fix: the "optiondb-lmdbx" calendardb was returning too many possible strike-front-back permutations due to faulty programming

2024-08-11 17:38:04 -04:00
parent 8d908521fd
commit fe1265810d
1 changed files with 10 additions and 2 deletions
@@ -68,14 +68,22 @@ function makeCalendarDatabase(): CalendarDatabase {
      return optionContracts.flatMap(
        (frontOptionContract, i, optionContracts) =>
          optionContracts
-            .filter((_, j) => i !== j)
+            .filter(
+              (potientialBackOptionContract) =>
+                frontOptionContract.strike ===
+                  potientialBackOptionContract.strike &&
+                frontOptionContract.type ===
+                  potientialBackOptionContract.type &&
+                frontOptionContract.expirationDate <
+                  potientialBackOptionContract.expirationDate
+            )
            .map((backOptionContract) => ({
              symbol,
              frontExpirationDate: frontOptionContract.expirationDate,
              backExpirationDate: backOptionContract.expirationDate,
              strike: frontOptionContract.strike,
              type: frontOptionContract.type,
-            })),
+            }))
      );
    },
    getAggregates: async ({