init
Avraham Sakal
1 year ago
commit
dc63f31647
@ -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?
|
||||
@ -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 .
|
||||
@ -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
|
||||
|
||||
@ -0,0 +1,3 @@
|
||||
#!/bin/sh
|
||||
|
||||
kubectl rollout restart -n calendar-optimizer deployments/frontend
|
||||
@ -0,0 +1,14 @@
|
||||
<!DOCTYPE html>
|
||||
<html lang="en">
|
||||
<head>
|
||||
<meta charset="UTF-8" />
|
||||
<link rel="icon" type="image/svg+xml" href="/vite.svg" />
|
||||
<meta name="viewport" content="width=device-width, initial-scale=1.0" />
|
||||
<meta name="color-scheme" content="light dark" />
|
||||
<title>Vite + Preact</title>
|
||||
</head>
|
||||
<body>
|
||||
<div id="app"></div>
|
||||
<script type="module" src="/src/index.tsx"></script>
|
||||
</body>
|
||||
</html>
|
||||
@ -0,0 +1,23 @@
|
||||
{
|
||||
"private": true,
|
||||
"type": "module",
|
||||
"scripts": {
|
||||
"dev": "vite",
|
||||
"build": "vite build",
|
||||
"preview": "vite preview"
|
||||
},
|
||||
"dependencies": {
|
||||
"@preact/signals": "^1.2.2",
|
||||
"@trpc/client": "^10.45.0",
|
||||
"chart.js": "^4.4.1",
|
||||
"preact": "^10.13.1",
|
||||
"preact-iso": "^2.3.2",
|
||||
"preact-render-to-string": "^6.3.1",
|
||||
"react-chartjs-2": "^5.2.0"
|
||||
},
|
||||
"devDependencies": {
|
||||
"@preact/preset-vite": "^2.5.0",
|
||||
"typescript": "^5.3.3",
|
||||
"vite": "^4.3.2"
|
||||
}
|
||||
}
|
||||
File diff suppressed because it is too large
Load Diff
@ -0,0 +1 @@
|
||||
<svg xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink" aria-hidden="true" role="img" class="iconify iconify--logos" width="31.88" height="32" preserveAspectRatio="xMidYMid meet" viewBox="0 0 256 257"><defs><linearGradient id="IconifyId1813088fe1fbc01fb466" x1="-.828%" x2="57.636%" y1="7.652%" y2="78.411%"><stop offset="0%" stop-color="#41D1FF"></stop><stop offset="100%" stop-color="#BD34FE"></stop></linearGradient><linearGradient id="IconifyId1813088fe1fbc01fb467" x1="43.376%" x2="50.316%" y1="2.242%" y2="89.03%"><stop offset="0%" stop-color="#FFEA83"></stop><stop offset="8.333%" stop-color="#FFDD35"></stop><stop offset="100%" stop-color="#FFA800"></stop></linearGradient></defs><path fill="url(#IconifyId1813088fe1fbc01fb466)" d="M255.153 37.938L134.897 252.976c-2.483 4.44-8.862 4.466-11.382.048L.875 37.958c-2.746-4.814 1.371-10.646 6.827-9.67l120.385 21.517a6.537 6.537 0 0 0 2.322-.004l117.867-21.483c5.438-.991 9.574 4.796 6.877 9.62Z"></path><path fill="url(#IconifyId1813088fe1fbc01fb467)" d="M185.432.063L96.44 17.501a3.268 3.268 0 0 0-2.634 3.014l-5.474 92.456a3.268 3.268 0 0 0 3.997 3.378l24.777-5.718c2.318-.535 4.413 1.507 3.936 3.838l-7.361 36.047c-.495 2.426 1.782 4.5 4.151 3.78l15.304-4.649c2.372-.72 4.652 1.36 4.15 3.788l-11.698 56.621c-.732 3.542 3.979 5.473 5.943 2.437l1.313-2.028l72.516-144.72c1.215-2.423-.88-5.186-3.54-4.672l-25.505 4.922c-2.396.462-4.435-1.77-3.759-4.114l16.646-57.705c.677-2.35-1.37-4.583-3.769-4.113Z"></path></svg>
|
||||
|
After Width: | Height: | Size: 1.5 KiB |
@ -0,0 +1 @@
|
||||
<svg xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink" aria-hidden="true" role="img" class="iconify iconify--logos" width="27.68" height="32" preserveAspectRatio="xMidYMid meet" viewBox="0 0 256 296"><path fill="#673AB8" d="m128 0l128 73.9v147.8l-128 73.9L0 221.7V73.9z"></path><path fill="#FFF" d="M34.865 220.478c17.016 21.78 71.095 5.185 122.15-34.704c51.055-39.888 80.24-88.345 63.224-110.126c-17.017-21.78-71.095-5.184-122.15 34.704c-51.055 39.89-80.24 88.346-63.224 110.126Zm7.27-5.68c-5.644-7.222-3.178-21.402 7.573-39.253c11.322-18.797 30.541-39.548 54.06-57.923c23.52-18.375 48.303-32.004 69.281-38.442c19.922-6.113 34.277-5.075 39.92 2.148c5.644 7.223 3.178 21.403-7.573 39.254c-11.322 18.797-30.541 39.547-54.06 57.923c-23.52 18.375-48.304 32.004-69.281 38.441c-19.922 6.114-34.277 5.076-39.92-2.147Z"></path><path fill="#FFF" d="M220.239 220.478c17.017-21.78-12.169-70.237-63.224-110.126C105.96 70.464 51.88 53.868 34.865 75.648c-17.017 21.78 12.169 70.238 63.224 110.126c51.055 39.889 105.133 56.485 122.15 34.704Zm-7.27-5.68c-5.643 7.224-19.998 8.262-39.92 2.148c-20.978-6.437-45.761-20.066-69.28-38.441c-23.52-18.376-42.74-39.126-54.06-57.923c-10.752-17.851-13.218-32.03-7.575-39.254c5.644-7.223 19.999-8.261 39.92-2.148c20.978 6.438 45.762 20.067 69.281 38.442c23.52 18.375 42.739 39.126 54.06 57.923c10.752 17.85 13.218 32.03 7.574 39.254Z"></path><path fill="#FFF" d="M127.552 167.667c10.827 0 19.603-8.777 19.603-19.604c0-10.826-8.776-19.603-19.603-19.603c-10.827 0-19.604 8.777-19.604 19.603c0 10.827 8.777 19.604 19.604 19.604Z"></path></svg>
|
||||
|
After Width: | Height: | Size: 1.6 KiB |
@ -0,0 +1,24 @@
|
||||
import { useLocation } from 'preact-iso';
|
||||
|
||||
export function Header() {
|
||||
const { url } = useLocation();
|
||||
|
||||
return (
|
||||
<header>
|
||||
<nav>
|
||||
<a href="/" class={url == '/' && 'active'}>
|
||||
Home
|
||||
</a>
|
||||
<a href="/calendar-optimizer" class={url == '/calendar-optimizer' && 'active'}>
|
||||
Calendar Optimizer
|
||||
</a>
|
||||
<a href="/historical-calendar-prices" class={url == '/historical-calendar-prices' && 'active'}>
|
||||
Historical Calendar Prices
|
||||
</a>
|
||||
<a href="/404" class={url == '/404' && 'active'}>
|
||||
404
|
||||
</a>
|
||||
</nav>
|
||||
</header>
|
||||
);
|
||||
}
|
||||
@ -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 (
|
||||
<LocationProvider>
|
||||
<Header />
|
||||
<main>
|
||||
<Router>
|
||||
<Route path="/" component={Home} />
|
||||
<Route path="/calendar-optimizer" component={CalendarOptimizer} />
|
||||
<Route path="/historical-calendar-prices" component={HistoricalCalendarPrices} />
|
||||
<Route default component={NotFound} />
|
||||
</Router>
|
||||
</main>
|
||||
</LocationProvider>
|
||||
);
|
||||
}
|
||||
|
||||
render(<App />, document.getElementById('app'));
|
||||
@ -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 (
|
||||
<div>
|
||||
<div>
|
||||
<label>Available Underlyings</label>
|
||||
{
|
||||
availableUnderlyings.value.length === 0
|
||||
? "Loading..."
|
||||
: <select onChange={handleUnderlyingChange}>
|
||||
{availableUnderlyings.value.map((availableUnderlying)=>(
|
||||
<option value={availableUnderlying}>{availableUnderlying}</option>
|
||||
))}
|
||||
</select>
|
||||
}
|
||||
</div>
|
||||
<div>
|
||||
<label>Available "As-of" Dates</label>
|
||||
{
|
||||
availableAsOfDates.value.length === 0
|
||||
? "Loading..."
|
||||
: <select onChange={handleAsOfDateChange}>
|
||||
{availableAsOfDates.value.map((availableAsOfDate)=>(
|
||||
<option value={availableAsOfDate}>{availableAsOfDate}</option>
|
||||
))}
|
||||
</select>
|
||||
}
|
||||
</div>
|
||||
<div>
|
||||
<label>Available Expirations</label>
|
||||
{
|
||||
availableExpirations.value.length === 0
|
||||
? "Loading..."
|
||||
: <select onChange={handleExpirationChange}>
|
||||
{availableExpirations.value.map((availableExpiration)=>(
|
||||
<option value={availableExpiration}>{availableExpiration}</option>
|
||||
))}
|
||||
</select>
|
||||
}
|
||||
</div>
|
||||
<div>
|
||||
<label>Available Strikes</label>
|
||||
{
|
||||
availableStrikes.value.length === 0
|
||||
? "Loading..."
|
||||
: <select onChange={handleStrikeChange}>
|
||||
{availableStrikes.value.map((availableStrike)=>(
|
||||
<option value={availableStrike}>{availableStrike}</option>
|
||||
))}
|
||||
</select>
|
||||
}
|
||||
</div>
|
||||
{/* {chosenUnderlying.value!==null && underlyingUplotData.value.length>0
|
||||
? <UPlot data={underlyingUplotData.value} title="Underlying" opts={uplotOpts}/>
|
||||
: <></>}
|
||||
{chosenUnderlying.value!==null && chosenAsOfDate.value!==null && chosenExpiration.value!==null && chosenStrike.value!==null && optionContractUplotData.value.length>0
|
||||
? <UPlot data={optionContractUplotData.value} title="Option Contract" opts={uplotOpts}/>
|
||||
: <></>} */}
|
||||
</div>
|
||||
);
|
||||
}
|
||||
@ -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 (
|
||||
<div>
|
||||
<div>
|
||||
<label>Available Underlyings</label>
|
||||
{
|
||||
availableUnderlyings.value.length === 0
|
||||
? "Loading..."
|
||||
: <select onChange={handleUnderlyingChange}>
|
||||
{availableUnderlyings.value.map((availableUnderlying)=>(
|
||||
<option value={availableUnderlying}>{availableUnderlying}</option>
|
||||
))}
|
||||
</select>
|
||||
}
|
||||
</div>
|
||||
<div>
|
||||
<label>Now-to-Front-Month "Days to Expiration"</label>
|
||||
<input type="text" onChange={handleDaysToFrontExpirationChange} value={chosenDaysToFrontExpiration.value} />
|
||||
Days
|
||||
</div>
|
||||
<div>
|
||||
<label>Front-to-Back-Month "Days to Expiration" Difference</label>
|
||||
<input type="text" onChange={handleDaysBetweenFrontAndBackExpirationChange} value={chosenDaysBetweenFrontAndBackExpiration.value} />
|
||||
Days Difference
|
||||
</div>
|
||||
<div>
|
||||
<label>"Strike Percentage From Underlying Price" Range</label>
|
||||
<input type="text" onChange={handleStrikePercentageFromUnderlyingPriceChange} value={chosenStrikePercentageFromUnderlyingPrice.value} />
|
||||
%
|
||||
+/-
|
||||
<input type="text" onChange={handleStrikePercentageFromUnderlyingPriceRadiusChange} value={chosenStrikePercentageFromUnderlyingPriceRadius.value} />
|
||||
% from ATM
|
||||
</div>
|
||||
<div>
|
||||
<label>Exit-to-Front-Month "Days to Expiration"</label>
|
||||
<input type="text" onChange={handleExitToFrontExpirationChange} value={chosenExitToFrontExpiration.value} />
|
||||
Days
|
||||
</div>
|
||||
<div className="chart-container">
|
||||
{chosenUnderlying.value!==null && historicalStockQuoteChartData.value.length>0
|
||||
? <div className="chart">
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
{
|
||||
label: "Stock Open Price",
|
||||
data: historicalStockQuoteChartData.value
|
||||
}
|
||||
]
|
||||
}}
|
||||
options={{
|
||||
scales: {
|
||||
x: {
|
||||
title: {
|
||||
display: true,
|
||||
text: "Time"
|
||||
},
|
||||
ticks: {
|
||||
callback: function(value, index, ticks) {
|
||||
return (new Date(value as number*1000)).toISOString().substring(0,10);
|
||||
}
|
||||
}
|
||||
},
|
||||
y: {
|
||||
beginAtZero: false,
|
||||
ticks: {
|
||||
callback: function(value, index, ticks) {
|
||||
return "$"+value.toString();
|
||||
}
|
||||
}
|
||||
},
|
||||
},
|
||||
elements: {
|
||||
point: {
|
||||
radius: 1,
|
||||
borderWidth: 0,
|
||||
}
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
title: {
|
||||
display: true,
|
||||
text: "Stock Price"
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
}}
|
||||
/>
|
||||
</div>
|
||||
: <div>Loading Chart...</div>}
|
||||
</div>
|
||||
<div className="chart-container">
|
||||
{chosenUnderlying.value!==null && historicalCalendarQuoteChartData.value.length>0
|
||||
? <div className="chart">
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
{
|
||||
label: "Calendar Open Price",
|
||||
data: historicalCalendarQuoteChartData.value
|
||||
}
|
||||
]
|
||||
}}
|
||||
options={{
|
||||
scales: {
|
||||
x: {
|
||||
title: {
|
||||
display: true,
|
||||
text: "Time"
|
||||
},
|
||||
ticks: {
|
||||
callback: function(value, index, ticks) {
|
||||
return (new Date(value as number*1000)).toISOString().substring(0,10);
|
||||
}
|
||||
}
|
||||
},
|
||||
y: {
|
||||
beginAtZero: true,
|
||||
ticks: {
|
||||
callback: function(value, index, ticks) {
|
||||
return "$"+value.toString();
|
||||
}
|
||||
}
|
||||
}
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
title: {
|
||||
display: true,
|
||||
text: "Calendar Price (Under Like Conditions)"
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
}}
|
||||
/>
|
||||
</div>
|
||||
: <div>Loading Chart...</div>}
|
||||
|
||||
{chosenUnderlying.value!==null && historicalCalendarQuoteChartData.value.length>0
|
||||
? <div className="chart">
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
{
|
||||
label: "Calendar Exit Price",
|
||||
data: historicalCalendarExitQuoteChartData.value
|
||||
}
|
||||
]
|
||||
}}
|
||||
options={{
|
||||
scales: {
|
||||
x: {
|
||||
type: 'linear',
|
||||
beginAtZero: false,
|
||||
title: {
|
||||
display: true,
|
||||
text: "%-From-the-Money"
|
||||
},
|
||||
ticks: {
|
||||
callback: function(value, index, ticks) {
|
||||
return value.toString()+"%";
|
||||
}
|
||||
}
|
||||
},
|
||||
y: {
|
||||
beginAtZero: true,
|
||||
ticks: {
|
||||
callback: function(value, index, ticks) {
|
||||
return "$"+value.toString();
|
||||
}
|
||||
}
|
||||
},
|
||||
},
|
||||
elements: {
|
||||
point: {
|
||||
borderWidth: 0,
|
||||
},
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
title: {
|
||||
display: true,
|
||||
text: ["Calendar Prices at Exit","by %-age from-the-money"]
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
}}
|
||||
/>
|
||||
</div>
|
||||
: <div>Loading Chart...</div>}
|
||||
</div>
|
||||
</div>
|
||||
);
|
||||
}
|
||||
@ -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;
|
||||
}
|
||||
@ -0,0 +1,47 @@
|
||||
import preactLogo from '../../assets/preact.svg';
|
||||
import './style.css';
|
||||
|
||||
export function Logo(){
|
||||
return (
|
||||
<a href="https://preactjs.com" target="_blank">
|
||||
<img src={preactLogo} alt="Preact logo" height="160" width="160" />
|
||||
</a>
|
||||
);
|
||||
}
|
||||
|
||||
export function Home() {
|
||||
return (
|
||||
<div class="home">
|
||||
<Logo/>
|
||||
<h1>Get Started with the Calendar Optimizer</h1>
|
||||
<a href="/calendar-optimizer" target="_blank">Calendar Optimizer</a>
|
||||
<a href="/historical-calendar-prices" target="_blank">Historical Calendar Prices</a>
|
||||
<section>
|
||||
<Resource
|
||||
title="Learn Preact"
|
||||
description="If you're new to Preact, try the interactive tutorial to learn important concepts"
|
||||
href="https://preactjs.com/tutorial"
|
||||
/>
|
||||
<Resource
|
||||
title="Differences to React"
|
||||
description="If you're coming from React, you may want to check out our docs to see where Preact differs"
|
||||
href="https://preactjs.com/guide/v10/differences-to-react"
|
||||
/>
|
||||
<Resource
|
||||
title="Learn Vite"
|
||||
description="To learn more about Vite and how you can customize it to fit your needs, take a look at their excellent documentation"
|
||||
href="https://vitejs.dev"
|
||||
/>
|
||||
</section>
|
||||
</div>
|
||||
);
|
||||
}
|
||||
|
||||
function Resource(props) {
|
||||
return (
|
||||
<a href={props.href} target="_blank" class="resource">
|
||||
<h2>{props.title}</h2>
|
||||
<p>{props.description}</p>
|
||||
</a>
|
||||
);
|
||||
}
|
||||
@ -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;
|
||||
}
|
||||
}
|
||||
@ -0,0 +1,8 @@
|
||||
export function NotFound() {
|
||||
return (
|
||||
<section>
|
||||
<h1>404: Not Found</h1>
|
||||
<p>It's gone :(</p>
|
||||
</section>
|
||||
);
|
||||
}
|
||||
@ -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;
|
||||
}
|
||||
}
|
||||
@ -0,0 +1,15 @@
|
||||
import { createTRPCProxyClient, httpBatchLink } from '@trpc/client';
|
||||
import type { AppRouter } from '../../server/src/index';
|
||||
|
||||
export const trpc = createTRPCProxyClient<AppRouter>({
|
||||
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,
|
||||
}
|
||||
});
|
||||
@ -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", "**/*"]
|
||||
}
|
||||
@ -0,0 +1,7 @@
|
||||
import { defineConfig } from 'vite';
|
||||
import preact from '@preact/preset-vite';
|
||||
|
||||
// https://vitejs.dev/config/
|
||||
export default defineConfig({
|
||||
plugins: [preact()],
|
||||
});
|
||||
@ -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?
|
||||
@ -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" ]
|
||||
@ -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
|
||||
|
||||
@ -0,0 +1,2 @@
|
||||
#!/bin/sh
|
||||
kubectl port-forward -n clickhouse clickhouse 8123:8123
|
||||
@ -0,0 +1,3 @@
|
||||
#!/bin/sh
|
||||
|
||||
kubectl rollout restart -n calendar-optimizer deployments/server
|
||||
@ -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"
|
||||
}
|
||||
}
|
||||
File diff suppressed because it is too large
Load Diff
@ -0,0 +1,15 @@
|
||||
import { createClient as createClickhouseClient } from '@clickhouse/client';
|
||||
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<T>(queryString:string, format:DataFormat='JSONEachRow') : Promise<Array<T>>{
|
||||
return await (await clickhouse.query({
|
||||
query: queryString,
|
||||
format
|
||||
})).json()
|
||||
}
|
||||
@ -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<T extends TSchema>(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);
|
||||
@ -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
|
||||
@ -0,0 +1,12 @@
|
||||
{
|
||||
"compilerOptions": {
|
||||
"target": "ES2020",
|
||||
"module": "ESNext",
|
||||
"moduleResolution": "bundler",
|
||||
"noEmit": true,
|
||||
"allowJs": true,
|
||||
"checkJs": true,
|
||||
"lib": ["es2022"]
|
||||
},
|
||||
"include": ["**/*"]
|
||||
}
|
||||
Loading…
Reference in New Issue