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41 Commits
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85cafd985d |
+3
-1
@@ -1,2 +1,4 @@
|
||||
.pnpm-store
|
||||
node_modules
|
||||
node_modules
|
||||
.aider*
|
||||
.env
|
||||
|
||||
@@ -1 +1,3 @@
|
||||
nodejs 20.15.1
|
||||
python 3.12.4
|
||||
pnpm 9.7.1
|
||||
+2
-2
@@ -2,14 +2,14 @@
|
||||
FROM node:20-slim AS build
|
||||
ENV PNPM_HOME="/pnpm"
|
||||
ENV PATH="$PNPM_HOME:$PATH"
|
||||
RUN corepack enable
|
||||
RUN npm install -g corepack@latest && 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 index.css postcss.config.js tailwind.config.js /app/
|
||||
COPY tsconfig.json vite.config.ts index.html index.css /app/
|
||||
COPY src /app/src
|
||||
# Vite injects envvars at build time, not runtime:
|
||||
ENV VITE_SERVER_BASE_URL=https://calendar-optimizer-server.sakal.us
|
||||
|
||||
@@ -7,12 +7,10 @@
|
||||
"preview": "vite preview"
|
||||
},
|
||||
"dependencies": {
|
||||
"@date-io/date-fns": "^3.0.0",
|
||||
"@emotion/react": "^11.13.0",
|
||||
"@emotion/styled": "^11.13.0",
|
||||
"@mui/material": "^5.16.6",
|
||||
"@mui/system": "^5.16.6",
|
||||
"@mui/x-date-pickers": "^7.12.0",
|
||||
"@mui/icons-material": "^6.1.1",
|
||||
"@mui/material": "^6.1.1",
|
||||
"@mui/system": "^6.1.1",
|
||||
"@mui/x-date-pickers": "^7.18.0",
|
||||
"@preact/signals": "^1.2.2",
|
||||
"@trpc/client": "^10.45.0",
|
||||
"chart.js": "^4.4.1",
|
||||
|
||||
Generated
+182
-111
@@ -8,24 +8,18 @@ importers:
|
||||
|
||||
.:
|
||||
dependencies:
|
||||
'@date-io/date-fns':
|
||||
specifier: ^3.0.0
|
||||
version: 3.0.0(date-fns@3.6.0)
|
||||
'@emotion/react':
|
||||
specifier: ^11.13.0
|
||||
version: 11.13.0(@types/react@18.3.3)(react@18.3.1)
|
||||
'@emotion/styled':
|
||||
specifier: ^11.13.0
|
||||
version: 11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/icons-material':
|
||||
specifier: ^6.1.1
|
||||
version: 6.1.1(@mui/material@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/material':
|
||||
specifier: ^5.16.6
|
||||
version: 5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)
|
||||
specifier: ^6.1.1
|
||||
version: 6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)
|
||||
'@mui/system':
|
||||
specifier: ^5.16.6
|
||||
version: 5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
specifier: ^6.1.1
|
||||
version: 6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/x-date-pickers':
|
||||
specifier: ^7.12.0
|
||||
version: 7.12.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@mui/material@5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1))(@types/react@18.3.3)(date-fns@3.6.0)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)
|
||||
specifier: ^7.18.0
|
||||
version: 7.18.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@mui/material@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1))(@mui/system@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(date-fns@3.6.0)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)
|
||||
'@preact/signals':
|
||||
specifier: ^1.2.2
|
||||
version: 1.2.2(preact@10.19.3)
|
||||
@@ -178,6 +172,10 @@ packages:
|
||||
resolution: {integrity: sha512-7dRy4DwXwtzBrPbZflqxnvfxLF8kdZXPkhymtDeFoFqE6ldzjQFgYTtYIFARcLEYDrqfBfYcZt1WqFxRoyC9Rw==}
|
||||
engines: {node: '>=6.9.0'}
|
||||
|
||||
'@babel/runtime@7.25.6':
|
||||
resolution: {integrity: sha512-VBj9MYyDb9tuLq7yzqjgzt6Q+IBQLrGZfdjOekyEirZPHxXWoTSGUTMrpsfi58Up73d13NfYLv8HT9vmznjzhQ==}
|
||||
engines: {node: '>=6.9.0'}
|
||||
|
||||
'@babel/template@7.22.15':
|
||||
resolution: {integrity: sha512-QPErUVm4uyJa60rkI73qneDacvdvzxshT3kksGqlGWYdOTIUOwJ7RDUL8sGqslY1uXWSL6xMFKEXDS3ox2uF0w==}
|
||||
engines: {node: '>=6.9.0'}
|
||||
@@ -190,17 +188,6 @@ packages:
|
||||
resolution: {integrity: sha512-+uarb83brBzPKN38NX1MkB6vb6+mwvR6amUulqAE7ccQw1pEl+bCia9TbdG1lsnFP7lZySvUn37CHyXQdfTwzg==}
|
||||
engines: {node: '>=6.9.0'}
|
||||
|
||||
'@date-io/core@3.0.0':
|
||||
resolution: {integrity: sha512-S3j+IAQVBYNkQzchVVhX40eBkGDreBpScy9RXwTS5j2+k07+62pMVPisQ44Gq76Rqy5AOG/EZXCwBpY/jbemvA==}
|
||||
|
||||
'@date-io/date-fns@3.0.0':
|
||||
resolution: {integrity: sha512-hsLAbsdP8LKfi7OQ729cXMWfmHQEq0hn3ysXfAAoc92j6j6sBq0s0tplnkWu6O4iBUpVCYRPGuNjQQhTaOu2AA==}
|
||||
peerDependencies:
|
||||
date-fns: ^3.2.0
|
||||
peerDependenciesMeta:
|
||||
date-fns:
|
||||
optional: true
|
||||
|
||||
'@emotion/babel-plugin@11.12.0':
|
||||
resolution: {integrity: sha512-y2WQb+oP8Jqvvclh8Q55gLUyb7UFvgv7eJfsj7td5TToBrIUtPay2kMrZi4xjq9qw2vD0ZR5fSho0yqoFgX7Rw==}
|
||||
|
||||
@@ -408,57 +395,71 @@ packages:
|
||||
'@kurkle/color@0.3.2':
|
||||
resolution: {integrity: sha512-fuscdXJ9G1qb7W8VdHi+IwRqij3lBkosAm4ydQtEmbY58OzHXqQhvlxqEkoz0yssNVn38bcpRWgA9PP+OGoisw==}
|
||||
|
||||
'@mui/core-downloads-tracker@5.16.6':
|
||||
resolution: {integrity: sha512-kytg6LheUG42V8H/o/Ptz3olSO5kUXW9zF0ox18VnblX6bO2yif1FPItgc3ey1t5ansb1+gbe7SatntqusQupg==}
|
||||
'@mui/core-downloads-tracker@6.1.1':
|
||||
resolution: {integrity: sha512-VdQC1tPIIcZAnf62L2M1eQif0x2vlKg3YK4kGYbtijSH4niEgI21GnstykW1vQIs+Bc6L+Hua2GATYVjilJ22A==}
|
||||
|
||||
'@mui/material@5.16.6':
|
||||
resolution: {integrity: sha512-0LUIKBOIjiFfzzFNxXZBRAyr9UQfmTAFzbt6ziOU2FDXhorNN2o3N9/32mNJbCA8zJo2FqFU6d3dtoqUDyIEfA==}
|
||||
engines: {node: '>=12.0.0'}
|
||||
'@mui/icons-material@6.1.1':
|
||||
resolution: {integrity: sha512-sy/YKwcLPW8VcacNP2uWMYR9xyWuwO9NN9FXuGEU90bRshBXj8pdKk+joe3TCW7oviVS3zXLHlc94wQ0jNsQRQ==}
|
||||
engines: {node: '>=14.0.0'}
|
||||
peerDependencies:
|
||||
'@mui/material': ^6.1.1
|
||||
'@types/react': ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
react: ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
peerDependenciesMeta:
|
||||
'@types/react':
|
||||
optional: true
|
||||
|
||||
'@mui/material@6.1.1':
|
||||
resolution: {integrity: sha512-b+eULldTqtqTCbN++2BtBWCir/1LwEYw+2mIlOt2GiEUh1EBBw4/wIukGKKNt3xrCZqRA80yLLkV6tF61Lq3cA==}
|
||||
engines: {node: '>=14.0.0'}
|
||||
peerDependencies:
|
||||
'@emotion/react': ^11.5.0
|
||||
'@emotion/styled': ^11.3.0
|
||||
'@types/react': ^17.0.0 || ^18.0.0
|
||||
react: ^17.0.0 || ^18.0.0
|
||||
react-dom: ^17.0.0 || ^18.0.0
|
||||
'@mui/material-pigment-css': ^6.1.1
|
||||
'@types/react': ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
react: ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
react-dom: ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
peerDependenciesMeta:
|
||||
'@emotion/react':
|
||||
optional: true
|
||||
'@emotion/styled':
|
||||
optional: true
|
||||
'@mui/material-pigment-css':
|
||||
optional: true
|
||||
'@types/react':
|
||||
optional: true
|
||||
|
||||
'@mui/private-theming@5.16.6':
|
||||
resolution: {integrity: sha512-rAk+Rh8Clg7Cd7shZhyt2HGTTE5wYKNSJ5sspf28Fqm/PZ69Er9o6KX25g03/FG2dfpg5GCwZh/xOojiTfm3hw==}
|
||||
engines: {node: '>=12.0.0'}
|
||||
'@mui/private-theming@6.1.1':
|
||||
resolution: {integrity: sha512-JlrjIdhyZUtewtdAuUsvi3ZnO0YS49IW4Mfz19ZWTlQ0sDGga6LNPVwHClWr2/zJK2we2BQx9/i8M32rgKuzrg==}
|
||||
engines: {node: '>=14.0.0'}
|
||||
peerDependencies:
|
||||
'@types/react': ^17.0.0 || ^18.0.0
|
||||
react: ^17.0.0 || ^18.0.0
|
||||
'@types/react': ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
react: ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
peerDependenciesMeta:
|
||||
'@types/react':
|
||||
optional: true
|
||||
|
||||
'@mui/styled-engine@5.16.6':
|
||||
resolution: {integrity: sha512-zaThmS67ZmtHSWToTiHslbI8jwrmITcN93LQaR2lKArbvS7Z3iLkwRoiikNWutx9MBs8Q6okKvbZq1RQYB3v7g==}
|
||||
engines: {node: '>=12.0.0'}
|
||||
'@mui/styled-engine@6.1.1':
|
||||
resolution: {integrity: sha512-HJyIoMpFb11fnHuRtUILOXgq6vj4LhIlE8maG4SwP/W+E5sa7HFexhnB3vOMT7bKys4UKNxhobC8jwWxYilGsA==}
|
||||
engines: {node: '>=14.0.0'}
|
||||
peerDependencies:
|
||||
'@emotion/react': ^11.4.1
|
||||
'@emotion/styled': ^11.3.0
|
||||
react: ^17.0.0 || ^18.0.0
|
||||
react: ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
peerDependenciesMeta:
|
||||
'@emotion/react':
|
||||
optional: true
|
||||
'@emotion/styled':
|
||||
optional: true
|
||||
|
||||
'@mui/system@5.16.6':
|
||||
resolution: {integrity: sha512-5xgyJjBIMPw8HIaZpfbGAaFYPwImQn7Nyh+wwKWhvkoIeDosQ1ZMVrbTclefi7G8hNmqhip04duYwYpbBFnBgw==}
|
||||
engines: {node: '>=12.0.0'}
|
||||
'@mui/system@6.1.1':
|
||||
resolution: {integrity: sha512-PaYsCz2tUOcpu3T0okDEsSuP/yCDIj9JZ4Tox1JovRSKIjltHpXPsXZSGr3RiWdtM1MTQMFMCZzu0+CKbyy+Kw==}
|
||||
engines: {node: '>=14.0.0'}
|
||||
peerDependencies:
|
||||
'@emotion/react': ^11.5.0
|
||||
'@emotion/styled': ^11.3.0
|
||||
'@types/react': ^17.0.0 || ^18.0.0
|
||||
react: ^17.0.0 || ^18.0.0
|
||||
'@types/react': ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
react: ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
peerDependenciesMeta:
|
||||
'@emotion/react':
|
||||
optional: true
|
||||
@@ -467,10 +468,10 @@ packages:
|
||||
'@types/react':
|
||||
optional: true
|
||||
|
||||
'@mui/types@7.2.15':
|
||||
resolution: {integrity: sha512-nbo7yPhtKJkdf9kcVOF8JZHPZTmqXjJ/tI0bdWgHg5tp9AnIN4Y7f7wm9T+0SyGYJk76+GYZ8Q5XaTYAsUHN0Q==}
|
||||
'@mui/types@7.2.17':
|
||||
resolution: {integrity: sha512-oyumoJgB6jDV8JFzRqjBo2daUuHpzDjoO/e3IrRhhHo/FxJlaVhET6mcNrKHUq2E+R+q3ql0qAtvQ4rfWHhAeQ==}
|
||||
peerDependencies:
|
||||
'@types/react': ^17.0.0 || ^18.0.0
|
||||
'@types/react': ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
peerDependenciesMeta:
|
||||
'@types/react':
|
||||
optional: true
|
||||
@@ -485,14 +486,25 @@ packages:
|
||||
'@types/react':
|
||||
optional: true
|
||||
|
||||
'@mui/x-date-pickers@7.12.0':
|
||||
resolution: {integrity: sha512-WU5C7QNfSpJ9cP8vl2sY7q35NW+0TUMgEy+sl98fcPhLckq3cgV1wnVxoZnQZ3BxVQAtx+7ag/MpefU03vJcVw==}
|
||||
'@mui/utils@6.1.1':
|
||||
resolution: {integrity: sha512-HlRrgdJSPbYDXPpoVMWZV8AE7WcFtAk13rWNWAEVWKSanzBBkymjz3km+Th/Srowsh4pf1fTSP1B0L116wQBYw==}
|
||||
engines: {node: '>=14.0.0'}
|
||||
peerDependencies:
|
||||
'@types/react': ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
react: ^17.0.0 || ^18.0.0 || ^19.0.0
|
||||
peerDependenciesMeta:
|
||||
'@types/react':
|
||||
optional: true
|
||||
|
||||
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|
||||
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|
||||
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|
||||
peerDependencies:
|
||||
'@emotion/react': ^11.9.0
|
||||
'@emotion/styled': ^11.8.1
|
||||
'@mui/material': ^5.15.14
|
||||
date-fns: ^2.25.0 || ^3.2.0
|
||||
'@mui/material': ^5.15.14 || ^6.0.0
|
||||
'@mui/system': ^5.15.14 || ^6.0.0
|
||||
date-fns: ^2.25.0 || ^3.2.0 || ^4.0.0
|
||||
date-fns-jalali: ^2.13.0-0 || ^3.2.0-0
|
||||
dayjs: ^1.10.7
|
||||
luxon: ^3.0.2
|
||||
@@ -521,6 +533,12 @@ packages:
|
||||
moment-jalaali:
|
||||
optional: true
|
||||
|
||||
'@mui/x-internals@7.18.0':
|
||||
resolution: {integrity: sha512-lzCHOWIR0cAIY1bGrWSprYerahbnH5C31ql/2OWCEjcngL2NAV1M6oKI2Vp4HheqzJ822c60UyWyapvyjSzY/A==}
|
||||
engines: {node: '>=14.0.0'}
|
||||
peerDependencies:
|
||||
react: ^17.0.0 || ^18.0.0
|
||||
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'@popperjs/core@2.11.8':
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||||
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|
||||
|
||||
@@ -573,8 +591,8 @@ packages:
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||||
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||||
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||||
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||||
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||||
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'@types/react@18.3.3':
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||||
resolution: {integrity: sha512-hti/R0pS0q1/xx+TsI73XIqk26eBsISZ2R0wUijXIngRK9R/e7Xw/cXVxQK7R5JjW+SV4zGcn5hXjudkN/pLIw==}
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||||
@@ -1107,6 +1125,10 @@ snapshots:
|
||||
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|
||||
regenerator-runtime: 0.14.1
|
||||
|
||||
'@babel/runtime@7.25.6':
|
||||
dependencies:
|
||||
regenerator-runtime: 0.14.1
|
||||
|
||||
'@babel/template@7.22.15':
|
||||
dependencies:
|
||||
'@babel/code-frame': 7.23.5
|
||||
@@ -1134,18 +1156,10 @@ snapshots:
|
||||
'@babel/helper-validator-identifier': 7.22.20
|
||||
to-fast-properties: 2.0.0
|
||||
|
||||
'@date-io/core@3.0.0': {}
|
||||
|
||||
'@date-io/date-fns@3.0.0(date-fns@3.6.0)':
|
||||
dependencies:
|
||||
'@date-io/core': 3.0.0
|
||||
optionalDependencies:
|
||||
date-fns: 3.6.0
|
||||
|
||||
'@emotion/babel-plugin@11.12.0':
|
||||
dependencies:
|
||||
'@babel/helper-module-imports': 7.22.15
|
||||
'@babel/runtime': 7.25.0
|
||||
'@babel/runtime': 7.25.6
|
||||
'@emotion/hash': 0.9.2
|
||||
'@emotion/memoize': 0.9.0
|
||||
'@emotion/serialize': 1.3.0
|
||||
@@ -1155,6 +1169,7 @@ snapshots:
|
||||
find-root: 1.1.0
|
||||
source-map: 0.5.7
|
||||
stylis: 4.2.0
|
||||
optional: true
|
||||
|
||||
'@emotion/cache@11.13.1':
|
||||
dependencies:
|
||||
@@ -1164,17 +1179,19 @@ snapshots:
|
||||
'@emotion/weak-memoize': 0.4.0
|
||||
stylis: 4.2.0
|
||||
|
||||
'@emotion/hash@0.9.2': {}
|
||||
'@emotion/hash@0.9.2':
|
||||
optional: true
|
||||
|
||||
'@emotion/is-prop-valid@1.3.0':
|
||||
dependencies:
|
||||
'@emotion/memoize': 0.9.0
|
||||
optional: true
|
||||
|
||||
'@emotion/memoize@0.9.0': {}
|
||||
|
||||
'@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@babel/runtime': 7.25.6
|
||||
'@emotion/babel-plugin': 11.12.0
|
||||
'@emotion/cache': 11.13.1
|
||||
'@emotion/serialize': 1.3.0
|
||||
@@ -1185,6 +1202,7 @@ snapshots:
|
||||
react: 18.3.1
|
||||
optionalDependencies:
|
||||
'@types/react': 18.3.3
|
||||
optional: true
|
||||
|
||||
'@emotion/serialize@1.3.0':
|
||||
dependencies:
|
||||
@@ -1193,12 +1211,13 @@ snapshots:
|
||||
'@emotion/unitless': 0.9.0
|
||||
'@emotion/utils': 1.4.0
|
||||
csstype: 3.1.3
|
||||
optional: true
|
||||
|
||||
'@emotion/sheet@1.4.0': {}
|
||||
|
||||
'@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@babel/runtime': 7.25.6
|
||||
'@emotion/babel-plugin': 11.12.0
|
||||
'@emotion/is-prop-valid': 1.3.0
|
||||
'@emotion/react': 11.13.0(@types/react@18.3.3)(react@18.3.1)
|
||||
@@ -1208,12 +1227,15 @@ snapshots:
|
||||
react: 18.3.1
|
||||
optionalDependencies:
|
||||
'@types/react': 18.3.3
|
||||
optional: true
|
||||
|
||||
'@emotion/unitless@0.9.0': {}
|
||||
'@emotion/unitless@0.9.0':
|
||||
optional: true
|
||||
|
||||
'@emotion/use-insertion-effect-with-fallbacks@1.1.0(react@18.3.1)':
|
||||
dependencies:
|
||||
react: 18.3.1
|
||||
optional: true
|
||||
|
||||
'@emotion/utils@1.4.0': {}
|
||||
|
||||
@@ -1304,17 +1326,25 @@ snapshots:
|
||||
|
||||
'@kurkle/color@0.3.2': {}
|
||||
|
||||
'@mui/core-downloads-tracker@5.16.6': {}
|
||||
'@mui/core-downloads-tracker@6.1.1': {}
|
||||
|
||||
'@mui/material@5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)':
|
||||
'@mui/icons-material@6.1.1(@mui/material@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@mui/core-downloads-tracker': 5.16.6
|
||||
'@mui/system': 5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/types': 7.2.15(@types/react@18.3.3)
|
||||
'@mui/utils': 5.16.6(@types/react@18.3.3)(react@18.3.1)
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/material': 6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)
|
||||
react: 18.3.1
|
||||
optionalDependencies:
|
||||
'@types/react': 18.3.3
|
||||
|
||||
'@mui/material@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/core-downloads-tracker': 6.1.1
|
||||
'@mui/system': 6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/types': 7.2.17(@types/react@18.3.3)
|
||||
'@mui/utils': 6.1.1(@types/react@18.3.3)(react@18.3.1)
|
||||
'@popperjs/core': 2.11.8
|
||||
'@types/react-transition-group': 4.4.10
|
||||
'@types/react-transition-group': 4.4.11
|
||||
clsx: 2.1.1
|
||||
csstype: 3.1.3
|
||||
prop-types: 15.8.1
|
||||
@@ -1327,19 +1357,20 @@ snapshots:
|
||||
'@emotion/styled': 11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@types/react': 18.3.3
|
||||
|
||||
'@mui/private-theming@5.16.6(@types/react@18.3.3)(react@18.3.1)':
|
||||
'@mui/private-theming@6.1.1(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@mui/utils': 5.16.6(@types/react@18.3.3)(react@18.3.1)
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/utils': 6.1.1(@types/react@18.3.3)(react@18.3.1)
|
||||
prop-types: 15.8.1
|
||||
react: 18.3.1
|
||||
optionalDependencies:
|
||||
'@types/react': 18.3.3
|
||||
|
||||
'@mui/styled-engine@5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(react@18.3.1)':
|
||||
'@mui/styled-engine@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@babel/runtime': 7.25.6
|
||||
'@emotion/cache': 11.13.1
|
||||
'@emotion/sheet': 1.4.0
|
||||
csstype: 3.1.3
|
||||
prop-types: 15.8.1
|
||||
react: 18.3.1
|
||||
@@ -1347,13 +1378,13 @@ snapshots:
|
||||
'@emotion/react': 11.13.0(@types/react@18.3.3)(react@18.3.1)
|
||||
'@emotion/styled': 11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
|
||||
'@mui/system@5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)':
|
||||
'@mui/system@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@mui/private-theming': 5.16.6(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/styled-engine': 5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(react@18.3.1)
|
||||
'@mui/types': 7.2.15(@types/react@18.3.3)
|
||||
'@mui/utils': 5.16.6(@types/react@18.3.3)(react@18.3.1)
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/private-theming': 6.1.1(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/styled-engine': 6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(react@18.3.1)
|
||||
'@mui/types': 7.2.17(@types/react@18.3.3)
|
||||
'@mui/utils': 6.1.1(@types/react@18.3.3)(react@18.3.1)
|
||||
clsx: 2.1.1
|
||||
csstype: 3.1.3
|
||||
prop-types: 15.8.1
|
||||
@@ -1363,14 +1394,14 @@ snapshots:
|
||||
'@emotion/styled': 11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@types/react': 18.3.3
|
||||
|
||||
'@mui/types@7.2.15(@types/react@18.3.3)':
|
||||
'@mui/types@7.2.17(@types/react@18.3.3)':
|
||||
optionalDependencies:
|
||||
'@types/react': 18.3.3
|
||||
|
||||
'@mui/utils@5.16.6(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@mui/types': 7.2.15(@types/react@18.3.3)
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/types': 7.2.17(@types/react@18.3.3)
|
||||
'@types/prop-types': 15.7.12
|
||||
clsx: 2.1.1
|
||||
prop-types: 15.8.1
|
||||
@@ -1379,13 +1410,26 @@ snapshots:
|
||||
optionalDependencies:
|
||||
'@types/react': 18.3.3
|
||||
|
||||
'@mui/x-date-pickers@7.12.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@mui/material@5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1))(@types/react@18.3.3)(date-fns@3.6.0)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)':
|
||||
'@mui/utils@6.1.1(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@mui/material': 5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)
|
||||
'@mui/system': 5.16.6(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/types': 7.2.17(@types/react@18.3.3)
|
||||
'@types/prop-types': 15.7.12
|
||||
clsx: 2.1.1
|
||||
prop-types: 15.8.1
|
||||
react: 18.3.1
|
||||
react-is: 18.3.1
|
||||
optionalDependencies:
|
||||
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|
||||
|
||||
'@mui/x-date-pickers@7.18.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@mui/material@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1))(@mui/system@6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(date-fns@3.6.0)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/material': 6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react-dom@18.3.1(react@18.3.1))(react@18.3.1)
|
||||
'@mui/system': 6.1.1(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@emotion/styled@11.13.0(@emotion/react@11.13.0(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1))(@types/react@18.3.3)(react@18.3.1)
|
||||
'@mui/utils': 5.16.6(@types/react@18.3.3)(react@18.3.1)
|
||||
'@types/react-transition-group': 4.4.10
|
||||
'@mui/x-internals': 7.18.0(@types/react@18.3.3)(react@18.3.1)
|
||||
'@types/react-transition-group': 4.4.11
|
||||
clsx: 2.1.1
|
||||
prop-types: 15.8.1
|
||||
react: 18.3.1
|
||||
@@ -1398,6 +1442,14 @@ snapshots:
|
||||
transitivePeerDependencies:
|
||||
- '@types/react'
|
||||
|
||||
'@mui/x-internals@7.18.0(@types/react@18.3.3)(react@18.3.1)':
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.6
|
||||
'@mui/utils': 5.16.6(@types/react@18.3.3)(react@18.3.1)
|
||||
react: 18.3.1
|
||||
transitivePeerDependencies:
|
||||
- '@types/react'
|
||||
|
||||
'@popperjs/core@2.11.8': {}
|
||||
|
||||
'@preact/preset-vite@2.8.1(@babel/core@7.23.7)(preact@10.19.3)(vite@4.5.1)':
|
||||
@@ -1456,11 +1508,12 @@ snapshots:
|
||||
|
||||
'@trpc/server@10.45.0': {}
|
||||
|
||||
'@types/parse-json@4.0.2': {}
|
||||
'@types/parse-json@4.0.2':
|
||||
optional: true
|
||||
|
||||
'@types/prop-types@15.7.12': {}
|
||||
|
||||
'@types/react-transition-group@4.4.10':
|
||||
'@types/react-transition-group@4.4.11':
|
||||
dependencies:
|
||||
'@types/react': 18.3.3
|
||||
|
||||
@@ -1475,9 +1528,10 @@ snapshots:
|
||||
|
||||
babel-plugin-macros@3.1.0:
|
||||
dependencies:
|
||||
'@babel/runtime': 7.25.0
|
||||
'@babel/runtime': 7.25.6
|
||||
cosmiconfig: 7.1.0
|
||||
resolve: 1.22.8
|
||||
optional: true
|
||||
|
||||
babel-plugin-transform-hook-names@1.0.2(@babel/core@7.23.7):
|
||||
dependencies:
|
||||
@@ -1492,7 +1546,8 @@ snapshots:
|
||||
node-releases: 2.0.14
|
||||
update-browserslist-db: 1.0.13(browserslist@4.22.2)
|
||||
|
||||
callsites@3.1.0: {}
|
||||
callsites@3.1.0:
|
||||
optional: true
|
||||
|
||||
caniuse-lite@1.0.30001575: {}
|
||||
|
||||
@@ -1514,7 +1569,8 @@ snapshots:
|
||||
|
||||
color-name@1.1.3: {}
|
||||
|
||||
convert-source-map@1.9.0: {}
|
||||
convert-source-map@1.9.0:
|
||||
optional: true
|
||||
|
||||
convert-source-map@2.0.0: {}
|
||||
|
||||
@@ -1525,6 +1581,7 @@ snapshots:
|
||||
parse-json: 5.2.0
|
||||
path-type: 4.0.0
|
||||
yaml: 1.10.2
|
||||
optional: true
|
||||
|
||||
css-select@5.1.0:
|
||||
dependencies:
|
||||
@@ -1576,6 +1633,7 @@ snapshots:
|
||||
error-ex@1.3.2:
|
||||
dependencies:
|
||||
is-arrayish: 0.2.1
|
||||
optional: true
|
||||
|
||||
esbuild@0.18.20:
|
||||
optionalDependencies:
|
||||
@@ -1606,11 +1664,13 @@ snapshots:
|
||||
|
||||
escape-string-regexp@1.0.5: {}
|
||||
|
||||
escape-string-regexp@4.0.0: {}
|
||||
escape-string-regexp@4.0.0:
|
||||
optional: true
|
||||
|
||||
estree-walker@2.0.2: {}
|
||||
|
||||
find-root@1.1.0: {}
|
||||
find-root@1.1.0:
|
||||
optional: true
|
||||
|
||||
fsevents@2.3.3:
|
||||
optional: true
|
||||
@@ -1632,13 +1692,16 @@ snapshots:
|
||||
hoist-non-react-statics@3.3.2:
|
||||
dependencies:
|
||||
react-is: 16.13.1
|
||||
optional: true
|
||||
|
||||
import-fresh@3.3.0:
|
||||
dependencies:
|
||||
parent-module: 1.0.1
|
||||
resolve-from: 4.0.0
|
||||
optional: true
|
||||
|
||||
is-arrayish@0.2.1: {}
|
||||
is-arrayish@0.2.1:
|
||||
optional: true
|
||||
|
||||
is-core-module@2.13.1:
|
||||
dependencies:
|
||||
@@ -1648,13 +1711,15 @@ snapshots:
|
||||
|
||||
jsesc@2.5.2: {}
|
||||
|
||||
json-parse-even-better-errors@2.3.1: {}
|
||||
json-parse-even-better-errors@2.3.1:
|
||||
optional: true
|
||||
|
||||
json5@2.2.3: {}
|
||||
|
||||
kolorist@1.8.0: {}
|
||||
|
||||
lines-and-columns@1.2.4: {}
|
||||
lines-and-columns@1.2.4:
|
||||
optional: true
|
||||
|
||||
loose-envify@1.4.0:
|
||||
dependencies:
|
||||
@@ -1688,6 +1753,7 @@ snapshots:
|
||||
parent-module@1.0.1:
|
||||
dependencies:
|
||||
callsites: 3.1.0
|
||||
optional: true
|
||||
|
||||
parse-json@5.2.0:
|
||||
dependencies:
|
||||
@@ -1695,10 +1761,12 @@ snapshots:
|
||||
error-ex: 1.3.2
|
||||
json-parse-even-better-errors: 2.3.1
|
||||
lines-and-columns: 1.2.4
|
||||
optional: true
|
||||
|
||||
path-parse@1.0.7: {}
|
||||
|
||||
path-type@4.0.0: {}
|
||||
path-type@4.0.0:
|
||||
optional: true
|
||||
|
||||
picocolors@1.0.0: {}
|
||||
|
||||
@@ -1761,7 +1829,8 @@ snapshots:
|
||||
|
||||
regenerator-runtime@0.14.1: {}
|
||||
|
||||
resolve-from@4.0.0: {}
|
||||
resolve-from@4.0.0:
|
||||
optional: true
|
||||
|
||||
resolve@1.22.8:
|
||||
dependencies:
|
||||
@@ -1781,7 +1850,8 @@ snapshots:
|
||||
|
||||
source-map-js@1.2.0: {}
|
||||
|
||||
source-map@0.5.7: {}
|
||||
source-map@0.5.7:
|
||||
optional: true
|
||||
|
||||
stylis@4.2.0: {}
|
||||
|
||||
@@ -1811,4 +1881,5 @@ snapshots:
|
||||
|
||||
yallist@3.1.1: {}
|
||||
|
||||
yaml@1.10.2: {}
|
||||
yaml@1.10.2:
|
||||
optional: true
|
||||
|
||||
@@ -86,7 +86,7 @@ function chooseStrike(strike: string) {
|
||||
.query({
|
||||
underlying: chosenUnderlying.value,
|
||||
expirationDate: chosenExpiration.value,
|
||||
strike: parseFloat(strike),
|
||||
strike: Number.parseFloat(strike),
|
||||
})
|
||||
.then((getOpensForOptionContractResponse) => {
|
||||
optionContractUplotData.value = getOpensForOptionContractResponse;
|
||||
@@ -201,8 +201,9 @@ export function CalendarOptimizer() {
|
||||
</Paper>
|
||||
</Grid>
|
||||
<Grid item xs={12} md={6}>
|
||||
<Paper elevation={3} sx={{ p: 3, height: '100%' }}>
|
||||
{chosenUnderlying.value !== null && underlyingUplotData.value.length > 0 ? (
|
||||
<Paper elevation={3} sx={{ p: 3, height: "100%" }}>
|
||||
{chosenUnderlying.value !== null &&
|
||||
underlyingUplotData.value.length > 0 ? (
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
@@ -220,7 +221,7 @@ export function CalendarOptimizer() {
|
||||
text: "Time",
|
||||
},
|
||||
ticks: {
|
||||
callback: function (value, index, ticks) {
|
||||
callback: (value, index, ticks) => {
|
||||
return new Date((value as number) * 1000)
|
||||
.toISOString()
|
||||
.substring(0, 10);
|
||||
@@ -230,8 +231,8 @@ export function CalendarOptimizer() {
|
||||
y: {
|
||||
beginAtZero: false,
|
||||
ticks: {
|
||||
callback: function (value, index, ticks) {
|
||||
return "$" + value.toString();
|
||||
callback: (value, index, ticks) => {
|
||||
return `$${value.toString()}`;
|
||||
},
|
||||
},
|
||||
},
|
||||
@@ -287,7 +288,7 @@ export function CalendarOptimizer() {
|
||||
text: "Time",
|
||||
},
|
||||
ticks: {
|
||||
callback: function (value, index, ticks) {
|
||||
callback: (value, index, ticks) => {
|
||||
return new Date((value as number) * 1000)
|
||||
.toISOString()
|
||||
.substring(0, 10);
|
||||
@@ -297,8 +298,8 @@ export function CalendarOptimizer() {
|
||||
y: {
|
||||
beginAtZero: false,
|
||||
ticks: {
|
||||
callback: function (value, index, ticks) {
|
||||
return "$" + value.toString();
|
||||
callback: (value, index, ticks) => {
|
||||
return `$${value.toString()}`;
|
||||
},
|
||||
},
|
||||
},
|
||||
@@ -333,4 +334,4 @@ export function CalendarOptimizer() {
|
||||
</Grid>
|
||||
</Container>
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
@@ -1,4 +1,3 @@
|
||||
import { signal, computed } from "@preact/signals";
|
||||
import { useEffect } from "preact/hooks";
|
||||
import { trpc } from "../trpc.js";
|
||||
import {
|
||||
@@ -6,512 +5,356 @@ import {
|
||||
LinearScale,
|
||||
CategoryScale,
|
||||
PointElement,
|
||||
LineElement,
|
||||
Tooltip,
|
||||
Title,
|
||||
} from "chart.js";
|
||||
import { Scatter } from "react-chartjs-2";
|
||||
import {
|
||||
Container,
|
||||
Grid,
|
||||
Grid2,
|
||||
Typography,
|
||||
TextField,
|
||||
Select,
|
||||
MenuItem,
|
||||
InputLabel,
|
||||
FormControl,
|
||||
Paper,
|
||||
Popper,
|
||||
ClickAwayListener,
|
||||
Stack,
|
||||
} from "@mui/material";
|
||||
import {
|
||||
availableUnderlyings,
|
||||
calendarExitPriceChartData,
|
||||
isPopperOpen,
|
||||
lookbackPeriodEnd,
|
||||
lookbackPeriodStart,
|
||||
maxChartPrice,
|
||||
maxN,
|
||||
popperAnchorEl,
|
||||
popperContent,
|
||||
similarCalendarPriceChartData,
|
||||
stockPriceChartData,
|
||||
underlying,
|
||||
} from "./HistoricalCalendarPrices/state.js";
|
||||
import { EditableStrike } from "./HistoricalCalendarPrices/EditableStrike.js";
|
||||
import {
|
||||
refreshcalendarExitPriceChartData,
|
||||
refreshSimilarCalendarPriceChartData,
|
||||
refreshStockPriceChartData,
|
||||
} from "./HistoricalCalendarPrices/actions.js";
|
||||
import { EditableUnderlying } from "./HistoricalCalendarPrices/EditableUnderlying.js";
|
||||
import { EditableOpenDTE } from "./HistoricalCalendarPrices/EditableOpenDTE.js";
|
||||
import { EditableExitDTE } from "./HistoricalCalendarPrices/EditableExitDTE.js";
|
||||
import { EditableSpan } from "./HistoricalCalendarPrices/EditableSpan.js";
|
||||
import { EditableLookbackPeriod } from "./HistoricalCalendarPrices/EditableLookbackPeriod.js";
|
||||
|
||||
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([]);
|
||||
|
||||
const chosenLookbackPeriodStart = signal("2022-01-01");
|
||||
const chosenLookbackPeriodEnd = signal("2024-01-01");
|
||||
|
||||
const maxChartPrice = computed(() =>
|
||||
Math.max(
|
||||
Math.max.apply(
|
||||
null,
|
||||
historicalCalendarQuoteChartData.value.map((d) => d.y)
|
||||
),
|
||||
Math.max.apply(
|
||||
null,
|
||||
historicalCalendarExitQuoteChartData.value.map((d) => d.y)
|
||||
)
|
||||
)
|
||||
ChartJS.register(
|
||||
LinearScale,
|
||||
CategoryScale,
|
||||
PointElement,
|
||||
LineElement,
|
||||
Tooltip,
|
||||
Title
|
||||
);
|
||||
|
||||
const maxN = computed(() =>
|
||||
Math.max.apply(
|
||||
null,
|
||||
historicalCalendarExitQuoteChartData.value.map((d) => d.n)
|
||||
)
|
||||
);
|
||||
|
||||
const refreshHistoricalStockQuoteChartData = () => {
|
||||
historicalStockQuoteChartData.value = [];
|
||||
trpc.getHistoricalStockQuoteChartData
|
||||
.query({
|
||||
underlying: chosenUnderlying.value,
|
||||
lookbackPeriodStart: chosenLookbackPeriodStart.value,
|
||||
lookbackPeriodEnd: chosenLookbackPeriodEnd.value,
|
||||
})
|
||||
.then((getHistoricalStockQuoteChartDataResponse) => {
|
||||
historicalStockQuoteChartData.value =
|
||||
getHistoricalStockQuoteChartDataResponse;
|
||||
});
|
||||
};
|
||||
const refreshHistoricalCalendarQuoteChartData = () => {
|
||||
historicalCalendarQuoteChartData.value = [];
|
||||
trpc.getHistoricalCalendarQuoteChartData
|
||||
.query({
|
||||
underlying: chosenUnderlying.value,
|
||||
daysToFrontExpiration: chosenDaysToFrontExpiration.value,
|
||||
daysBetweenFrontAndBackExpiration:
|
||||
chosenDaysBetweenFrontAndBackExpiration.value,
|
||||
strikePercentageFromUnderlyingPriceRangeMin:
|
||||
chosenStrikePercentageFromUnderlyingPrice.value -
|
||||
chosenStrikePercentageFromUnderlyingPriceRadius.value,
|
||||
strikePercentageFromUnderlyingPriceRangeMax:
|
||||
chosenStrikePercentageFromUnderlyingPrice.value +
|
||||
chosenStrikePercentageFromUnderlyingPriceRadius.value,
|
||||
lookbackPeriodStart: chosenLookbackPeriodStart.value,
|
||||
lookbackPeriodEnd: chosenLookbackPeriodEnd.value,
|
||||
})
|
||||
.then((getHistoricalCalendarQuoteChartDataResponse) => {
|
||||
historicalCalendarQuoteChartData.value =
|
||||
getHistoricalCalendarQuoteChartDataResponse;
|
||||
});
|
||||
};
|
||||
const refreshHistoricalCalendarExitQuoteChartData = () => {
|
||||
historicalCalendarExitQuoteChartData.value = [];
|
||||
trpc.getHistoricalCalendarExitQuoteChartData
|
||||
.query({
|
||||
underlying: chosenUnderlying.value,
|
||||
daysToFrontExpiration: chosenExitToFrontExpiration.value,
|
||||
daysBetweenFrontAndBackExpiration:
|
||||
chosenDaysBetweenFrontAndBackExpiration.value,
|
||||
lookbackPeriodStart: chosenLookbackPeriodStart.value,
|
||||
lookbackPeriodEnd: chosenLookbackPeriodEnd.value,
|
||||
})
|
||||
.then((getHistoricalCalendarExitQuoteChartDataResponse) => {
|
||||
historicalCalendarExitQuoteChartData.value =
|
||||
getHistoricalCalendarExitQuoteChartDataResponse;
|
||||
});
|
||||
};
|
||||
const handleInit = () => {
|
||||
trpc.getAvailableUnderlyings.query().then((availableUnderlyingsResponse) => {
|
||||
availableUnderlyings.value = availableUnderlyingsResponse;
|
||||
chosenUnderlying.value = availableUnderlyingsResponse[0];
|
||||
refreshHistoricalStockQuoteChartData();
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
refreshHistoricalCalendarExitQuoteChartData();
|
||||
});
|
||||
};
|
||||
const handleUnderlyingChange = (e) => {
|
||||
if (chosenUnderlying.value !== e.target.value) {
|
||||
chosenUnderlying.value = e.target.value;
|
||||
refreshHistoricalStockQuoteChartData();
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
refreshHistoricalCalendarExitQuoteChartData();
|
||||
}
|
||||
};
|
||||
const handleDaysToFrontExpirationChange = (e) => {
|
||||
if (chosenDaysToFrontExpiration.value !== parseInt(e.target.value)) {
|
||||
chosenDaysToFrontExpiration.value = parseInt(e.target.value);
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
}
|
||||
};
|
||||
const handleDaysBetweenFrontAndBackExpirationChange = (e) => {
|
||||
if (
|
||||
chosenDaysBetweenFrontAndBackExpiration.value !== parseInt(e.target.value)
|
||||
) {
|
||||
chosenDaysBetweenFrontAndBackExpiration.value = parseInt(e.target.value);
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
refreshHistoricalCalendarExitQuoteChartData();
|
||||
}
|
||||
};
|
||||
const handleStrikePercentageFromUnderlyingPriceChange = (e) => {
|
||||
if (
|
||||
chosenStrikePercentageFromUnderlyingPrice.value !==
|
||||
parseFloat(e.target.value)
|
||||
) {
|
||||
chosenStrikePercentageFromUnderlyingPrice.value = parseFloat(
|
||||
e.target.value
|
||||
);
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
}
|
||||
};
|
||||
const handleStrikePercentageFromUnderlyingPriceRadiusChange = (e) => {
|
||||
if (
|
||||
chosenStrikePercentageFromUnderlyingPriceRadius.value !==
|
||||
parseFloat(e.target.value)
|
||||
) {
|
||||
chosenStrikePercentageFromUnderlyingPriceRadius.value = parseFloat(
|
||||
e.target.value
|
||||
);
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
}
|
||||
};
|
||||
const handleExitToFrontExpirationChange = (e) => {
|
||||
if (chosenExitToFrontExpiration.value !== parseInt(e.target.value)) {
|
||||
chosenExitToFrontExpiration.value = parseInt(e.target.value);
|
||||
refreshHistoricalCalendarExitQuoteChartData();
|
||||
}
|
||||
};
|
||||
|
||||
const handleLookbackPeriodStartChange = (e) => {
|
||||
if (chosenLookbackPeriodStart.value !== e.target.value) {
|
||||
chosenLookbackPeriodStart.value = e.target.value;
|
||||
refreshHistoricalStockQuoteChartData();
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
refreshHistoricalCalendarExitQuoteChartData();
|
||||
}
|
||||
};
|
||||
const handleLookbackPeriodEndChange = (e) => {
|
||||
if (chosenLookbackPeriodEnd.value !== e.target.value) {
|
||||
chosenLookbackPeriodEnd.value = e.target.value;
|
||||
refreshHistoricalStockQuoteChartData();
|
||||
refreshHistoricalCalendarQuoteChartData();
|
||||
refreshHistoricalCalendarExitQuoteChartData();
|
||||
}
|
||||
trpc.CalendarCharacteristicsForm.getAvailableUnderlyings
|
||||
.query()
|
||||
.then((availableUnderlyingsResponse) => {
|
||||
availableUnderlyings.value = availableUnderlyingsResponse;
|
||||
underlying.value = availableUnderlyingsResponse[0];
|
||||
refreshStockPriceChartData();
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
refreshcalendarExitPriceChartData();
|
||||
});
|
||||
};
|
||||
|
||||
export function HistoricalCalendarPrices() {
|
||||
useEffect(handleInit, []);
|
||||
|
||||
return (
|
||||
<Container maxWidth="lg">
|
||||
<Grid container spacing={4}>
|
||||
<Grid item xs={12}>
|
||||
<Typography variant="h4" gutterBottom>
|
||||
Historical Calendar Prices
|
||||
<Container maxWidth="lg">
|
||||
<Grid2 container spacing={4} columns={12}>
|
||||
{/* <Grid2 size={{ xs: 12 }}>
|
||||
|
||||
<Typography variant="h4" gutterBottom>
|
||||
<EditableUnderlying /> :
|
||||
<EditableSpan />
|
||||
-Day Calendar @ <EditableStrike />
|
||||
%-from-the-money
|
||||
</Typography>
|
||||
<Typography variant="h5" gutterBottom sx={{ pl: 1 }}>
|
||||
Opening at <EditableOpenDTE /> DTE, Closing at <EditableExitDTE />
|
||||
DTE
|
||||
</Typography>
|
||||
<Typography variant="h5" gutterBottom>
|
||||
<EditableLookbackPeriodStart />-
|
||||
<EditableLookbackPeriodEnd />
|
||||
</Typography>
|
||||
<ClickAwayListener
|
||||
onClickAway={() => {
|
||||
isPopperOpen.value = false;
|
||||
// refreshSimilarCalendarPriceChartData();
|
||||
console.log("clicked away");
|
||||
}}
|
||||
>
|
||||
<Popper open={isPopperOpen.value} anchorEl={popperAnchorEl.value}>
|
||||
<Paper elevation={3} sx={{ p: 3 }}>
|
||||
{popperContent.value}
|
||||
</Paper>
|
||||
</Popper>
|
||||
</ClickAwayListener>
|
||||
</Grid2> */}
|
||||
|
||||
<Grid2 size={{ xs: 12 }}>
|
||||
<Stack direction="row" spacing={2}>
|
||||
<Typography gutterBottom minWidth={"8em"}>
|
||||
Underlying
|
||||
</Typography>
|
||||
</Grid>
|
||||
<Grid item xs={12} md={6}>
|
||||
<Paper elevation={3} sx={{ p: 3 }}>
|
||||
<Grid container spacing={2}>
|
||||
<Grid item xs={12}>
|
||||
<FormControl fullWidth>
|
||||
<InputLabel>Available Underlyings</InputLabel>
|
||||
<Select
|
||||
value={chosenUnderlying.value || ""}
|
||||
onChange={handleUnderlyingChange}
|
||||
label="Available Underlyings"
|
||||
>
|
||||
{availableUnderlyings.value.map((underlying) => (
|
||||
<MenuItem key={underlying} value={underlying}>
|
||||
{underlying}
|
||||
</MenuItem>
|
||||
))}
|
||||
</Select>
|
||||
</FormControl>
|
||||
</Grid>
|
||||
<Grid item xs={12}>
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Now-to-Front-Month Days to Expiration"
|
||||
type="number"
|
||||
value={chosenDaysToFrontExpiration.value}
|
||||
onChange={handleDaysToFrontExpirationChange}
|
||||
InputProps={{ endAdornment: "Days" }}
|
||||
/>
|
||||
</Grid>
|
||||
<Grid item xs={12}>
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Front-to-Back-Month Days to Expiration Difference"
|
||||
type="number"
|
||||
value={chosenDaysBetweenFrontAndBackExpiration.value}
|
||||
onChange={handleDaysBetweenFrontAndBackExpirationChange}
|
||||
InputProps={{ endAdornment: "Days Difference" }}
|
||||
/>
|
||||
</Grid>
|
||||
<Grid item xs={6}>
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Strike % From Underlying Price"
|
||||
type="number"
|
||||
value={chosenStrikePercentageFromUnderlyingPrice.value}
|
||||
onChange={handleStrikePercentageFromUnderlyingPriceChange}
|
||||
InputProps={{ endAdornment: "%" }}
|
||||
/>
|
||||
</Grid>
|
||||
<Grid item xs={6}>
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Strike % Radius"
|
||||
type="number"
|
||||
value={chosenStrikePercentageFromUnderlyingPriceRadius.value}
|
||||
onChange={handleStrikePercentageFromUnderlyingPriceRadiusChange}
|
||||
InputProps={{ endAdornment: "%" }}
|
||||
/>
|
||||
</Grid>
|
||||
<Grid item xs={12}>
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Exit-to-Front-Month Days to Expiration"
|
||||
type="number"
|
||||
value={chosenExitToFrontExpiration.value}
|
||||
onChange={handleExitToFrontExpirationChange}
|
||||
InputProps={{ endAdornment: "Days" }}
|
||||
/>
|
||||
</Grid>
|
||||
<Grid item xs={6}>
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Lookback Period Start"
|
||||
type="date"
|
||||
value={chosenLookbackPeriodStart.value}
|
||||
onChange={(e) => handleLookbackPeriodStartChange({ target: { value: e.target.value } })}
|
||||
InputLabelProps={{ shrink: true }}
|
||||
/>
|
||||
</Grid>
|
||||
<Grid item xs={6}>
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Lookback Period End"
|
||||
type="date"
|
||||
value={chosenLookbackPeriodEnd.value}
|
||||
onChange={(e) => handleLookbackPeriodEndChange({ target: { value: e.target.value } })}
|
||||
InputLabelProps={{ shrink: true }}
|
||||
/>
|
||||
</Grid>
|
||||
</Grid>
|
||||
</Paper>
|
||||
</Grid>
|
||||
<Grid item xs={12} md={6}>
|
||||
<Paper elevation={3} sx={{ p: 3, height: '100%' }}>
|
||||
{chosenUnderlying.value !== null &&
|
||||
historicalStockQuoteChartData.value.length > 0 ? (
|
||||
<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);
|
||||
},
|
||||
},
|
||||
min:
|
||||
new Date(chosenLookbackPeriodStart.value).getTime() /
|
||||
1000,
|
||||
max:
|
||||
new Date(chosenLookbackPeriodEnd.value).getTime() /
|
||||
1000,
|
||||
},
|
||||
y: {
|
||||
beginAtZero: false,
|
||||
ticks: {
|
||||
callback: function (value, index, ticks) {
|
||||
return "$" + value.toString();
|
||||
},
|
||||
},
|
||||
},
|
||||
<EditableUnderlying />
|
||||
</Stack>
|
||||
<Stack direction="row" spacing={2}>
|
||||
<Typography gutterBottom minWidth={"8em"}>
|
||||
Open DTE
|
||||
</Typography>
|
||||
<EditableOpenDTE />
|
||||
</Stack>
|
||||
<Stack direction="row" spacing={2}>
|
||||
<Typography gutterBottom minWidth={"8em"}>
|
||||
Exit DTE
|
||||
</Typography>
|
||||
<EditableExitDTE />
|
||||
</Stack>
|
||||
<Stack direction="row" spacing={2}>
|
||||
<Typography gutterBottom minWidth={"8em"}>
|
||||
Span
|
||||
</Typography>
|
||||
<EditableSpan />
|
||||
</Stack>
|
||||
<Stack direction="row" spacing={2}>
|
||||
<Typography gutterBottom minWidth={"8em"}>
|
||||
Lookback Period
|
||||
</Typography>
|
||||
<EditableLookbackPeriod />
|
||||
</Stack>
|
||||
<ClickAwayListener
|
||||
onClickAway={() => {
|
||||
isPopperOpen.value = false;
|
||||
// refreshSimilarCalendarPriceChartData();
|
||||
console.log("clicked away");
|
||||
}}
|
||||
>
|
||||
<Popper open={isPopperOpen.value} anchorEl={popperAnchorEl.value}>
|
||||
<Paper elevation={3} sx={{ p: 3 }}>
|
||||
{popperContent.value}
|
||||
</Paper>
|
||||
</Popper>
|
||||
</ClickAwayListener>
|
||||
</Grid2>
|
||||
|
||||
<Grid2 size={{ xs: 12, md: 6 }}>
|
||||
<Paper elevation={3} sx={{ p: 3, minHeight: "28em" }}>
|
||||
{underlying.value !== null &&
|
||||
similarCalendarPriceChartData.value.length > 0 ? (
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
{
|
||||
label: "Calendar Open Price",
|
||||
data: similarCalendarPriceChartData.value,
|
||||
},
|
||||
elements: {
|
||||
point: {
|
||||
radius: 1,
|
||||
borderWidth: 0,
|
||||
},
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
],
|
||||
}}
|
||||
options={{
|
||||
scales: {
|
||||
x: {
|
||||
title: {
|
||||
display: true,
|
||||
text: "Stock Price",
|
||||
text: "Time",
|
||||
},
|
||||
ticks: {
|
||||
callback: (value, index, ticks) =>
|
||||
new Date((value as number) * 1000)
|
||||
.toISOString()
|
||||
.substring(0, 10),
|
||||
},
|
||||
min: new Date(lookbackPeriodStart.value).getTime() / 1000,
|
||||
max: new Date(lookbackPeriodEnd.value).getTime() / 1000,
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
events: [],
|
||||
}}
|
||||
/>
|
||||
) : (
|
||||
<Typography>Loading Chart...</Typography>
|
||||
)}
|
||||
</Paper>
|
||||
</Grid>
|
||||
<Grid item xs={12}>
|
||||
<Paper elevation={3} sx={{ p: 3 }}>
|
||||
{chosenUnderlying.value !== null &&
|
||||
historicalCalendarQuoteChartData.value.length > 0 ? (
|
||||
<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);
|
||||
},
|
||||
},
|
||||
min:
|
||||
new Date(chosenLookbackPeriodStart.value).getTime() /
|
||||
1000,
|
||||
max:
|
||||
new Date(chosenLookbackPeriodEnd.value).getTime() /
|
||||
1000,
|
||||
},
|
||||
y: {
|
||||
beginAtZero: true,
|
||||
ticks: {
|
||||
callback: function (value, index, ticks) {
|
||||
return "$" + value.toString();
|
||||
},
|
||||
},
|
||||
min: 0,
|
||||
max: maxChartPrice.value,
|
||||
y: {
|
||||
beginAtZero: true,
|
||||
ticks: {
|
||||
callback: (value, index, ticks) =>
|
||||
`$${value.toString()}`,
|
||||
},
|
||||
min: 0,
|
||||
max: maxChartPrice.value,
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
title: {
|
||||
display: true,
|
||||
text: "Calendar Price (Under Like Conditions)",
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
events: [],
|
||||
}}
|
||||
/>
|
||||
) : (
|
||||
<Typography>Loading Chart...</Typography>
|
||||
)}
|
||||
</Paper>
|
||||
</Grid2>
|
||||
<Grid2 size={{ xs: 12, md: 6 }}>
|
||||
<Paper elevation={3} sx={{ p: 3, minHeight: "28em" }}>
|
||||
{underlying.value !== null &&
|
||||
calendarExitPriceChartData.value.length > 0 ? (
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
{
|
||||
label: "Calendar Exit Price",
|
||||
data: calendarExitPriceChartData.value,
|
||||
},
|
||||
],
|
||||
}}
|
||||
options={{
|
||||
scales: {
|
||||
x: {
|
||||
type: "linear",
|
||||
beginAtZero: false,
|
||||
title: {
|
||||
display: true,
|
||||
text: "Calendar Price (Under Like Conditions)",
|
||||
text: "%-From-the-Money",
|
||||
},
|
||||
ticks: {
|
||||
callback: (value, index, ticks) =>
|
||||
`${value.toString()}%`,
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
events: [],
|
||||
}}
|
||||
/>
|
||||
) : (
|
||||
<Typography>Loading Chart...</Typography>
|
||||
)}
|
||||
</Paper>
|
||||
</Grid>
|
||||
<Grid item xs={12}>
|
||||
<Paper elevation={3} sx={{ p: 3 }}>
|
||||
{chosenUnderlying.value !== null &&
|
||||
historicalCalendarQuoteChartData.value.length > 0 ? (
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
{
|
||||
label: "Calendar Exit Price",
|
||||
data: historicalCalendarExitQuoteChartData.value,
|
||||
y: {
|
||||
beginAtZero: true,
|
||||
ticks: {
|
||||
callback: (value, index, ticks) =>
|
||||
`$${value.toString()}`,
|
||||
},
|
||||
],
|
||||
}}
|
||||
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();
|
||||
},
|
||||
},
|
||||
min: 0,
|
||||
max: maxChartPrice.value,
|
||||
min: 0,
|
||||
max: maxChartPrice.value,
|
||||
},
|
||||
},
|
||||
elements: {
|
||||
point: {
|
||||
borderWidth: 0,
|
||||
backgroundColor: (context) => {
|
||||
const n = (
|
||||
context.raw as { x: number; y: number; n: number }
|
||||
).n;
|
||||
const alpha = n / maxN.value;
|
||||
return `rgba(0, 0, 0, ${alpha})`;
|
||||
},
|
||||
},
|
||||
elements: {
|
||||
point: {
|
||||
borderWidth: 0,
|
||||
backgroundColor: function (context) {
|
||||
const n = (
|
||||
context.raw as { x: number; y: number; n: number }
|
||||
).n;
|
||||
const alpha = n / maxN.value;
|
||||
return `rgba(0, 0, 0, ${alpha})`;
|
||||
},
|
||||
},
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
title: {
|
||||
display: true,
|
||||
text: [
|
||||
"Calendar Prices at Exit",
|
||||
"by %-age from-the-money",
|
||||
],
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
events: [],
|
||||
}}
|
||||
/>
|
||||
) : (
|
||||
<Typography>Loading Chart...</Typography>
|
||||
)}
|
||||
</Paper>
|
||||
</Grid2>
|
||||
<Grid2 size={{ xs: 12 }}>
|
||||
<Paper elevation={3} sx={{ p: 3, minHeight: "28em", height: "100%" }}>
|
||||
{underlying.value !== null &&
|
||||
stockPriceChartData.value.length > 0 ? (
|
||||
<Scatter
|
||||
data={{
|
||||
datasets: [
|
||||
{
|
||||
label: "Stock Open Price",
|
||||
data: stockPriceChartData.value,
|
||||
},
|
||||
],
|
||||
}}
|
||||
options={{
|
||||
showLine: true,
|
||||
normalized: true,
|
||||
scales: {
|
||||
x: {
|
||||
title: {
|
||||
display: true,
|
||||
text: [
|
||||
"Calendar Prices at Exit",
|
||||
"by %-age from-the-money",
|
||||
],
|
||||
text: "Time",
|
||||
},
|
||||
ticks: {
|
||||
callback: (value, index, ticks) =>
|
||||
new Date((value as number) * 1000)
|
||||
.toISOString()
|
||||
.substring(0, 10),
|
||||
},
|
||||
min: new Date(lookbackPeriodStart.value).getTime() / 1000,
|
||||
max: new Date(lookbackPeriodEnd.value).getTime() / 1000,
|
||||
},
|
||||
y: {
|
||||
beginAtZero: false,
|
||||
ticks: {
|
||||
callback: (value, index, ticks) =>
|
||||
`$${value.toString()}`,
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
events: [],
|
||||
}}
|
||||
/>
|
||||
) : (
|
||||
<Typography>Loading Chart...</Typography>
|
||||
)}
|
||||
</Paper>
|
||||
</Grid>
|
||||
</Grid>
|
||||
</Container>
|
||||
},
|
||||
elements: {
|
||||
point: {
|
||||
radius: 2,
|
||||
borderWidth: 0,
|
||||
},
|
||||
line: {
|
||||
borderWidth: 2,
|
||||
},
|
||||
},
|
||||
plugins: {
|
||||
tooltip: {
|
||||
enabled: false,
|
||||
},
|
||||
legend: {
|
||||
display: false,
|
||||
},
|
||||
title: {
|
||||
display: true,
|
||||
text: "Stock Price",
|
||||
},
|
||||
},
|
||||
animation: false,
|
||||
maintainAspectRatio: false,
|
||||
events: [],
|
||||
}}
|
||||
/>
|
||||
) : (
|
||||
<Typography>Loading Chart...</Typography>
|
||||
)}
|
||||
</Paper>
|
||||
</Grid2>
|
||||
</Grid2>
|
||||
</Container>
|
||||
);
|
||||
}
|
||||
|
||||
@@ -0,0 +1,28 @@
|
||||
import TextField from "@mui/material/TextField";
|
||||
import { EditableValue } from "./EditableValue";
|
||||
import { exitDTE } from "./state";
|
||||
import { refreshcalendarExitPriceChartData } from "./actions";
|
||||
import Slider from "@mui/material/Slider";
|
||||
|
||||
const handleExitDTEChange = (e) => {
|
||||
if (exitDTE.value !== Number.parseInt(e.target.value)) {
|
||||
exitDTE.value = Number.parseInt(e.target.value);
|
||||
refreshcalendarExitPriceChartData();
|
||||
}
|
||||
};
|
||||
|
||||
export function EditableExitDTE() {
|
||||
return (
|
||||
<Slider
|
||||
value={exitDTE.value}
|
||||
onChange={handleExitDTEChange}
|
||||
min={0}
|
||||
max={5}
|
||||
step={1}
|
||||
valueLabelDisplay="on"
|
||||
/>
|
||||
// <EditableValue text={exitDTE.value}>
|
||||
// <ExitToFrontExpirationChooser />
|
||||
// </EditableValue>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,66 @@
|
||||
import TextField from "@mui/material/TextField";
|
||||
import {
|
||||
refreshcalendarExitPriceChartData,
|
||||
refreshSimilarCalendarPriceChartData,
|
||||
refreshStockPriceChartData,
|
||||
} from "./actions";
|
||||
import { lookbackPeriodEnd, lookbackPeriodStart } from "./state";
|
||||
import Slider from "@mui/material/Slider";
|
||||
|
||||
const handleLookbackPeriodChange = (
|
||||
e,
|
||||
[newLookbackPeriodStart, newLookbackPeriodEnd]: [number, number]
|
||||
) => {
|
||||
const [lookbackPeriodStartUnixTime, lookbackPeriodEndUnixTime] = [
|
||||
new Date(lookbackPeriodStart.value).getTime(),
|
||||
new Date(lookbackPeriodEnd.value).getTime(),
|
||||
];
|
||||
if (lookbackPeriodStartUnixTime !== newLookbackPeriodStart) {
|
||||
lookbackPeriodStart.value = new Date(newLookbackPeriodStart)
|
||||
.toISOString()
|
||||
.substring(0, 10);
|
||||
refreshStockPriceChartData();
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
refreshcalendarExitPriceChartData();
|
||||
}
|
||||
if (lookbackPeriodEndUnixTime !== newLookbackPeriodEnd) {
|
||||
lookbackPeriodEnd.value = new Date(newLookbackPeriodEnd)
|
||||
.toISOString()
|
||||
.substring(0, 10);
|
||||
refreshStockPriceChartData();
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
refreshcalendarExitPriceChartData();
|
||||
}
|
||||
};
|
||||
|
||||
const earliestDate = new Date("2022-03-07");
|
||||
const DAY = 1000 * 60 * 60 * 24;
|
||||
function addDays(date, days) {
|
||||
const result = new Date(date);
|
||||
result.setDate(result.getDate() + days);
|
||||
return result.toISOString().substring(0, 10);
|
||||
}
|
||||
function daysBetween(date1, date2) {
|
||||
return Math.round(Math.abs((date2.getTime() - date1.getTime()) / DAY));
|
||||
}
|
||||
export function EditableLookbackPeriod() {
|
||||
return (
|
||||
<Slider
|
||||
value={[
|
||||
new Date(lookbackPeriodStart.value).getTime(),
|
||||
new Date(lookbackPeriodEnd.value).getTime(),
|
||||
]}
|
||||
onChange={handleLookbackPeriodChange}
|
||||
valueLabelFormat={(unixTimeMs) =>
|
||||
new Date(unixTimeMs).toISOString().substring(0, 10)
|
||||
}
|
||||
getAriaValueText={(unixTimeMs) =>
|
||||
new Date(unixTimeMs).toISOString().substring(0, 10)
|
||||
}
|
||||
min={earliestDate.getTime()}
|
||||
max={earliestDate.getTime() + 250 * DAY}
|
||||
step={DAY}
|
||||
valueLabelDisplay="on"
|
||||
/>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,38 @@
|
||||
import TextField from "@mui/material/TextField";
|
||||
import {
|
||||
refreshcalendarExitPriceChartData,
|
||||
refreshSimilarCalendarPriceChartData,
|
||||
refreshStockPriceChartData,
|
||||
} from "./actions";
|
||||
import { lookbackPeriodEnd } from "./state";
|
||||
import { EditableValue } from "./EditableValue";
|
||||
|
||||
const handleLookbackPeriodEndChange = (e) => {
|
||||
if (lookbackPeriodEnd.value !== e.target.value) {
|
||||
lookbackPeriodEnd.value = e.target.value;
|
||||
refreshStockPriceChartData();
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
refreshcalendarExitPriceChartData();
|
||||
}
|
||||
};
|
||||
|
||||
function LookbackPeriodEndChooser() {
|
||||
return (
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Lookback Period End"
|
||||
type="date"
|
||||
value={lookbackPeriodEnd.value}
|
||||
onChange={handleLookbackPeriodEndChange}
|
||||
InputLabelProps={{ shrink: true }}
|
||||
/>
|
||||
);
|
||||
}
|
||||
|
||||
export function EditableLookbackPeriodEnd() {
|
||||
return (
|
||||
<EditableValue text={lookbackPeriodEnd.value}>
|
||||
<LookbackPeriodEndChooser />
|
||||
</EditableValue>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,38 @@
|
||||
import TextField from "@mui/material/TextField";
|
||||
import {
|
||||
refreshcalendarExitPriceChartData,
|
||||
refreshSimilarCalendarPriceChartData,
|
||||
refreshStockPriceChartData,
|
||||
} from "./actions";
|
||||
import { lookbackPeriodStart } from "./state";
|
||||
import { EditableValue } from "./EditableValue";
|
||||
|
||||
const handleLookbackPeriodStartChange = (e) => {
|
||||
if (lookbackPeriodStart.value !== e.target.value) {
|
||||
lookbackPeriodStart.value = e.target.value;
|
||||
refreshStockPriceChartData();
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
refreshcalendarExitPriceChartData();
|
||||
}
|
||||
};
|
||||
|
||||
function LookbackPeriodStartChooser() {
|
||||
return (
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Lookback Period Start"
|
||||
type="date"
|
||||
value={lookbackPeriodStart.value}
|
||||
onChange={handleLookbackPeriodStartChange}
|
||||
InputLabelProps={{ shrink: true }}
|
||||
/>
|
||||
);
|
||||
}
|
||||
|
||||
export function EditableLookbackPeriodStart() {
|
||||
return (
|
||||
<EditableValue text={lookbackPeriodStart.value}>
|
||||
<LookbackPeriodStartChooser />
|
||||
</EditableValue>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,26 @@
|
||||
import { refreshSimilarCalendarPriceChartData } from "./actions";
|
||||
import { openDTE } from "./state";
|
||||
import Slider from "@mui/material/Slider";
|
||||
|
||||
const handleOpenDTEChange = (e) => {
|
||||
if (openDTE.value !== Number.parseInt(e.target.value)) {
|
||||
openDTE.value = Number.parseInt(e.target.value);
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
}
|
||||
};
|
||||
|
||||
export function EditableOpenDTE() {
|
||||
return (
|
||||
<Slider
|
||||
value={openDTE.value}
|
||||
onChange={handleOpenDTEChange}
|
||||
min={0}
|
||||
max={5}
|
||||
step={1}
|
||||
valueLabelDisplay="on"
|
||||
/>
|
||||
// <EditableValue text={openDTE.value}>
|
||||
// <DaysToFrontExpirationChooser />
|
||||
// </EditableValue>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,45 @@
|
||||
import TextField from "@mui/material/TextField";
|
||||
import {
|
||||
refreshcalendarExitPriceChartData,
|
||||
refreshSimilarCalendarPriceChartData,
|
||||
} from "./actions";
|
||||
import { span } from "./state";
|
||||
import { EditableValue } from "./EditableValue";
|
||||
import Slider from "@mui/material/Slider";
|
||||
|
||||
const handleSpanChange = (e) => {
|
||||
if (span.value !== Number.parseInt(e.target.value)) {
|
||||
span.value = Number.parseInt(e.target.value);
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
refreshcalendarExitPriceChartData();
|
||||
}
|
||||
};
|
||||
|
||||
function DaysBetweenFrontAndBackExpirationChooser() {
|
||||
return (
|
||||
<TextField
|
||||
fullWidth
|
||||
label="Front-to-Back-Month Days to Expiration Difference"
|
||||
type="number"
|
||||
value={span.value}
|
||||
onChange={handleSpanChange}
|
||||
InputProps={{ endAdornment: "Days Difference" }}
|
||||
/>
|
||||
);
|
||||
}
|
||||
|
||||
export function EditableSpan() {
|
||||
return (
|
||||
<Slider
|
||||
value={span.value}
|
||||
onChange={handleSpanChange}
|
||||
min={3}
|
||||
max={45}
|
||||
step={1}
|
||||
valueLabelDisplay="on"
|
||||
/>
|
||||
// <EditableValue text={span.value}>
|
||||
// <DaysBetweenFrontAndBackExpirationChooser />
|
||||
// </EditableValue>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,65 @@
|
||||
import Box from "@mui/material/Box";
|
||||
import { EditableValue } from "./EditableValue";
|
||||
import { moniness, moninessRadius } from "./state";
|
||||
import Slider from "@mui/material/Slider";
|
||||
import { refreshSimilarCalendarPriceChartData } from "./actions";
|
||||
|
||||
function MoninessChooser() {
|
||||
return (
|
||||
<Slider
|
||||
fullWidth
|
||||
label="Strike % From Underlying Price"
|
||||
value={moniness.value}
|
||||
valueLabelDisplay="on"
|
||||
min={0}
|
||||
max={10}
|
||||
step={1}
|
||||
onChange={(e, value) => {
|
||||
moniness.value = value as number;
|
||||
}}
|
||||
onChangeCommitted={(e, value) => {
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
}}
|
||||
InputProps={{ endAdornment: "%" }}
|
||||
/>
|
||||
);
|
||||
}
|
||||
|
||||
function MoninessRadiusChooser() {
|
||||
return (
|
||||
<Slider
|
||||
fullWidth
|
||||
label="Strike % Radius"
|
||||
value={moninessRadius.value}
|
||||
valueLabelDisplay="on"
|
||||
min={0}
|
||||
max={10}
|
||||
step={1}
|
||||
onChange={(e, value) => {
|
||||
moninessRadius.value = value as number;
|
||||
}}
|
||||
onChangeCommitted={(e, value) => {
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
}}
|
||||
InputProps={{ endAdornment: "%" }}
|
||||
/>
|
||||
);
|
||||
}
|
||||
|
||||
/** This is its own component so that sliding the slider with the mouse is
|
||||
* smoother. Preact detects reads from the "slider" signal values, and
|
||||
* associates them with the component that read them and redraws that component.
|
||||
* If this was not its own component, it would redraw the entire UI. It was very
|
||||
* slow. */
|
||||
export function EditableStrike() {
|
||||
return (
|
||||
<EditableValue
|
||||
text={`${moniness.value.toFixed(1)}±${moninessRadius.value.toFixed(2)}`}
|
||||
>
|
||||
<Box sx={{ minWidth: "20em" }}>
|
||||
<MoninessChooser />
|
||||
<MoninessRadiusChooser />
|
||||
</Box>
|
||||
</EditableValue>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,42 @@
|
||||
import Select from "@mui/material/Select";
|
||||
import { EditableValue } from "./EditableValue";
|
||||
import { availableUnderlyings, underlying } from "./state";
|
||||
import MenuItem from "@mui/material/MenuItem";
|
||||
import {
|
||||
refreshcalendarExitPriceChartData,
|
||||
refreshSimilarCalendarPriceChartData,
|
||||
refreshStockPriceChartData,
|
||||
} from "./actions";
|
||||
|
||||
const handleUnderlyingChange = (e) => {
|
||||
if (underlying.value !== e.target.value) {
|
||||
underlying.value = e.target.value;
|
||||
refreshStockPriceChartData();
|
||||
refreshSimilarCalendarPriceChartData();
|
||||
refreshcalendarExitPriceChartData();
|
||||
}
|
||||
};
|
||||
|
||||
function UnderlyingChooser() {
|
||||
return (
|
||||
<Select
|
||||
value={underlying.value || ""}
|
||||
onChange={handleUnderlyingChange}
|
||||
label="Available Underlyings"
|
||||
>
|
||||
{availableUnderlyings.value.map((underlying) => (
|
||||
<MenuItem key={underlying} value={underlying}>
|
||||
{underlying}
|
||||
</MenuItem>
|
||||
))}
|
||||
</Select>
|
||||
);
|
||||
}
|
||||
|
||||
export function EditableUnderlying() {
|
||||
return (
|
||||
<EditableValue text={underlying.value}>
|
||||
<UnderlyingChooser />
|
||||
</EditableValue>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,29 @@
|
||||
import Button from "@mui/material/Button";
|
||||
import { isPopperOpen, popperAnchorEl, popperContent } from "./state";
|
||||
|
||||
export function EditableValue({ text, children }) {
|
||||
return (
|
||||
<Button
|
||||
variant="text"
|
||||
size="large"
|
||||
sx={{
|
||||
textDecoration: "underline",
|
||||
textUnderlineOffset: "3px",
|
||||
fontSize: "1.0em",
|
||||
}}
|
||||
onClick={(e) => {
|
||||
// stop propagation so it's not caught by the ClickAwayListener:
|
||||
e.stopPropagation();
|
||||
if (isPopperOpen.value === false) {
|
||||
isPopperOpen.value = true;
|
||||
popperAnchorEl.value = e.currentTarget;
|
||||
popperContent.value = children;
|
||||
} else {
|
||||
isPopperOpen.value = false;
|
||||
}
|
||||
}}
|
||||
>
|
||||
{text}
|
||||
</Button>
|
||||
);
|
||||
}
|
||||
@@ -0,0 +1,81 @@
|
||||
import { trpc } from "../../trpc";
|
||||
import {
|
||||
calendarExitPriceChartData,
|
||||
span,
|
||||
openDTE,
|
||||
exitDTE,
|
||||
lookbackPeriodEnd,
|
||||
lookbackPeriodStart,
|
||||
similarCalendarPriceChartData,
|
||||
stockPriceChartData,
|
||||
moniness,
|
||||
moninessRadius,
|
||||
underlying,
|
||||
} from "./state";
|
||||
|
||||
function debounce(func, wait) {
|
||||
let timeout;
|
||||
return function () {
|
||||
const context = this;
|
||||
const args = arguments;
|
||||
clearTimeout(timeout);
|
||||
timeout = setTimeout(() => func.apply(context, args), wait);
|
||||
};
|
||||
}
|
||||
function throttle(func, limit) {
|
||||
let inThrottle;
|
||||
return function () {
|
||||
const context = this;
|
||||
const args = arguments;
|
||||
if (!inThrottle) {
|
||||
func.apply(context, args);
|
||||
inThrottle = true;
|
||||
setTimeout(() => (inThrottle = false), limit);
|
||||
}
|
||||
};
|
||||
}
|
||||
|
||||
export const refreshStockPriceChartData = throttle(() => {
|
||||
stockPriceChartData.value = [];
|
||||
trpc.StockPriceChart.getChartData
|
||||
.query({
|
||||
underlying: underlying.value,
|
||||
lookbackPeriodStart: lookbackPeriodStart.value,
|
||||
lookbackPeriodEnd: lookbackPeriodEnd.value,
|
||||
})
|
||||
.then((getChartDataResponse) => {
|
||||
stockPriceChartData.value = getChartDataResponse;
|
||||
});
|
||||
}, 400);
|
||||
export const refreshSimilarCalendarPriceChartData = throttle(() => {
|
||||
similarCalendarPriceChartData.value = [];
|
||||
trpc.SimilarCalendarPriceChart.getChartData
|
||||
.query({
|
||||
underlying: underlying.value,
|
||||
daysToFrontExpiration: openDTE.value,
|
||||
daysBetweenFrontAndBackExpiration: span.value,
|
||||
strikePercentageFromUnderlyingPriceRangeMin:
|
||||
(moniness.value - moninessRadius.value) / 100,
|
||||
strikePercentageFromUnderlyingPriceRangeMax:
|
||||
(moniness.value + moninessRadius.value) / 100,
|
||||
lookbackPeriodStart: lookbackPeriodStart.value,
|
||||
lookbackPeriodEnd: lookbackPeriodEnd.value,
|
||||
})
|
||||
.then((getChartDataResponse) => {
|
||||
similarCalendarPriceChartData.value = getChartDataResponse;
|
||||
});
|
||||
}, 400);
|
||||
export const refreshcalendarExitPriceChartData = throttle(() => {
|
||||
calendarExitPriceChartData.value = [];
|
||||
trpc.CalendarExitPriceChart.getChartData
|
||||
.query({
|
||||
underlying: underlying.value,
|
||||
daysToFrontExpiration: exitDTE.value,
|
||||
daysBetweenFrontAndBackExpiration: span.value,
|
||||
lookbackPeriodStart: lookbackPeriodStart.value,
|
||||
lookbackPeriodEnd: lookbackPeriodEnd.value,
|
||||
})
|
||||
.then((getChartDataResponse) => {
|
||||
calendarExitPriceChartData.value = getChartDataResponse;
|
||||
});
|
||||
}, 400);
|
||||
@@ -0,0 +1,46 @@
|
||||
import { computed, signal } from "@preact/signals";
|
||||
|
||||
export const isPopperOpen = signal(false);
|
||||
export const popperAnchorEl = signal(null);
|
||||
export const popperContent = signal(null);
|
||||
|
||||
export const availableUnderlyings = signal([]);
|
||||
export const underlying = signal(null);
|
||||
|
||||
export const openDTE = signal(14);
|
||||
|
||||
export const span = signal(14);
|
||||
|
||||
export const moniness = signal(1);
|
||||
export const moninessRadius = signal(1);
|
||||
|
||||
export const exitDTE = signal(2);
|
||||
|
||||
export const stockPriceChartData = signal<Array<[number, number]>>([]);
|
||||
|
||||
export const similarCalendarPriceChartData = signal([]);
|
||||
|
||||
export const calendarExitPriceChartData = signal([]);
|
||||
|
||||
export const lookbackPeriodStart = signal("2022-03-01");
|
||||
export const lookbackPeriodEnd = signal("2022-04-01");
|
||||
|
||||
export const maxChartPrice = computed(() =>
|
||||
Math.max(
|
||||
Math.max.apply(
|
||||
null,
|
||||
similarCalendarPriceChartData.value.map((d) => d.y).slice(0, -2)
|
||||
),
|
||||
Math.max.apply(
|
||||
null,
|
||||
calendarExitPriceChartData.value.map((d) => d.y).slice(0, -2)
|
||||
)
|
||||
)
|
||||
);
|
||||
|
||||
export const maxN = computed(() =>
|
||||
Math.max.apply(
|
||||
null,
|
||||
calendarExitPriceChartData.value.map((d) => d.n)
|
||||
)
|
||||
);
|
||||
+4
-1
@@ -24,4 +24,7 @@ dist-ssr
|
||||
*.sln
|
||||
*.sw?
|
||||
|
||||
.env
|
||||
.env
|
||||
*.db
|
||||
*.db-lck
|
||||
Calendar tRPC
|
||||
+17
-12
@@ -2,22 +2,27 @@
|
||||
FROM node:20-slim AS base
|
||||
ENV PNPM_HOME="/pnpm"
|
||||
ENV PATH="$PNPM_HOME:$PATH"
|
||||
RUN corepack enable
|
||||
RUN npm install -g corepack@latest && 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
|
||||
CMD [ "pnpm", "tsx", "src/index.ts" ]
|
||||
|
||||
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" ]
|
||||
# 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 +1,2 @@
|
||||
- Ingest stock/underlying aggregates from flatfiles
|
||||
- Create backtesting function to step through each minute of every day.
|
||||
+10
-3
@@ -2,32 +2,39 @@
|
||||
"private": true,
|
||||
"type": "module",
|
||||
"scripts": {
|
||||
"build": "esbuild src/*.ts src/**/*.ts --platform=node --outdir=dist --format=esm",
|
||||
"build": "esbuild src/*.ts src/*.tsx src/**/*.ts src/**/**/*.ts --platform=node --outdir=dist --format=esm",
|
||||
"dev:node": "node --watch dist/index.js",
|
||||
"dev:esbuild": "pnpm run build --watch",
|
||||
"dev": "run-p dev:*"
|
||||
"dev": "run-p dev:*",
|
||||
"cli": "tsx src/cli.tsx"
|
||||
},
|
||||
"dependencies": {
|
||||
"@clickhouse/client": "^0.2.7",
|
||||
"@clickhouse/client": "^1.4.1",
|
||||
"@humanwhocodes/env": "^3.0.5",
|
||||
"@sinclair/typebox": "^0.32.5",
|
||||
"@trpc/server": "^10.45.0",
|
||||
"cors": "^2.8.5",
|
||||
"date-fns": "^3.6.0",
|
||||
"execa": "^9.3.0",
|
||||
"ink": "^4.1.0",
|
||||
"ink-text-input": "^5.0.1",
|
||||
"lmdbx": "^0.5.0",
|
||||
"p-all": "^5.0.0",
|
||||
"p-queue": "^8.0.1",
|
||||
"p-retry": "^6.2.0",
|
||||
"p-series": "^3.0.0",
|
||||
"p-throttle": "^6.1.0",
|
||||
"react": "^18.2.0",
|
||||
"sqlite": "^5.1.1",
|
||||
"sqlite3": "^5.1.7"
|
||||
},
|
||||
"devDependencies": {
|
||||
"@types/cors": "^2.8.17",
|
||||
"@types/node": "^20.10.7",
|
||||
"@types/react": "^18.0.0",
|
||||
"esbuild": "^0.19.11",
|
||||
"npm-run-all": "^4.1.5",
|
||||
"tsx": "^4.17.0",
|
||||
"typescript": "^5.3.3"
|
||||
}
|
||||
}
|
||||
|
||||
Generated
+697
-12
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1,191 @@
|
||||
import type { CalendarDatabase, CalendarKey } from "./interfaces.js";
|
||||
import type { Aggregate } from "../interfaces.js";
|
||||
import { query } from "../../lib/clickhouse.js";
|
||||
|
||||
function makeCalendarDatabase(): CalendarDatabase {
|
||||
const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
|
||||
getKeys: async ({ key: { symbol }, date }) => {
|
||||
const calendarsForSymbolOnDate = await query<
|
||||
Omit<CalendarKey, "symbol">
|
||||
>(`
|
||||
WITH today_option_contracts AS (
|
||||
SELECT expirationDate, strike, type
|
||||
FROM option_contract_existences
|
||||
WHERE symbol = '${symbol}'
|
||||
AND asOfDate = '${date}'
|
||||
)
|
||||
SELECT
|
||||
front_option_contract.type as type,
|
||||
front_option_contract.strike as strike,
|
||||
front_option_contract.expirationDate as frontExpirationDate,
|
||||
back_option_contract.expirationDate as backExpirationDate
|
||||
FROM today_option_contracts AS front_option_contract
|
||||
ASOF INNER JOIN today_option_contracts AS back_option_contract
|
||||
ON front_option_contract.type = back_option_contract.type
|
||||
AND front_option_contract.strike = back_option_contract.strike
|
||||
AND front_option_contract.expirationDate < back_option_contract.expirationDate
|
||||
`);
|
||||
|
||||
return calendarsForSymbolOnDate.map((calendarWithoutSymbol) => ({
|
||||
...calendarWithoutSymbol,
|
||||
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,
|
||||
}) => {
|
||||
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 toDate(tsStart) = '${date}'
|
||||
),
|
||||
back_option_contract_candlestick AS (
|
||||
SELECT
|
||||
tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low
|
||||
FROM option_contract_aggregates
|
||||
WHERE symbol = '${symbol}'
|
||||
AND type = '${type}'
|
||||
AND strike = '${strike}'
|
||||
AND expirationDate = '${backExpirationDate}'
|
||||
AND toDate(tsStart) = '${date}'
|
||||
)
|
||||
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
|
||||
}));
|
||||
},
|
||||
insertAggregates: async (aggregates) => {
|
||||
// no-op: we insert individual option contracts, not calendars
|
||||
},
|
||||
getClosingPrice: async ({
|
||||
key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
|
||||
}) => {
|
||||
return (
|
||||
await query<{ calendarClosingPrice: number }>(`
|
||||
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 toDate(tsStart) = '${frontExpirationDate}'
|
||||
),
|
||||
back_option_contract_candlestick AS (
|
||||
SELECT
|
||||
tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low
|
||||
FROM option_contract_aggregates
|
||||
WHERE symbol = '${symbol}'
|
||||
AND type = '${type}'
|
||||
AND strike = '${strike}'
|
||||
AND expirationDate = '${backExpirationDate}'
|
||||
AND toDate(tsStart) = '${frontExpirationDate}'
|
||||
)
|
||||
SELECT
|
||||
min(back_option_contract_candlestick.close - front_option_contract_candlestick.close) as calendarClosingPrice
|
||||
FROM front_option_contract_candlestick
|
||||
INNER JOIN back_option_contract_candlestick
|
||||
ON front_option_contract_candlestick.tsStart = back_option_contract_candlestick.tsStart
|
||||
`)
|
||||
)[0]?.calendarClosingPrice;
|
||||
},
|
||||
getTargetPriceByProbability: async ({
|
||||
symbol,
|
||||
calendarSpan,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
}) => {
|
||||
return 0.24;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...calendarDatabase,
|
||||
getCalendars: calendarDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const database: CalendarDatabase = makeCalendarDatabase();
|
||||
@@ -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>;
|
||||
};
|
||||
@@ -0,0 +1,166 @@
|
||||
import type { CalendarDatabase } from "./interfaces.js";
|
||||
import { open } from "lmdbx";
|
||||
|
||||
const calendarAggregatesDb = open({
|
||||
path: "./calendar-aggregates.db",
|
||||
compression: true,
|
||||
});
|
||||
|
||||
const calendarExistenceDb = open({
|
||||
path: "./calendar-existence.db",
|
||||
compression: true,
|
||||
});
|
||||
|
||||
/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
|
||||
const MAXIMUM_KEY = Buffer.from([0xff]);
|
||||
|
||||
function makeCalendarDatabase(): CalendarDatabase {
|
||||
const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
|
||||
getKeys: async ({ key: { symbol }, date }) => {
|
||||
return calendarExistenceDb
|
||||
.getRange({
|
||||
start: [date, symbol],
|
||||
end: [date, symbol, MAXIMUM_KEY],
|
||||
})
|
||||
.map(({ key }) => ({
|
||||
symbol,
|
||||
frontExpirationDate: key[2],
|
||||
backExpirationDate: key[3],
|
||||
strike: key[4],
|
||||
type: key[5],
|
||||
})).asArray;
|
||||
},
|
||||
getAggregates: async ({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
date,
|
||||
}) => {
|
||||
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||
return calendarAggregatesDb
|
||||
.getRange({
|
||||
start: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
startOfDayUnix,
|
||||
],
|
||||
end: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
endOfDayUnix,
|
||||
],
|
||||
})
|
||||
.map(({ value }) => ({
|
||||
tsStart: value.tsStart,
|
||||
open: value.open,
|
||||
close: value.close,
|
||||
high: value.high,
|
||||
low: value.low,
|
||||
})).asArray;
|
||||
},
|
||||
getAggregate: async ({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
tsStart,
|
||||
}) => {
|
||||
return await calendarAggregatesDb.get([
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
tsStart,
|
||||
]);
|
||||
},
|
||||
insertAggregates: async (aggregates) => {
|
||||
await calendarExistenceDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
calendarExistenceDb.put(
|
||||
[
|
||||
new Date(aggregate.tsStart).toISOString().substring(0, 10),
|
||||
aggregate.key.symbol,
|
||||
aggregate.key.frontExpirationDate,
|
||||
aggregate.key.backExpirationDate,
|
||||
aggregate.key.strike,
|
||||
aggregate.key.type,
|
||||
],
|
||||
null
|
||||
);
|
||||
}
|
||||
});
|
||||
await calendarAggregatesDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
calendarAggregatesDb.put(
|
||||
[
|
||||
aggregate.key.symbol,
|
||||
aggregate.key.frontExpirationDate,
|
||||
aggregate.key.backExpirationDate,
|
||||
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, frontExpirationDate, backExpirationDate },
|
||||
}) => {
|
||||
const startOfExpirationDateUnix = new Date(
|
||||
`${frontExpirationDate}T23:59:59Z`
|
||||
).valueOf();
|
||||
const endOfExpirationDateUnix = new Date(
|
||||
`${frontExpirationDate}T00:00:00Z`
|
||||
).valueOf();
|
||||
for (const { value } of calendarAggregatesDb.getRange({
|
||||
start: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
startOfExpirationDateUnix,
|
||||
],
|
||||
end: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
endOfExpirationDateUnix,
|
||||
],
|
||||
reverse: true,
|
||||
})) {
|
||||
if (value.close > 0) {
|
||||
return value.close;
|
||||
}
|
||||
}
|
||||
return 0;
|
||||
},
|
||||
getTargetPriceByProbability: async ({
|
||||
symbol,
|
||||
calendarSpan,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
}) => {
|
||||
return 0.24;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...calendarDatabase,
|
||||
getCalendars: calendarDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const database: CalendarDatabase = makeCalendarDatabase();
|
||||
@@ -0,0 +1,207 @@
|
||||
import { database as optionContractDatabase } from "../OptionContract/lmdbx.js";
|
||||
import type { CalendarDatabase } from "./interfaces.js";
|
||||
|
||||
/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
|
||||
const MAXIMUM_KEY = Buffer.from([0xff]);
|
||||
|
||||
function makeCalendarDatabase(): CalendarDatabase {
|
||||
const getAggregatesSync = ({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
date,
|
||||
}) => {
|
||||
const frontOptionContractAggregates =
|
||||
optionContractDatabase.getAggregatesSync({
|
||||
date,
|
||||
key: { symbol, expirationDate: frontExpirationDate, strike, type },
|
||||
});
|
||||
const backOptionContractAggregates =
|
||||
optionContractDatabase.getAggregatesSync({
|
||||
date,
|
||||
key: { symbol, expirationDate: backExpirationDate, strike, type },
|
||||
});
|
||||
const calendarAggregates = [];
|
||||
let i = 0;
|
||||
let j = 0;
|
||||
while (
|
||||
i < frontOptionContractAggregates.length &&
|
||||
j < backOptionContractAggregates.length
|
||||
) {
|
||||
if (
|
||||
frontOptionContractAggregates[i].tsStart ===
|
||||
backOptionContractAggregates[j].tsStart
|
||||
) {
|
||||
calendarAggregates.push({
|
||||
tsStart: frontOptionContractAggregates[i].tsStart,
|
||||
open:
|
||||
backOptionContractAggregates[j].open -
|
||||
frontOptionContractAggregates[i].open,
|
||||
close:
|
||||
backOptionContractAggregates[j].close -
|
||||
frontOptionContractAggregates[i].close,
|
||||
// the high and low are not exactly correct since we don't know if each contract's high and low happened at the same moment as the other:
|
||||
high:
|
||||
backOptionContractAggregates[j].high -
|
||||
frontOptionContractAggregates[i].high,
|
||||
low:
|
||||
backOptionContractAggregates[j].low -
|
||||
frontOptionContractAggregates[i].low,
|
||||
});
|
||||
i++;
|
||||
j++;
|
||||
} else if (
|
||||
frontOptionContractAggregates[i].tsStart >
|
||||
backOptionContractAggregates[j].tsStart
|
||||
) {
|
||||
j++;
|
||||
} else {
|
||||
i++;
|
||||
}
|
||||
}
|
||||
return calendarAggregates;
|
||||
};
|
||||
const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
|
||||
getKeys: async ({ key: { symbol }, date }) => {
|
||||
const optionContracts = await optionContractDatabase.getOptionContracts({
|
||||
date,
|
||||
key: { symbol },
|
||||
});
|
||||
return optionContracts.flatMap(
|
||||
(frontOptionContract, i, optionContracts) =>
|
||||
optionContracts
|
||||
.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 ({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
date,
|
||||
}) =>
|
||||
getAggregatesSync({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
date,
|
||||
}),
|
||||
getAggregatesSync,
|
||||
insertAggregates: async (aggregates) => {
|
||||
// right now, no-op
|
||||
},
|
||||
getClosingPrice: async ({
|
||||
key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
|
||||
}) => {
|
||||
// get unix timestamp, in milliseconds, of the start of the last hour, which is 03:30PM in the `America/New_York` timezone on the front expiration date:
|
||||
const startOfLastHourUnix = new Date(
|
||||
`${frontExpirationDate}T19:30:00Z`
|
||||
).getTime();
|
||||
const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
|
||||
const frontOptionContractAggregates = (
|
||||
await optionContractDatabase.getAggregates({
|
||||
date: frontExpirationDate,
|
||||
key: { symbol, expirationDate: frontExpirationDate, strike, type },
|
||||
})
|
||||
).filter(
|
||||
({ tsStart }) =>
|
||||
tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix
|
||||
);
|
||||
const backOptionContractAggregates = (
|
||||
await optionContractDatabase.getAggregates({
|
||||
date: frontExpirationDate,
|
||||
key: { symbol, expirationDate: backExpirationDate, strike, type },
|
||||
})
|
||||
).filter(
|
||||
({ tsStart }) =>
|
||||
tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix
|
||||
);
|
||||
let i = 0;
|
||||
let j = 0;
|
||||
let minPrice = 0;
|
||||
while (
|
||||
i < frontOptionContractAggregates.length &&
|
||||
j < backOptionContractAggregates.length
|
||||
) {
|
||||
if (
|
||||
frontOptionContractAggregates[i].tsStart ===
|
||||
backOptionContractAggregates[j].tsStart
|
||||
) {
|
||||
const calendarClosePrice =
|
||||
backOptionContractAggregates[j].close -
|
||||
frontOptionContractAggregates[i].close;
|
||||
if (calendarClosePrice < minPrice || minPrice === 0) {
|
||||
minPrice = calendarClosePrice;
|
||||
}
|
||||
i++;
|
||||
j++;
|
||||
} else if (
|
||||
frontOptionContractAggregates[i].tsStart >
|
||||
backOptionContractAggregates[j].tsStart
|
||||
) {
|
||||
j++;
|
||||
} else {
|
||||
i++;
|
||||
}
|
||||
}
|
||||
return minPrice;
|
||||
},
|
||||
getAggregate: async ({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
tsStart,
|
||||
}) => {
|
||||
const [frontOptionContractAggregate, backOptionContractAggregate] =
|
||||
await Promise.all([
|
||||
optionContractDatabase.getAggregate({
|
||||
key: { symbol, expirationDate: frontExpirationDate, strike, type },
|
||||
tsStart,
|
||||
}),
|
||||
optionContractDatabase.getAggregate({
|
||||
key: { symbol, expirationDate: backExpirationDate, strike, type },
|
||||
tsStart,
|
||||
}),
|
||||
]);
|
||||
// only return the calendar aggregate if its constituent front and back option contract aggregates exist:
|
||||
if (frontOptionContractAggregate && backOptionContractAggregate) {
|
||||
return {
|
||||
tsStart,
|
||||
open:
|
||||
backOptionContractAggregate.open -
|
||||
frontOptionContractAggregate.open,
|
||||
close:
|
||||
backOptionContractAggregate.close -
|
||||
frontOptionContractAggregate.close,
|
||||
high:
|
||||
backOptionContractAggregate.high -
|
||||
frontOptionContractAggregate.high,
|
||||
low:
|
||||
backOptionContractAggregate.low - frontOptionContractAggregate.low,
|
||||
};
|
||||
}
|
||||
return undefined;
|
||||
},
|
||||
getTargetPriceByProbability: async ({
|
||||
symbol,
|
||||
calendarSpan,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
}) => {
|
||||
return 0.24;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...calendarDatabase,
|
||||
getCalendars: calendarDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const database: CalendarDatabase = makeCalendarDatabase();
|
||||
+30
-6
@@ -1,9 +1,9 @@
|
||||
import type {
|
||||
OptionContractDatabase,
|
||||
OptionContractKey,
|
||||
} from "./optiondb.interfaces.js";
|
||||
import type { Aggregate } from "./interfaces.js";
|
||||
import { clickhouse, query } from "./lib/clickhouse.js";
|
||||
} from "./interfaces.js";
|
||||
import type { Aggregate } from "../interfaces.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,
|
||||
}),
|
||||
})
|
||||
),
|
||||
});
|
||||
},
|
||||
@@ -86,5 +111,4 @@ function makeOptionContractDatabase(): OptionContractDatabase {
|
||||
};
|
||||
}
|
||||
|
||||
export const optionContractDatabase: OptionContractDatabase =
|
||||
makeOptionContractDatabase();
|
||||
export const database: OptionContractDatabase = makeOptionContractDatabase();
|
||||
+1
-1
@@ -1,4 +1,4 @@
|
||||
import type { AggregateDatabase } from "./interfaces.js";
|
||||
import type { AggregateDatabase } from "../interfaces.js";
|
||||
|
||||
export type OptionContractKey = {
|
||||
symbol: string;
|
||||
+44
-24
@@ -1,14 +1,14 @@
|
||||
import type { OptionContractDatabase } from "./optiondb.interfaces.js";
|
||||
import type { OptionContractDatabase } from "./interfaces.js";
|
||||
import { open } from "lmdbx";
|
||||
|
||||
const optionContractAggregatesDb = open({
|
||||
path: "/tmp/option-contract-aggregates.db",
|
||||
path: "./option-contract-aggregates.db",
|
||||
// any options go here, we can turn on compression like this:
|
||||
compression: true,
|
||||
});
|
||||
|
||||
const optionContractExistenceDb = open({
|
||||
path: "/tmp/option-contract-existence.db",
|
||||
path: "./option-contract-existence.db",
|
||||
// any options go here, we can turn on compression like this:
|
||||
compression: true,
|
||||
});
|
||||
@@ -17,6 +17,25 @@ const optionContractExistenceDb = open({
|
||||
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"
|
||||
@@ -34,25 +53,15 @@ function makeOptionContractDatabase(): OptionContractDatabase {
|
||||
type: key[4],
|
||||
})).asArray;
|
||||
},
|
||||
getAggregatesSync,
|
||||
getAggregates: async ({
|
||||
key: { symbol, expirationDate, strike, type },
|
||||
date,
|
||||
}) => {
|
||||
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||
return optionContractAggregatesDb
|
||||
.getRange({
|
||||
start: [symbol, expirationDate, strike, type, startOfDayUnix],
|
||||
end: [symbol, expirationDate, strike, type, endOfDayUnix],
|
||||
})
|
||||
.map(({ value }) => ({
|
||||
tsStart: value.tsStart,
|
||||
open: value.open,
|
||||
close: value.close,
|
||||
high: value.high,
|
||||
low: value.low,
|
||||
})).asArray;
|
||||
},
|
||||
}) =>
|
||||
getAggregatesSync({
|
||||
key: { symbol, expirationDate, strike, type },
|
||||
date,
|
||||
}),
|
||||
insertAggregates: async (aggregates) => {
|
||||
await optionContractExistenceDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
@@ -64,7 +73,7 @@ function makeOptionContractDatabase(): OptionContractDatabase {
|
||||
aggregate.key.strike,
|
||||
aggregate.key.type,
|
||||
],
|
||||
null,
|
||||
null
|
||||
);
|
||||
}
|
||||
});
|
||||
@@ -83,7 +92,7 @@ function makeOptionContractDatabase(): OptionContractDatabase {
|
||||
close: aggregate.close,
|
||||
high: aggregate.high,
|
||||
low: aggregate.low,
|
||||
},
|
||||
}
|
||||
);
|
||||
}
|
||||
});
|
||||
@@ -92,7 +101,7 @@ function makeOptionContractDatabase(): OptionContractDatabase {
|
||||
key: { symbol, strike, type, expirationDate },
|
||||
}) => {
|
||||
const startOfLastHourUnix = new Date(
|
||||
`${expirationDate}T00:00:00Z`,
|
||||
`${expirationDate}T00:00:00Z`
|
||||
).valueOf();
|
||||
const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
|
||||
let minPrice = 0;
|
||||
@@ -106,6 +115,18 @@ function makeOptionContractDatabase(): OptionContractDatabase {
|
||||
}
|
||||
return minPrice;
|
||||
},
|
||||
getAggregate: async ({
|
||||
key: { symbol, expirationDate, strike, type },
|
||||
tsStart,
|
||||
}) => {
|
||||
return await optionContractAggregatesDb.get([
|
||||
symbol,
|
||||
expirationDate,
|
||||
strike,
|
||||
type,
|
||||
tsStart,
|
||||
]);
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
@@ -114,5 +135,4 @@ function makeOptionContractDatabase(): OptionContractDatabase {
|
||||
};
|
||||
}
|
||||
|
||||
export const optionContractDatabase: OptionContractDatabase =
|
||||
makeOptionContractDatabase();
|
||||
export const database: OptionContractDatabase = makeOptionContractDatabase();
|
||||
@@ -0,0 +1,79 @@
|
||||
import type { StockDatabase, StockKey } from "./interfaces.js";
|
||||
import type { Aggregate } from "../interfaces.js";
|
||||
import { clickhouse, query } from "../../lib/clickhouse.js";
|
||||
|
||||
function makeStockDatabase(): StockDatabase {
|
||||
const stockDatabase: Omit<StockDatabase, "getSymbols"> = {
|
||||
getKeys: async ({ date, key }) => {
|
||||
if (key?.symbol) {
|
||||
return [key as StockKey];
|
||||
}
|
||||
return await query(`
|
||||
SELECT DISTINCT symbol FROM stock_aggregates WHERE toDate(tsStart) = '${date}'
|
||||
`);
|
||||
},
|
||||
getAggregates: async ({ key: { symbol }, date }) => {
|
||||
return (
|
||||
await query<Omit<Aggregate<StockKey>, "key">>(`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low
|
||||
FROM stock_aggregates
|
||||
WHERE symbol = '${symbol}'
|
||||
AND toDate(tsStart) = '${date}'
|
||||
ORDER BY tsStart ASC
|
||||
`)
|
||||
).map((aggregate) => ({
|
||||
...aggregate,
|
||||
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({
|
||||
table: "stock_aggregates",
|
||||
values: aggregates.map(
|
||||
({ key: { symbol }, tsStart, open, close, high, low }) => ({
|
||||
symbol,
|
||||
tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low,
|
||||
})
|
||||
),
|
||||
});
|
||||
},
|
||||
getClosingPrice: async ({ key }) => {
|
||||
// no-op: not used since stocks don't have a "closing" price, unlike options.
|
||||
return 0;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...stockDatabase,
|
||||
getSymbols: stockDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const database: StockDatabase = makeStockDatabase();
|
||||
@@ -0,0 +1,7 @@
|
||||
import type { AggregateDatabase } from "../interfaces.js";
|
||||
|
||||
export type StockKey = { symbol: string };
|
||||
|
||||
export type StockDatabase = AggregateDatabase<StockKey> & {
|
||||
getSymbols: AggregateDatabase<StockKey>["getKeys"];
|
||||
};
|
||||
@@ -0,0 +1,86 @@
|
||||
import type { StockDatabase, StockKey } from "./interfaces.js";
|
||||
import { open } from "lmdbx";
|
||||
|
||||
const stockAggregatesDb = open({
|
||||
path: "./stock-aggregates.db",
|
||||
// any options go here, we can turn on compression like this:
|
||||
compression: true,
|
||||
});
|
||||
|
||||
const stockExistenceDb = open({
|
||||
path: "./stock-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 makeStockDatabase(): StockDatabase {
|
||||
const stockDatabase: Omit<StockDatabase, "getSymbols"> = {
|
||||
getKeys: async ({ date, key }) => {
|
||||
if (key?.symbol) {
|
||||
return [key as StockKey];
|
||||
}
|
||||
return stockExistenceDb
|
||||
.getRange({
|
||||
start: [date],
|
||||
end: [date, MAXIMUM_KEY],
|
||||
})
|
||||
.map(({ key }) => ({ symbol: key[1] })).asArray;
|
||||
},
|
||||
getAggregates: async ({ key: { symbol }, date }) => {
|
||||
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||
return stockAggregatesDb
|
||||
.getRange({
|
||||
start: [symbol, startOfDayUnix],
|
||||
end: [symbol, endOfDayUnix],
|
||||
})
|
||||
.map(({ key, value }) => ({
|
||||
tsStart: key[1],
|
||||
open: value.open,
|
||||
close: value.close,
|
||||
high: value.high,
|
||||
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) {
|
||||
stockExistenceDb.put(
|
||||
[
|
||||
new Date(aggregate.tsStart).toISOString().substring(0, 10),
|
||||
aggregate.key.symbol,
|
||||
],
|
||||
null
|
||||
);
|
||||
}
|
||||
});
|
||||
await stockAggregatesDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
stockAggregatesDb.put([aggregate.key.symbol, aggregate.tsStart], {
|
||||
open: aggregate.open,
|
||||
close: aggregate.close,
|
||||
high: aggregate.high,
|
||||
low: aggregate.low,
|
||||
});
|
||||
}
|
||||
});
|
||||
},
|
||||
getClosingPrice: async ({ key }) => {
|
||||
// no-op: not used since stocks don't have a "closing" price, unlike options.
|
||||
return 0;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...stockDatabase,
|
||||
getSymbols: stockDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const database: StockDatabase = makeStockDatabase();
|
||||
@@ -0,0 +1,46 @@
|
||||
export type Candlestick = {
|
||||
open: number;
|
||||
close: number;
|
||||
high: number;
|
||||
low: number;
|
||||
};
|
||||
|
||||
export type Aggregate<T> = {
|
||||
key: T;
|
||||
/** UNIX time in milliseconds */
|
||||
tsStart: number;
|
||||
} & Candlestick;
|
||||
|
||||
export type AggregateDatabase<T> = {
|
||||
getKeys: ({
|
||||
key,
|
||||
date,
|
||||
}: {
|
||||
key?: T | Partial<T>;
|
||||
date?: string;
|
||||
}) => Promise<Array<T>>;
|
||||
getAggregates: ({
|
||||
key,
|
||||
date,
|
||||
}: {
|
||||
key: T;
|
||||
date: string;
|
||||
}) => Promise<Array<Omit<Aggregate<T>, "key">>>;
|
||||
/** Since an aggregate may not exist at the specified `tsStart`, return `undefined` if it doesn't exist. */
|
||||
getAggregate: ({
|
||||
key,
|
||||
tsStart,
|
||||
}: {
|
||||
key: T;
|
||||
tsStart: number;
|
||||
}) => Promise<Omit<Aggregate<T>, "key"> | undefined>;
|
||||
getAggregatesSync?: ({
|
||||
key,
|
||||
date,
|
||||
}: {
|
||||
key: T;
|
||||
date: string;
|
||||
}) => Array<Omit<Aggregate<T>, "key">>;
|
||||
insertAggregates: (aggregates: Array<Aggregate<T>>) => Promise<void>;
|
||||
getClosingPrice: ({ key }: { key: T }) => Promise<number>;
|
||||
};
|
||||
@@ -0,0 +1,87 @@
|
||||
import { query } from "./lib/clickhouse.js";
|
||||
import { publicProcedure, RpcType, router } from "./trpc.js";
|
||||
import {
|
||||
Object as ObjectT,
|
||||
String as StringT,
|
||||
Number as NumberT,
|
||||
} from "@sinclair/typebox";
|
||||
|
||||
/** Gets a list of symbols that have at least one option contract */
|
||||
export const getAvailableUnderlyings = publicProcedure.query(async (opts) => {
|
||||
// return (
|
||||
// await query<{ symbol: string }>(`
|
||||
// SELECT DISTINCT(symbol) as symbol FROM option_contract_existences WHERE asOfDate = (SELECT max(asOfDate) FROM option_contract_existences)
|
||||
// `)
|
||||
// ).map(({ symbol }) => symbol);
|
||||
return ["SPY"];
|
||||
});
|
||||
|
||||
export const 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_contract_existences
|
||||
WHERE symbol = '${underlying}'
|
||||
ORDER BY asOfDate
|
||||
`)
|
||||
).map(({ asOfDate }) => asOfDate);
|
||||
});
|
||||
|
||||
export const getExpirationsForUnderlying = publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
asOfDate: StringT(),
|
||||
})
|
||||
)
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, asOfDate } = opts.input;
|
||||
return (
|
||||
await query<{ expirationDate: string }>(`
|
||||
SELECT
|
||||
DISTINCT(expirationDate) as expirationDate
|
||||
FROM option_contract_existences
|
||||
WHERE symbol = '${underlying}'
|
||||
AND asOfDate = '${asOfDate}'
|
||||
ORDER BY expirationDate
|
||||
`)
|
||||
).map(({ expirationDate }) => expirationDate);
|
||||
});
|
||||
|
||||
export const getStrikesForUnderlying = publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
asOfDate: StringT(),
|
||||
expirationDate: StringT(),
|
||||
})
|
||||
)
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, asOfDate, expirationDate } = opts.input;
|
||||
return (
|
||||
await query<{ strike: string }>(`
|
||||
SELECT
|
||||
DISTINCT(strike) as strike
|
||||
FROM option_contract_existences
|
||||
WHERE symbol = '${underlying}'
|
||||
AND asOfDate = '${asOfDate}'
|
||||
AND expirationDate = '${expirationDate}'
|
||||
ORDER BY strike
|
||||
`)
|
||||
).map(({ strike }) => strike);
|
||||
});
|
||||
|
||||
export default router({
|
||||
getAvailableUnderlyings,
|
||||
getAvailableAsOfDates,
|
||||
getExpirationsForUnderlying,
|
||||
getStrikesForUnderlying,
|
||||
});
|
||||
@@ -0,0 +1,53 @@
|
||||
import { query } from "./lib/clickhouse.js";
|
||||
import { publicProcedure, RpcType, router } from "./trpc.js";
|
||||
import {
|
||||
Object as ObjectT,
|
||||
String as StringT,
|
||||
Number as NumberT,
|
||||
} from "@sinclair/typebox";
|
||||
|
||||
export const getChartData = publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
daysToFrontExpiration: NumberT(),
|
||||
daysBetweenFrontAndBackExpiration: NumberT(),
|
||||
lookbackPeriodStart: StringT({
|
||||
pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}",
|
||||
}),
|
||||
lookbackPeriodEnd: StringT({ pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}" }),
|
||||
})
|
||||
)
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const {
|
||||
underlying,
|
||||
daysToFrontExpiration,
|
||||
daysBetweenFrontAndBackExpiration,
|
||||
lookbackPeriodStart,
|
||||
lookbackPeriodEnd,
|
||||
} = opts.input;
|
||||
return await query<[number, number, number]>(
|
||||
`
|
||||
SELECT
|
||||
moniness*100 as x,
|
||||
FLOOR(price, 1) as y,
|
||||
sum(number_of_quotes) as n
|
||||
FROM calendar_stats
|
||||
WHERE dte = ${daysToFrontExpiration}
|
||||
AND moniness >= -0.05
|
||||
AND moniness <= 0.05
|
||||
AND span = ${daysBetweenFrontAndBackExpiration}
|
||||
AND date >= '${lookbackPeriodStart}'
|
||||
AND date <= '${lookbackPeriodEnd}'
|
||||
GROUP BY x, y
|
||||
ORDER BY x ASC, y ASC
|
||||
`,
|
||||
"JSONEachRow"
|
||||
);
|
||||
});
|
||||
|
||||
export default router({
|
||||
getChartData,
|
||||
});
|
||||
@@ -0,0 +1,54 @@
|
||||
import { query } from "./lib/clickhouse.js";
|
||||
import { publicProcedure, RpcType, router } from "./trpc.js";
|
||||
import {
|
||||
Object as ObjectT,
|
||||
String as StringT,
|
||||
Number as NumberT,
|
||||
} from "@sinclair/typebox";
|
||||
|
||||
/** Returns prices for all matching calendars (i.e. those with similar
|
||||
* characteristics to those given) */
|
||||
export const getChartData = publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
daysToFrontExpiration: NumberT(),
|
||||
daysBetweenFrontAndBackExpiration: NumberT(),
|
||||
strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
|
||||
strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
|
||||
lookbackPeriodStart: StringT(),
|
||||
lookbackPeriodEnd: StringT(),
|
||||
})
|
||||
)
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const {
|
||||
underlying,
|
||||
daysToFrontExpiration,
|
||||
daysBetweenFrontAndBackExpiration,
|
||||
strikePercentageFromUnderlyingPriceRangeMin,
|
||||
strikePercentageFromUnderlyingPriceRangeMax,
|
||||
lookbackPeriodStart,
|
||||
lookbackPeriodEnd,
|
||||
} = opts.input;
|
||||
return await query<[number, number]>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(date) as x,
|
||||
price as y
|
||||
FROM calendar_stats
|
||||
WHERE dte = ${daysToFrontExpiration}
|
||||
AND moniness >= ${strikePercentageFromUnderlyingPriceRangeMin}
|
||||
AND moniness <= ${strikePercentageFromUnderlyingPriceRangeMax}
|
||||
AND span = ${daysBetweenFrontAndBackExpiration}
|
||||
AND date >= '${lookbackPeriodStart}'
|
||||
AND date <= '${lookbackPeriodEnd}'
|
||||
`,
|
||||
"JSONEachRow"
|
||||
);
|
||||
});
|
||||
|
||||
export default router({
|
||||
getChartData,
|
||||
});
|
||||
@@ -0,0 +1,36 @@
|
||||
import { query } from "./lib/clickhouse.js";
|
||||
import { publicProcedure, RpcType, router } from "./trpc.js";
|
||||
import { Object as ObjectT, String as StringT } from "@sinclair/typebox";
|
||||
|
||||
export const getChartData = publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
lookbackPeriodStart: StringT(),
|
||||
lookbackPeriodEnd: StringT(),
|
||||
})
|
||||
)
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, lookbackPeriodStart, lookbackPeriodEnd } = opts.input;
|
||||
return await query<[number, number]>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(toStartOfHour(ts)) as x,
|
||||
avg(price) as y
|
||||
FROM stock_aggregates_filled
|
||||
WHERE symbol = '${underlying}'
|
||||
AND ts >= '${lookbackPeriodStart} 00:00:00'
|
||||
AND ts <= '${lookbackPeriodEnd} 00:00:00'
|
||||
GROUP BY x
|
||||
ORDER BY x ASC
|
||||
`,
|
||||
"JSONCompactEachRow"
|
||||
// "JSONEachRow"
|
||||
);
|
||||
});
|
||||
|
||||
export default router({
|
||||
getChartData,
|
||||
});
|
||||
+139
-145
@@ -1,152 +1,146 @@
|
||||
import { stockDatabase } from "./stockdb.clickhouse.js";
|
||||
import { calendarDatabase } from "./calendardb.clickhouse.js";
|
||||
import type { CalendarKey } from "./calendardb.interfaces.js";
|
||||
import type { Aggregate } from "./interfaces.js";
|
||||
import { database as stockDatabase } from "./AggregateDatabase/Stock/lmdbx.js";
|
||||
import { database as calendarDatabase } from "./AggregateDatabase/Calendar/optiondb-lmdbx.js";
|
||||
import type { CalendarKey } from "./AggregateDatabase/Calendar/interfaces.js";
|
||||
import { nextDate } from "./lib/utils/nextDate.js";
|
||||
|
||||
function nextDate(date: string) {
|
||||
const dateObject = new Date(date);
|
||||
dateObject.setDate(dateObject.getDate() + 1);
|
||||
return dateObject.toISOString().substring(0, 10);
|
||||
}
|
||||
|
||||
type BacktestInput = {
|
||||
symbol: string;
|
||||
startDate: string;
|
||||
endDate: string;
|
||||
/** Between 0 and 1. The frequency that similar calendars have historically ended (i.e. within the last hour) at a higher price than the current calendar's price. */
|
||||
historicalProbabilityOfSuccess?: number;
|
||||
initialAvailableValue?: number;
|
||||
export type BacktestInput = {
|
||||
symbol: string;
|
||||
startDate: string;
|
||||
endDate: string;
|
||||
/** Between 0 and 1. The frequency that similar calendars have historically ended (i.e. within the last hour) at a higher price than the current calendar's price. */
|
||||
historicalProbabilityOfSuccess?: number;
|
||||
initialBuyingPower?: number;
|
||||
};
|
||||
|
||||
export async function backtest({
|
||||
symbol,
|
||||
startDate,
|
||||
endDate,
|
||||
historicalProbabilityOfSuccess = 0.8,
|
||||
initialAvailableValue: initialBuyingPower = 2000,
|
||||
symbol,
|
||||
startDate,
|
||||
endDate,
|
||||
historicalProbabilityOfSuccess = 0.8,
|
||||
initialBuyingPower = 2000,
|
||||
}: BacktestInput) {
|
||||
let buyingPower = initialBuyingPower;
|
||||
const portfolio = new Set<CalendarKey>();
|
||||
// for each day:
|
||||
for (
|
||||
let date = startDate, didBuyCalendar = false;
|
||||
date <= endDate;
|
||||
date = nextDate(date), didBuyCalendar = false
|
||||
) {
|
||||
console.log("Current Date:", date);
|
||||
const calendars = await calendarDatabase.getCalendars({
|
||||
key: { symbol },
|
||||
date,
|
||||
});
|
||||
const stockAggregates = await stockDatabase.getAggregates({
|
||||
key: symbol,
|
||||
date,
|
||||
});
|
||||
const calendarsAggregates = new Map<
|
||||
CalendarKey,
|
||||
Array<Pick<Aggregate<CalendarKey>, "tsStart" | "open" | "close">>
|
||||
>();
|
||||
for (const calendar of calendars) {
|
||||
calendarsAggregates.set(
|
||||
calendar,
|
||||
await calendarDatabase.getAggregates({
|
||||
key: {
|
||||
...calendar,
|
||||
},
|
||||
date,
|
||||
}),
|
||||
);
|
||||
}
|
||||
// for each minute of that day for which we have a stock candlestick:
|
||||
for (const stockAggregate of stockAggregates) {
|
||||
console.log("Current Time:", new Date(stockAggregate.tsStart));
|
||||
// filter-out calendars that are far-from-the-money (10%)
|
||||
const calendarsNearTheMoney = calendars.filter(
|
||||
({ strike }) =>
|
||||
Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.1,
|
||||
);
|
||||
// for each relevant calendar on that day:
|
||||
for (const calendar of calendarsNearTheMoney) {
|
||||
const strikePercentageFromTheMoney = Math.abs(
|
||||
(stockAggregate.open - calendar.strike) / stockAggregate.open,
|
||||
);
|
||||
/** In days. */
|
||||
const calendarSpan =
|
||||
(new Date(calendar.backExpirationDate).valueOf() -
|
||||
new Date(calendar.frontExpirationDate).valueOf()) /
|
||||
(1000 * 60 * 60 * 24);
|
||||
const targetCalendarPrice =
|
||||
await calendarDatabase.getTargetPriceByProbability({
|
||||
symbol,
|
||||
calendarSpan,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
});
|
||||
const calendarAggregates = calendarsAggregates.get(calendar);
|
||||
const calendarAggregateAtCurrentTime = calendarAggregates.find(
|
||||
({ tsStart }) => tsStart === stockAggregate.tsStart,
|
||||
);
|
||||
// if there exists a matching calendar candlestick for the current minute:
|
||||
if (calendarAggregateAtCurrentTime) {
|
||||
// if the current candlestick is a good price (i.e. less than the target price):
|
||||
const minCalendarPriceInCandlestick = Math.min(
|
||||
calendarAggregateAtCurrentTime.open,
|
||||
calendarAggregateAtCurrentTime.close,
|
||||
);
|
||||
if (
|
||||
minCalendarPriceInCandlestick < targetCalendarPrice &&
|
||||
minCalendarPriceInCandlestick >
|
||||
0.07 /* sometimes the calendar price is zero or negative, which is of course impossible; some institution got a good deal */
|
||||
) {
|
||||
// if we can afford to buy the calendar:
|
||||
if (buyingPower > minCalendarPriceInCandlestick) {
|
||||
// buy the calendar, and continue to the next day:
|
||||
portfolio.add(calendar);
|
||||
buyingPower = buyingPower - minCalendarPriceInCandlestick * 100;
|
||||
console.log(
|
||||
"Bought",
|
||||
calendar,
|
||||
"for",
|
||||
minCalendarPriceInCandlestick * 100,
|
||||
"...$",
|
||||
buyingPower,
|
||||
"left",
|
||||
);
|
||||
didBuyCalendar = true;
|
||||
}
|
||||
}
|
||||
}
|
||||
if (didBuyCalendar) {
|
||||
break;
|
||||
}
|
||||
}
|
||||
if (didBuyCalendar) {
|
||||
break;
|
||||
}
|
||||
}
|
||||
let buyingPower = initialBuyingPower;
|
||||
const portfolio = new Set<CalendarKey>();
|
||||
// for each day:
|
||||
for (
|
||||
let date = startDate, didBuyCalendar = false;
|
||||
date <= endDate;
|
||||
date = nextDate(date), didBuyCalendar = false
|
||||
) {
|
||||
const calendars = await calendarDatabase.getCalendars({
|
||||
key: { symbol },
|
||||
date,
|
||||
});
|
||||
const stockAggregates = await stockDatabase.getAggregates({
|
||||
key: { symbol },
|
||||
date,
|
||||
});
|
||||
// for each minute of that day for which we have a stock candlestick:
|
||||
for (const stockAggregate of stockAggregates) {
|
||||
// console.log("Current Time:", new Date(stockAggregate.tsStart));
|
||||
// filter-out calendars that are far-from-the-money (5%)
|
||||
const calendarsNearTheMoney = calendars.filter(
|
||||
({ strike }) =>
|
||||
Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.05
|
||||
);
|
||||
console.log(
|
||||
"Current Date:",
|
||||
new Intl.DateTimeFormat("en-US", {
|
||||
timeZone: "America/New_York",
|
||||
dateStyle: "full",
|
||||
timeStyle: "long",
|
||||
}).format(new Date(stockAggregate.tsStart)),
|
||||
";",
|
||||
`${calendarsNearTheMoney.length} Calendars Near The Money`
|
||||
);
|
||||
// for each relevant calendar on that day:
|
||||
for (const calendar of calendarsNearTheMoney) {
|
||||
const strikePercentageFromTheMoney = Math.abs(
|
||||
(stockAggregate.open - calendar.strike) / stockAggregate.open
|
||||
);
|
||||
/** Number of days between the back and front expiration dates. */
|
||||
const calendarSpanInDays =
|
||||
(new Date(calendar.backExpirationDate).valueOf() -
|
||||
new Date(calendar.frontExpirationDate).valueOf()) /
|
||||
(1000 * 60 * 60 * 24);
|
||||
const targetCalendarPrice =
|
||||
await calendarDatabase.getTargetPriceByProbability({
|
||||
symbol,
|
||||
calendarSpan: calendarSpanInDays,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
});
|
||||
const calendarAggregateAtCurrentTime =
|
||||
await calendarDatabase.getAggregate({
|
||||
key: {
|
||||
...calendar,
|
||||
},
|
||||
tsStart: stockAggregate.tsStart,
|
||||
});
|
||||
// if there exists a matching calendar candlestick for the current minute:
|
||||
if (calendarAggregateAtCurrentTime) {
|
||||
// if the current candlestick is a good price (i.e. less than the target price):
|
||||
const minCalendarPriceInCandlestick = Math.min(
|
||||
calendarAggregateAtCurrentTime.open,
|
||||
calendarAggregateAtCurrentTime.close
|
||||
);
|
||||
if (
|
||||
minCalendarPriceInCandlestick < targetCalendarPrice &&
|
||||
minCalendarPriceInCandlestick >
|
||||
0.07 /* sometimes the calendar price is zero or negative, which is of course impossible; some institution got a good deal */
|
||||
) {
|
||||
// if we can afford to buy the calendar:
|
||||
if (buyingPower > minCalendarPriceInCandlestick) {
|
||||
// buy the calendar, and continue to the next day:
|
||||
portfolio.add(calendar);
|
||||
buyingPower = buyingPower - minCalendarPriceInCandlestick * 100;
|
||||
console.log(
|
||||
"Bought",
|
||||
calendar,
|
||||
"for",
|
||||
minCalendarPriceInCandlestick * 100,
|
||||
"...$",
|
||||
buyingPower,
|
||||
"left"
|
||||
);
|
||||
didBuyCalendar = true;
|
||||
}
|
||||
}
|
||||
}
|
||||
if (didBuyCalendar) {
|
||||
break;
|
||||
}
|
||||
}
|
||||
if (didBuyCalendar) {
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
// for each calendar in portfolio, if today is the last day, close the position:
|
||||
for (const calendar of portfolio.values()) {
|
||||
if (calendar.frontExpirationDate === date) {
|
||||
const calendarClosingPrice = await calendarDatabase.getClosingPrice({
|
||||
key: {
|
||||
...calendar,
|
||||
},
|
||||
});
|
||||
portfolio.delete(calendar);
|
||||
buyingPower = buyingPower + calendarClosingPrice * 100;
|
||||
console.log(
|
||||
"Sold",
|
||||
calendar,
|
||||
"for",
|
||||
calendarClosingPrice,
|
||||
"...$",
|
||||
buyingPower,
|
||||
"left",
|
||||
);
|
||||
}
|
||||
}
|
||||
}
|
||||
// for each calendar in portfolio, if today is the last day, close the position:
|
||||
for (const calendar of portfolio.values()) {
|
||||
if (calendar.frontExpirationDate === date) {
|
||||
const calendarClosingPrice = await calendarDatabase.getClosingPrice({
|
||||
key: {
|
||||
...calendar,
|
||||
},
|
||||
});
|
||||
portfolio.delete(calendar);
|
||||
buyingPower = buyingPower + calendarClosingPrice * 100;
|
||||
console.log(
|
||||
"Sold",
|
||||
calendar,
|
||||
"for",
|
||||
calendarClosingPrice,
|
||||
"...$",
|
||||
buyingPower,
|
||||
"left"
|
||||
);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
console.log("Ending Buying Power:", buyingPower);
|
||||
console.log("Portfolio:", portfolio.values());
|
||||
return {
|
||||
endingBuyingPower: buyingPower,
|
||||
portfolio: Array.from(portfolio.values()),
|
||||
};
|
||||
}
|
||||
|
||||
@@ -1,142 +0,0 @@
|
||||
import type { CalendarDatabase, CalendarKey } from "./calendardb.interfaces.js";
|
||||
import type { Aggregate } from "./interfaces.js";
|
||||
import { query } from "./lib/clickhouse.js";
|
||||
|
||||
function makeCalendarDatabase(): CalendarDatabase {
|
||||
const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
|
||||
getKeys: async ({ key: { symbol }, date }) => {
|
||||
const calendarsForSymbolOnDate = await query<
|
||||
Omit<CalendarKey, "symbol">
|
||||
>(`
|
||||
WITH today_option_contracts AS (
|
||||
SELECT expirationDate, strike, type
|
||||
FROM option_contract_existences
|
||||
WHERE symbol = '${symbol}'
|
||||
AND asOfDate = '${date}'
|
||||
)
|
||||
SELECT
|
||||
front_option_contract.type as type,
|
||||
front_option_contract.strike as strike,
|
||||
front_option_contract.expirationDate as frontExpirationDate,
|
||||
back_option_contract.expirationDate as backExpirationDate
|
||||
FROM today_option_contracts AS front_option_contract
|
||||
ASOF INNER JOIN today_option_contracts AS back_option_contract
|
||||
ON front_option_contract.type = back_option_contract.type
|
||||
AND front_option_contract.strike = back_option_contract.strike
|
||||
AND front_option_contract.expirationDate < back_option_contract.expirationDate
|
||||
`);
|
||||
|
||||
return calendarsForSymbolOnDate.map((calendarWithoutSymbol) => ({
|
||||
...calendarWithoutSymbol,
|
||||
symbol,
|
||||
}));
|
||||
},
|
||||
getAggregates: async ({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
date,
|
||||
}) => {
|
||||
return (
|
||||
await query<Omit<Aggregate<CalendarKey>, "key">>(`
|
||||
WITH front_option_contract_candlestick AS (
|
||||
SELECT
|
||||
tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low
|
||||
FROM option_contract_aggregates
|
||||
WHERE symbol = '${symbol}'
|
||||
AND type = '${type}'
|
||||
AND strike = '${strike}'
|
||||
AND expirationDate = '${frontExpirationDate}'
|
||||
AND toDate(tsStart) = '${date}'
|
||||
),
|
||||
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 toDate(tsStart) = '${date}'
|
||||
)
|
||||
SELECT
|
||||
toUnixTimestamp(front_option_contract_candlestick.tsStart) as tsStart,
|
||||
back_option_contract_candlestick.open - front_option_contract_candlestick.open as open,
|
||||
back_option_contract_candlestick.close - front_option_contract_candlestick.close as close
|
||||
FROM front_option_contract_candlestick
|
||||
INNER JOIN back_option_contract_candlestick
|
||||
ON front_option_contract_candlestick.tsStart = back_option_contract_candlestick.tsStart
|
||||
ORDER BY front_option_contract_candlestick.tsStart ASC
|
||||
`)
|
||||
).map((aggregate) => ({
|
||||
...aggregate,
|
||||
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
|
||||
}));
|
||||
},
|
||||
insertAggregates: async (aggregates) => {
|
||||
// no-op: we insert individual option contracts, not calendars
|
||||
},
|
||||
getClosingPrice: async ({
|
||||
key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
|
||||
}) => {
|
||||
return (
|
||||
await query<{ calendarClosingPrice: number }>(`
|
||||
WITH front_option_contract_candlestick AS (
|
||||
SELECT
|
||||
tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low
|
||||
FROM option_contract_aggregates
|
||||
WHERE symbol = '${symbol}'
|
||||
AND type = '${type}'
|
||||
AND strike = '${strike}'
|
||||
AND expirationDate = '${frontExpirationDate}'
|
||||
AND toDate(tsStart) = '${frontExpirationDate}'
|
||||
),
|
||||
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 toDate(tsStart) = '${frontExpirationDate}'
|
||||
)
|
||||
SELECT
|
||||
min(back_option_contract_candlestick.close - front_option_contract_candlestick.close) as calendarClosingPrice
|
||||
FROM front_option_contract_candlestick
|
||||
INNER JOIN back_option_contract_candlestick
|
||||
ON front_option_contract_candlestick.tsStart = back_option_contract_candlestick.tsStart
|
||||
`)
|
||||
)[0]?.calendarClosingPrice;
|
||||
},
|
||||
getTargetPriceByProbability: async ({
|
||||
symbol,
|
||||
calendarSpan,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
}) => {
|
||||
return 0.24;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...calendarDatabase,
|
||||
getCalendars: calendarDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();
|
||||
@@ -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>;
|
||||
};
|
||||
@@ -1,153 +0,0 @@
|
||||
import type { CalendarDatabase } from "./calendardb.interfaces.js";
|
||||
import { open } from "lmdbx";
|
||||
|
||||
const calendarAggregatesDb = open({
|
||||
path: "/tmp/calendar-aggregates.db",
|
||||
// any options go here, we can turn on compression like this:
|
||||
compression: true,
|
||||
});
|
||||
|
||||
const calendarExistenceDb = open({
|
||||
path: "/tmp/calendar-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 makeCalendarDatabase(): CalendarDatabase {
|
||||
const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
|
||||
getKeys: async ({ key: { symbol }, date }) => {
|
||||
return calendarExistenceDb
|
||||
.getRange({
|
||||
start: [date, symbol],
|
||||
end: [date, symbol, MAXIMUM_KEY],
|
||||
})
|
||||
.map(({ key }) => ({
|
||||
symbol,
|
||||
frontExpirationDate: key[2],
|
||||
backExpirationDate: key[3],
|
||||
strike: key[4],
|
||||
type: key[5],
|
||||
})).asArray;
|
||||
},
|
||||
getAggregates: async ({
|
||||
key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
|
||||
date,
|
||||
}) => {
|
||||
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||
return calendarAggregatesDb
|
||||
.getRange({
|
||||
start: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
startOfDayUnix,
|
||||
],
|
||||
end: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
endOfDayUnix,
|
||||
],
|
||||
})
|
||||
.map(({ value }) => ({
|
||||
tsStart: value.tsStart,
|
||||
open: value.open,
|
||||
close: value.close,
|
||||
high: value.high,
|
||||
low: value.low,
|
||||
})).asArray;
|
||||
},
|
||||
insertAggregates: async (aggregates) => {
|
||||
await calendarExistenceDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
calendarExistenceDb.put(
|
||||
[
|
||||
new Date(aggregate.tsStart).toISOString().substring(0, 10),
|
||||
aggregate.key.symbol,
|
||||
aggregate.key.frontExpirationDate,
|
||||
aggregate.key.backExpirationDate,
|
||||
aggregate.key.strike,
|
||||
aggregate.key.type,
|
||||
],
|
||||
null,
|
||||
);
|
||||
}
|
||||
});
|
||||
await calendarAggregatesDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
calendarAggregatesDb.put(
|
||||
[
|
||||
aggregate.key.symbol,
|
||||
aggregate.key.frontExpirationDate,
|
||||
aggregate.key.backExpirationDate,
|
||||
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, frontExpirationDate, backExpirationDate },
|
||||
}) => {
|
||||
const startOfLastHourUnix = new Date(
|
||||
`${frontExpirationDate}T00:00:00Z`,
|
||||
).valueOf();
|
||||
const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
|
||||
let minPrice = 0;
|
||||
for (const { value } of calendarAggregatesDb.getRange({
|
||||
start: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
startOfLastHourUnix,
|
||||
],
|
||||
end: [
|
||||
symbol,
|
||||
frontExpirationDate,
|
||||
backExpirationDate,
|
||||
strike,
|
||||
type,
|
||||
endOfLastHourUnix,
|
||||
],
|
||||
})) {
|
||||
if (value.close < minPrice || minPrice === 0) {
|
||||
minPrice = value.close;
|
||||
}
|
||||
}
|
||||
return minPrice;
|
||||
},
|
||||
getTargetPriceByProbability: async ({
|
||||
symbol,
|
||||
calendarSpan,
|
||||
strikePercentageFromTheMoney,
|
||||
historicalProbabilityOfSuccess,
|
||||
}) => {
|
||||
return 0.24;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...calendarDatabase,
|
||||
getCalendars: calendarDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();
|
||||
@@ -0,0 +1,85 @@
|
||||
import React, { useState, useEffect } from "react";
|
||||
import { render, Box, Text, useInput, useApp } from "ink";
|
||||
import TextInput from "ink-text-input";
|
||||
import type { BacktestInput } from "./backtest.js";
|
||||
import { backtest } from "./backtest.js";
|
||||
|
||||
const App = () => {
|
||||
const [step, setStep] = useState(0);
|
||||
const [input, setInput] = useState<Partial<BacktestInput>>({});
|
||||
const [result, setResult] = useState<string>("");
|
||||
const { exit } = useApp();
|
||||
|
||||
const steps = [
|
||||
{ prompt: "Enter symbol:", key: "symbol" },
|
||||
{ prompt: "Enter start date (YYYY-MM-DD):", key: "startDate" },
|
||||
{ prompt: "Enter end date (YYYY-MM-DD):", key: "endDate" },
|
||||
{
|
||||
prompt: "Enter historical probability of success (0-1, default 0.8):",
|
||||
key: "historicalProbabilityOfSuccess",
|
||||
},
|
||||
{
|
||||
prompt: "Enter initial buying power (default 2000):",
|
||||
key: "initialBuyingPower",
|
||||
},
|
||||
];
|
||||
|
||||
useInput((input, key) => {
|
||||
if (key.escape) {
|
||||
exit();
|
||||
}
|
||||
});
|
||||
|
||||
useEffect(() => {
|
||||
if (step === steps.length) {
|
||||
const runBacktest = async () => {
|
||||
try {
|
||||
const backtestResult = await backtest(input as BacktestInput);
|
||||
setResult(JSON.stringify(backtestResult, null, 2));
|
||||
} catch (error) {
|
||||
setResult(`Error: ${error.message}`);
|
||||
}
|
||||
};
|
||||
runBacktest();
|
||||
}
|
||||
}, [step, input]);
|
||||
|
||||
const handleSubmit = (value: string) => {
|
||||
const currentStep = steps[step];
|
||||
let parsedValue: string | number = value;
|
||||
|
||||
if (
|
||||
currentStep.key === "historicalProbabilityOfSuccess" ||
|
||||
currentStep.key === "initialBuyingPower"
|
||||
) {
|
||||
parsedValue = Number.parseFloat(value) || undefined;
|
||||
}
|
||||
|
||||
setInput({ ...input, [currentStep.key]: parsedValue });
|
||||
setStep(step + 1);
|
||||
};
|
||||
|
||||
if (step < steps.length) {
|
||||
return (
|
||||
<Box flexDirection="column">
|
||||
<Text>{steps[step].prompt}</Text>
|
||||
<TextInput
|
||||
value={(input[steps[step].key] as string) || ""}
|
||||
onChange={(value) =>
|
||||
setInput((prev) => ({ ...prev, [steps[step].key]: value }))
|
||||
}
|
||||
onSubmit={handleSubmit}
|
||||
/>
|
||||
</Box>
|
||||
);
|
||||
}
|
||||
|
||||
return (
|
||||
<Box flexDirection="column">
|
||||
<Text>Backtest Results:</Text>
|
||||
<Text>{result}</Text>
|
||||
</Box>
|
||||
);
|
||||
};
|
||||
|
||||
render(<App />);
|
||||
+76
-305
@@ -1,311 +1,82 @@
|
||||
import { publicProcedure, router } from "./trpc.js";
|
||||
import { publicProcedure, router, RpcType } from "./trpc.js";
|
||||
import { query } from "./lib/clickhouse.js";
|
||||
import { createHTTPHandler } from "@trpc/server/adapters/standalone";
|
||||
import cors from "cors";
|
||||
import {
|
||||
Object as ObjectT,
|
||||
String as StringT,
|
||||
type TSchema,
|
||||
Number as NumberT,
|
||||
Object as ObjectT,
|
||||
String as StringT,
|
||||
Number as NumberT,
|
||||
} from "@sinclair/typebox";
|
||||
import { TypeCompiler } from "@sinclair/typebox/compiler";
|
||||
import { TRPCError } from "@trpc/server";
|
||||
import { createServer } from "node:http";
|
||||
import { Env } from "@humanwhocodes/env";
|
||||
import StockPriceChart from "./StockPriceChart.js";
|
||||
import SimilarCalendarPriceChart from "./SimilarCalendarPriceChart.js";
|
||||
import CalendarExitPriceChart from "./CalendarExitPriceChart.js";
|
||||
import CalendarCharacteristicsForm from "./CalendarCharacteristicsForm.js";
|
||||
|
||||
const env = new Env();
|
||||
|
||||
const LISTEN_PORT = env.get("LISTEN_PORT", 3005);
|
||||
|
||||
/**
|
||||
* 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 ${path}`,
|
||||
code: "BAD_REQUEST",
|
||||
});
|
||||
};
|
||||
}
|
||||
export const getOpensForUnderlying = publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
})
|
||||
)
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying } = opts.input;
|
||||
return await query<{ x: number; y: number }>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as x,
|
||||
open as y
|
||||
FROM stock_aggregates
|
||||
WHERE symbol = '${underlying}'
|
||||
ORDER BY tsStart ASC
|
||||
`,
|
||||
"JSONEachRow"
|
||||
);
|
||||
});
|
||||
|
||||
export const getOpensForOptionContract = publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
expirationDate: StringT(),
|
||||
strike: NumberT(),
|
||||
})
|
||||
)
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, expirationDate, strike } = opts.input;
|
||||
return await query<{ x: number; y: number }>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as x,
|
||||
open as y
|
||||
FROM option_contract_aggregates
|
||||
WHERE symbol = '${underlying}'
|
||||
AND expirationDate = '${expirationDate}'
|
||||
AND strike = ${strike}
|
||||
AND type = 'call'
|
||||
ORDER BY tsStart ASC
|
||||
`,
|
||||
"JSONEachRow"
|
||||
);
|
||||
});
|
||||
|
||||
const appRouter = router({
|
||||
getAvailableUnderlyings: publicProcedure.query(async (opts) => {
|
||||
// return (
|
||||
// await query<{ symbol: string }>(`
|
||||
// SELECT DISTINCT(symbol) as symbol FROM option_contract_existences WHERE asOfDate = (SELECT max(asOfDate) FROM option_contract_existences)
|
||||
// `)
|
||||
// ).map(({ symbol }) => symbol);
|
||||
return ["AAPL", "AMD", "GOOGL", "MSFT", "NFLX"];
|
||||
}),
|
||||
getAvailableAsOfDates: publicProcedure
|
||||
.input(RpcType(ObjectT({ underlying: StringT() })))
|
||||
.query(async (opts) => {
|
||||
const underlying = opts.input.underlying;
|
||||
return (
|
||||
await query<{ asOfDate: string }>(`
|
||||
SELECT
|
||||
DISTINCT(asOfDate) as asOfDate
|
||||
FROM option_contract_existences
|
||||
WHERE symbol = '${underlying}'
|
||||
ORDER BY asOfDate
|
||||
`)
|
||||
).map(({ asOfDate }) => asOfDate);
|
||||
}),
|
||||
getExpirationsForUnderlying: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
asOfDate: StringT(),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, asOfDate } = opts.input;
|
||||
return (
|
||||
await query<{ expirationDate: string }>(`
|
||||
SELECT
|
||||
DISTINCT(expirationDate) as expirationDate
|
||||
FROM option_contract_existences
|
||||
WHERE symbol = '${underlying}'
|
||||
AND asOfDate = '${asOfDate}'
|
||||
ORDER BY expirationDate
|
||||
`)
|
||||
).map(({ expirationDate }) => expirationDate);
|
||||
}),
|
||||
getStrikesForUnderlying: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
asOfDate: StringT(),
|
||||
expirationDate: StringT(),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, asOfDate, expirationDate } = opts.input;
|
||||
return (
|
||||
await query<{ strike: string }>(`
|
||||
SELECT
|
||||
DISTINCT(strike) as strike
|
||||
FROM option_contract_existences
|
||||
WHERE symbol = '${underlying}'
|
||||
AND asOfDate = '${asOfDate}'
|
||||
AND expirationDate = '${expirationDate}'
|
||||
ORDER BY strike
|
||||
`)
|
||||
).map(({ strike }) => strike);
|
||||
}),
|
||||
getOpensForUnderlying: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying } = opts.input;
|
||||
return await query<{ x: number; y: number }>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as x,
|
||||
open as y
|
||||
FROM stock_aggregates
|
||||
WHERE symbol = '${underlying}'
|
||||
ORDER BY tsStart ASC
|
||||
`,
|
||||
"JSONEachRow",
|
||||
);
|
||||
}),
|
||||
getOpensForOptionContract: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
expirationDate: StringT(),
|
||||
strike: NumberT(),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, expirationDate, strike } = opts.input;
|
||||
return await query<{ x: number; y: number }>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as x,
|
||||
open as y
|
||||
FROM option_contract_aggregates
|
||||
WHERE symbol = '${underlying}'
|
||||
AND expirationDate = '${expirationDate}'
|
||||
AND strike = ${strike}
|
||||
AND type = 'call'
|
||||
ORDER BY tsStart ASC
|
||||
`,
|
||||
"JSONEachRow",
|
||||
);
|
||||
}),
|
||||
getHistoricalCalendarPrices: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
daysToFrontExpiration: NumberT(),
|
||||
daysBetweenFrontAndBackExpiration: NumberT(),
|
||||
strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
|
||||
strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const {
|
||||
underlying,
|
||||
daysToFrontExpiration,
|
||||
daysBetweenFrontAndBackExpiration,
|
||||
strikePercentageFromUnderlyingPriceRangeMin,
|
||||
strikePercentageFromUnderlyingPriceRangeMax,
|
||||
} = opts.input;
|
||||
return (
|
||||
await query<[number, number]>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as asOfTs,
|
||||
calendarPrice
|
||||
FROM calendar_histories
|
||||
WHERE symbol = '${underlying}'
|
||||
AND daysToFrontExpiration = ${daysToFrontExpiration}
|
||||
AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
|
||||
AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
|
||||
AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
|
||||
`,
|
||||
"JSONCompactEachRow",
|
||||
)
|
||||
).reduce(
|
||||
(columns, row) => {
|
||||
columns[0].push(row[0]);
|
||||
columns[1].push(row[1]);
|
||||
return columns;
|
||||
},
|
||||
[[], []],
|
||||
);
|
||||
}),
|
||||
getHistoricalStockQuoteChartData: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
lookbackPeriodStart: StringT(),
|
||||
lookbackPeriodEnd: StringT(),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const { underlying, lookbackPeriodStart, lookbackPeriodEnd } = opts.input;
|
||||
return await query<[number, number]>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as x,
|
||||
open as y
|
||||
FROM stock_aggregates
|
||||
WHERE symbol = '${underlying}'
|
||||
AND tsStart >= '${lookbackPeriodStart} 00:00:00'
|
||||
AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
|
||||
ORDER BY x ASC
|
||||
`,
|
||||
"JSONEachRow",
|
||||
);
|
||||
}),
|
||||
getHistoricalCalendarQuoteChartData: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
daysToFrontExpiration: NumberT(),
|
||||
daysBetweenFrontAndBackExpiration: NumberT(),
|
||||
strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
|
||||
strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
|
||||
lookbackPeriodStart: StringT(),
|
||||
lookbackPeriodEnd: StringT(),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const {
|
||||
underlying,
|
||||
daysToFrontExpiration,
|
||||
daysBetweenFrontAndBackExpiration,
|
||||
strikePercentageFromUnderlyingPriceRangeMin,
|
||||
strikePercentageFromUnderlyingPriceRangeMax,
|
||||
lookbackPeriodStart,
|
||||
lookbackPeriodEnd,
|
||||
} = opts.input;
|
||||
return await query<[number, number]>(
|
||||
`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as x,
|
||||
truncate(calendarPrice, 2) as y
|
||||
FROM calendar_histories
|
||||
WHERE symbol = '${underlying}'
|
||||
AND daysToFrontExpiration = ${daysToFrontExpiration}
|
||||
AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
|
||||
AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
|
||||
AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
|
||||
AND tsStart >= '${lookbackPeriodStart} 00:00:00'
|
||||
AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
|
||||
`,
|
||||
"JSONEachRow",
|
||||
);
|
||||
}),
|
||||
getHistoricalCalendarExitQuoteChartData: publicProcedure
|
||||
.input(
|
||||
RpcType(
|
||||
ObjectT({
|
||||
underlying: StringT({ maxLength: 5 }),
|
||||
daysToFrontExpiration: NumberT(),
|
||||
daysBetweenFrontAndBackExpiration: NumberT(),
|
||||
lookbackPeriodStart: StringT({
|
||||
pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}",
|
||||
}),
|
||||
lookbackPeriodEnd: StringT({ pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}" }),
|
||||
}),
|
||||
),
|
||||
)
|
||||
.query(async (opts) => {
|
||||
const {
|
||||
underlying,
|
||||
daysToFrontExpiration,
|
||||
daysBetweenFrontAndBackExpiration,
|
||||
lookbackPeriodStart,
|
||||
lookbackPeriodEnd,
|
||||
} = opts.input;
|
||||
return await query<[number, number, number]>(
|
||||
`
|
||||
SELECT
|
||||
FLOOR(strikePercentageFromUnderlyingPrice, 1) as x,
|
||||
FLOOR(calendarPrice, 1) as y,
|
||||
count(*) as n
|
||||
FROM calendar_histories
|
||||
WHERE symbol = '${underlying}'
|
||||
AND daysToFrontExpiration = ${daysToFrontExpiration}
|
||||
AND strikePercentageFromUnderlyingPrice >= -5.0
|
||||
AND strikePercentageFromUnderlyingPrice <= 5.0
|
||||
AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
|
||||
AND tsStart >= '${lookbackPeriodStart} 00:00:00'
|
||||
AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
|
||||
GROUP BY x, y
|
||||
ORDER BY x ASC, y ASC
|
||||
`,
|
||||
"JSONEachRow",
|
||||
);
|
||||
}),
|
||||
CalendarCharacteristicsForm,
|
||||
StockPriceChart,
|
||||
SimilarCalendarPriceChart,
|
||||
CalendarExitPriceChart,
|
||||
|
||||
getOpensForUnderlying,
|
||||
getOpensForOptionContract,
|
||||
});
|
||||
|
||||
// Export type router type signature,
|
||||
@@ -313,20 +84,20 @@ const appRouter = router({
|
||||
export type AppRouter = typeof appRouter;
|
||||
|
||||
const handler = createHTTPHandler({
|
||||
middleware: cors(),
|
||||
router: appRouter,
|
||||
createContext() {
|
||||
return {};
|
||||
},
|
||||
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);
|
||||
}
|
||||
if (req.url.startsWith("/healthz")) {
|
||||
res.statusCode = 200;
|
||||
res.end("OK");
|
||||
} else {
|
||||
handler(req, res);
|
||||
}
|
||||
});
|
||||
|
||||
server.listen(Number.parseInt(LISTEN_PORT));
|
||||
|
||||
@@ -1,25 +0,0 @@
|
||||
export type Candlestick = {
|
||||
open: number;
|
||||
close: number;
|
||||
high: number;
|
||||
low: number;
|
||||
};
|
||||
|
||||
export type Aggregate<T> = {
|
||||
key: T;
|
||||
/** UNIX time in milliseconds */
|
||||
tsStart: number;
|
||||
} & Candlestick;
|
||||
|
||||
export type AggregateDatabase<T> = {
|
||||
getKeys: ({
|
||||
key,
|
||||
date,
|
||||
}: { key?: T | Partial<T>; date?: string }) => Promise<Array<T>>;
|
||||
getAggregates: ({
|
||||
key,
|
||||
date,
|
||||
}: { key: T; date: string }) => Promise<Array<Omit<Aggregate<T>, "key">>>;
|
||||
insertAggregates: (aggregates: Array<Aggregate<T>>) => Promise<void>;
|
||||
getClosingPrice: ({ key }: { key: T }) => Promise<number>;
|
||||
};
|
||||
@@ -1,31 +1,38 @@
|
||||
import { createClient as createClickhouseClient } from "@clickhouse/client";
|
||||
import type { DataFormat } from "@clickhouse/client";
|
||||
import { Env } from "@humanwhocodes/env";
|
||||
import { retry } from "./utils/retry.js";
|
||||
|
||||
const env = new Env();
|
||||
|
||||
const { CLICKHOUSE_USER, CLICKHOUSE_PASS } = env.required;
|
||||
const CLICKHOUSE_HOST = env.get("CLICKHOUSE_HOST", "http://localhost:8123");
|
||||
const CLICKHOUSE_URL = env.get("CLICKHOUSE_URL", "http://localhost:8123");
|
||||
|
||||
export const clickhouse = createClickhouseClient({
|
||||
host: CLICKHOUSE_HOST,
|
||||
url: CLICKHOUSE_URL,
|
||||
username: CLICKHOUSE_USER,
|
||||
password: CLICKHOUSE_PASS,
|
||||
keep_alive: {
|
||||
enabled: true,
|
||||
// socket_ttl: 2500,
|
||||
},
|
||||
});
|
||||
|
||||
export async function query<T>(
|
||||
queryString: string,
|
||||
format: DataFormat = "JSONEachRow"
|
||||
): Promise<Array<T>> {
|
||||
return await (
|
||||
await clickhouse.query({
|
||||
query: queryString,
|
||||
format,
|
||||
clickhouse_settings: {
|
||||
output_format_json_quote_64bit_integers: 0,
|
||||
//output_format_json_quote_64bit_floats: false,
|
||||
//output_format_json_quote_64bit_decimals: false,
|
||||
},
|
||||
})
|
||||
).json();
|
||||
return await retry(
|
||||
async () => {
|
||||
const result = await clickhouse.query({
|
||||
query: queryString,
|
||||
format,
|
||||
clickhouse_settings: {
|
||||
output_format_json_quote_64bit_integers: 0,
|
||||
},
|
||||
});
|
||||
return await result.json();
|
||||
},
|
||||
{ maxRetries: 5 }
|
||||
);
|
||||
}
|
||||
|
||||
@@ -0,0 +1,6 @@
|
||||
export function nextDate(date: string) {
|
||||
const [year, month, day] = date.split('-').map(Number);
|
||||
const nextDay = new Date(Date.UTC(year, month - 1, day + 1));
|
||||
const nextDateString = nextDay.toISOString().substring(0, 10);
|
||||
return nextDateString;
|
||||
}
|
||||
@@ -0,0 +1,61 @@
|
||||
type RetryDecision = {
|
||||
shouldRetry: boolean;
|
||||
maxRetries?: number;
|
||||
delay?: number;
|
||||
};
|
||||
|
||||
type RetryOptions = {
|
||||
maxRetries?: number;
|
||||
delay?: number;
|
||||
shouldRetry?: (error: unknown) => RetryDecision;
|
||||
};
|
||||
|
||||
export async function retry<T>(
|
||||
fn: () => Promise<T>,
|
||||
options: RetryOptions = {},
|
||||
): Promise<T> {
|
||||
const {
|
||||
maxRetries: defaultMaxRetries = 3,
|
||||
delay: defaultDelay = 1000,
|
||||
shouldRetry = retryOnAnyError,
|
||||
} = options;
|
||||
|
||||
let attempt = 1;
|
||||
while (true) {
|
||||
try {
|
||||
return await fn();
|
||||
} catch (error) {
|
||||
const decision = shouldRetry(error);
|
||||
if (!decision.shouldRetry) throw error;
|
||||
|
||||
const currentMaxRetries = decision.maxRetries ?? defaultMaxRetries;
|
||||
const currentDelay = decision.delay ?? defaultDelay;
|
||||
|
||||
if (attempt >= currentMaxRetries) throw error;
|
||||
|
||||
console.warn(
|
||||
`Error occurred, retrying (attempt ${attempt}/${currentMaxRetries})...`,
|
||||
);
|
||||
console.error(error);
|
||||
await new Promise((resolve) => setTimeout(resolve, currentDelay));
|
||||
attempt++;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
export const retryOnAnyError = (): RetryDecision => ({ shouldRetry: true });
|
||||
export const retryOnTimeout = (error: unknown): RetryDecision =>
|
||||
error instanceof Error && error.message.includes("timeout")
|
||||
? { shouldRetry: true, maxRetries: 5, delay: 2000 }
|
||||
: { shouldRetry: false };
|
||||
export const retryOnErrorType =
|
||||
(errorType: new () => Error, options?: Partial<RetryDecision>) =>
|
||||
(error: unknown) =>
|
||||
error instanceof errorType
|
||||
? { shouldRetry: true, ...options }
|
||||
: { shouldRetry: false };
|
||||
export const retryOnErrorSubstring =
|
||||
(substring: string, options?: Partial<RetryDecision>) => (error: unknown) =>
|
||||
error instanceof Error && error.message.includes(substring)
|
||||
? { shouldRetry: true, ...options }
|
||||
: { shouldRetry: false };
|
||||
@@ -1,51 +1,77 @@
|
||||
import type { AggregateDatabase } from "../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";
|
||||
import { optionContractDatabase as optionContractDatabaseLmdbx } from "../optiondb.lmdbx.js";
|
||||
|
||||
function nextDate(date: string) {
|
||||
const dateObject = new Date(date);
|
||||
dateObject.setDate(dateObject.getDate() + 1);
|
||||
return dateObject.toISOString().substring(0, 10);
|
||||
}
|
||||
import type { AggregateDatabase } from "../AggregateDatabase/interfaces.js";
|
||||
import { database as stockDatabaseClickhouse } from "../AggregateDatabase/Stock/clickhouse.js";
|
||||
import { database as stockDatabaseLmdbx } from "../AggregateDatabase/Stock/lmdbx.js";
|
||||
// import { optionContractDatabase as optionContractDatabaseClickhouse } from "../optiondb.clickhouse.js";
|
||||
// import { optionContractDatabase as optionContractDatabaseLmdbx } from "../optiondb.lmdbx.js";
|
||||
import { nextDate } from "../lib/utils/nextDate.js";
|
||||
import { retry, retryOnTimeout } from "../lib/utils/retry.js";
|
||||
import type { OptionContractKey } from "../AggregateDatabase/OptionContract/interfaces.js";
|
||||
import type { StockKey } from "../AggregateDatabase/Stock/interfaces.js";
|
||||
|
||||
async function syncAggregates<T>({
|
||||
from,
|
||||
to,
|
||||
fromDatabase,
|
||||
toDatabase,
|
||||
key,
|
||||
date,
|
||||
}: {
|
||||
from: AggregateDatabase<T>;
|
||||
to: AggregateDatabase<T>;
|
||||
fromDatabase: AggregateDatabase<T>;
|
||||
toDatabase: AggregateDatabase<T>;
|
||||
key: T;
|
||||
date: string;
|
||||
}) {
|
||||
const aggregatesFrom = (await from.getAggregates({ key, date })).map(
|
||||
(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key }),
|
||||
const aggregatesFrom = (await fromDatabase.getAggregates({ key, date })).map(
|
||||
(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key })
|
||||
);
|
||||
await to.insertAggregates(aggregatesFrom);
|
||||
await toDatabase.insertAggregates(aggregatesFrom);
|
||||
}
|
||||
|
||||
const symbols = ["AMD", "AAPL", "MSFT", "GOOGL", "NFLX", "NVDA"];
|
||||
async function run() {
|
||||
const startDate = "2022-02-01";
|
||||
const endDate = "2024-07-15";
|
||||
async function run<T extends StockKey | OptionContractKey>({
|
||||
fromDatabase,
|
||||
toDatabase,
|
||||
}: {
|
||||
fromDatabase: AggregateDatabase<T>;
|
||||
toDatabase: AggregateDatabase<T>;
|
||||
}) {
|
||||
const startDate = process.argv[2];
|
||||
const endDate = process.argv[3];
|
||||
|
||||
if (!startDate || !endDate) {
|
||||
console.error("Usage: node clickhouse-to-lmdbx.js <startDate> <endDate>");
|
||||
console.error("Dates should be in YYYY-MM-DD format");
|
||||
process.exit(1);
|
||||
}
|
||||
for (let date = startDate; date <= endDate; date = nextDate(date)) {
|
||||
// const symbols = await stockDatabaseClickhouse.getSymbols({ date });
|
||||
for (const symbol of symbols) {
|
||||
console.log(date, symbol);
|
||||
const keys = await optionContractDatabaseClickhouse.getKeys({key: {symbol}, date});
|
||||
for(const key of keys){
|
||||
await syncAggregates({
|
||||
from: optionContractDatabaseClickhouse,
|
||||
to: optionContractDatabaseLmdbx,
|
||||
key,
|
||||
date,
|
||||
});
|
||||
}
|
||||
const keys = await retry(
|
||||
() =>
|
||||
fromDatabase.getKeys({
|
||||
key: { symbol } as T,
|
||||
date,
|
||||
}),
|
||||
{ shouldRetry: retryOnTimeout }
|
||||
);
|
||||
|
||||
for (const key of keys) {
|
||||
// console.log(date, symbol, key.expirationDate, key.strike, key.type);
|
||||
await retry(
|
||||
() =>
|
||||
syncAggregates({
|
||||
fromDatabase,
|
||||
toDatabase,
|
||||
key,
|
||||
date,
|
||||
}),
|
||||
{ shouldRetry: retryOnTimeout }
|
||||
);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
await run();
|
||||
await run({
|
||||
fromDatabase: stockDatabaseClickhouse,
|
||||
toDatabase: stockDatabaseLmdbx,
|
||||
});
|
||||
|
||||
@@ -1,59 +0,0 @@
|
||||
import type { StockDatabase, StockKey } from "./stockdb.interfaces.js";
|
||||
import type { Aggregate } from "./interfaces.js";
|
||||
import { clickhouse, query } from "./lib/clickhouse.js";
|
||||
|
||||
function makeStockDatabase(): StockDatabase {
|
||||
const stockDatabase: Omit<StockDatabase, "getSymbols"> = {
|
||||
getKeys: async ({ date }) => {
|
||||
return (
|
||||
await query(`
|
||||
SELECT DISTINCT symbol FROM stock_aggregates WHERE toDate(tsStart) = '${date}'
|
||||
`)
|
||||
).map(({ symbol }) => symbol);
|
||||
},
|
||||
getAggregates: async ({ key: symbol, date }) => {
|
||||
return (
|
||||
await query<Omit<Aggregate<StockKey>, "key">>(`
|
||||
SELECT
|
||||
toUnixTimestamp(tsStart) as tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low
|
||||
FROM stock_aggregates
|
||||
WHERE symbol = '${symbol}'
|
||||
AND toDate(tsStart) = '${date}'
|
||||
ORDER BY tsStart ASC
|
||||
`)
|
||||
).map((aggregate) => ({
|
||||
...aggregate,
|
||||
tsStart: aggregate.tsStart * 1000, // unfortunately, `toUnixTimestamp` only returns second-precision
|
||||
}));
|
||||
},
|
||||
insertAggregates: async (aggregates) => {
|
||||
// stock existence is taken care of by clickhouse materialized view
|
||||
await clickhouse.insert({
|
||||
table: "stock_aggregates",
|
||||
values: aggregates.map(({ key, tsStart, open, close, high, low }) => ({
|
||||
symbol: key,
|
||||
tsStart,
|
||||
open,
|
||||
close,
|
||||
high,
|
||||
low,
|
||||
})),
|
||||
});
|
||||
},
|
||||
getClosingPrice: async ({ key }) => {
|
||||
// no-op: not used since stocks don't have a "closing" price, unlike options.
|
||||
return 0;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...stockDatabase,
|
||||
getSymbols: stockDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const stockDatabase: StockDatabase = makeStockDatabase();
|
||||
@@ -1,7 +0,0 @@
|
||||
import type { AggregateDatabase } from "./interfaces.js";
|
||||
|
||||
export type StockKey = string;
|
||||
|
||||
export type StockDatabase = AggregateDatabase<StockKey> & {
|
||||
getSymbols: AggregateDatabase<StockKey>["getKeys"];
|
||||
};
|
||||
@@ -1,80 +0,0 @@
|
||||
import type { StockDatabase } from "./stockdb.interfaces.js";
|
||||
import { open } from "lmdbx";
|
||||
|
||||
const stockAggregatesDb = open({
|
||||
path: "/tmp/stock-aggregates.db",
|
||||
// any options go here, we can turn on compression like this:
|
||||
compression: true,
|
||||
});
|
||||
|
||||
const stockExistenceDb = open({
|
||||
path: "/tmp/stock-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 makeStockDatabase(): StockDatabase {
|
||||
const stockDatabase: Omit<StockDatabase, "getSymbols"> = {
|
||||
getKeys: async ({ date }) => {
|
||||
return stockExistenceDb
|
||||
.getRange({
|
||||
start: [date],
|
||||
end: [date, MAXIMUM_KEY],
|
||||
})
|
||||
.map(({ key }) => key[1]).asArray;
|
||||
},
|
||||
getAggregates: async ({ key: symbol, date }) => {
|
||||
const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
|
||||
const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
|
||||
return stockAggregatesDb
|
||||
.getRange({
|
||||
start: [symbol, startOfDayUnix],
|
||||
end: [symbol, endOfDayUnix],
|
||||
})
|
||||
.map(({ key, value }) => ({
|
||||
tsStart: key[1],
|
||||
open: value.open,
|
||||
close: value.close,
|
||||
high: value.high,
|
||||
low: value.low,
|
||||
})).asArray;
|
||||
},
|
||||
insertAggregates: async (aggregates) => {
|
||||
await stockExistenceDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
stockExistenceDb.put(
|
||||
[
|
||||
new Date(aggregate.tsStart).toISOString().substring(0, 10),
|
||||
aggregate.key,
|
||||
],
|
||||
null,
|
||||
);
|
||||
}
|
||||
});
|
||||
await stockAggregatesDb.batch(() => {
|
||||
for (const aggregate of aggregates) {
|
||||
stockAggregatesDb.put([aggregate.key, aggregate.tsStart], {
|
||||
open: aggregate.open,
|
||||
close: aggregate.close,
|
||||
high: aggregate.high,
|
||||
low: aggregate.low,
|
||||
});
|
||||
}
|
||||
});
|
||||
},
|
||||
getClosingPrice: async ({ key }) => {
|
||||
// no-op: not used since stocks don't have a "closing" price, unlike options.
|
||||
return 0;
|
||||
},
|
||||
};
|
||||
|
||||
return {
|
||||
...stockDatabase,
|
||||
getSymbols: stockDatabase.getKeys,
|
||||
};
|
||||
}
|
||||
|
||||
export const stockDatabase: StockDatabase = makeStockDatabase();
|
||||
+25
-4
@@ -1,14 +1,35 @@
|
||||
import { initTRPC } from '@trpc/server';
|
||||
|
||||
import { initTRPC } from "@trpc/server";
|
||||
import { TypeCompiler } from "@sinclair/typebox/compiler";
|
||||
import { TRPCError } from "@trpc/server";
|
||||
import type { TSchema } from "@sinclair/typebox";
|
||||
|
||||
/**
|
||||
* 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;
|
||||
export const publicProcedure = t.procedure;
|
||||
|
||||
/**
|
||||
* 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",
|
||||
});
|
||||
};
|
||||
}
|
||||
|
||||
+11
-10
@@ -1,12 +1,13 @@
|
||||
{
|
||||
"compilerOptions": {
|
||||
"target": "ES2020",
|
||||
"module": "ESNext",
|
||||
"moduleResolution": "bundler",
|
||||
"noEmit": true,
|
||||
"allowJs": true,
|
||||
"checkJs": true,
|
||||
"lib": ["es2022"]
|
||||
},
|
||||
"include": ["**/*"]
|
||||
"compilerOptions": {
|
||||
"jsx": "react",
|
||||
"target": "ES2020",
|
||||
"module": "ESNext",
|
||||
"moduleResolution": "bundler",
|
||||
"noEmit": true,
|
||||
"allowJs": true,
|
||||
"checkJs": false,
|
||||
"lib": ["es2022"]
|
||||
},
|
||||
"include": ["src/**/*"]
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user