calendar-optimizer/server/src/calendardb/lmdbx.ts

import type { CalendarDatabase } from "./interfaces.js";
import { open } from "lmdbx";

const calendarAggregatesDb = open({
  path: "./calendar-aggregates.db",
  compression: true,
});

const calendarExistenceDb = open({
  path: "./calendar-existence.db",
  compression: true,
});

/** Largest possible key according to the `ordered-binary` (used by lmdbx) docs. */
const MAXIMUM_KEY = Buffer.from([0xff]);

function makeCalendarDatabase(): CalendarDatabase {
  const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
    getKeys: async ({ key: { symbol }, date }) => {
      return calendarExistenceDb
        .getRange({
          start: [date, symbol],
          end: [date, symbol, MAXIMUM_KEY],
        })
        .map(({ key }) => ({
          symbol,
          frontExpirationDate: key[2],
          backExpirationDate: key[3],
          strike: key[4],
          type: key[5],
        })).asArray;
    },
    getAggregates: async ({
      key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
      date,
    }) => {
      const startOfDayUnix = new Date(`${date}T00:00:00Z`).valueOf();
      const endOfDayUnix = startOfDayUnix + 3600 * 24 * 1000;
      return calendarAggregatesDb
        .getRange({
          start: [
            symbol,
            frontExpirationDate,
            backExpirationDate,
            strike,
            type,
            startOfDayUnix,
          ],
          end: [
            symbol,
            frontExpirationDate,
            backExpirationDate,
            strike,
            type,
            endOfDayUnix,
          ],
        })
        .map(({ value }) => ({
          tsStart: value.tsStart,
          open: value.open,
          close: value.close,
          high: value.high,
          low: value.low,
        })).asArray;
    },
    getAggregate: async ({
      key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
      tsStart,
    }) => {
      return await calendarAggregatesDb.get([
        symbol,
        frontExpirationDate,
        backExpirationDate,
        strike,
        type,
        tsStart,
      ]);
    },
    insertAggregates: async (aggregates) => {
      await calendarExistenceDb.batch(() => {
        for (const aggregate of aggregates) {
          calendarExistenceDb.put(
            [
              new Date(aggregate.tsStart).toISOString().substring(0, 10),
              aggregate.key.symbol,
              aggregate.key.frontExpirationDate,
              aggregate.key.backExpirationDate,
              aggregate.key.strike,
              aggregate.key.type,
            ],
            null
          );
        }
      });
      await calendarAggregatesDb.batch(() => {
        for (const aggregate of aggregates) {
          calendarAggregatesDb.put(
            [
              aggregate.key.symbol,
              aggregate.key.frontExpirationDate,
              aggregate.key.backExpirationDate,
              aggregate.key.strike,
              aggregate.key.type,
              aggregate.tsStart,
            ],
            {
              open: aggregate.open,
              close: aggregate.close,
              high: aggregate.high,
              low: aggregate.low,
            }
          );
        }
      });
    },
    getClosingPrice: async ({
      key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
    }) => {
      const startOfExpirationDateUnix = new Date(
        `${frontExpirationDate}T23:59:59Z`
      ).valueOf();
      const endOfExpirationDateUnix = new Date(
        `${frontExpirationDate}T00:00:00Z`
      ).valueOf();
      for (const { value } of calendarAggregatesDb.getRange({
        start: [
          symbol,
          frontExpirationDate,
          backExpirationDate,
          strike,
          type,
          startOfExpirationDateUnix,
        ],
        end: [
          symbol,
          frontExpirationDate,
          backExpirationDate,
          strike,
          type,
          endOfExpirationDateUnix,
        ],
        reverse: true,
      })) {
        if (value.close > 0) {
          return value.close;
        }
      }
      return 0;
    },
    getTargetPriceByProbability: async ({
      symbol,
      calendarSpan,
      strikePercentageFromTheMoney,
      historicalProbabilityOfSuccess,
    }) => {
      return 0.24;
    },
  };

  return {
    ...calendarDatabase,
    getCalendars: calendarDatabase.getKeys,
  };
}

export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();