calendar-optimizer/server/src/optiondb.clickhouse.ts

import type {
  OptionContractDatabase,
  OptionContractKey,
} from "./optiondb.interfaces.js";
import type { Aggregate } from "./interfaces.js";
import { clickhouse, query } from "./lib/clickhouse.js";

function makeOptionContractDatabase(): OptionContractDatabase {
  const optionContractDatabase: Omit<
    OptionContractDatabase,
    "getOptionContracts"
  > = {
    getKeys: async ({ key: { symbol }, date }) => {
      return (
        await query<Omit<OptionContractKey, "symbol">>(`
          SELECT expirationDate, strike, type
					FROM option_contract_existences
					WHERE symbol = '${symbol}'
					AND asOfDate = '${date}'
        `)
      ).map((optionContractWithoutKey) => ({
        ...optionContractWithoutKey,
        symbol,
      }));
    },
    getAggregates: async ({
      key: { symbol, expirationDate, strike, type },
      date,
    }) => {
      return (
        await query<Omit<Aggregate<OptionContractKey>, "key">>(`
        SELECT
						toUnixTimestamp(tsStart) as tsStart,
						open,
						close,
						high,
						low
					FROM option_contract_aggregates
					WHERE symbol = '${symbol}'
					AND type = '${type}'
					AND strike = '${strike}'
					AND expirationDate = '${expirationDate}'
					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: "option_contract_aggregates",
        values: aggregates.map(
          ({
            key: { symbol, expirationDate, strike, type },
            tsStart,
            open,
            close,
            high,
            low,
          }) => ({
            symbol,
            expirationDate,
            strike,
            type,
            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 {
    ...optionContractDatabase,
    getOptionContracts: optionContractDatabase.getKeys,
  };
}

export const optionContractDatabase: OptionContractDatabase =
  makeOptionContractDatabase();