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124 lines
3.3 KiB
SQL
124 lines
3.3 KiB
SQL
CREATE TABLE symbols
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(
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symbol String,
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name String,
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sector LowCardinality(String),
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subindustry LowCardinality(String),
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headquarters_location String,
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date_added Date,
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cik UInt32,
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year_founded String
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)
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ENGINE MergeTree()
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ORDER BY (symbol);
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CREATE TABLE symbol_sync_statuses
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(
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symbol String,
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asOfDate Date,
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status ENUM('not-started','pending','done')
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)
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ENGINE MergeTree()
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ORDER BY (asOfDate, symbol);
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CREATE TABLE stock_aggregates
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(
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symbol LowCardinality(String),
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tsStart DateTime32,
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open Float64,
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close Float64,
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low Float64,
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high Float64,
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volume UInt64,
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volume_weighted_price Float64
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)
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ENGINE MergeTree()
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ORDER BY (symbol, tsStart)
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CREATE TABLE option_aggregates
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(
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symbol LowCardinality(String),
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expirationDate Date,
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optionType Enum('call', 'put'),
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strike Float64,
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tsStart DateTime32,
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open Float64,
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close Float64,
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low Float64,
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high Float64,
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volume UInt64,
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volumeWeightedPrice Float64
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)
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ENGINE MergeTree()
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ORDER BY (symbol, expirationDate, optionType, strike, tsStart)
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ALTER TABLE option_aggregates ADD INDEX idx_expirationDate expirationDate TYPE minmax GRANULARITY 2;
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ALTER TABLE option_aggregates ADD INDEX idx_strike strike TYPE minmax GRANULARITY 2;
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ALTER TABLE option_aggregates ADD INDEX idx_tsStart tsStart TYPE minmax GRANULARITY 2;
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CREATE TABLE option_histories
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(
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symbol LowCardinality(String),
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expirationDate Date,
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strike Float64,
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tsStart DateTime32,
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open Float64,
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daysToFront UInt16,
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underlyingPrice Float64,
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strikePercentageFromUnderlyingPrice Float64
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)
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ENGINE MergeTree()
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ORDER BY (symbol, daysToFront, strikePercentageFromUnderlyingPrice)
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CREATE TABLE calendar_histories
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(
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symbol LowCardinality(String),
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tsStart DateTime32,
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frontExpirationDate Date,
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backExpirationDate Date,
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daysToFrontExpiration UInt16,
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daysBetweenFrontAndBackExpiration UInt16,
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strike Float64,
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underlyingPrice Float64,
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strikePercentageFromUnderlyingPrice Float64,
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calendarPrice Float64
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)
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ENGINE MergeTree()
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PRIMARY KEY (symbol, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPrice)
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ORDER BY (symbol, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPrice, tsStart)
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-- INSERT INTO calendar_histories
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-- SELECT
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-- front_option.symbol as symbol,
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-- front_option.tsStart as tsStart,
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-- front_option.expirationDate as frontExpirationDate,
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-- back_option.expirationDate as backExpirationDate,
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-- front_option.daysToFront as daysToFrontExpiration,
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-- backExpirationDate - frontExpirationDate as daysBetweenFrontAndBackExpiration,
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-- front_option.strike as strike,
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-- front_option.underlyingPrice as underlyingPrice,
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-- front_option.strikePercentageFromUnderlyingPrice,
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-- back_option.open - front_option.open as calendarPrice
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-- FROM (
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-- SELECT
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-- symbol,
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-- tsStart,
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-- expirationDate,
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-- strike,
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-- open,
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-- daysToFront,
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-- underlyingPrice,
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-- strikePercentageFromUnderlyingPrice
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-- FROM option_histories
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-- ) AS front_option
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-- LEFT JOIN option_aggregates as back_option
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-- ON front_option.symbol = back_option.symbol
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-- AND front_option.strike = back_option.strike
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-- AND front_option.tsStart = back_option.tsStart
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-- WHERE back_option.expirationDate > front_option.expirationDate
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-- SETTINGS join_algorithm = 'grace_hash', grace_hash_join_initial_buckets = 16, max_bytes_in_join = 536870912
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