refactor; backtest using lmdbx

This reverts commit c749321fe9.

server/TODO.md

@@ -0,0 +1,2 @@
+- Ingest stock/underlying aggregates from flatfiles
+- Create backtesting function to step through each minute of every day.

server/package.json

@@ -2,7 +2,7 @@
 	"private": true,
 	"type": "module",
 	"scripts": {
-		"build": "esbuild src/*.ts src/**/*.ts --platform=node --outdir=dist --format=esm",
+		"build": "esbuild src/*.ts 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:*"

server/src/backtest.ts

@@ -1,8 +1,8 @@
-import { stockDatabase } from "./stockdb.clickhouse.js";
-import { calendarDatabase } from "./calendardb.optiondb.lmdbx.js";
-import type { CalendarKey } from "./calendardb.interfaces.js";
+import { stockDatabase } from "./stockdb/clickhouse.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/util.js";
+import { nextDate } from "./lib/utils/nextDate.js";
 
 type BacktestInput = {
   symbol: string;
@@ -10,14 +10,14 @@ type BacktestInput = {
   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;
+  initialBuyingPower?: number;
 };
 export async function backtest({
   symbol,
   startDate,
   endDate,
   historicalProbabilityOfSuccess = 0.8,
-  initialAvailableValue: initialBuyingPower = 2000,
+  initialBuyingPower = 2000,
 }: BacktestInput) {
   let buyingPower = initialBuyingPower;
   const portfolio = new Set<CalendarKey>();
@@ -27,42 +27,27 @@ export async function backtest({
     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,
+      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%)
+      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) < 0.1,
       );
       // 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 =
@@ -76,16 +61,26 @@ export async function backtest({
             strikePercentageFromTheMoney,
             historicalProbabilityOfSuccess,
           });
-        const calendarAggregates = calendarsAggregates.get(calendar);
+        const calendarAggregates = calendarDatabase.getAggregatesSync({
+          key: {
+            ...calendar,
+          },
+          date,
+        });
+        // console.log(
+        //   "Calendar Aggregates:",
+        //   calendar,
+        //   calendarAggregates.length,
+        // );
         const calendarAggregateAtCurrentTime = calendarAggregates.find(
-          ({ tsStart }) => tsStart === stockAggregate.tsStart
+          ({ 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 &&
@@ -104,7 +99,7 @@ export async function backtest({
                 minCalendarPriceInCandlestick * 100,
                 "...$",
                 buyingPower,
-                "left"
+                "left",
               );
               didBuyCalendar = true;
             }
@@ -136,7 +131,7 @@ export async function backtest({
           calendarClosingPrice,
           "...$",
           buyingPower,
-          "left"
+          "left",
         );
       }
     }

server/src/calendardb/clickhouse.ts

@@ -1,6 +1,6 @@
-import type { CalendarDatabase, CalendarKey } from "./calendardb.interfaces.js";
-import type { Aggregate } from "./interfaces.js";
-import { query } from "./lib/clickhouse.js";
+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"> = {

server/src/calendardb/interfaces.ts

@@ -1,4 +1,4 @@
-import type { AggregateDatabase } from "./interfaces.js";
+import type { AggregateDatabase } from "../interfaces.js";
 
 export type CalendarKey = {
 	symbol: string;

server/src/calendardb/lmdbx.ts

@@ -1,4 +1,4 @@
-import type { CalendarDatabase } from "./calendardb.interfaces.js";
+import type { CalendarDatabase } from "./interfaces.js";
 import { open } from "lmdbx";
 
 const calendarAggregatesDb = open({

server/src/calendardb/optiondb-lmdbx.ts

@@ -1,40 +1,21 @@
-import { optionContractDatabase } from "./optiondb.lmdbx.js";
-import type { CalendarDatabase } from "./calendardb.interfaces.js";
+import { optionContractDatabase } from "../optiondb/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 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((_, j) => i !== j)
-            .map((backOptionContract) => ({
-              symbol,
-              frontExpirationDate: frontOptionContract.expirationDate,
-              backExpirationDate: backOptionContract.expirationDate,
-              strike: frontOptionContract.strike,
-              type: frontOptionContract.type,
-            })),
-      );
-    },
-    getAggregates: async ({
+  const getAggregatesSync = ({
     key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
     date,
   }) => {
     const frontOptionContractAggregates =
-        await optionContractDatabase.getAggregates({
+      optionContractDatabase.getAggregatesSync({
         date,
         key: { symbol, expirationDate: frontExpirationDate, strike, type },
       });
     const backOptionContractAggregates =
-        await optionContractDatabase.getAggregates({
+      optionContractDatabase.getAggregatesSync({
         date,
         key: { symbol, expirationDate: backExpirationDate, strike, type },
       });
@@ -77,7 +58,35 @@ function makeCalendarDatabase(): CalendarDatabase {
       }
     }
     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((_, j) => i !== j)
+            .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
     },

server/src/interfaces.ts

@@ -20,6 +20,10 @@ export type AggregateDatabase<T> = {
     key,
     date,
   }: { key: T; date: string }) => Promise<Array<Omit<Aggregate<T>, "key">>>;
+  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>;
 };

server/src/lib/clickhouse.ts

@@ -1,6 +1,7 @@
 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();
 
@@ -11,21 +12,27 @@ export const clickhouse = createClickhouseClient({
   host: CLICKHOUSE_HOST,
   username: CLICKHOUSE_USER,
   password: CLICKHOUSE_PASS,
+  keep_alive: {
+    enabled: true,
+    socket_ttl: 2500,
+  },
 });
 
 export async function query<T>(
   queryString: string,
-  format: DataFormat = "JSONEachRow"
+  format: DataFormat = "JSONEachRow",
 ): Promise<Array<T>> {
-  return await (
-    await clickhouse.query({
+  return await retry(
+    async () => {
+      const result = 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 result.json();
+    },
+    { maxRetries: 5 },
+  );
 }

server/src/lib/utils/retry.ts

@@ -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 };

server/src/optiondb/clickhouse.ts

@@ -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<

server/src/optiondb/interfaces.ts

@@ -1,4 +1,4 @@
-import type { AggregateDatabase } from "./interfaces.js";
+import type { AggregateDatabase } from "../interfaces.js";
 
 export type OptionContractKey = {
   symbol: string;

server/src/optiondb/lmdbx.ts

@@ -1,4 +1,4 @@
-import type { OptionContractDatabase } from "./optiondb.interfaces.js";
+import type { OptionContractDatabase } from "./interfaces.js";
 import { open } from "lmdbx";
 
 const optionContractAggregatesDb = open({
@@ -17,24 +17,7 @@ const optionContractExistenceDb = open({
 const MAXIMUM_KEY = Buffer.from([0xff]);
 
 function makeOptionContractDatabase(): OptionContractDatabase {
-  const optionContractDatabase: Omit<
-    OptionContractDatabase,
-    "getOptionContracts"
-  > = {
-    getKeys: async ({ key: { symbol }, date }) => {
-      return optionContractExistenceDb
-        .getRange({
-          start: [date, symbol],
-          end: [date, symbol, MAXIMUM_KEY],
-        })
-        .map(({ key }) => ({
-          symbol,
-          expirationDate: key[2],
-          strike: key[3],
-          type: key[4],
-        })).asArray;
-    },
-    getAggregates: async ({
+  const getAggregatesSync = ({
     key: { symbol, expirationDate, strike, type },
     date,
   }) => {
@@ -52,7 +35,33 @@ function makeOptionContractDatabase(): OptionContractDatabase {
         high: value.high,
         low: value.low,
       })).asArray;
+  };
+  const optionContractDatabase: Omit<
+    OptionContractDatabase,
+    "getOptionContracts"
+  > = {
+    getKeys: async ({ key: { symbol }, date }) => {
+      return optionContractExistenceDb
+        .getRange({
+          start: [date, symbol],
+          end: [date, symbol, MAXIMUM_KEY],
+        })
+        .map(({ key }) => ({
+          symbol,
+          expirationDate: key[2],
+          strike: key[3],
+          type: key[4],
+        })).asArray;
     },
+    getAggregatesSync,
+    getAggregates: async ({
+      key: { symbol, expirationDate, strike, type },
+      date,
+    }) =>
+      getAggregatesSync({
+        key: { symbol, expirationDate, strike, type },
+        date,
+      }),
     insertAggregates: async (aggregates) => {
       await optionContractExistenceDb.batch(() => {
         for (const aggregate of aggregates) {

server/src/scripts/clickhouse-to-lmdbx.ts

@@ -1,9 +1,12 @@
 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";
-import { nextDate } from "../lib/util.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";
+import { nextDate } from "../lib/utils/nextDate.js";
+import { retry, retryOnTimeout } from "../lib/utils/retry.js";
+import type { OptionContractKey } from "../optiondb/interfaces.js";
+import type { StockKey } from "../stockdb/interfaces.js";
 
 async function syncAggregates<T>({
   fromDatabase,
@@ -17,13 +20,16 @@ async function syncAggregates<T>({
   date: string;
 }) {
   const aggregatesFrom = (await fromDatabase.getAggregates({ key, date })).map(
-    (aggregateWithoutKey) => ({ ...aggregateWithoutKey, key })
+    (aggregateWithoutKey) => ({ ...aggregateWithoutKey, key }),
   );
   await toDatabase.insertAggregates(aggregatesFrom);
 }
 
 const symbols = ["AMD", "AAPL", "MSFT", "GOOGL", "NFLX", "NVDA"];
-async function run() {
+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];
 
@@ -36,21 +42,33 @@ async function run() {
     // const symbols = await stockDatabaseClickhouse.getSymbols({ date });
     for (const symbol of symbols) {
       console.log(date, symbol);
-      const keys = await optionContractDatabaseClickhouse.getKeys({
-        key: { symbol },
+      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 syncAggregates({
-          fromDatabase: optionContractDatabaseClickhouse,
-          toDatabase: optionContractDatabaseLmdbx,
+        await retry(
+          () =>
+            syncAggregates({
+              fromDatabase,
+              toDatabase,
               key,
               date,
-        });
+            }),
+          { shouldRetry: retryOnTimeout },
+        );
       }
     }
   }
 }
 
-await run();
+await run({
+  fromDatabase: stockDatabaseClickhouse,
+  toDatabase: stockDatabaseLmdbx,
+});

server/src/stockdb.clickhouse.ts

@@ -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();

server/src/stockdb.interfaces.ts

@@ -1,7 +0,0 @@
-import type { AggregateDatabase } from "./interfaces.js";
-
-export type StockKey = string;
-
-export type StockDatabase = AggregateDatabase<StockKey> & {
-	getSymbols: AggregateDatabase<StockKey>["getKeys"];
-};

server/src/stockdb.lmdbx.ts

@@ -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();

server/src/stockdb/clickhouse.ts

@@ -0,0 +1,62 @@
+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
+      }));
+    },
+    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 stockDatabase: StockDatabase = makeStockDatabase();

server/src/stockdb/interfaces.ts

@@ -0,0 +1,7 @@
+import type { AggregateDatabase } from "../interfaces.js";
+
+export type StockKey = { symbol: string };
+
+export type StockDatabase = AggregateDatabase<StockKey> & {
+  getSymbols: AggregateDatabase<StockKey>["getKeys"];
+};

server/src/stockdb/lmdbx.ts

@@ -0,0 +1,83 @@
+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;
+    },
+    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 stockDatabase: StockDatabase = makeStockDatabase();