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

.gitignore

@@ -1,2 +1,4 @@
 .pnpm-store
 node_modules
+.aider*
+.env

.tool-versions

@@ -1 +1,2 @@
 nodejs 20.15.1
+python 3.12.4

server/package.json

@@ -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"
 	}
 }

server/pnpm-lock.yaml

@@ -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
@@ -82,138 +85,282 @@ packages:
     cpu: [ppc64]
     os: [aix]
 
+  '@esbuild/aix-ppc64@0.23.0':
+    resolution: {integrity: sha512-3sG8Zwa5fMcA9bgqB8AfWPQ+HFke6uD3h1s3RIwUNK8EG7a4buxvuFTs3j1IMs2NXAk9F30C/FF4vxRgQCcmoQ==}
+    engines: {node: '>=18'}
+    cpu: [ppc64]
+    os: [aix]
+
   '@esbuild/android-arm64@0.19.11':
     resolution: {integrity: sha512-aiu7K/5JnLj//KOnOfEZ0D90obUkRzDMyqd/wNAUQ34m4YUPVhRZpnqKV9uqDGxT7cToSDnIHsGooyIczu9T+Q==}
     engines: {node: '>=12'}
     cpu: [arm64]
     os: [android]
 
+  '@esbuild/android-arm64@0.23.0':
+    resolution: {integrity: sha512-EuHFUYkAVfU4qBdyivULuu03FhJO4IJN9PGuABGrFy4vUuzk91P2d+npxHcFdpUnfYKy0PuV+n6bKIpHOB3prQ==}
+    engines: {node: '>=18'}
+    cpu: [arm64]
+    os: [android]
+
   '@esbuild/android-arm@0.19.11':
     resolution: {integrity: sha512-5OVapq0ClabvKvQ58Bws8+wkLCV+Rxg7tUVbo9xu034Nm536QTII4YzhaFriQ7rMrorfnFKUsArD2lqKbFY4vw==}
     engines: {node: '>=12'}
     cpu: [arm]
     os: [android]
 
+  '@esbuild/android-arm@0.23.0':
+    resolution: {integrity: sha512-+KuOHTKKyIKgEEqKbGTK8W7mPp+hKinbMBeEnNzjJGyFcWsfrXjSTNluJHCY1RqhxFurdD8uNXQDei7qDlR6+g==}
+    engines: {node: '>=18'}
+    cpu: [arm]
+    os: [android]
+
   '@esbuild/android-x64@0.19.11':
     resolution: {integrity: sha512-eccxjlfGw43WYoY9QgB82SgGgDbibcqyDTlk3l3C0jOVHKxrjdc9CTwDUQd0vkvYg5um0OH+GpxYvp39r+IPOg==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [android]
 
+  '@esbuild/android-x64@0.23.0':
+    resolution: {integrity: sha512-WRrmKidLoKDl56LsbBMhzTTBxrsVwTKdNbKDalbEZr0tcsBgCLbEtoNthOW6PX942YiYq8HzEnb4yWQMLQuipQ==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [android]
+
   '@esbuild/darwin-arm64@0.19.11':
     resolution: {integrity: sha512-ETp87DRWuSt9KdDVkqSoKoLFHYTrkyz2+65fj9nfXsaV3bMhTCjtQfw3y+um88vGRKRiF7erPrh/ZuIdLUIVxQ==}
     engines: {node: '>=12'}
     cpu: [arm64]
     os: [darwin]
 
+  '@esbuild/darwin-arm64@0.23.0':
+    resolution: {integrity: sha512-YLntie/IdS31H54Ogdn+v50NuoWF5BDkEUFpiOChVa9UnKpftgwzZRrI4J132ETIi+D8n6xh9IviFV3eXdxfow==}
+    engines: {node: '>=18'}
+    cpu: [arm64]
+    os: [darwin]
+
   '@esbuild/darwin-x64@0.19.11':
     resolution: {integrity: sha512-fkFUiS6IUK9WYUO/+22omwetaSNl5/A8giXvQlcinLIjVkxwTLSktbF5f/kJMftM2MJp9+fXqZ5ezS7+SALp4g==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [darwin]
 
+  '@esbuild/darwin-x64@0.23.0':
+    resolution: {integrity: sha512-IMQ6eme4AfznElesHUPDZ+teuGwoRmVuuixu7sv92ZkdQcPbsNHzutd+rAfaBKo8YK3IrBEi9SLLKWJdEvJniQ==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [darwin]
+
   '@esbuild/freebsd-arm64@0.19.11':
     resolution: {integrity: sha512-lhoSp5K6bxKRNdXUtHoNc5HhbXVCS8V0iZmDvyWvYq9S5WSfTIHU2UGjcGt7UeS6iEYp9eeymIl5mJBn0yiuxA==}
     engines: {node: '>=12'}
     cpu: [arm64]
     os: [freebsd]
 
+  '@esbuild/freebsd-arm64@0.23.0':
+    resolution: {integrity: sha512-0muYWCng5vqaxobq6LB3YNtevDFSAZGlgtLoAc81PjUfiFz36n4KMpwhtAd4he8ToSI3TGyuhyx5xmiWNYZFyw==}
+    engines: {node: '>=18'}
+    cpu: [arm64]
+    os: [freebsd]
+
   '@esbuild/freebsd-x64@0.19.11':
     resolution: {integrity: sha512-JkUqn44AffGXitVI6/AbQdoYAq0TEullFdqcMY/PCUZ36xJ9ZJRtQabzMA+Vi7r78+25ZIBosLTOKnUXBSi1Kw==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [freebsd]
 
+  '@esbuild/freebsd-x64@0.23.0':
+    resolution: {integrity: sha512-XKDVu8IsD0/q3foBzsXGt/KjD/yTKBCIwOHE1XwiXmrRwrX6Hbnd5Eqn/WvDekddK21tfszBSrE/WMaZh+1buQ==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [freebsd]
+
   '@esbuild/linux-arm64@0.19.11':
     resolution: {integrity: sha512-LneLg3ypEeveBSMuoa0kwMpCGmpu8XQUh+mL8XXwoYZ6Be2qBnVtcDI5azSvh7vioMDhoJFZzp9GWp9IWpYoUg==}
     engines: {node: '>=12'}
     cpu: [arm64]
     os: [linux]
 
+  '@esbuild/linux-arm64@0.23.0':
+    resolution: {integrity: sha512-j1t5iG8jE7BhonbsEg5d9qOYcVZv/Rv6tghaXM/Ug9xahM0nX/H2gfu6X6z11QRTMT6+aywOMA8TDkhPo8aCGw==}
+    engines: {node: '>=18'}
+    cpu: [arm64]
+    os: [linux]
+
   '@esbuild/linux-arm@0.19.11':
     resolution: {integrity: sha512-3CRkr9+vCV2XJbjwgzjPtO8T0SZUmRZla+UL1jw+XqHZPkPgZiyWvbDvl9rqAN8Zl7qJF0O/9ycMtjU67HN9/Q==}
     engines: {node: '>=12'}
     cpu: [arm]
     os: [linux]
 
+  '@esbuild/linux-arm@0.23.0':
+    resolution: {integrity: sha512-SEELSTEtOFu5LPykzA395Mc+54RMg1EUgXP+iw2SJ72+ooMwVsgfuwXo5Fn0wXNgWZsTVHwY2cg4Vi/bOD88qw==}
+    engines: {node: '>=18'}
+    cpu: [arm]
+    os: [linux]
+
   '@esbuild/linux-ia32@0.19.11':
     resolution: {integrity: sha512-caHy++CsD8Bgq2V5CodbJjFPEiDPq8JJmBdeyZ8GWVQMjRD0sU548nNdwPNvKjVpamYYVL40AORekgfIubwHoA==}
     engines: {node: '>=12'}
     cpu: [ia32]
     os: [linux]
 
+  '@esbuild/linux-ia32@0.23.0':
+    resolution: {integrity: sha512-P7O5Tkh2NbgIm2R6x1zGJJsnacDzTFcRWZyTTMgFdVit6E98LTxO+v8LCCLWRvPrjdzXHx9FEOA8oAZPyApWUA==}
+    engines: {node: '>=18'}
+    cpu: [ia32]
+    os: [linux]
+
   '@esbuild/linux-loong64@0.19.11':
     resolution: {integrity: sha512-ppZSSLVpPrwHccvC6nQVZaSHlFsvCQyjnvirnVjbKSHuE5N24Yl8F3UwYUUR1UEPaFObGD2tSvVKbvR+uT1Nrg==}
     engines: {node: '>=12'}
     cpu: [loong64]
     os: [linux]
 
+  '@esbuild/linux-loong64@0.23.0':
+    resolution: {integrity: sha512-InQwepswq6urikQiIC/kkx412fqUZudBO4SYKu0N+tGhXRWUqAx+Q+341tFV6QdBifpjYgUndV1hhMq3WeJi7A==}
+    engines: {node: '>=18'}
+    cpu: [loong64]
+    os: [linux]
+
   '@esbuild/linux-mips64el@0.19.11':
     resolution: {integrity: sha512-B5x9j0OgjG+v1dF2DkH34lr+7Gmv0kzX6/V0afF41FkPMMqaQ77pH7CrhWeR22aEeHKaeZVtZ6yFwlxOKPVFyg==}
     engines: {node: '>=12'}
     cpu: [mips64el]
     os: [linux]
 
+  '@esbuild/linux-mips64el@0.23.0':
+    resolution: {integrity: sha512-J9rflLtqdYrxHv2FqXE2i1ELgNjT+JFURt/uDMoPQLcjWQA5wDKgQA4t/dTqGa88ZVECKaD0TctwsUfHbVoi4w==}
+    engines: {node: '>=18'}
+    cpu: [mips64el]
+    os: [linux]
+
   '@esbuild/linux-ppc64@0.19.11':
     resolution: {integrity: sha512-MHrZYLeCG8vXblMetWyttkdVRjQlQUb/oMgBNurVEnhj4YWOr4G5lmBfZjHYQHHN0g6yDmCAQRR8MUHldvvRDA==}
     engines: {node: '>=12'}
     cpu: [ppc64]
     os: [linux]
 
+  '@esbuild/linux-ppc64@0.23.0':
+    resolution: {integrity: sha512-cShCXtEOVc5GxU0fM+dsFD10qZ5UpcQ8AM22bYj0u/yaAykWnqXJDpd77ublcX6vdDsWLuweeuSNZk4yUxZwtw==}
+    engines: {node: '>=18'}
+    cpu: [ppc64]
+    os: [linux]
+
   '@esbuild/linux-riscv64@0.19.11':
     resolution: {integrity: sha512-f3DY++t94uVg141dozDu4CCUkYW+09rWtaWfnb3bqe4w5NqmZd6nPVBm+qbz7WaHZCoqXqHz5p6CM6qv3qnSSQ==}
     engines: {node: '>=12'}
     cpu: [riscv64]
     os: [linux]
 
+  '@esbuild/linux-riscv64@0.23.0':
+    resolution: {integrity: sha512-HEtaN7Y5UB4tZPeQmgz/UhzoEyYftbMXrBCUjINGjh3uil+rB/QzzpMshz3cNUxqXN7Vr93zzVtpIDL99t9aRw==}
+    engines: {node: '>=18'}
+    cpu: [riscv64]
+    os: [linux]
+
   '@esbuild/linux-s390x@0.19.11':
     resolution: {integrity: sha512-A5xdUoyWJHMMlcSMcPGVLzYzpcY8QP1RtYzX5/bS4dvjBGVxdhuiYyFwp7z74ocV7WDc0n1harxmpq2ePOjI0Q==}
     engines: {node: '>=12'}
     cpu: [s390x]
     os: [linux]
 
+  '@esbuild/linux-s390x@0.23.0':
+    resolution: {integrity: sha512-WDi3+NVAuyjg/Wxi+o5KPqRbZY0QhI9TjrEEm+8dmpY9Xir8+HE/HNx2JoLckhKbFopW0RdO2D72w8trZOV+Wg==}
+    engines: {node: '>=18'}
+    cpu: [s390x]
+    os: [linux]
+
   '@esbuild/linux-x64@0.19.11':
     resolution: {integrity: sha512-grbyMlVCvJSfxFQUndw5mCtWs5LO1gUlwP4CDi4iJBbVpZcqLVT29FxgGuBJGSzyOxotFG4LoO5X+M1350zmPA==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [linux]
 
+  '@esbuild/linux-x64@0.23.0':
+    resolution: {integrity: sha512-a3pMQhUEJkITgAw6e0bWA+F+vFtCciMjW/LPtoj99MhVt+Mfb6bbL9hu2wmTZgNd994qTAEw+U/r6k3qHWWaOQ==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [linux]
+
   '@esbuild/netbsd-x64@0.19.11':
     resolution: {integrity: sha512-13jvrQZJc3P230OhU8xgwUnDeuC/9egsjTkXN49b3GcS5BKvJqZn86aGM8W9pd14Kd+u7HuFBMVtrNGhh6fHEQ==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [netbsd]
 
+  '@esbuild/netbsd-x64@0.23.0':
+    resolution: {integrity: sha512-cRK+YDem7lFTs2Q5nEv/HHc4LnrfBCbH5+JHu6wm2eP+d8OZNoSMYgPZJq78vqQ9g+9+nMuIsAO7skzphRXHyw==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [netbsd]
+
+  '@esbuild/openbsd-arm64@0.23.0':
+    resolution: {integrity: sha512-suXjq53gERueVWu0OKxzWqk7NxiUWSUlrxoZK7usiF50C6ipColGR5qie2496iKGYNLhDZkPxBI3erbnYkU0rQ==}
+    engines: {node: '>=18'}
+    cpu: [arm64]
+    os: [openbsd]
+
   '@esbuild/openbsd-x64@0.19.11':
     resolution: {integrity: sha512-ysyOGZuTp6SNKPE11INDUeFVVQFrhcNDVUgSQVDzqsqX38DjhPEPATpid04LCoUr2WXhQTEZ8ct/EgJCUDpyNw==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [openbsd]
 
+  '@esbuild/openbsd-x64@0.23.0':
+    resolution: {integrity: sha512-6p3nHpby0DM/v15IFKMjAaayFhqnXV52aEmv1whZHX56pdkK+MEaLoQWj+H42ssFarP1PcomVhbsR4pkz09qBg==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [openbsd]
+
   '@esbuild/sunos-x64@0.19.11':
     resolution: {integrity: sha512-Hf+Sad9nVwvtxy4DXCZQqLpgmRTQqyFyhT3bZ4F2XlJCjxGmRFF0Shwn9rzhOYRB61w9VMXUkxlBy56dk9JJiQ==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [sunos]
 
+  '@esbuild/sunos-x64@0.23.0':
+    resolution: {integrity: sha512-BFelBGfrBwk6LVrmFzCq1u1dZbG4zy/Kp93w2+y83Q5UGYF1d8sCzeLI9NXjKyujjBBniQa8R8PzLFAUrSM9OA==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [sunos]
+
   '@esbuild/win32-arm64@0.19.11':
     resolution: {integrity: sha512-0P58Sbi0LctOMOQbpEOvOL44Ne0sqbS0XWHMvvrg6NE5jQ1xguCSSw9jQeUk2lfrXYsKDdOe6K+oZiwKPilYPQ==}
     engines: {node: '>=12'}
     cpu: [arm64]
     os: [win32]
 
+  '@esbuild/win32-arm64@0.23.0':
+    resolution: {integrity: sha512-lY6AC8p4Cnb7xYHuIxQ6iYPe6MfO2CC43XXKo9nBXDb35krYt7KGhQnOkRGar5psxYkircpCqfbNDB4uJbS2jQ==}
+    engines: {node: '>=18'}
+    cpu: [arm64]
+    os: [win32]
+
   '@esbuild/win32-ia32@0.19.11':
     resolution: {integrity: sha512-6YOrWS+sDJDmshdBIQU+Uoyh7pQKrdykdefC1avn76ss5c+RN6gut3LZA4E2cH5xUEp5/cA0+YxRaVtRAb0xBg==}
     engines: {node: '>=12'}
     cpu: [ia32]
     os: [win32]
 
+  '@esbuild/win32-ia32@0.23.0':
+    resolution: {integrity: sha512-7L1bHlOTcO4ByvI7OXVI5pNN6HSu6pUQq9yodga8izeuB1KcT2UkHaH6118QJwopExPn0rMHIseCTx1CRo/uNA==}
+    engines: {node: '>=18'}
+    cpu: [ia32]
+    os: [win32]
+
   '@esbuild/win32-x64@0.19.11':
     resolution: {integrity: sha512-vfkhltrjCAb603XaFhqhAF4LGDi2M4OrCRrFusyQ+iTLQ/o60QQXxc9cZC/FFpihBI9N1Grn6SMKVJ4KP7Fuiw==}
     engines: {node: '>=12'}
     cpu: [x64]
     os: [win32]
 
+  '@esbuild/win32-x64@0.23.0':
+    resolution: {integrity: sha512-Arm+WgUFLUATuoxCJcahGuk6Yj9Pzxd6l11Zb/2aAuv5kWWvvfhLFo2fni4uSK5vzlUdCGZ/BdV5tH8klj8p8g==}
+    engines: {node: '>=18'}
+    cpu: [x64]
+    os: [win32]
+
   '@gar/promisify@1.1.3':
     resolution: {integrity: sha512-k2Ty1JcVojjJFwrg/ThKi2ujJ7XNLYaFGNB/bWT9wGR+oSMJHMa5w+CUq6p/pVrKeNNgA7pCqEcjSnHVoqJQFw==}
 
@@ -462,6 +609,11 @@ packages:
     engines: {node: '>=12'}
     hasBin: true
 
+  esbuild@0.23.0:
+    resolution: {integrity: sha512-1lvV17H2bMYda/WaFb2jLPeHU3zml2k4/yagNMG8Q/YtfMjCwEUZa2eXXMgZTVSL5q1n4H7sQ0X6CdJDqqeCFA==}
+    engines: {node: '>=18'}
+    hasBin: true
+
   escape-string-regexp@1.0.5:
     resolution: {integrity: sha512-vbRorB5FUQWvla16U8R/qgaFIya2qGzwDrNmCZuYKrbdSUMG6I1ZCGQRefkRVhuOkIGVne7BQ35DSfo1qvJqFg==}
     engines: {node: '>=0.8.0'}
@@ -497,6 +649,11 @@ packages:
   fs.realpath@1.0.0:
     resolution: {integrity: sha512-OO0pH2lK6a0hZnAdau5ItzHPI6pUlvI7jMVnxUQRtw4owF2wk8lOSabtGDCTP4Ggrg2MbGnWO9X8K1t4+fGMDw==}
 
+  fsevents@2.3.3:
+    resolution: {integrity: sha512-5xoDfX+fL7faATnagmWPpbFtwh/R77WmMMqqHGS65C3vvB0YHrgF+B1YmZ3441tMj5n63k0212XNoJwzlhffQw==}
+    engines: {node: ^8.16.0 || ^10.6.0 || >=11.0.0}
+    os: [darwin]
+
   function-bind@1.1.2:
     resolution: {integrity: sha512-7XHNxH7qX9xG5mIwxkhumTox/MIRNcOgDrxWsMt2pAr23WHp6MrRlN7FBSFpCpr+oVO0F744iUgR82nJMfG2SA==}
 
@@ -523,6 +680,9 @@ packages:
     resolution: {integrity: sha512-2EmdH1YvIQiZpltCNgkuiUnyukzxM/R6NDJX31Ke3BG1Nq5b0S2PhX59UKi9vZpPDQVdqn+1IcaAwnzTT5vCjw==}
     engines: {node: '>= 0.4'}
 
+  get-tsconfig@4.7.6:
+    resolution: {integrity: sha512-ZAqrLlu18NbDdRaHq+AKXzAmqIUPswPWKUchfytdAjiRFnCe5ojG2bstg6mRiZabkKfCoL/e98pbBELIV/YCeA==}
+
   github-from-package@0.0.0:
     resolution: {integrity: sha512-SyHy3T1v2NUXn29OsWdxmK6RwHD+vkj3v8en8AOBZ1wBQ/hCAQ5bAQTD02kW4W9tUp/3Qh6J8r9EvntiyCmOOw==}
 
@@ -986,6 +1146,9 @@ packages:
     resolution: {integrity: sha512-sy6TXMN+hnP/wMy+ISxg3krXx7BAtWVO4UouuCN/ziM9UEne0euamVNafDfvC83bRNr95y0V5iijeDQFUNpvrg==}
     engines: {node: '>= 0.4'}
 
+  resolve-pkg-maps@1.0.0:
+    resolution: {integrity: sha512-seS2Tj26TBVOC2NIc2rOe2y2ZO7efxITtLZcGSOnHHNOQ7CkiUBfw0Iw2ck6xkIhPwLhKNLS8BO+hEpngQlqzw==}
+
   resolve@1.22.8:
     resolution: {integrity: sha512-oKWePCxqpd6FlLvGV1VU0x7bkPmmCNolxzjMf4NczoDnQcIWrAF+cPtZn5i6n+RfD2d9i0tzpKnG6Yk168yIyw==}
     hasBin: true
@@ -1164,6 +1327,11 @@ packages:
     resolution: {integrity: sha512-DZ4yORTwrbTj/7MZYq2w+/ZFdI6OZ/f9SFHR+71gIVUZhOQPHzVCLpvRnPgyaMpfWxxk/4ONva3GQSyNIKRv6A==}
     engines: {node: '>=10'}
 
+  tsx@4.17.0:
+    resolution: {integrity: sha512-eN4mnDA5UMKDt4YZixo9tBioibaMBpoxBkD+rIPAjVmYERSG0/dWEY1CEFuV89CgASlKL499q8AhmkMnnjtOJg==}
+    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

server/src/backtest.ts

@@ -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%)
+      // filter-out calendars that are far-from-the-money (5%)
-      console.log("Current Date:", date, stockAggregate.tsStart);
       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. */
+        /** Number of days between the back and front expiration dates. */
-        const calendarSpan =
+        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"
         );
       }
     }

server/src/calendardb/lmdbx.ts

@@ -2,152 +2,165 @@ import type { CalendarDatabase } from "./interfaces.js";
 import { open } from "lmdbx";
 
 const calendarAggregatesDb = open({
-	path: "./calendar-aggregates.db",
+  path: "./calendar-aggregates.db",
-	// any options go here, we can turn on compression like this:
+  compression: true,
-	compression: true,
 });
 
 const calendarExistenceDb = open({
-	path: "./calendar-existence.db",
+  path: "./calendar-existence.db",
-	// any options go here, we can turn on compression like this:
+  compression: true,
-	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"> = {
+  const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
-		getKeys: async ({ key: { symbol }, date }) => {
+    getKeys: async ({ key: { symbol }, date }) => {
-			return calendarExistenceDb
+      return calendarExistenceDb
-				.getRange({
+        .getRange({
-					start: [date, symbol],
+          start: [date, symbol],
-					end: [date, symbol, MAXIMUM_KEY],
+          end: [date, symbol, MAXIMUM_KEY],
-				})
+        })
-				.map(({ key }) => ({
+        .map(({ key }) => ({
-					symbol,
+          symbol,
-					frontExpirationDate: key[2],
+          frontExpirationDate: key[2],
-					backExpirationDate: key[3],
+          backExpirationDate: key[3],
-					strike: key[4],
+          strike: key[4],
-					type: key[5],
+          type: key[5],
-				})).asArray;
+        })).asArray;
-		},
+    },
-		getAggregates: async ({
+    getAggregates: async ({
-			key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
+      key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
-			date,
+      date,
-		}) => {
+    }) => {
-			const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
+      const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
-			const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
+      const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
-			return calendarAggregatesDb
+      return calendarAggregatesDb
-				.getRange({
+        .getRange({
-					start: [
+          start: [
-						symbol,
+            symbol,
-						frontExpirationDate,
+            frontExpirationDate,
-						backExpirationDate,
+            backExpirationDate,
-						strike,
+            strike,
-						type,
+            type,
-						startOfDayUnix,
+            startOfDayUnix,
-					],
+          ],
-					end: [
+          end: [
-						symbol,
+            symbol,
-						frontExpirationDate,
+            frontExpirationDate,
-						backExpirationDate,
+            backExpirationDate,
-						strike,
+            strike,
-						type,
+            type,
-						endOfDayUnix,
+            endOfDayUnix,
-					],
+          ],
-				})
+        })
-				.map(({ value }) => ({
+        .map(({ value }) => ({
-					tsStart: value.tsStart,
+          tsStart: value.tsStart,
-					open: value.open,
+          open: value.open,
-					close: value.close,
+          close: value.close,
-					high: value.high,
+          high: value.high,
-					low: value.low,
+          low: value.low,
-				})).asArray;
+        })).asArray;
-		},
+    },
-		insertAggregates: async (aggregates) => {
+    getAggregate: async ({
-			await calendarExistenceDb.batch(() => {
+      key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
-				for (const aggregate of aggregates) {
+      tsStart,
-					calendarExistenceDb.put(
+    }) => {
-						[
+      return await calendarAggregatesDb.get([
-							new Date(aggregate.tsStart).toISOString().substring(0, 10),
+        symbol,
-							aggregate.key.symbol,
+        frontExpirationDate,
-							aggregate.key.frontExpirationDate,
+        backExpirationDate,
-							aggregate.key.backExpirationDate,
+        strike,
-							aggregate.key.strike,
+        type,
-							aggregate.key.type,
+        tsStart,
-						],
+      ]);
-						null,
+    },
-					);
+    insertAggregates: async (aggregates) => {
-				}
+      await calendarExistenceDb.batch(() => {
-			});
+        for (const aggregate of aggregates) {
-			await calendarAggregatesDb.batch(() => {
+          calendarExistenceDb.put(
-				for (const aggregate of aggregates) {
+            [
-					calendarAggregatesDb.put(
+              new Date(aggregate.tsStart).toISOString().substring(0, 10),
-						[
+              aggregate.key.symbol,
-							aggregate.key.symbol,
+              aggregate.key.frontExpirationDate,
-							aggregate.key.frontExpirationDate,
+              aggregate.key.backExpirationDate,
-							aggregate.key.backExpirationDate,
+              aggregate.key.strike,
-							aggregate.key.strike,
+              aggregate.key.type,
-							aggregate.key.type,
+            ],
-							aggregate.tsStart,
+            null
-						],
+          );
-						{
+        }
-							open: aggregate.open,
+      });
-							close: aggregate.close,
+      await calendarAggregatesDb.batch(() => {
-							high: aggregate.high,
+        for (const aggregate of aggregates) {
-							low: aggregate.low,
+          calendarAggregatesDb.put(
-						},
+            [
-					);
+              aggregate.key.symbol,
-				}
+              aggregate.key.frontExpirationDate,
-			});
+              aggregate.key.backExpirationDate,
-		},
+              aggregate.key.strike,
-		getClosingPrice: async ({
+              aggregate.key.type,
-			key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
+              aggregate.tsStart,
-		}) => {
+            ],
-			const startOfLastHourUnix = new Date(
+            {
-				`${frontExpirationDate}T00:00:00Z`,
+              open: aggregate.open,
-			).valueOf();
+              close: aggregate.close,
-			const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
+              high: aggregate.high,
-			let minPrice = 0;
+              low: aggregate.low,
-			for (const { value } of calendarAggregatesDb.getRange({
+            }
-				start: [
+          );
-					symbol,
+        }
-					frontExpirationDate,
+      });
-					backExpirationDate,
+    },
-					strike,
+    getClosingPrice: async ({
-					type,
+      key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
-					startOfLastHourUnix,
+    }) => {
-				],
+      const startOfExpirationDateUnix = new Date(
-				end: [
+        `${frontExpirationDate}T23:59:59Z`
-					symbol,
+      ).valueOf();
-					frontExpirationDate,
+      const endOfExpirationDateUnix = new Date(
-					backExpirationDate,
+        `${frontExpirationDate}T00:00:00Z`
-					strike,
+      ).valueOf();
-					type,
+      for (const { value } of calendarAggregatesDb.getRange({
-					endOfLastHourUnix,
+        start: [
-				],
+          symbol,
-			})) {
+          frontExpirationDate,
-				if (value.close < minPrice || minPrice === 0) {
+          backExpirationDate,
-					minPrice = value.close;
+          strike,
-				}
+          type,
-			}
+          startOfExpirationDateUnix,
-			return minPrice;
+        ],
-		},
+        end: [
-		getTargetPriceByProbability: async ({
+          symbol,
-			symbol,
+          frontExpirationDate,
-			calendarSpan,
+          backExpirationDate,
-			strikePercentageFromTheMoney,
+          strike,
-			historicalProbabilityOfSuccess,
+          type,
-		}) => {
+          endOfExpirationDateUnix,
-			return 0.24;
+        ],
-		},
+        reverse: true,
-	};
+      })) {
+        if (value.close > 0) {
+          return value.close;
+        }
+      }
+      return 0;
+    },
+    getTargetPriceByProbability: async ({
+      symbol,
+      calendarSpan,
+      strikePercentageFromTheMoney,
+      historicalProbabilityOfSuccess,
+    }) => {
+      return 0.24;
+    },
+  };
 
-	return {
+  return {
-		...calendarDatabase,
+    ...calendarDatabase,
-		getCalendars: calendarDatabase.getKeys,
+    getCalendars: calendarDatabase.getKeys,
-	};
+  };
 }
 
 export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();

server/src/calendardb/optiondb-lmdbx.ts

@@ -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(
-        `${frontExpirationDate}T00:00:00Z`,
+        `${frontExpirationDate}T19:30:00Z`
-      ).valueOf();
+      ).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,

server/src/interfaces.ts

@@ -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>;
 };

server/src/optiondb/lmdbx.ts

@@ -28,8 +28,8 @@ function makeOptionContractDatabase(): OptionContractDatabase {
         start: [symbol, expirationDate, strike, type, startOfDayUnix],
         end: [symbol, expirationDate, strike, type, endOfDayUnix],
       })
-      .map(({ value }) => ({
+      .map(({ key, value }) => ({
-        tsStart: value.tsStart,
+        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 {