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 { // 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);