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

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

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

function makeCalendarDatabase(): CalendarDatabase {
  const getAggregatesSync = ({
    key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
    date,
  }) => {
    const frontOptionContractAggregates =
      optionContractDatabase.getAggregatesSync({
        date,
        key: { symbol, expirationDate: frontExpirationDate, strike, type },
      });
    const backOptionContractAggregates =
      optionContractDatabase.getAggregatesSync({
        date,
        key: { symbol, expirationDate: backExpirationDate, strike, type },
      });
    const calendarAggregates = [];
    let i = 0;
    let j = 0;
    while (
      i < frontOptionContractAggregates.length &&
      j < backOptionContractAggregates.length
    ) {
      if (
        frontOptionContractAggregates[i].tsStart ===
        backOptionContractAggregates[j].tsStart
      ) {
        calendarAggregates.push({
          tsStart: frontOptionContractAggregates[i].tsStart,
          open:
            backOptionContractAggregates[j].open -
            frontOptionContractAggregates[i].open,
          close:
            backOptionContractAggregates[j].close -
            frontOptionContractAggregates[i].close,
          // the high and low are not exactly correct since we don't know if each contract's high and low happened at the same moment as the other:
          high:
            backOptionContractAggregates[j].high -
            frontOptionContractAggregates[i].high,
          low:
            backOptionContractAggregates[j].low -
            frontOptionContractAggregates[i].low,
        });
        i++;
        j++;
      } else if (
        frontOptionContractAggregates[i].tsStart >
        backOptionContractAggregates[j].tsStart
      ) {
        j++;
      } else {
        i++;
      }
    }
    return calendarAggregates;
  };
  const calendarDatabase: Omit<CalendarDatabase, "getCalendars"> = {
    getKeys: async ({ key: { symbol }, date }) => {
      const optionContracts = await optionContractDatabase.getOptionContracts({
        date,
        key: { symbol },
      });
      return optionContracts.flatMap(
        (frontOptionContract, i, optionContracts) =>
          optionContracts
            .filter((_, j) => i !== j)
            .map((backOptionContract) => ({
              symbol,
              frontExpirationDate: frontOptionContract.expirationDate,
              backExpirationDate: backOptionContract.expirationDate,
              strike: frontOptionContract.strike,
              type: frontOptionContract.type,
            })),
      );
    },
    getAggregates: async ({
      key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
      date,
    }) =>
      getAggregatesSync({
        key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
        date,
      }),
    getAggregatesSync,
    insertAggregates: async (aggregates) => {
      // right now, no-op
    },
    getClosingPrice: async ({
      key: { symbol, strike, type, frontExpirationDate, backExpirationDate },
    }) => {
      // get unix timestamp, in milliseconds, of the start of the last hour, which is 03:30PM in the `America/New_York` timezone on the front expiration date:
      const startOfLastHourUnix = new Date(
        `${frontExpirationDate}T19:30:00Z`
      ).getTime();
      const endOfLastHourUnix = startOfLastHourUnix + 3600 * 1000;
      const frontOptionContractAggregates = (
        await optionContractDatabase.getAggregates({
          date: frontExpirationDate,
          key: { symbol, expirationDate: frontExpirationDate, strike, type },
        })
      ).filter(
        ({ tsStart }) =>
          tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix
      );
      const backOptionContractAggregates = (
        await optionContractDatabase.getAggregates({
          date: frontExpirationDate,
          key: { symbol, expirationDate: backExpirationDate, strike, type },
        })
      ).filter(
        ({ tsStart }) =>
          tsStart >= startOfLastHourUnix && tsStart < endOfLastHourUnix
      );
      let i = 0;
      let j = 0;
      let minPrice = 0;
      while (
        i < frontOptionContractAggregates.length &&
        j < backOptionContractAggregates.length
      ) {
        if (
          frontOptionContractAggregates[i].tsStart ===
          backOptionContractAggregates[j].tsStart
        ) {
          const calendarClosePrice =
            backOptionContractAggregates[j].close -
            frontOptionContractAggregates[i].close;
          if (calendarClosePrice < minPrice || minPrice === 0) {
            minPrice = calendarClosePrice;
          }
          i++;
          j++;
        } else if (
          frontOptionContractAggregates[i].tsStart >
          backOptionContractAggregates[j].tsStart
        ) {
          j++;
        } else {
          i++;
        }
      }
      return minPrice;
    },
    getAggregate: async ({
      key: { symbol, frontExpirationDate, backExpirationDate, strike, type },
      tsStart,
    }) => {
      const [frontOptionContractAggregate, backOptionContractAggregate] =
        await Promise.all([
          optionContractDatabase.getAggregate({
            key: { symbol, expirationDate: frontExpirationDate, strike, type },
            tsStart,
          }),
          optionContractDatabase.getAggregate({
            key: { symbol, expirationDate: backExpirationDate, strike, type },
            tsStart,
          }),
        ]);
      // only return the calendar aggregate if its constituent front and back option contract aggregates exist:
      if (frontOptionContractAggregate && backOptionContractAggregate) {
        return {
          tsStart,
          open:
            backOptionContractAggregate.open -
            frontOptionContractAggregate.open,
          close:
            backOptionContractAggregate.close -
            frontOptionContractAggregate.close,
          high:
            backOptionContractAggregate.high -
            frontOptionContractAggregate.high,
          low:
            backOptionContractAggregate.low - frontOptionContractAggregate.low,
        };
      }
      return undefined;
    },
    getTargetPriceByProbability: async ({
      symbol,
      calendarSpan,
      strikePercentageFromTheMoney,
      historicalProbabilityOfSuccess,
    }) => {
      return 0.24;
    },
  };

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

export const calendarDatabase: CalendarDatabase = makeCalendarDatabase();