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108 lines
3.4 KiB
TypeScript
108 lines
3.4 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", "2022-03-07");
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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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for (let hour = 13; hour <= 21; hour++) {
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await client.command({
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query: `
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INSERT INTO calendar_stats
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SELECT
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date,
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dte,
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span,
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moniness,
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calendar_midpoint as price,
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count(*) as number_of_quotes
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FROM (
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SELECT
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toDate('${date}') as date,
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date_diff('days', toDate(front.ts), front.expiration_date) as dte,
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date_diff('days', front.expiration_date, back.expiration_date) as span,
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floor((stock.price - strike) / stock.price, 2) as moniness,
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back.bid - front.bid as calendar_bid,
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back.ask - front.ask as calendar_ask,
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floor((calendar_bid + calendar_ask) / 2, 2) as calendar_midpoint
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FROM option_quotes_filled AS front
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INNER JOIN option_quotes_filled AS back
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ON front.option_type = back.option_type
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AND front.symbol = back.symbol
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AND front.strike = back.strike
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AND front.expiration_date < back.expiration_date
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AND front.ts = back.ts
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INNER JOIN stock_aggregates_filled AS stock
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ON front.symbol = stock.symbol
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AND front.ts = stock.ts
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WHERE front.ts >= '${date} ${hour}:00:00'
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AND front.ts < '${date} ${hour + 1}:00:00'
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)
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GROUP BY date, dte, span, moniness, price
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ORDER BY date, dte, span, moniness, price
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SETTINGS allow_experimental_join_condition = 1
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;
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`,
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// clickhouse_settings: {
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// http_receive_timeout: 9999,
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// receive_timeout: 9999,
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// stream_poll_timeout_ms: 9999000,
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// receive_data_timeout_ms: 9999000,
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// },
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});
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console.log("finished", date, hour);
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}
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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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