add "fill stock quoites" script, reorder scripts

01-ingest-stock-quotes.ts

@@ -0,0 +1,100 @@
+import { restClient } from "@polygon.io/client-js";
+import { client } from "./clickhouse.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 CONCURRENCY = Number.parseInt(env.get("CONCURRENCY", "6"));
+const STOCK_QUOTES_TABLE = env.get("STOCK_QUOTES_TABLE", "stock_aggregates");
+const START_DATE = env.get("START_DATE", "2022-03-01");
+const END_DATE = env.get("END_DATE", "2025-01-31");
+
+const polygon = restClient(POLYGON_API_KEY, "https://api.polygon.io", {
+  pagination: true,
+});
+
+const queue = new PQueue({ concurrency: CONCURRENCY });
+
+function* dateRange(
+  startDateStr: string,
+  endDateStr: string
+): Generator<string, void, unknown> {
+  // 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(START_DATE, END_DATE)) {
+  const quotes = await polygon.stocks.aggregates(
+    "SPY",
+    1,
+    "second",
+    date,
+    date,
+    {
+      adjusted: "true",
+      sort: "asc",
+      limit: 50000,
+    },
+    { pagination: true }
+  );
+  if (quotes.status?.toLowerCase() === "ok" && quotes.results) {
+    await client.insert({
+      table: STOCK_QUOTES_TABLE,
+      values: quotes.results.map(({ h: high, l: low, t: timestamp }) =>
+        typeof high === "number" &&
+        typeof low === "number" &&
+        typeof timestamp === "number"
+          ? {
+              symbol: "SPY",
+              ts: new Date(timestamp),
+              price: (high + low) / 2,
+            }
+          : {
+              symbol: "",
+              ts: 0,
+              price: 0,
+            }
+      ),
+      format: "JSONEachRow",
+    });
+
+    // console.log(
+    //   date,
+    //   quotes.results?.map(({ h: high = 0, l: low = 0 }) => (high + low) / 2)
+    // );
+  }
+  console.log("finished", date);
+}
+
+// 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);

02-fill-stock-quotes.ts

@@ -0,0 +1,95 @@
+import { restClient } from "@polygon.io/client-js";
+import { client } from "./clickhouse.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 CONCURRENCY = Number.parseInt(env.get("CONCURRENCY", "6"));
+const STOCK_QUOTES_TABLE = env.get("STOCK_QUOTES_TABLE", "stock_aggregates");
+const START_DATE = env.get("START_DATE", "2022-08-01");
+const END_DATE = env.get("END_DATE", "2022-12-31");
+
+const polygon = restClient(POLYGON_API_KEY, "https://api.polygon.io", {
+  pagination: true,
+});
+
+const queue = new PQueue({ concurrency: CONCURRENCY });
+
+function* dateRange(
+  startDateStr: string,
+  endDateStr: string
+): Generator<string, void, unknown> {
+  // 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(START_DATE, END_DATE)) {
+  /** To check if the market is open on the given date, we just fetch a few (10,
+   * for now) rows from the option_quotes table. If there are not 10 rows, then
+   * the market is closed. */
+  const isMarketOpen =
+    (
+      await (
+        await client.query({
+          query: `
+      SELECT *
+      FROM stock_aggregates
+      WHERE ts >= '${date} 00:00:00'
+        AND ts <= '${date} 23:59:59'
+      LIMIT 10
+    `,
+          format: "JSONEachRow",
+        })
+      ).json()
+    ).length === 10;
+  if (isMarketOpen) {
+    await client.command({
+      query: `
+        INSERT INTO stock_aggregates_filled
+        SELECT
+          symbol,
+          ts,
+          price
+        FROM stock_aggregates
+        WHERE ts >= '${date} 00:00:00'
+        AND ts <= '${date} 23:59:59'
+        ORDER BY symbol, ts 
+        WITH FILL FROM toDateTime('${date} 09:30:00', 'America/New_York') TO toDateTime('${date} 16:15:01', 'America/New_York') INTERPOLATE (price)
+      `,
+    });
+  }
+  console.log("finished", date);
+}
+
+// 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);

04-fill-option-quotes.ts

@@ -0,0 +1,99 @@
+import { restClient } from "@polygon.io/client-js";
+import { client } from "./clickhouse.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 CONCURRENCY = Number.parseInt(env.get("CONCURRENCY", "6"));
+const STOCK_QUOTES_TABLE = env.get("STOCK_QUOTES_TABLE", "stock_aggregates");
+const START_DATE = env.get("START_DATE", "2022-08-01");
+const END_DATE = env.get("END_DATE", "2022-12-31");
+
+const polygon = restClient(POLYGON_API_KEY, "https://api.polygon.io", {
+  pagination: true,
+});
+
+const queue = new PQueue({ concurrency: CONCURRENCY });
+
+function* dateRange(
+  startDateStr: string,
+  endDateStr: string
+): Generator<string, void, unknown> {
+  // 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(START_DATE, END_DATE)) {
+  /** To check if the market is open on the given date, we just fetch a few (10,
+   * for now) rows from the option_quotes table. If there are not 10 rows, then
+   * the market is closed. */
+  const isMarketOpen =
+    (
+      await (
+        await client.query({
+          query: `
+      SELECT *
+      FROM option_quotes
+      WHERE ts >= '${date} 00:00:00'
+        AND ts <= '${date} 23:59:59'
+      LIMIT 10
+    `,
+          format: "JSONEachRow",
+        })
+      ).json()
+    ).length === 10;
+  if (isMarketOpen) {
+    await client.command({
+      query: `
+        INSERT INTO option_quotes_filled
+        SELECT
+          option_type,
+          symbol,
+          expiration_date,
+          strike,
+          ts,
+          bid,
+          ask
+        FROM option_quotes
+        WHERE ts >= '${date} 00:00:00'
+        AND ts <= '${date} 23:59:59'
+        ORDER BY option_type, symbol, expiration_date, strike, ts 
+        WITH FILL FROM toDateTime('${date} 09:30:00', 'America/New_York') TO toDateTime('${date} 16:15:01', 'America/New_York') INTERPOLATE (bid, ask)
+      `,
+    });
+  }
+  console.log("finished", date);
+}
+
+// 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);

05-populate-calendar-stats.ts

@@ -0,0 +1,107 @@
+import { restClient } from "@polygon.io/client-js";
+import { client } from "./clickhouse.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 CONCURRENCY = Number.parseInt(env.get("CONCURRENCY", "6"));
+const STOCK_QUOTES_TABLE = env.get("STOCK_QUOTES_TABLE", "stock_aggregates");
+const START_DATE = env.get("START_DATE", "2022-03-07");
+const END_DATE = env.get("END_DATE", "2022-12-31");
+
+const polygon = restClient(POLYGON_API_KEY, "https://api.polygon.io", {
+  pagination: true,
+});
+
+const queue = new PQueue({ concurrency: CONCURRENCY });
+
+function* dateRange(
+  startDateStr: string,
+  endDateStr: string
+): Generator<string, void, unknown> {
+  // 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(START_DATE, END_DATE)) {
+  for (let hour = 13; hour <= 21; hour++) {
+    await client.command({
+      query: `
+        INSERT INTO calendar_stats
+        SELECT
+          date,
+          dte,
+          span,
+          moniness,
+          calendar_midpoint as price,
+          count(*) as number_of_quotes
+        FROM (
+          SELECT
+            toDate('${date}') as date,
+            date_diff('days', toDate(front.ts), front.expiration_date) as dte,
+            date_diff('days', front.expiration_date, back.expiration_date) as span,
+            floor((stock.price - strike) / stock.price, 2) as moniness,
+            back.bid - front.bid as calendar_bid,
+            back.ask - front.ask as calendar_ask,
+            floor((calendar_bid + calendar_ask) / 2, 2) as calendar_midpoint
+          FROM option_quotes_filled AS front
+          INNER JOIN option_quotes_filled AS back
+            ON front.option_type = back.option_type
+            AND front.symbol = back.symbol
+            AND front.strike = back.strike
+            AND front.expiration_date < back.expiration_date
+            AND front.ts = back.ts
+          INNER JOIN stock_aggregates_filled AS stock
+            ON front.symbol = stock.symbol
+            AND front.ts = stock.ts
+          WHERE front.ts >= '${date} ${hour}:00:00'
+            AND front.ts < '${date} ${hour + 1}:00:00'
+        )
+        GROUP BY date, dte, span, moniness, price
+        ORDER BY date, dte, span, moniness, price
+        SETTINGS allow_experimental_join_condition = 1
+        ;
+      `,
+      // clickhouse_settings: {
+      //   http_receive_timeout: 9999,
+      //   receive_timeout: 9999,
+      //   stream_poll_timeout_ms: 9999000,
+      //   receive_data_timeout_ms: 9999000,
+      // },
+    });
+    console.log("finished", date, hour);
+  }
+}
+
+// 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);

clickhouse.ts

@@ -5,10 +5,12 @@ import { Env } from "@humanwhocodes/env";
 dotenv.config();
 
 const env = new Env();
+const CLICKHOUSE_URL = env.require("CLICKHOUSE_URL");
 const CLICKHOUSE_USERNAME = env.require("CLICKHOUSE_USERNAME");
 const CLICKHOUSE_PASSWORD = env.require("CLICKHOUSE_PASSWORD");
 
 export const client = createClient({
+  url: CLICKHOUSE_URL,
   username: CLICKHOUSE_USERNAME,
   password: CLICKHOUSE_PASSWORD,
   clickhouse_settings: {
@@ -17,9 +19,10 @@ export const client = createClient({
     output_format_json_quote_64bit_floats: 0,
     date_time_input_format: "best_effort",
   },
+  request_timeout: 3600000,
 });
 
-client.insert({
-  table: "option_quotes",
-  values: [],
-});
+// client.insert({
+//   table: "option_quotes",
+//   values: [],
+// });