You cannot select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
62 lines
2.2 KiB
TypeScript
62 lines
2.2 KiB
TypeScript
import { clickhouse, query } from "../clickhouse.js";
|
|
import { getApiKey } from "./polygon.js";
|
|
import pAll from 'p-all';
|
|
|
|
type PolygonResponse = {next_url?:string, results:Array<{ticker:string}>};
|
|
async function getOptionContracts(underlyingSymbol, asOfDate){
|
|
let latestBatch = await (await fetch(`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${underlyingSymbol}&as_of=${asOfDate}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
|
|
console.log(latestBatch.results.map((r)=>r.ticker));
|
|
while(latestBatch.hasOwnProperty('next_url')){
|
|
latestBatch = await (await fetch(`${latestBatch.next_url}&apiKey=${await getApiKey()}`)).json() as PolygonResponse;
|
|
console.log(latestBatch.results.map((r)=>r.ticker));
|
|
}
|
|
}
|
|
|
|
//await getOptionContracts('AAPL','2024-01-30');
|
|
|
|
/**
|
|
* For each symbol in `symbols` table, check the latest `asOfDate`
|
|
* in `symbol_sync_statuses` for that symbol. Then fill-in the rest
|
|
* of the dates until today's date.
|
|
*/
|
|
async function fillSyncStatuses(){
|
|
const symbols = (await query(`
|
|
SELECT symbol from symbols
|
|
`)).map(({symbol})=>symbol);
|
|
|
|
console.log('symbols', symbols);
|
|
await pAll(symbols.map(
|
|
(symbol)=>
|
|
()=>query<{latestAsOfDate:string}>(`
|
|
SELECT
|
|
latestAsOfDate
|
|
FROM(
|
|
SELECT last_value(asOfDate) as latestAsOfDate
|
|
FROM (
|
|
SELECT *
|
|
FROM symbol_sync_statuses
|
|
WHERE symbol = '${symbol}'
|
|
ORDER BY asOfDate ASC
|
|
)
|
|
)
|
|
WHERE latestAsOfDate > '2022-02-18'
|
|
`).then((rows)=>
|
|
clickhouse.command({
|
|
query: `
|
|
INSERT INTO symbol_sync_statuses
|
|
SELECT
|
|
'${symbol}' as symbol,
|
|
Date(dateAdd(DAY,number,'${rows[0]?.latestAsOfDate || '2022-02-19'}')) as asOfDate,
|
|
'not-started' as status
|
|
FROM system.numbers
|
|
WHERE number < dateDiff('days',Date('${rows[0]?.latestAsOfDate || '2022-02-19'}'), Date(now()))
|
|
AND number > 0
|
|
`
|
|
}).then(()=>{console.log(`Done ${symbol}`);})
|
|
)
|
|
),
|
|
{concurrency: 6}
|
|
);
|
|
}
|
|
|
|
await fillSyncStatuses(); |