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", "2020-01-01"); const END_DATE = env.get("END_DATE", "2022-03-01"); 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)) { 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, contract.ticker, quotes.results?.length); } 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);