use lmdbx for stockdb in backtest, and limit to calendars within 5% of the money

fix: the "optiondb-lmdbx" calendardb was returning too many possible strike-front-back permutations due to faulty programming
fix: getClosingPrice() for two calendardb modules
2024-08-11 17:39:34 -04:00 · 2024-08-11 17:38:04 -04:00 · 2024-08-11 17:36:31 -04:00 · 2024-08-11 17:35:00 -04:00 · 2024-08-11 17:33:31 -04:00 · 2024-08-11 17:30:45 -04:00
9 changed files with 548 additions and 175 deletions
@@ -1,2 +1,4 @@
 .pnpm-store
 node_modules
+.aider*
+.env
@@ -1 +1,2 @@
 nodejs 20.15.1
+python 3.12.4
@@ -28,6 +28,7 @@
 		"@types/node": "^20.10.7",
 		"esbuild": "^0.19.11",
 		"npm-run-all": "^4.1.5",
+		"tsx": "^4.17.0",
 		"typescript": "^5.3.3"
 	}
 }
@@ -63,6 +63,9 @@ importers:
      npm-run-all:
        specifier: ^4.1.5
        version: 4.1.5
+      tsx:
+        specifier: ^4.17.0
+        version: 4.17.0
      typescript:
        specifier: ^5.3.3
        version: 5.3.3
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    cpu: [arm64]
    os: [android]

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    os: [android]

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    cpu: [x64]
    os: [win32]

+  '@esbuild/win32-x64@0.23.0':
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@@ -462,6 +609,11 @@ packages:
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    hasBin: true

+  esbuild@0.23.0:
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+
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+
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    engines: {node: '>= 0.4'}

+  get-tsconfig@4.7.6:
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+
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    engines: {node: '>= 0.4'}

+  resolve-pkg-maps@1.0.0:
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+
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    engines: {node: '>=10'}

+  tsx@4.17.0:
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+    engines: {node: '>=18.0.0'}
+    hasBin: true
+
  tunnel-agent@0.6.0:
    resolution: {integrity: sha512-McnNiV1l8RYeY8tBgEpuodCC1mLUdbSN+CYBL7kJsJNInOP8UjDDEwdk6Mw60vdLLrr5NHKZhMAOSrR2NZuQ+w==}

@@ -1252,72 +1420,144 @@ snapshots:
  '@esbuild/aix-ppc64@0.19.11':
    optional: true

+  '@esbuild/aix-ppc64@0.23.0':
+    optional: true
+
  '@esbuild/android-arm64@0.19.11':
    optional: true

+  '@esbuild/android-arm64@0.23.0':
+    optional: true
+
  '@esbuild/android-arm@0.19.11':
    optional: true

+  '@esbuild/android-arm@0.23.0':
+    optional: true
+
  '@esbuild/android-x64@0.19.11':
    optional: true

+  '@esbuild/android-x64@0.23.0':
+    optional: true
+
  '@esbuild/darwin-arm64@0.19.11':
    optional: true

+  '@esbuild/darwin-arm64@0.23.0':
+    optional: true
+
  '@esbuild/darwin-x64@0.19.11':
    optional: true

+  '@esbuild/darwin-x64@0.23.0':
+    optional: true
+
  '@esbuild/freebsd-arm64@0.19.11':
    optional: true

+  '@esbuild/freebsd-arm64@0.23.0':
+    optional: true
+
  '@esbuild/freebsd-x64@0.19.11':
    optional: true

+  '@esbuild/freebsd-x64@0.23.0':
+    optional: true
+
  '@esbuild/linux-arm64@0.19.11':
    optional: true

+  '@esbuild/linux-arm64@0.23.0':
+    optional: true
+
  '@esbuild/linux-arm@0.19.11':
    optional: true

+  '@esbuild/linux-arm@0.23.0':
+    optional: true
+
  '@esbuild/linux-ia32@0.19.11':
    optional: true

+  '@esbuild/linux-ia32@0.23.0':
+    optional: true
+
  '@esbuild/linux-loong64@0.19.11':
    optional: true

+  '@esbuild/linux-loong64@0.23.0':
+    optional: true
+
  '@esbuild/linux-mips64el@0.19.11':
    optional: true

+  '@esbuild/linux-mips64el@0.23.0':
+    optional: true
+
  '@esbuild/linux-ppc64@0.19.11':
    optional: true

+  '@esbuild/linux-ppc64@0.23.0':
+    optional: true
+
  '@esbuild/linux-riscv64@0.19.11':
    optional: true

+  '@esbuild/linux-riscv64@0.23.0':
+    optional: true
+
  '@esbuild/linux-s390x@0.19.11':
    optional: true

+  '@esbuild/linux-s390x@0.23.0':
+    optional: true
+
  '@esbuild/linux-x64@0.19.11':
    optional: true

+  '@esbuild/linux-x64@0.23.0':
+    optional: true
+
  '@esbuild/netbsd-x64@0.19.11':
    optional: true

+  '@esbuild/netbsd-x64@0.23.0':
+    optional: true
+
+  '@esbuild/openbsd-arm64@0.23.0':
+    optional: true
+
  '@esbuild/openbsd-x64@0.19.11':
    optional: true

+  '@esbuild/openbsd-x64@0.23.0':
+    optional: true
+
  '@esbuild/sunos-x64@0.19.11':
    optional: true

+  '@esbuild/sunos-x64@0.23.0':
+    optional: true
+
  '@esbuild/win32-arm64@0.19.11':
    optional: true

+  '@esbuild/win32-arm64@0.23.0':
+    optional: true
+
  '@esbuild/win32-ia32@0.19.11':
    optional: true

+  '@esbuild/win32-ia32@0.23.0':
+    optional: true
+
  '@esbuild/win32-x64@0.19.11':
    optional: true

+  '@esbuild/win32-x64@0.23.0':
+    optional: true
+
  '@gar/promisify@1.1.3':
    optional: true

@@ -1658,6 +1898,33 @@ snapshots:
      '@esbuild/win32-ia32': 0.19.11
      '@esbuild/win32-x64': 0.19.11

+  esbuild@0.23.0:
+    optionalDependencies:
+      '@esbuild/aix-ppc64': 0.23.0
+      '@esbuild/android-arm': 0.23.0
+      '@esbuild/android-arm64': 0.23.0
+      '@esbuild/android-x64': 0.23.0
+      '@esbuild/darwin-arm64': 0.23.0
+      '@esbuild/darwin-x64': 0.23.0
+      '@esbuild/freebsd-arm64': 0.23.0
+      '@esbuild/freebsd-x64': 0.23.0
+      '@esbuild/linux-arm': 0.23.0
+      '@esbuild/linux-arm64': 0.23.0
+      '@esbuild/linux-ia32': 0.23.0
+      '@esbuild/linux-loong64': 0.23.0
+      '@esbuild/linux-mips64el': 0.23.0
+      '@esbuild/linux-ppc64': 0.23.0
+      '@esbuild/linux-riscv64': 0.23.0
+      '@esbuild/linux-s390x': 0.23.0
+      '@esbuild/linux-x64': 0.23.0
+      '@esbuild/netbsd-x64': 0.23.0
+      '@esbuild/openbsd-arm64': 0.23.0
+      '@esbuild/openbsd-x64': 0.23.0
+      '@esbuild/sunos-x64': 0.23.0
+      '@esbuild/win32-arm64': 0.23.0
+      '@esbuild/win32-ia32': 0.23.0
+      '@esbuild/win32-x64': 0.23.0
+
  escape-string-regexp@1.0.5: {}

  eventemitter3@5.0.1: {}
@@ -1698,6 +1965,9 @@ snapshots:
  fs.realpath@1.0.0:
    optional: true

+  fsevents@2.3.3:
+    optional: true
+
  function-bind@1.1.2: {}

  function.prototype.name@1.1.6:
@@ -1738,6 +2008,10 @@ snapshots:
      call-bind: 1.0.5
      get-intrinsic: 1.2.2

+  get-tsconfig@4.7.6:
+    dependencies:
+      resolve-pkg-maps: 1.0.0
+
  github-from-package@0.0.0: {}

  glob@7.2.3:
@@ -2256,6 +2530,8 @@ snapshots:
      define-properties: 1.2.1
      set-function-name: 2.0.1

+  resolve-pkg-maps@1.0.0: {}
+
  resolve@1.22.8:
    dependencies:
      is-core-module: 2.13.1
@@ -2473,6 +2749,13 @@ snapshots:
      mkdirp: 1.0.4
      yallist: 4.0.0

+  tsx@4.17.0:
+    dependencies:
+      esbuild: 0.23.0
+      get-tsconfig: 4.7.6
+    optionalDependencies:
+      fsevents: 2.3.3
+
  tunnel-agent@0.6.0:
    dependencies:
      safe-buffer: 5.2.1
@@ -1,7 +1,6 @@
-import { stockDatabase } from "./stockdb/clickhouse.js";
+import { stockDatabase } from "./stockdb/lmdbx.js";
 import { calendarDatabase } from "./calendardb/optiondb-lmdbx.js";
 import type { CalendarKey } from "./calendardb/interfaces.js";
-import type { Aggregate } from "./interfaces.js";
 import { nextDate } from "./lib/utils/nextDate.js";

 type BacktestInput = {
@@ -38,49 +37,51 @@ export async function backtest({
    // 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%)
-      console.log("Current Date:", 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) < 0.1,
+          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,
+          (stockAggregate.open - calendar.strike) / stockAggregate.open
        );
-        /** In days. */
-        const calendarSpan =
+        /** 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,
+            calendarSpan: calendarSpanInDays,
            strikePercentageFromTheMoney,
            historicalProbabilityOfSuccess,
          });
-        const calendarAggregates = calendarDatabase.getAggregatesSync({
+        const calendarAggregateAtCurrentTime =
+          await calendarDatabase.getAggregate({
          key: {
            ...calendar,
          },
-          date,
+            tsStart: stockAggregate.tsStart,
          });
-        // console.log(
-        //   "Calendar Aggregates:",
-        //   calendar,
-        //   calendarAggregates.length,
-        // );
-        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,
+            calendarAggregateAtCurrentTime.close
          );
          if (
            minCalendarPriceInCandlestick < targetCalendarPrice &&
@@ -99,7 +100,7 @@ export async function backtest({
                minCalendarPriceInCandlestick * 100,
                "...$",
                buyingPower,
-                "left",
+                "left"
              );
              didBuyCalendar = true;
            }
@@ -131,7 +132,7 @@ export async function backtest({
          calendarClosingPrice,
          "...$",
          buyingPower,
-          "left",
+          "left"
        );
      }
    }
@@ -3,13 +3,11 @@ import { open } from "lmdbx";

 const calendarAggregatesDb = open({
  path: "./calendar-aggregates.db",
-	// any options go here, we can turn on compression like this:
  compression: true,
 });

 const calendarExistenceDb = open({
  path: "./calendar-existence.db",
-	// any options go here, we can turn on compression like this:
  compression: true,
 });

@@ -65,6 +63,19 @@ function makeCalendarDatabase(): CalendarDatabase {
          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) {
@@ -77,7 +88,7 @@ function makeCalendarDatabase(): CalendarDatabase {
              aggregate.key.strike,
              aggregate.key.type,
            ],
-						null,
+            null
          );
        }
      });
@@ -97,7 +108,7 @@ function makeCalendarDatabase(): CalendarDatabase {
              close: aggregate.close,
              high: aggregate.high,
              low: aggregate.low,
-						},
+            }
          );
        }
      });
@@ -105,11 +116,12 @@ function makeCalendarDatabase(): CalendarDatabase {
    getClosingPrice: async ({
      key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
    }) => {
-			const startOfLastHourUnix = new Date(
-				`${frontExpirationDate}T00:00:00Z`,
+      const startOfExpirationDateUnix = new Date(
+        `${frontExpirationDate}T23:59:59Z`
+      ).valueOf();
+      const endOfExpirationDateUnix = new Date(
+        `${frontExpirationDate}T00:00:00Z`
      ).valueOf();
-			const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
-			let minPrice = 0;
      for (const { value } of calendarAggregatesDb.getRange({
        start: [
          symbol,
@@ -117,7 +129,7 @@ function makeCalendarDatabase(): CalendarDatabase {
          backExpirationDate,
          strike,
          type,
-					startOfLastHourUnix,
+          startOfExpirationDateUnix,
        ],
        end: [
          symbol,
@@ -125,14 +137,15 @@ function makeCalendarDatabase(): CalendarDatabase {
          backExpirationDate,
          strike,
          type,
-					endOfLastHourUnix,
+          endOfExpirationDateUnix,
        ],
+        reverse: true,
      })) {
-				if (value.close < minPrice || minPrice === 0) {
-					minPrice = value.close;
+        if (value.close > 0) {
+          return value.close;
        }
      }
-			return minPrice;
+      return 0;
    },
    getTargetPriceByProbability: async ({
      symbol,
@@ -68,14 +68,22 @@ function makeCalendarDatabase(): CalendarDatabase {
      return optionContracts.flatMap(
        (frontOptionContract, i, optionContracts) =>
          optionContracts
-            .filter((_, j) => i !== j)
+            .filter(
+              (potientialBackOptionContract) =>
+                frontOptionContract.strike ===
+                  potientialBackOptionContract.strike &&
+                frontOptionContract.type ===
+                  potientialBackOptionContract.type &&
+                frontOptionContract.expirationDate <
+                  potientialBackOptionContract.expirationDate
+            )
            .map((backOptionContract) => ({
              symbol,
              frontExpirationDate: frontOptionContract.expirationDate,
              backExpirationDate: backOptionContract.expirationDate,
              strike: frontOptionContract.strike,
              type: frontOptionContract.type,
-            })),
+            }))
      );
    },
    getAggregates: async ({
@@ -93,9 +101,10 @@ function makeCalendarDatabase(): CalendarDatabase {
    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}T00:00:00Z`,
-      ).valueOf();
+        `${frontExpirationDate}T19:30:00Z`
+      ).getTime();
      const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
      const frontOptionContractAggregates = (
        await optionContractDatabase.getAggregates({
@@ -104,7 +113,7 @@ function makeCalendarDatabase(): CalendarDatabase {
        })
      ).filter(
        ({ tsStart }) =>
-          tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix,
+          tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix
      );
      const backOptionContractAggregates = (
        await optionContractDatabase.getAggregates({
@@ -113,7 +122,7 @@ function makeCalendarDatabase(): CalendarDatabase {
        })
      ).filter(
        ({ tsStart }) =>
-          tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix,
+          tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix
      );
      let i = 0;
      let j = 0;
@@ -128,7 +137,7 @@ function makeCalendarDatabase(): CalendarDatabase {
        ) {
          const calendarClosePrice =
            backOptionContractAggregates[j].close -
-            frontOptionContractAggregates[j].close;
+            frontOptionContractAggregates[i].close;
          if (calendarClosePrice < minPrice || minPrice === 0) {
            minPrice = calendarClosePrice;
          }
@@ -145,6 +154,40 @@ function makeCalendarDatabase(): CalendarDatabase {
      }
      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,
@@ -15,15 +15,32 @@ export type AggregateDatabase<T> = {
  getKeys: ({
    key,
    date,
-  }: { key?: T | Partial<T>; date?: string }) => Promise<Array<T>>;
+  }: {
+    key?: T | Partial<T>;
+    date?: string;
+  }) => Promise<Array<T>>;
  getAggregates: ({
    key,
    date,
-  }: { key: T; date: string }) => Promise<Array<Omit<Aggregate<T>, "key">>>;
+  }: {
+    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">>;
+  }: {
+    key: T;
+    date: string;
+  }) => Array<Omit<Aggregate<T>, "key">>;
  insertAggregates: (aggregates: Array<Aggregate<T>>) => Promise<void>;
  getClosingPrice: ({ key }: { key: T }) => Promise<number>;
 };
@@ -28,8 +28,8 @@ function makeOptionContractDatabase(): OptionContractDatabase {
        start: [symbol, expirationDate, strike, type, startOfDayUnix],
        end: [symbol, expirationDate, strike, type, endOfDayUnix],
      })
-      .map(({ value }) => ({
-        tsStart: value.tsStart,
+      .map(({ key, value }) => ({
+        tsStart: key[4],
        open: value.open,
        close: value.close,
        high: value.high,
@@ -73,7 +73,7 @@ function makeOptionContractDatabase(): OptionContractDatabase {
              aggregate.key.strike,
              aggregate.key.type,
            ],
-            null,
+            null
          );
        }
      });
@@ -92,7 +92,7 @@ function makeOptionContractDatabase(): OptionContractDatabase {
              close: aggregate.close,
              high: aggregate.high,
              low: aggregate.low,
-            },
+            }
          );
        }
      });
@@ -101,7 +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;
@@ -115,6 +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 {
Author	SHA1	Message	Date
avraham	15a5d7c67b	use lmdbx for stockdb in backtest, and limit to calendars within 5% of the money	2024-08-11 17:39:34 -04:00
avraham	fe1265810d	fix: the "optiondb-lmdbx" calendardb was returning too many possible strike-front-back permutations due to faulty programming	2024-08-11 17:38:04 -04:00
avraham	8d908521fd	fix: `getClosingPrice()` for two calendardb modules	2024-08-11 17:36:31 -04:00
avraham	5b3e9f85f6	fix: lmdbx optiondb `getAggregateSync()` returned `tsStart = undefined`	2024-08-11 17:35:00 -04:00
avraham	666ff16583	add `getAggregate` method	2024-08-11 17:33:31 -04:00
avraham	35b3278d08	add `aider`	2024-08-11 17:30:45 -04:00
avraham	704d59a363	use `tsx` to run	2024-08-11 17:29:08 -04:00