Compare commits
2 Commits
| Author | SHA1 | Date | |
|---|---|---|---|
| eba5344b15 | |||
| 39bb6c85f8 |
@@ -86,7 +86,7 @@ function chooseStrike(strike: string) {
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.query({
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underlying: chosenUnderlying.value,
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expirationDate: chosenExpiration.value,
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strike: parseFloat(strike),
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strike: Number.parseFloat(strike),
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})
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.then((getOpensForOptionContractResponse) => {
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optionContractUplotData.value = getOpensForOptionContractResponse;
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@@ -201,8 +201,9 @@ export function CalendarOptimizer() {
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</Paper>
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</Grid>
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<Grid item xs={12} md={6}>
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<Paper elevation={3} sx={{ p: 3, height: '100%' }}>
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{chosenUnderlying.value !== null && underlyingUplotData.value.length > 0 ? (
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<Paper elevation={3} sx={{ p: 3, height: "100%" }}>
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{chosenUnderlying.value !== null &&
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underlyingUplotData.value.length > 0 ? (
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<Scatter
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data={{
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datasets: [
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@@ -220,7 +221,7 @@ export function CalendarOptimizer() {
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text: "Time",
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},
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ticks: {
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callback: function (value, index, ticks) {
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callback: (value, index, ticks) => {
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return new Date((value as number) * 1000)
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.toISOString()
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.substring(0, 10);
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@@ -230,8 +231,8 @@ export function CalendarOptimizer() {
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y: {
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beginAtZero: false,
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ticks: {
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callback: function (value, index, ticks) {
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return "$" + value.toString();
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callback: (value, index, ticks) => {
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return `$${value.toString()}`;
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},
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},
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},
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@@ -287,7 +288,7 @@ export function CalendarOptimizer() {
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text: "Time",
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},
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ticks: {
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callback: function (value, index, ticks) {
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callback: (value, index, ticks) => {
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return new Date((value as number) * 1000)
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.toISOString()
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.substring(0, 10);
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@@ -297,8 +298,8 @@ export function CalendarOptimizer() {
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y: {
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beginAtZero: false,
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ticks: {
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callback: function (value, index, ticks) {
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return "$" + value.toString();
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callback: (value, index, ticks) => {
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return `$${value.toString()}`;
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},
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},
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},
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@@ -49,20 +49,20 @@ const maxChartPrice = computed(() =>
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Math.max(
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Math.max.apply(
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null,
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historicalCalendarQuoteChartData.value.map((d) => d.y)
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historicalCalendarQuoteChartData.value.map((d) => d.y),
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),
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Math.max.apply(
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null,
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historicalCalendarExitQuoteChartData.value.map((d) => d.y)
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)
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)
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historicalCalendarExitQuoteChartData.value.map((d) => d.y),
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),
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),
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);
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const maxN = computed(() =>
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Math.max.apply(
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null,
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historicalCalendarExitQuoteChartData.value.map((d) => d.n)
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)
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historicalCalendarExitQuoteChartData.value.map((d) => d.n),
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),
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);
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const refreshHistoricalStockQuoteChartData = () => {
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@@ -134,16 +134,19 @@ const handleUnderlyingChange = (e) => {
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}
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};
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const handleDaysToFrontExpirationChange = (e) => {
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if (chosenDaysToFrontExpiration.value !== parseInt(e.target.value)) {
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chosenDaysToFrontExpiration.value = parseInt(e.target.value);
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if (chosenDaysToFrontExpiration.value !== Number.parseInt(e.target.value)) {
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chosenDaysToFrontExpiration.value = Number.parseInt(e.target.value);
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refreshHistoricalCalendarQuoteChartData();
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}
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};
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const handleDaysBetweenFrontAndBackExpirationChange = (e) => {
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if (
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chosenDaysBetweenFrontAndBackExpiration.value !== parseInt(e.target.value)
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chosenDaysBetweenFrontAndBackExpiration.value !==
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Number.parseInt(e.target.value)
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) {
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chosenDaysBetweenFrontAndBackExpiration.value = parseInt(e.target.value);
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chosenDaysBetweenFrontAndBackExpiration.value = Number.parseInt(
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e.target.value,
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);
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refreshHistoricalCalendarQuoteChartData();
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refreshHistoricalCalendarExitQuoteChartData();
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}
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@@ -151,10 +154,10 @@ const handleDaysBetweenFrontAndBackExpirationChange = (e) => {
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const handleStrikePercentageFromUnderlyingPriceChange = (e) => {
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if (
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chosenStrikePercentageFromUnderlyingPrice.value !==
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parseFloat(e.target.value)
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Number.parseFloat(e.target.value)
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) {
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chosenStrikePercentageFromUnderlyingPrice.value = parseFloat(
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e.target.value
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chosenStrikePercentageFromUnderlyingPrice.value = Number.parseFloat(
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e.target.value,
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);
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refreshHistoricalCalendarQuoteChartData();
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}
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@@ -162,17 +165,17 @@ const handleStrikePercentageFromUnderlyingPriceChange = (e) => {
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const handleStrikePercentageFromUnderlyingPriceRadiusChange = (e) => {
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if (
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chosenStrikePercentageFromUnderlyingPriceRadius.value !==
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parseFloat(e.target.value)
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Number.parseFloat(e.target.value)
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) {
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chosenStrikePercentageFromUnderlyingPriceRadius.value = parseFloat(
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e.target.value
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chosenStrikePercentageFromUnderlyingPriceRadius.value = Number.parseFloat(
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e.target.value,
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);
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refreshHistoricalCalendarQuoteChartData();
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}
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};
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const handleExitToFrontExpirationChange = (e) => {
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if (chosenExitToFrontExpiration.value !== parseInt(e.target.value)) {
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chosenExitToFrontExpiration.value = parseInt(e.target.value);
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if (chosenExitToFrontExpiration.value !== Number.parseInt(e.target.value)) {
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chosenExitToFrontExpiration.value = Number.parseInt(e.target.value);
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refreshHistoricalCalendarExitQuoteChartData();
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}
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};
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@@ -260,7 +263,9 @@ export function HistoricalCalendarPrices() {
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label="Strike % Radius"
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type="number"
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value={chosenStrikePercentageFromUnderlyingPriceRadius.value}
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onChange={handleStrikePercentageFromUnderlyingPriceRadiusChange}
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onChange={
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handleStrikePercentageFromUnderlyingPriceRadiusChange
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}
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InputProps={{ endAdornment: "%" }}
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/>
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</Grid>
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@@ -280,7 +285,11 @@ export function HistoricalCalendarPrices() {
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label="Lookback Period Start"
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type="date"
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value={chosenLookbackPeriodStart.value}
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onChange={(e) => handleLookbackPeriodStartChange({ target: { value: e.target.value } })}
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onChange={(e) =>
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handleLookbackPeriodStartChange({
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target: { value: e.target.value },
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})
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}
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InputLabelProps={{ shrink: true }}
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/>
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</Grid>
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@@ -290,7 +299,11 @@ export function HistoricalCalendarPrices() {
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label="Lookback Period End"
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type="date"
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value={chosenLookbackPeriodEnd.value}
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onChange={(e) => handleLookbackPeriodEndChange({ target: { value: e.target.value } })}
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onChange={(e) =>
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handleLookbackPeriodEndChange({
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target: { value: e.target.value },
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})
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}
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InputLabelProps={{ shrink: true }}
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/>
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</Grid>
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@@ -298,7 +311,7 @@ export function HistoricalCalendarPrices() {
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</Paper>
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</Grid>
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<Grid item xs={12} md={6}>
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<Paper elevation={3} sx={{ p: 3, height: '100%' }}>
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<Paper elevation={3} sx={{ p: 3, height: "100%" }}>
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{chosenUnderlying.value !== null &&
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historicalStockQuoteChartData.value.length > 0 ? (
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<Scatter
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@@ -318,11 +331,10 @@ export function HistoricalCalendarPrices() {
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text: "Time",
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},
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ticks: {
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callback: function (value, index, ticks) {
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return new Date((value as number) * 1000)
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callback: (value, index, ticks) =>
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new Date((value as number) * 1000)
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.toISOString()
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.substring(0, 10);
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},
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.substring(0, 10),
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},
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min:
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new Date(chosenLookbackPeriodStart.value).getTime() /
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@@ -334,9 +346,8 @@ export function HistoricalCalendarPrices() {
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y: {
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beginAtZero: false,
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ticks: {
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callback: function (value, index, ticks) {
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return "$" + value.toString();
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},
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callback: (value, index, ticks) =>
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`$${value.toString()}`,
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},
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},
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},
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@@ -389,11 +400,10 @@ export function HistoricalCalendarPrices() {
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text: "Time",
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},
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ticks: {
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callback: function (value, index, ticks) {
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return new Date((value as number) * 1000)
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callback: (value, index, ticks) =>
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new Date((value as number) * 1000)
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.toISOString()
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.substring(0, 10);
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},
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.substring(0, 10),
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},
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min:
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new Date(chosenLookbackPeriodStart.value).getTime() /
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@@ -405,9 +415,8 @@ export function HistoricalCalendarPrices() {
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y: {
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beginAtZero: true,
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ticks: {
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callback: function (value, index, ticks) {
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return "$" + value.toString();
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},
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callback: (value, index, ticks) =>
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`$${value.toString()}`,
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},
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min: 0,
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max: maxChartPrice.value,
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@@ -458,17 +467,15 @@ export function HistoricalCalendarPrices() {
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text: "%-From-the-Money",
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},
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ticks: {
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callback: function (value, index, ticks) {
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return value.toString() + "%";
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},
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callback: (value, index, ticks) =>
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`${value.toString()}%`,
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},
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},
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y: {
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beginAtZero: true,
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ticks: {
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callback: function (value, index, ticks) {
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return "$" + value.toString();
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},
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callback: (value, index, ticks) =>
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`$${value.toString()}`,
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},
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min: 0,
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max: maxChartPrice.value,
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@@ -477,7 +484,7 @@ export function HistoricalCalendarPrices() {
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elements: {
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point: {
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borderWidth: 0,
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backgroundColor: function (context) {
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backgroundColor: (context) => {
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const n = (
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context.raw as { x: number; y: number; n: number }
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).n;
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@@ -48,7 +48,7 @@ export async function backtest({
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...calendar,
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},
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date,
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}),
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})
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);
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}
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// for each minute of that day for which we have a stock candlestick:
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@@ -57,12 +57,12 @@ export async function backtest({
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// filter-out calendars that are far-from-the-money (10%)
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const calendarsNearTheMoney = calendars.filter(
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({ strike }) =>
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Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.1,
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Math.abs((stockAggregate.open - strike) / stockAggregate.open) < 0.1
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);
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// for each relevant calendar on that day:
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for (const calendar of calendarsNearTheMoney) {
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const strikePercentageFromTheMoney = Math.abs(
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(stockAggregate.open - calendar.strike) / stockAggregate.open,
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(stockAggregate.open - calendar.strike) / stockAggregate.open
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);
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/** In days. */
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const calendarSpan =
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@@ -78,14 +78,14 @@ export async function backtest({
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});
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const calendarAggregates = calendarsAggregates.get(calendar);
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const calendarAggregateAtCurrentTime = calendarAggregates.find(
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({ tsStart }) => tsStart === stockAggregate.tsStart,
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({ tsStart }) => tsStart === stockAggregate.tsStart
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);
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// if there exists a matching calendar candlestick for the current minute:
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if (calendarAggregateAtCurrentTime) {
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// if the current candlestick is a good price (i.e. less than the target price):
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const minCalendarPriceInCandlestick = Math.min(
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calendarAggregateAtCurrentTime.open,
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calendarAggregateAtCurrentTime.close,
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calendarAggregateAtCurrentTime.close
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);
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if (
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minCalendarPriceInCandlestick < targetCalendarPrice &&
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@@ -104,7 +104,7 @@ export async function backtest({
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minCalendarPriceInCandlestick * 100,
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"...$",
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buyingPower,
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"left",
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"left"
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);
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didBuyCalendar = true;
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}
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@@ -136,7 +136,7 @@ export async function backtest({
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calendarClosingPrice,
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"...$",
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buyingPower,
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"left",
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"left"
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);
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}
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}
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@@ -57,7 +57,7 @@ function makeCalendarDatabase(): CalendarDatabase {
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close:
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backOptionContractAggregates[j].close -
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frontOptionContractAggregates[i].close,
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// the high and low are not exactly correct since we don't know if each contract's high and low happened ata the same moment as the other:
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// 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:
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high:
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backOptionContractAggregates[j].high -
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frontOptionContractAggregates[i].high,
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@@ -17,7 +17,7 @@ async function syncAggregates<T>({
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date: string;
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}) {
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const aggregatesFrom = (await fromDatabase.getAggregates({ key, date })).map(
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(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key }),
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(aggregateWithoutKey) => ({ ...aggregateWithoutKey, key })
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);
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await toDatabase.insertAggregates(aggregatesFrom);
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}
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Reference in New Issue
Block a user