calendar-optimizer/server/src/index.ts

import { publicProcedure, router } from "./trpc.js";
import { query } from "./lib/clickhouse.js";
import { createHTTPHandler } from "@trpc/server/adapters/standalone";
import cors from "cors";
import {
	Object as ObjectT,
	String as StringT,
	type TSchema,
	Number as NumberT,
} from "@sinclair/typebox";
import { TypeCompiler } from "@sinclair/typebox/compiler";
import { TRPCError } from "@trpc/server";
import { createServer } from "node:http";
import { Env } from "@humanwhocodes/env";

const env = new Env();

const LISTEN_PORT = env.get("LISTEN_PORT", 3005);

/**
 * Generate a TRPC-compatible validator function given a Typebox schema.
 * This was copied from [https://github.com/sinclairzx81/typebox/blob/6cfcdc02cc813af2f1be57407c771fc4fadfc34a/example/trpc/readme.md].
 * @param schema A Typebox schema
 * @returns A TRPC-compatible validator function
 */
export function RpcType<T extends TSchema>(schema: T) {
	const check = TypeCompiler.Compile(schema);
	return (value: unknown) => {
		if (check.Check(value)) return value;
		const { path, message } = check.Errors(value).First();
		throw new TRPCError({
			message: `${message} for ${path}`,
			code: "BAD_REQUEST",
		});
	};
}

const appRouter = router({
	getAvailableUnderlyings: publicProcedure.query(async (opts) => {
		// return (
		//   await query<{ symbol: string }>(`
		//   SELECT DISTINCT(symbol) as symbol FROM option_contract_existences WHERE asOfDate = (SELECT max(asOfDate) FROM option_contract_existences)
		// `)
		// ).map(({ symbol }) => symbol);
		return ["AAPL", "AMD", "GOOGL", "MSFT", "NFLX"];
	}),
	getAvailableAsOfDates: publicProcedure
		.input(RpcType(ObjectT({ underlying: StringT() })))
		.query(async (opts) => {
			const underlying = opts.input.underlying;
			return (
				await query<{ asOfDate: string }>(`
        SELECT 
          DISTINCT(asOfDate) as asOfDate 
        FROM option_contract_existences 
        WHERE symbol = '${underlying}'
        ORDER BY asOfDate
      `)
			).map(({ asOfDate }) => asOfDate);
		}),
	getExpirationsForUnderlying: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
					asOfDate: StringT(),
				}),
			),
		)
		.query(async (opts) => {
			const { underlying, asOfDate } = opts.input;
			return (
				await query<{ expirationDate: string }>(`
        SELECT
          DISTINCT(expirationDate) as expirationDate
        FROM option_contract_existences
        WHERE symbol = '${underlying}'
        AND asOfDate = '${asOfDate}'
        ORDER BY expirationDate
      `)
			).map(({ expirationDate }) => expirationDate);
		}),
	getStrikesForUnderlying: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
					asOfDate: StringT(),
					expirationDate: StringT(),
				}),
			),
		)
		.query(async (opts) => {
			const { underlying, asOfDate, expirationDate } = opts.input;
			return (
				await query<{ strike: string }>(`
        SELECT
          DISTINCT(strike) as strike
        FROM option_contract_existences
        WHERE symbol = '${underlying}'
        AND asOfDate = '${asOfDate}'
        AND expirationDate = '${expirationDate}'
        ORDER BY strike
      `)
			).map(({ strike }) => strike);
		}),
	getOpensForUnderlying: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
				}),
			),
		)
		.query(async (opts) => {
			const { underlying } = opts.input;
			return await query<{ x: number; y: number }>(
				`
        SELECT
          toUnixTimestamp(tsStart) as x,
          open as y
        FROM stock_aggregates
        WHERE symbol = '${underlying}'
        ORDER BY tsStart ASC
      `,
				"JSONEachRow",
			);
		}),
	getOpensForOptionContract: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
					expirationDate: StringT(),
					strike: NumberT(),
				}),
			),
		)
		.query(async (opts) => {
			const { underlying, expirationDate, strike } = opts.input;
			return await query<{ x: number; y: number }>(
				`
        SELECT
          toUnixTimestamp(tsStart) as x,
          open as y
        FROM option_contract_aggregates
        WHERE symbol = '${underlying}'
        AND expirationDate = '${expirationDate}'
        AND strike = ${strike}
        AND type = 'call'
        ORDER BY tsStart ASC
      `,
				"JSONEachRow",
			);
		}),
	getHistoricalCalendarPrices: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
					daysToFrontExpiration: NumberT(),
					daysBetweenFrontAndBackExpiration: NumberT(),
					strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
					strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
				}),
			),
		)
		.query(async (opts) => {
			const {
				underlying,
				daysToFrontExpiration,
				daysBetweenFrontAndBackExpiration,
				strikePercentageFromUnderlyingPriceRangeMin,
				strikePercentageFromUnderlyingPriceRangeMax,
			} = opts.input;
			return (
				await query<[number, number]>(
					`
        SELECT
          toUnixTimestamp(tsStart) as asOfTs,
          calendarPrice
        FROM calendar_histories
        WHERE symbol = '${underlying}'
        AND daysToFrontExpiration = ${daysToFrontExpiration}
        AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
        AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
        AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
      `,
					"JSONCompactEachRow",
				)
			).reduce(
				(columns, row) => {
					columns[0].push(row[0]);
					columns[1].push(row[1]);
					return columns;
				},
				[[], []],
			);
		}),
	getHistoricalStockQuoteChartData: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
					lookbackPeriodStart: StringT(),
					lookbackPeriodEnd: StringT(),
				}),
			),
		)
		.query(async (opts) => {
			const { underlying, lookbackPeriodStart, lookbackPeriodEnd } = opts.input;
			return await query<[number, number]>(
				`
        SELECT
          toUnixTimestamp(tsStart) as x,
          open as y
        FROM stock_aggregates
        WHERE symbol = '${underlying}'
        AND tsStart >= '${lookbackPeriodStart} 00:00:00'
        AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
        ORDER BY x ASC
      `,
				"JSONEachRow",
			);
		}),
	getHistoricalCalendarQuoteChartData: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
					daysToFrontExpiration: NumberT(),
					daysBetweenFrontAndBackExpiration: NumberT(),
					strikePercentageFromUnderlyingPriceRangeMin: NumberT(),
					strikePercentageFromUnderlyingPriceRangeMax: NumberT(),
					lookbackPeriodStart: StringT(),
					lookbackPeriodEnd: StringT(),
				}),
			),
		)
		.query(async (opts) => {
			const {
				underlying,
				daysToFrontExpiration,
				daysBetweenFrontAndBackExpiration,
				strikePercentageFromUnderlyingPriceRangeMin,
				strikePercentageFromUnderlyingPriceRangeMax,
				lookbackPeriodStart,
				lookbackPeriodEnd,
			} = opts.input;
			return await query<[number, number]>(
				`
        SELECT
          toUnixTimestamp(tsStart) as x,
          truncate(calendarPrice, 2) as y
        FROM calendar_histories
        WHERE symbol = '${underlying}'
        AND daysToFrontExpiration = ${daysToFrontExpiration}
        AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
        AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
        AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
        AND tsStart >= '${lookbackPeriodStart} 00:00:00'
        AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
      `,
				"JSONEachRow",
			);
		}),
	getHistoricalCalendarExitQuoteChartData: publicProcedure
		.input(
			RpcType(
				ObjectT({
					underlying: StringT({ maxLength: 5 }),
					daysToFrontExpiration: NumberT(),
					daysBetweenFrontAndBackExpiration: NumberT(),
					lookbackPeriodStart: StringT({
						pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}",
					}),
					lookbackPeriodEnd: StringT({ pattern: "[0-9]{4}-[0-9]{2}-[0-9]{2}" }),
				}),
			),
		)
		.query(async (opts) => {
			const {
				underlying,
				daysToFrontExpiration,
				daysBetweenFrontAndBackExpiration,
				lookbackPeriodStart,
				lookbackPeriodEnd,
			} = opts.input;
			return await query<[number, number, number]>(
				`
        SELECT
          FLOOR(strikePercentageFromUnderlyingPrice, 1) as x,
          FLOOR(calendarPrice, 1) as y,
          count(*) as n
        FROM calendar_histories
        WHERE symbol = '${underlying}'
        AND daysToFrontExpiration = ${daysToFrontExpiration}
        AND strikePercentageFromUnderlyingPrice >= -5.0
        AND strikePercentageFromUnderlyingPrice <= 5.0
        AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
        AND tsStart >= '${lookbackPeriodStart} 00:00:00'
        AND tsStart <= '${lookbackPeriodEnd} 00:00:00'
        GROUP BY x, y
        ORDER BY x ASC, y ASC
      `,
				"JSONEachRow",
			);
		}),
});

// Export type router type signature,
// NOT the router itself.
export type AppRouter = typeof appRouter;

const handler = createHTTPHandler({
	middleware: cors(),
	router: appRouter,
	createContext() {
		return {};
	},
});

const server = createServer((req, res) => {
	if (req.url.startsWith("/healthz")) {
		res.statusCode = 200;
		res.end("OK");
	} else {
		handler(req, res);
	}
});

server.listen(Number.parseInt(LISTEN_PORT));