139 lines
4.0 KiB
TypeScript
139 lines
4.0 KiB
TypeScript
import type { OptionContractDatabase } from "./interfaces.js";
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import { open } from "lmdbx";
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const optionContractAggregatesDb = open({
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path: "./option-contract-aggregates.db",
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// any options go here, we can turn on compression like this:
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compression: true,
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});
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const optionContractExistenceDb = open({
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path: "./option-contract-existence.db",
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// any options go here, we can turn on compression like this:
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compression: true,
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});
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/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
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const MAXIMUM_KEY = Buffer.from([0xff]);
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function makeOptionContractDatabase(): OptionContractDatabase {
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const getAggregatesSync = ({
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key: { symbol, expirationDate, strike, type },
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date,
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}) => {
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const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
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const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
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return optionContractAggregatesDb
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.getRange({
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start: [symbol, expirationDate, strike, type, startOfDayUnix],
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end: [symbol, expirationDate, strike, type, endOfDayUnix],
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})
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.map(({ key, value }) => ({
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tsStart: key[4],
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open: value.open,
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close: value.close,
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high: value.high,
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low: value.low,
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})).asArray;
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};
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const optionContractDatabase: Omit<
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OptionContractDatabase,
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"getOptionContracts"
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> = {
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getKeys: async ({ key: { symbol }, date }) => {
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return optionContractExistenceDb
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.getRange({
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start: [date, symbol],
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end: [date, symbol, MAXIMUM_KEY],
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})
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.map(({ key }) => ({
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symbol,
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expirationDate: key[2],
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strike: key[3],
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type: key[4],
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})).asArray;
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},
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getAggregatesSync,
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getAggregates: async ({
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key: { symbol, expirationDate, strike, type },
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date,
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}) =>
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getAggregatesSync({
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key: { symbol, expirationDate, strike, type },
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date,
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}),
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insertAggregates: async (aggregates) => {
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await optionContractExistenceDb.batch(() => {
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for (const aggregate of aggregates) {
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optionContractExistenceDb.put(
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[
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new Date(aggregate.tsStart).toISOString().substring(0, 10),
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aggregate.key.symbol,
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aggregate.key.expirationDate,
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aggregate.key.strike,
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aggregate.key.type,
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],
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null
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);
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}
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});
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await optionContractAggregatesDb.batch(() => {
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for (const aggregate of aggregates) {
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optionContractAggregatesDb.put(
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[
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aggregate.key.symbol,
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aggregate.key.expirationDate,
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aggregate.key.strike,
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aggregate.key.type,
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aggregate.tsStart,
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],
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{
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open: aggregate.open,
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close: aggregate.close,
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high: aggregate.high,
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low: aggregate.low,
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}
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);
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}
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});
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},
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getClosingPrice: async ({
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key: { symbol, strike, type, expirationDate },
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}) => {
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const startOfLastHourUnix = new Date(
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`${expirationDate}T00:00:00Z`
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).valueOf();
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const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
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let minPrice = 0;
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for (const { value } of optionContractAggregatesDb.getRange({
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start: [symbol, expirationDate, strike, type, startOfLastHourUnix],
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end: [symbol, expirationDate, strike, type, endOfLastHourUnix],
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})) {
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if (value.close < minPrice || minPrice === 0) {
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minPrice = value.close;
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}
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}
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return minPrice;
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},
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getAggregate: async ({
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key: { symbol, expirationDate, strike, type },
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tsStart,
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}) => {
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return await optionContractAggregatesDb.get([
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symbol,
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expirationDate,
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strike,
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type,
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tsStart,
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]);
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},
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};
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return {
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...optionContractDatabase,
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getOptionContracts: optionContractDatabase.getKeys,
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};
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}
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export const database: OptionContractDatabase = makeOptionContractDatabase();
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