calendar-optimizer/server/tables.sql

CREATE TABLE symbols
(
  symbol String,
  name String,
  sector LowCardinality(String),
  subindustry LowCardinality(String),
  headquarters_location String,
  date_added Date,
  cik UInt32,
  year_founded String
)
ENGINE MergeTree()
ORDER BY (symbol);

CREATE TABLE option_contract_existences
(
  asOfDate Date,
  symbol LowCardinality(String),
  expirationDate Date,
  strike Float32,
  type ENUM('call', 'put')
)
ENGINE ReplacingMergeTree()
PRIMARY KEY (asOfDate, symbol)
ORDER BY (asOfDate, symbol, expirationDate, strike, type);

CREATE TABLE option_contracts
(
  symbol LowCardinality(String),
  expirationDate Date,
  strike Float32,
  type ENUM('call', 'put')
)
ENGINE ReplacingMergeTree()
PRIMARY KEY (symbol, expirationDate)
ORDER BY (symbol, expirationDate, strike, type);

CREATE MATERIALIZED VIEW option_contracts_mv
TO option_contracts
AS
SELECT
  DISTINCT ON (
    symbol,
    expirationDate,
    strike,
    type
  )
  symbol,
  expirationDate,
  strike,
  type
FROM option_contract_existences;


-- BEGIN: Option Contract Quotes

-- END: Option Contract Quotes

CREATE TABLE stock_aggregates
(
  symbol LowCardinality(String), 
  tsStart DateTime32,
  open Float64, 
  close Float64, 
  low Float64, 
  high Float64, 
  volume UInt64, 
  volume_weighted_price Float64
)
ENGINE MergeTree()
ORDER BY (symbol, tsStart)

CREATE TABLE option_aggregates
(
  symbol LowCardinality(String), 
  expirationDate Date,
  strike Float32,
  type Enum('call', 'put'),

  tsStart DateTime32 CODEC(DoubleDelta(1), ZSTD),
  open Float32 CODEC(Delta(2), ZSTD), 
  close Float32 CODEC(Delta(2), ZSTD), 
  low Float32 CODEC(Delta(2), ZSTD), 
  high Float32 CODEC(Delta(2), ZSTD), 
  volume UInt32 CODEC(T64),
  volumeWeightedPrice Float32 CODEC(Delta(2), ZSTD)
)
ENGINE MergeTree()
ORDER BY (symbol, expirationDate, strike, type, tsStart)

ALTER TABLE option_aggregates ADD INDEX idx_expirationDate expirationDate TYPE minmax GRANULARITY 2;
ALTER TABLE option_aggregates ADD INDEX idx_strike strike TYPE minmax GRANULARITY 2;
ALTER TABLE option_aggregates ADD INDEX idx_tsStart tsStart TYPE minmax GRANULARITY 2;

CREATE TABLE option_contract_aggregates
(
  symbol LowCardinality(String), 
  expirationDate Date,
  strike Float32,
  type Enum('call', 'put'),

  tsStart DateTime32 CODEC(DoubleDelta(1), ZSTD),
  open Float32 CODEC(Delta(2), ZSTD), 
  close Float32 CODEC(Delta(2), ZSTD), 
  low Float32 CODEC(Delta(2), ZSTD), 
  high Float32 CODEC(Delta(2), ZSTD), 
  volume UInt32 CODEC(T64),
  volumeWeightedPrice Float32 CODEC(Delta(2), ZSTD)
)
ENGINE ReplacingMergeTree()
ORDER BY (symbol, expirationDate, strike, type, tsStart)

CREATE TABLE option_histories_last_day
(
  symbol LowCardinality(String), 
  expirationDate Date,
  strike Float64,
  type Enum('call', 'put'),

  tsStart DateTime32,
  open Float64,
  minutesToFront UInt16,
  underlyingPrice Float64,
  strikePercentageFromUnderlyingPrice Float64
)
ENGINE MergeTree()
ORDER BY (symbol, minutesToFront, strikePercentageFromUnderlyingPrice)

INSERT INTO option_histories_last_day
SELECT
  option_aggregates.symbol as symbol, 
  option_aggregates.expirationDate as expirationDate,
  option_aggregates.strike as strike,
  option_aggregates.type as type,
  option_aggregates.tsStart as tsStart,
  option_aggregates.open as open,
  date_diff('minute', tsStart, timestamp_add(expirationDate, INTERVAL 16 HOUR)) as minutesToFront,
  stock_aggregates.open as underlyingPrice Float64,
  (strike-underlyingPrice)/underlyingPrice as strikePercentageFromUnderlyingPrice Float64
FROM (
  SELECT 
    symbol,
    expirationDate,
    strike,
    type,
    tsStart,
    open
  FROM option_aggregates
  WHERE toDate(tsStart) = expirationDate
) as option_aggregates
INNER JOIN stock_aggregates
ON option_aggregates.symbol = stock_aggregates.symbol
AND option_aggregates.tsStart = stock_aggregates.tsStart

CREATE TABLE option_histories
(
  symbol LowCardinality(String), 
  expirationDate Date,
  strike Float64,

  tsStart DateTime32,
  open Float64,
  daysToFront UInt16,
  underlyingPrice Float64,
  strikePercentageFromUnderlyingPrice Float64
)
ENGINE MergeTree()
ORDER BY (symbol, daysToFront, strikePercentageFromUnderlyingPrice)


CREATE TABLE calendar_histories
(
  symbol LowCardinality(String), 
  tsStart DateTime32,
  frontExpirationDate Date,
  backExpirationDate Date,
  daysToFrontExpiration UInt16,
  daysBetweenFrontAndBackExpiration UInt16,
  strike Float64,
  underlyingPrice Float64,
  strikePercentageFromUnderlyingPrice Float64,
  calendarPrice Float64
)
ENGINE MergeTree()
PRIMARY KEY (symbol, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPrice)
ORDER BY (symbol, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPrice, tsStart)


-- INSERT INTO calendar_histories
-- SELECT
--   front_option.symbol as symbol,
--   front_option.tsStart as tsStart,
--   front_option.expirationDate as frontExpirationDate,
--   back_option.expirationDate as backExpirationDate,
--   front_option.daysToFront as daysToFrontExpiration,
--   backExpirationDate - frontExpirationDate as daysBetweenFrontAndBackExpiration,
--   front_option.strike as strike,
--   front_option.underlyingPrice as underlyingPrice,
--   front_option.strikePercentageFromUnderlyingPrice,
--   back_option.open - front_option.open as calendarPrice
-- FROM (
--   SELECT
--     symbol,
--     tsStart,
--     expirationDate,
--     strike,
--     open,
--     daysToFront,
--     underlyingPrice,
--     strikePercentageFromUnderlyingPrice
--   FROM option_histories
-- ) AS front_option
-- LEFT JOIN option_aggregates as back_option
-- ON front_option.symbol = back_option.symbol
-- AND front_option.strike = back_option.strike
-- AND front_option.tsStart = back_option.tsStart
-- WHERE back_option.expirationDate > front_option.expirationDate
-- SETTINGS join_algorithm = 'grace_hash', grace_hash_join_initial_buckets = 16, max_bytes_in_join = 536870912