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106 lines
3.2 KiB
TypeScript
106 lines
3.2 KiB
TypeScript
import { restClient } from "@polygon.io/client-js";
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import { client } from "./clickhouse.js";
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import PQueue from "p-queue";
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import dotenv from "dotenv";
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import { Env } from "@humanwhocodes/env";
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dotenv.config();
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const env = new Env();
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const POLYGON_API_KEY = env.require("POLYGON_API_KEY");
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const CONCURRENCY = Number.parseInt(env.get("CONCURRENCY", "6"));
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const OPTION_QUOTES_TABLE = env.get("OPTION_QUOTES_TABLE", "option_quotes");
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const START_DATE = env.get("START_DATE", "2022-06-07");
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const END_DATE = env.get("END_DATE", "2025-01-03");
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const polygon = restClient(POLYGON_API_KEY, "https://api.polygon.io", {
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pagination: true,
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});
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const queue = new PQueue({ concurrency: CONCURRENCY });
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function* dateRange(
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startDateStr: string,
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endDateStr: string
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): Generator<string, void, unknown> {
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// Convert the start and end date strings to Date objects
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const startDate = new Date(startDateStr);
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const endDate = new Date(endDateStr);
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// Loop from the start date to the end date
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for (
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let currentDate = startDate;
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currentDate <= endDate;
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currentDate.setDate(currentDate.getDate() + 1)
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) {
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// Format the current date as YYYY-MM-DD
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const formattedDate = currentDate.toISOString().split("T")[0];
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// Yield the formatted date
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yield formattedDate;
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}
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}
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for (const date of dateRange(START_DATE, END_DATE)) {
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const contracts = await polygon.reference.optionsContracts({
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underlying_ticker: "SPY",
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as_of: date,
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limit: 1000,
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});
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if (contracts.status?.toLowerCase() === "ok" && contracts.results) {
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for (const contract of contracts.results) {
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/** I don't know why we need this `if` again, but typescript yelled at me: */
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if (contract.ticker) {
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await queue.add(async () => {
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if (contract.ticker) {
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const quotes = await polygon.options.quotes(
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contract.ticker,
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{
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timestamp: date,
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sort: "timestamp",
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order: "asc",
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limit: 50000,
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},
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{ pagination: true }
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);
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if (quotes.status?.toLowerCase() === "ok" && quotes.results) {
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await client.insert({
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table: OPTION_QUOTES_TABLE,
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values: quotes.results.map(
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({ bid_price, ask_price, sip_timestamp }) => ({
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option_type: contract.contract_type,
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symbol: contract.underlying_ticker,
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expiration_date: contract.expiration_date,
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strike: contract.strike_price,
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ts: new Date(Math.floor(sip_timestamp / 1000000)),
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bid: bid_price,
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ask: ask_price,
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})
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),
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format: "JSONEachRow",
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});
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// console.log(date, contract.ticker, quotes.results?.length);
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}
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}
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});
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}
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}
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}
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console.log("finished", date);
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}
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// const data = await polygon.options.quotes(
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// "O:SPY241220P00600000",
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// {
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// "timestamp.gte": "2024-12-15",
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// "timestamp.lte": "2024-12-16",
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// sort: "timestamp",
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// order: "asc",
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// limit: 50000,
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// },
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// { pagination: true }
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// );
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// console.log(data.status);
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// console.log(data.results?.length);
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