, + volumeWeightedPrice Float64 +) +ENGINE MergeTree() +ORDER BY (symbol, expirationDate, optionType, strike, tsStart) + +ALTER TABLE option_aggregates ADD INDEX idx_expirationDate expirationDate TYPE minmax GRANULARITY 2; +ALTER TABLE option_aggregates ADD INDEX idx_strike strike TYPE minmax GRANULARITY 2; +ALTER TABLE option_aggregates ADD INDEX idx_tsStart tsStart TYPE minmax GRANULARITY 2; + +CREATE TABLE option_histories +( + symbol LowCardinality(String), + expirationDate Date, + strike Float64, + + tsStart DateTime32, + open Float64, + daysToFront UInt16, + underlyingPrice Float64, + strikePercentageFromUnderlyingPrice Float64 +) +ENGINE MergeTree() +ORDER BY (symbol, daysToFront, strikePercentageFromUnderlyingPrice) + + +CREATE TABLE calendar_histories +( + symbol LowCardinality(String), + tsStart DateTime32, + frontExpirationDate Date, + backExpirationDate Date, + daysToFrontExpiration UInt16, + daysBetweenFrontAndBackExpiration UInt16, + strike Float64, + underlyingPrice Float64, + strikePercentageFromUnderlyingPrice Float64, + calendarPrice Float64 +) +ENGINE MergeTree() +PRIMARY KEY (symbol, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPrice) +ORDER BY (symbol, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPrice, tsStart) + + +-- INSERT INTO calendar_histories +-- SELECT +-- front_option.symbol as symbol, +-- front_option.tsStart as tsStart, +-- front_option.expirationDate as frontExpirationDate, +-- back_option.expirationDate as backExpirationDate, +-- front_option.daysToFront as daysToFrontExpiration, +-- backExpirationDate - frontExpirationDate as daysBetweenFrontAndBackExpiration, +-- front_option.strike as strike, +-- front_option.underlyingPrice as underlyingPrice, +-- front_option.strikePercentageFromUnderlyingPrice, +-- back_option.open - front_option.open as calendarPrice +-- FROM ( +-- SELECT +-- symbol, +-- tsStart, +-- expirationDate, +-- strike, +-- open, +-- daysToFront, +-- underlyingPrice, +-- strikePercentageFromUnderlyingPrice +-- FROM option_histories +-- ) AS front_option +-- LEFT JOIN option_aggregates as back_option +-- ON front_option.symbol = back_option.symbol +-- AND front_option.strike = back_option.strike +-- AND front_option.tsStart = back_option.tsStart +-- WHERE back_option.expirationDate > front_option.expirationDate +-- SETTINGS join_algorithm = 'grace_hash', grace_hash_join_initial_buckets = 16, max_bytes_in_join = 536870912 diff --git a/server/tsconfig.json b/server/tsconfig.json new file mode 100644 index 0000000..904ce4e --- /dev/null +++ b/server/tsconfig.json @@ -0,0 +1,12 @@ +{ + "compilerOptions": { + "target": "ES2020", + "module": "ESNext", + "moduleResolution": "bundler", + "noEmit": true, + "allowJs": true, + "checkJs": true, + "lib": ["es2022"] + }, + "include": ["**/*"] +}