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100 lines
2.7 KiB
TypeScript
100 lines
2.7 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 STOCK_QUOTES_TABLE = env.get("STOCK_QUOTES_TABLE", "stock_aggregates");
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const START_DATE = env.get("START_DATE", "2022-08-01");
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const END_DATE = env.get("END_DATE", "2022-12-31");
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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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/** To check if the market is open on the given date, we just fetch a few (10,
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* for now) rows from the option_quotes table. If there are not 10 rows, then
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* the market is closed. */
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const isMarketOpen =
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(
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await (
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await client.query({
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query: `
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SELECT *
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FROM option_quotes
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WHERE ts >= '${date} 00:00:00'
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AND ts <= '${date} 23:59:59'
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LIMIT 10
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`,
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format: "JSONEachRow",
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})
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).json()
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).length === 10;
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if (isMarketOpen) {
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await client.command({
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query: `
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INSERT INTO option_quotes_filled
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SELECT
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option_type,
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symbol,
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expiration_date,
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strike,
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ts,
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bid,
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ask
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FROM option_quotes
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WHERE ts >= '${date} 00:00:00'
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AND ts <= '${date} 23:59:59'
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ORDER BY option_type, symbol, expiration_date, strike, ts
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WITH FILL FROM toDateTime('${date} 09:30:00', 'America/New_York') TO toDateTime('${date} 16:15:01', 'America/New_York') INTERPOLATE (bid, ask)
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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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