From f2711a13865a2a134efbb6ed4176b489178a32f3 Mon Sep 17 00:00:00 2001 From: Avraham Sakal Date: Fri, 3 Jan 2025 10:05:49 -0500 Subject: [PATCH] initial commit --- .gitignore | 2 + .tool-versions | 2 + ingest-option-quotes.ts | 84 ++++++ package.json | 24 ++ pnpm-lock.yaml | 601 ++++++++++++++++++++++++++++++++++++++++ tsconfig.json | 111 ++++++++ 6 files changed, 824 insertions(+) create mode 100644 .gitignore create mode 100644 .tool-versions create mode 100644 ingest-option-quotes.ts create mode 100644 package.json create mode 100644 pnpm-lock.yaml create mode 100644 tsconfig.json diff --git a/.gitignore b/.gitignore new file mode 100644 index 0000000..1dcef2d --- /dev/null +++ b/.gitignore @@ -0,0 +1,2 @@ +node_modules +.env \ No newline at end of file diff --git a/.tool-versions b/.tool-versions new file mode 100644 index 0000000..c464f9f --- /dev/null +++ b/.tool-versions @@ -0,0 +1,2 @@ +nodejs 22.8.0 +pnpm 9.7.1 \ No newline at end of file diff --git a/ingest-option-quotes.ts b/ingest-option-quotes.ts new file mode 100644 index 0000000..2188ec4 --- /dev/null +++ b/ingest-option-quotes.ts @@ -0,0 +1,84 @@ +import { restClient } from "@polygon.io/client-js"; +import PQueue from "p-queue"; +import dotenv from "dotenv"; +import { Env } from "@humanwhocodes/env"; + +dotenv.config(); + +const env = new Env(); +const POLYGON_API_KEY = env.require("POLYGON_API_KEY"); + +const polygon = restClient(POLYGON_API_KEY, "https://api.polygon.io", { + pagination: true, +}); + +const queue = new PQueue({ concurrency: 6 }); + +function* dateRange( + startDateStr: string, + endDateStr: string +): Generator { + // Convert the start and end date strings to Date objects + const startDate = new Date(startDateStr); + const endDate = new Date(endDateStr); + + // Loop from the start date to the end date + for ( + let currentDate = startDate; + currentDate <= endDate; + currentDate.setDate(currentDate.getDate() + 1) + ) { + // Format the current date as YYYY-MM-DD + const formattedDate = currentDate.toISOString().split("T")[0]; + + // Yield the formatted date + yield formattedDate; + } +} + +for (const date of dateRange("2024-05-02", "2024-05-03")) { + const contracts = await polygon.reference.optionsContracts({ + underlying_ticker: "SPY", + as_of: date, + limit: 1000, + }); + if (contracts.status?.toLowerCase() === "ok" && contracts.results) { + for (const contract of contracts.results) { + /** I don't know why we need this `if` again, but typescript yelled at me: */ + if (contract.ticker) { + await queue.add(async () => { + if (contract.ticker) { + const quotes = await polygon.options.quotes( + contract.ticker, + { + timestamp: date, + sort: "timestamp", + order: "asc", + limit: 50000, + }, + { pagination: true } + ); + if (quotes.status?.toLowerCase() === "ok" && quotes.results) { + console.log(date, contract.ticker, quotes.results?.length); + } + } + }); + } + } + } +} + +// const data = await polygon.options.quotes( +// "O:SPY241220P00600000", +// { +// "timestamp.gte": "2024-12-15", +// "timestamp.lte": "2024-12-16", +// sort: "timestamp", +// order: "asc", +// limit: 50000, +// }, +// { pagination: true } +// ); + +// console.log(data.status); +// console.log(data.results?.length); diff --git a/package.json b/package.json new file mode 100644 index 0000000..e5a0840 --- /dev/null +++ b/package.json @@ -0,0 +1,24 @@ +{ + "name": "polygon-ingester", + "version": "1.0.0", + "description": "", + "main": "index.js", + "type": "module", + "scripts": { + "test": "echo \"Error: no test specified\" && exit 1" + }, + "keywords": [], + "author": "", + "license": "ISC", + "devDependencies": { + "@types/node": "^22.10.5", + "tsx": "^4.19.2", + "typescript": "^5.7.2" + }, + "dependencies": { + "@humanwhocodes/env": "^4.0.0", + "@polygon.io/client-js": "^7.3.2", + "dotenv": "^16.4.7", + "p-queue": "^8.0.1" + } +} \ No newline at end of file diff --git a/pnpm-lock.yaml b/pnpm-lock.yaml new file mode 100644 index 0000000..65b66f6 --- /dev/null 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bundled library declaration files that describe the target runtime environment. */ + // "jsx": "preserve", /* Specify what JSX code is generated. */ + // "experimentalDecorators": true, /* Enable experimental support for legacy experimental decorators. */ + // "emitDecoratorMetadata": true, /* Emit design-type metadata for decorated declarations in source files. */ + // "jsxFactory": "", /* Specify the JSX factory function used when targeting React JSX emit, e.g. 'React.createElement' or 'h'. */ + // "jsxFragmentFactory": "", /* Specify the JSX Fragment reference used for fragments when targeting React JSX emit e.g. 'React.Fragment' or 'Fragment'. */ + // "jsxImportSource": "", /* Specify module specifier used to import the JSX factory functions when using 'jsx: react-jsx*'. */ + // "reactNamespace": "", /* Specify the object invoked for 'createElement'. This only applies when targeting 'react' JSX emit. */ + // "noLib": true, /* Disable including any library files, including the default lib.d.ts. */ + // "useDefineForClassFields": true, /* Emit ECMAScript-standard-compliant class fields. */ + // "moduleDetection": "auto", /* Control what method is used to detect module-format JS files. */ + + /* Modules */ + "module": "NodeNext" /* Specify what module code is generated. */, + // "rootDir": "./", /* Specify the root folder within your source files. */ + "moduleResolution": "nodenext" /* Specify how TypeScript looks up a file from a given module specifier. */, + // "baseUrl": "./", /* Specify the base directory to resolve non-relative module names. */ + // "paths": {}, /* Specify a set of entries that re-map imports to additional lookup locations. */ + // "rootDirs": [], /* Allow multiple folders to be treated as one when resolving modules. */ + // "typeRoots": [], /* Specify multiple folders that act like './node_modules/@types'. */ + // "types": [], /* Specify type package names to be included without being referenced in a source file. */ + // "allowUmdGlobalAccess": true, /* Allow accessing UMD globals from modules. */ + // "moduleSuffixes": [], /* List of file name suffixes to search when resolving a module. */ + // "allowImportingTsExtensions": true, /* Allow imports to include TypeScript file extensions. 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Use the 'checkJS' option to get errors from these files. */ + // "checkJs": true, /* Enable error reporting in type-checked JavaScript files. */ + // "maxNodeModuleJsDepth": 1, /* Specify the maximum folder depth used for checking JavaScript files from 'node_modules'. Only applicable with 'allowJs'. */ + + /* Emit */ + // "declaration": true, /* Generate .d.ts files from TypeScript and JavaScript files in your project. */ + // "declarationMap": true, /* Create sourcemaps for d.ts files. */ + // "emitDeclarationOnly": true, /* Only output d.ts files and not JavaScript files. */ + // "sourceMap": true, /* Create source map files for emitted JavaScript files. */ + // "inlineSourceMap": true, /* Include sourcemap files inside the emitted JavaScript. */ + // "noEmit": true, /* Disable emitting files from a compilation. */ + // "outFile": "./", /* Specify a file that bundles all outputs into one JavaScript file. 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