option aggregate table; "ingest" scripts; unthrottled polygon
This commit is contained in:
Avraham Sakal
@@ -0,0 +1,271 @@
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import { clickhouse, query } from "../clickhouse.js";
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import { getApiKey } from "./polygon.js";
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import pAll from "p-all";
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import pQueue from "p-queue";
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import pSeries from "p-series";
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type PolygonResponse = {
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next_url?: string;
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results: Array<{
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ticker: string;
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expiration_date: string;
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strike_price: number;
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contract_type: "call" | "put";
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}>;
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};
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async function getOptionContracts(underlyingSymbol, asOfDate) {
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// first mark the sync of this particular symbol and asOfDate as "pending":
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await clickhouse.insert({
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table: "option_contract_sync_statuses",
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values: [{ symbol: underlyingSymbol, asOfDate, status: "pending" }],
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format: "JSONEachRow",
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});
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// then commence the sync with the initial request:
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let latestBatchResponse = (await (
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await fetch(
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`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${underlyingSymbol}&as_of=${asOfDate}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`
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)
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).json()) as PolygonResponse;
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let latestBatch = latestBatchResponse.results.map((result) => ({
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate: result.expiration_date,
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strike: result.strike_price,
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type: result.contract_type,
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}));
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await clickhouse.insert({
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table: "option_contracts",
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values: latestBatch,
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format: "JSONEachRow",
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});
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//console.log(latestBatch.results.map((r)=>r.ticker));
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// as long as there's a `next_url`, call that:
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while (latestBatchResponse.hasOwnProperty("next_url")) {
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latestBatchResponse = (await (
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await fetch(`${latestBatchResponse.next_url}&apiKey=${await getApiKey()}`)
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).json()) as PolygonResponse;
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latestBatch = latestBatchResponse.results.map((result) => ({
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate: result.expiration_date,
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strike: result.strike_price,
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type: result.contract_type,
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}));
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//console.log(latestBatch.results.map((r)=>r.ticker));
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await clickhouse.insert({
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table: "option_contracts",
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values: latestBatch,
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format: "JSONEachRow",
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});
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}
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await clickhouse.insert({
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table: "option_contract_sync_statuses",
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values: [{ symbol: underlyingSymbol, asOfDate, status: "done" }],
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format: "JSONEachRow",
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});
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}
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async function getNextBatchOfUnstartedSymbolsAndAsOfDates(
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previousUnstartedSymbolAndAsOfDate:
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| { symbol: string; asOfDate: string }
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| undefined,
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limit: number
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) {
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if (typeof previousUnstartedSymbolAndAsOfDate === "undefined") {
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return null;
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}
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// the `OR symbol >` and `OR symbol <` need to be there separately and in that order, to maintain predicatable syncing order
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const rows = await query<{ symbol: string; earliestAsOfDate: string }>(`
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SELECT
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symbol,
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first_value(asOfDate) as earliestAsOfDate
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FROM (
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SELECT
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symbol,
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asOfDate,
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last_value(status) as latestStatus
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FROM (
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SELECT *
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FROM option_contract_sync_statuses
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ORDER BY asOfDate ASC, symbol ASC
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)
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GROUP BY symbol, asOfDate
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HAVING latestStatus = 'not-started'
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ORDER BY symbol ASC, asOfDate ASC
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)
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GROUP BY symbol
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HAVING (
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symbol = '${previousUnstartedSymbolAndAsOfDate.symbol}'
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AND asOfDate > '${previousUnstartedSymbolAndAsOfDate.asOfDate}'
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)
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OR (
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symbol > '${previousUnstartedSymbolAndAsOfDate.symbol}'
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)
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OR (
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symbol < '${previousUnstartedSymbolAndAsOfDate.symbol}'
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)
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ORDER BY symbol ASC
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LIMIT ${limit}
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`);
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return rows.map((row) => ({
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symbol: row.symbol,
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asOfDate: row.earliestAsOfDate,
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}));
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}
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/**
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* For each symbol in `symbols` table, check the latest `asOfDate`
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* in `option_contract_sync_statuses` for that symbol. Then fill-in the rest
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* of the dates until today's date.
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*/
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async function fillSyncStatuses() {
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const symbols = (
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await query<{ symbol: string }>(`
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SELECT symbol from symbols
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`)
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).map(({ symbol }) => symbol);
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console.log("symbols", symbols);
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await pAll(
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symbols.map(
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(symbol) => () =>
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query<{ latestAsOfDate: string }>(`
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SELECT
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latestAsOfDate
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FROM (
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SELECT last_value(asOfDate) as latestAsOfDate
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FROM (
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SELECT *
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FROM option_contract_sync_statuses
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WHERE symbol = '${symbol}'
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ORDER BY asOfDate ASC
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)
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)
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WHERE latestAsOfDate > '2022-02-18'
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`).then((rows) =>
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clickhouse
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.command({
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query: `
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INSERT INTO option_contract_sync_statuses
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SELECT
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'${symbol}' as symbol,
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Date(dateAdd(DAY,number,'${
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rows[0]?.latestAsOfDate || "2022-02-19"
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}')) as asOfDate,
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'not-started' as status
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FROM system.numbers
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WHERE number < dateDiff('days',Date('${
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rows[0]?.latestAsOfDate || "2022-02-19"
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}'), Date(now()))
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AND number > 0
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`,
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})
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.then(() => {
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console.log(`Done ${symbol}`);
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})
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)
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),
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{ concurrency: 6 }
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);
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}
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/** First, make sure we know which symbol-asOfDate combinations are
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* yet un-synced.
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*/
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await fillSyncStatuses();
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/**
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* Second, since this is startup time, obviously anything `pending` is not really running.
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* So, for each `pending` combo, delete its status, and all contracts synced so far, so as to start afresh.
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*/
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const pendingSymbolsAndAsOfDates = await query<{
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symbol: string;
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asOfDate: string;
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latestStatus: "not-started" | "pending" | "done";
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}>(`
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SELECT
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symbol,
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asOfDate,
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last_value(status) as latestStatus
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FROM (
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SELECT *
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FROM option_contract_sync_statuses
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ORDER BY asOfDate ASC, symbol ASC
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)
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GROUP BY symbol, asOfDate
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HAVING latestStatus = 'pending'
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ORDER BY symbol ASC, asOfDate ASC
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`);
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console.log(
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"Pending operations:",
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pendingSymbolsAndAsOfDates.map(
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({ symbol, asOfDate }) => `${symbol} ${asOfDate}`
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)
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);
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await pAll(
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pendingSymbolsAndAsOfDates.map(
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({ symbol, asOfDate }) =>
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() =>
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pSeries([
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// Delete option_contracts first, in case this `pAll` operation fails and we need to restart; so `option_contract_sync_statuses` "pending" rows are still there for the restart
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() =>
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clickhouse.command({
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query: `DELETE FROM option_contracts WHERE symbol = '${symbol}' AND asOfDate = '${asOfDate}'`,
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}),
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() =>
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clickhouse.command({
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query: `DELETE FROM option_contract_sync_statuses WHERE symbol = '${symbol}' AND asOfDate = '${asOfDate}' AND status = 'pending'`,
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}),
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])
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)
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);
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/** Second, for each symbol-asOfDate combination whose option contracts
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* are not known, make them known.
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*
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* This queries Polygon with a concurrency of 6.
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*/
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const q = new pQueue({ concurrency: 6 });
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/** Initialized with the lowest possible symbol and the earliest possible asOfDate.
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* It's passed into `getNextUnstartedSymbolAndAsOfDate()`.
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*/
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let nextBatchOfUnstartedSymbolsAndAsOfDates = [
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{ symbol: "A", asOfDate: "2022-02-01" },
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];
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while (
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(nextBatchOfUnstartedSymbolsAndAsOfDates =
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await getNextBatchOfUnstartedSymbolsAndAsOfDates(
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nextBatchOfUnstartedSymbolsAndAsOfDates.pop(),
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200
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)) !== null
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) {
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await pAll(
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nextBatchOfUnstartedSymbolsAndAsOfDates.map(
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(unstartedSymbolAndAsOfDate) => () =>
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q.add(async () => {
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console.log(
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`Getting contracts for ${unstartedSymbolAndAsOfDate.symbol} at ${unstartedSymbolAndAsOfDate.asOfDate}`
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);
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await getOptionContracts(
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unstartedSymbolAndAsOfDate.symbol,
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unstartedSymbolAndAsOfDate.asOfDate
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);
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})
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)
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);
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// don't loop again until the queue has less than 50 items; we don't want it to grow in memory without bound:
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console.log("Waiting till less than 50 in queue");
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await q.onSizeLessThan(50);
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}
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// wait until pending queue operations are done:
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await q.onSizeLessThan(1);
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/**
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* For each option contract, find its earliest date of existence, and get all quotes from
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* then on.
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*/
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/*** TODOs ***/
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/*
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+ Gracefully recover from errors in individual operations.
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*/
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@@ -4,248 +4,266 @@ import pAll from "p-all";
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import pQueue from "p-queue";
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import pSeries from "p-series";
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const optionContractToTicker = ({ symbol, expirationDate, strike, type }) =>
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`O:${symbol}${expirationDate.substring(2, 4)}${expirationDate.substring(
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5,
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7
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)}${expirationDate.substring(8, 10)}${
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type === "call" ? "C" : "P"
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}${Math.floor(strike * 1000)
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.toString()
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.padStart(8, "0")}`;
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type PolygonResponse = {
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next_url?: string;
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results: Array<{
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ticker: string;
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expiration_date: string;
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strike_price: number;
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contract_type: "call" | "put";
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c: number;
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h: number;
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n: number;
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l: number;
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o: number;
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t: number;
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v: number;
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vw: number;
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}>;
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};
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async function getOptionContracts(underlyingSymbol, asOfDate) {
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// first mark the sync of this particular symbol and asOfDate as "pending":
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async function getOptionAggregates(
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asOfDate,
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underlyingSymbol,
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expirationDate,
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strike,
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type
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) {
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const optionContractTicker = optionContractToTicker({
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symbol: underlyingSymbol,
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expirationDate,
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strike,
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type,
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});
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// first mark the sync of this particular option contract as "pending":
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await clickhouse.insert({
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table: "option_contract_sync_statuses",
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values: [{ symbol: underlyingSymbol, asOfDate, status: "pending" }],
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table: "option_aggregate_sync_statuses",
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values: [
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{
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate,
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strike,
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type,
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status: "pending",
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},
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],
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format: "JSONEachRow",
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});
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// then commence the sync with the initial request:
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let latestBatchResponse = (await (
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await fetch(
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`https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${underlyingSymbol}&as_of=${asOfDate}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`
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`https://api.polygon.io/v2/aggs/ticker/${optionContractTicker}/range/1/minute/${asOfDate}/${asOfDate}?adjusted=false&sort=asc&limit=50000&apiKey=${await getApiKey()}`
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)
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).json()) as PolygonResponse;
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let latestBatch = latestBatchResponse.results.map((result) => ({
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate: result.expiration_date,
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strike: result.strike_price,
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type: result.contract_type,
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expirationDate,
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strike,
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type,
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tsStart: (result.t || 0) / 1000,
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open: result.o,
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close: result.c,
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low: result.l,
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high: result.h,
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}));
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await clickhouse.insert({
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table: "option_contracts",
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table: "option_aggregates",
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values: latestBatch,
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format: "JSONEachRow",
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});
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//console.log(latestBatch.results.map((r)=>r.ticker));
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// as long as there's a `next_url`, call that:
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while (latestBatchResponse.hasOwnProperty("next_url")) {
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latestBatchResponse = (await (
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await fetch(`${latestBatchResponse.next_url}&apiKey=${await getApiKey()}`)
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).json()) as PolygonResponse;
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latestBatch = latestBatchResponse.results.map((result) => ({
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate: result.expiration_date,
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strike: result.strike_price,
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type: result.contract_type,
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}));
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//console.log(latestBatch.results.map((r)=>r.ticker));
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await clickhouse.insert({
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table: "option_contracts",
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values: latestBatch,
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format: "JSONEachRow",
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});
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}
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await clickhouse.insert({
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table: "option_contract_sync_statuses",
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values: [{ symbol: underlyingSymbol, asOfDate, status: "done" }],
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table: "option_contract_quote_sync_statuses",
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values: [
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{
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asOfDate,
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symbol: underlyingSymbol,
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expirationDate,
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strike,
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type,
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status: "done",
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},
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],
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format: "JSONEachRow",
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});
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}
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async function getNextBatchOfUnstartedSymbolsAndAsOfDates(
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previousUnstartedSymbolAndAsOfDate:
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| { symbol: string; asOfDate: string }
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| undefined,
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type OptionContract = {
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symbol: string;
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expirationDate: string;
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strike: number;
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type: "call" | "put";
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};
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type OptionContractDay = OptionContract & { asOfDate: string };
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async function getNextBatchOfUnstartedOptionAggregates(
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previousUnstartedOptionContract: OptionContractDay | undefined,
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limit: number
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) {
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if (typeof previousUnstartedSymbolAndAsOfDate === "undefined") {
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): Promise<Array<OptionContractDay>> {
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if (typeof previousUnstartedOptionContract === "undefined") {
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return;
|
||||
}
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const rows = await query<{ symbol: string; earliestAsOfDate: string }>(`
|
||||
SELECT
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symbol,
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first_value(asOfDate) as earliestAsOfDate
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const optionContractsWithoutAggregates = await query<OptionContractDay>(`
|
||||
SELECT
|
||||
asOfDate,
|
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symbol,
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expirationDate,
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strike,
|
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type,
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last_value(status) as latestStatus
|
||||
FROM (
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SELECT
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symbol,
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asOfDate,
|
||||
last_value(status) as latestStatus
|
||||
FROM (
|
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SELECT *
|
||||
FROM option_contract_sync_statuses
|
||||
ORDER BY asOfDate ASC, symbol ASC
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||||
SELECT *
|
||||
FROM option_aggregate_sync_statuses
|
||||
ORDER BY ts ASC
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)
|
||||
GROUP BY asOfDate, symbol, expirationDate, strike, type
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HAVING latestStatus = 'not-started'
|
||||
AND (
|
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(
|
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asOfDate = '${previousUnstartedOptionContract.asOfDate}'
|
||||
AND symbol = '${previousUnstartedOptionContract.symbol}'
|
||||
AND expirationDate = '${previousUnstartedOptionContract.expirationDate}'
|
||||
AND strike = ${previousUnstartedOptionContract.strike}
|
||||
AND type > '${previousUnstartedOptionContract.type}'
|
||||
)
|
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OR
|
||||
(
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||||
asOfDate = '${previousUnstartedOptionContract.asOfDate}'
|
||||
AND symbol = '${previousUnstartedOptionContract.symbol}'
|
||||
AND expirationDate = '${previousUnstartedOptionContract.expirationDate}'
|
||||
AND strike > ${previousUnstartedOptionContract.strike}
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||||
)
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OR (
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||||
asOfDate = '${previousUnstartedOptionContract.asOfDate}'
|
||||
AND symbol = '${previousUnstartedOptionContract.symbol}'
|
||||
AND expirationDate > '${previousUnstartedOptionContract.expirationDate}'
|
||||
)
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||||
OR (
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||||
asOfDate = '${previousUnstartedOptionContract.asOfDate}'
|
||||
AND symbol > '${previousUnstartedOptionContract.symbol}'
|
||||
)
|
||||
OR (
|
||||
asOfDate > '${previousUnstartedOptionContract.asOfDate}'
|
||||
)
|
||||
GROUP BY symbol, asOfDate
|
||||
HAVING latestStatus = 'not-started'
|
||||
ORDER BY symbol ASC, asOfDate ASC
|
||||
)
|
||||
GROUP BY symbol
|
||||
HAVING (
|
||||
symbol = '${previousUnstartedSymbolAndAsOfDate.symbol}'
|
||||
AND asOfDate > '${previousUnstartedSymbolAndAsOfDate.asOfDate}'
|
||||
)
|
||||
OR (
|
||||
symbol > '${previousUnstartedSymbolAndAsOfDate.symbol}'
|
||||
)
|
||||
ORDER BY symbol ASC
|
||||
ORDER BY asOfDate, symbol, expirationDate, strike, type
|
||||
LIMIT ${limit}
|
||||
`);
|
||||
return rows.map((row) => ({
|
||||
symbol: row.symbol,
|
||||
asOfDate: row.earliestAsOfDate,
|
||||
}));
|
||||
return optionContractsWithoutAggregates;
|
||||
}
|
||||
|
||||
/**
|
||||
* For each symbol in `symbols` table, check the latest `asOfDate`
|
||||
* in `option_contract_sync_statuses` for that symbol. Then fill-in the rest
|
||||
* of the dates until today's date.
|
||||
* First, since this is startup time, obviously anything `pending` is not
|
||||
* really running. So, for each `pending` option contract (i.e. unique
|
||||
* combinations of `(symbol, expirationDate, strike, type)` in the
|
||||
* `option_contracts` table), delete its status, and all quotes synced so far,
|
||||
* so as to start afresh.
|
||||
*/
|
||||
async function fillSyncStatuses() {
|
||||
const symbols = (
|
||||
await query<{ symbol: string }>(`
|
||||
SELECT symbol from symbols
|
||||
`)
|
||||
).map(({ symbol }) => symbol);
|
||||
|
||||
console.log("symbols", symbols);
|
||||
async function revertPendingSyncs() {
|
||||
const pendingOptionContracts = await query<{
|
||||
symbol: string;
|
||||
expirationDate: string;
|
||||
strike: number;
|
||||
type: "call" | "put";
|
||||
latestStatus: "not-started" | "pending" | "done";
|
||||
}>(`
|
||||
SELECT
|
||||
symbol,
|
||||
expirationDate,
|
||||
strike,
|
||||
type,
|
||||
last_value(status) as latestStatus
|
||||
FROM (
|
||||
SELECT *
|
||||
FROM option_aggregate_sync_statuses
|
||||
ORDER BY symbol, expirationDate, strike, type, ts ASC
|
||||
)
|
||||
GROUP BY symbol, expirationDate, strike, type
|
||||
HAVING latestStatus = 'pending'
|
||||
ORDER BY symbol, expirationDate, strike, type
|
||||
`);
|
||||
console.log(
|
||||
"Pending operations:",
|
||||
pendingOptionContracts.map(
|
||||
({ symbol, expirationDate, strike, type }) =>
|
||||
`${symbol} ${expirationDate} ${strike} ${type}`
|
||||
)
|
||||
);
|
||||
await pAll(
|
||||
symbols.map(
|
||||
(symbol) => () =>
|
||||
query<{ latestAsOfDate: string }>(`
|
||||
SELECT
|
||||
latestAsOfDate
|
||||
FROM (
|
||||
SELECT last_value(asOfDate) as latestAsOfDate
|
||||
FROM (
|
||||
SELECT *
|
||||
FROM option_contract_sync_statuses
|
||||
WHERE symbol = '${symbol}'
|
||||
ORDER BY asOfDate ASC
|
||||
)
|
||||
)
|
||||
WHERE latestAsOfDate > '2022-02-18'
|
||||
`).then((rows) =>
|
||||
clickhouse
|
||||
.command({
|
||||
query: `
|
||||
INSERT INTO option_contract_sync_statuses
|
||||
SELECT
|
||||
'${symbol}' as symbol,
|
||||
Date(dateAdd(DAY,number,'${
|
||||
rows[0]?.latestAsOfDate || "2022-02-19"
|
||||
}')) as asOfDate,
|
||||
'not-started' as status
|
||||
FROM system.numbers
|
||||
WHERE number < dateDiff('days',Date('${
|
||||
rows[0]?.latestAsOfDate || "2022-02-19"
|
||||
}'), Date(now()))
|
||||
AND number > 0
|
||||
`,
|
||||
})
|
||||
.then(() => {
|
||||
console.log(`Done ${symbol}`);
|
||||
})
|
||||
)
|
||||
),
|
||||
{ concurrency: 6 }
|
||||
pendingOptionContracts.map(
|
||||
({ symbol, expirationDate, strike, type }) =>
|
||||
() =>
|
||||
pSeries([
|
||||
// Delete option_contracts first, in case this `pAll` operation fails and we need to restart; so `option_contract_sync_statuses` "pending" rows are still there for the restart
|
||||
() =>
|
||||
clickhouse.command({
|
||||
query: `
|
||||
DELETE FROM option_aggregates
|
||||
WHERE symbol = '${symbol}'
|
||||
AND expirationDate = '${expirationDate}'
|
||||
AND strike = ${strike}
|
||||
AND type = '${type}'
|
||||
`,
|
||||
}),
|
||||
() =>
|
||||
clickhouse.command({
|
||||
query: `
|
||||
DELETE FROM option_aggregate_sync_statuses
|
||||
WHERE symbol = '${symbol}'
|
||||
AND expirationDate = '${expirationDate}'
|
||||
AND strike = ${strike}
|
||||
AND type = '${type}'
|
||||
AND status = 'pending'`,
|
||||
}),
|
||||
])
|
||||
)
|
||||
);
|
||||
}
|
||||
//await revertPendingSyncs();
|
||||
|
||||
/** First, make sure we know which symbol-asOfDate combinations are
|
||||
* yet un-synced.
|
||||
*/
|
||||
await fillSyncStatuses();
|
||||
|
||||
/**
|
||||
* Second, since this is startup time, obviously anything `pending` is not really running.
|
||||
* So, for each `pending` combo, delete its status, and all contracts synced so far, so as to start afresh.
|
||||
*/
|
||||
const pendingSymbolsAndAsOfDates = await query<{
|
||||
symbol: string;
|
||||
asOfDate: string;
|
||||
latestStatus: "not-started" | "pending" | "done";
|
||||
}>(`
|
||||
SELECT
|
||||
symbol,
|
||||
asOfDate,
|
||||
last_value(status) as latestStatus
|
||||
FROM (
|
||||
SELECT *
|
||||
FROM option_contract_sync_statuses
|
||||
ORDER BY asOfDate ASC, symbol ASC
|
||||
)
|
||||
GROUP BY symbol, asOfDate
|
||||
HAVING latestStatus = 'pending'
|
||||
ORDER BY symbol ASC, asOfDate ASC
|
||||
`);
|
||||
console.log(
|
||||
"Pending operations:",
|
||||
pendingSymbolsAndAsOfDates.map(
|
||||
({ symbol, asOfDate }) => `${symbol} ${asOfDate}`
|
||||
)
|
||||
);
|
||||
await pAll(
|
||||
pendingSymbolsAndAsOfDates.map(
|
||||
({ symbol, asOfDate }) =>
|
||||
() =>
|
||||
pSeries([
|
||||
// Delete option_contracts first, in case this `pAll` operation fails and we need to restart; so `option_contract_sync_statuses` "pending" rows are still there for the restart
|
||||
() =>
|
||||
clickhouse.command({
|
||||
query: `DELETE FROM option_contracts WHERE symbol = '${symbol}' AND asOfDate = '${asOfDate}'`,
|
||||
}),
|
||||
() =>
|
||||
clickhouse.command({
|
||||
query: `DELETE FROM option_contract_sync_statuses WHERE symbol = '${symbol}' AND asOfDate = '${asOfDate}' AND status = 'pending'`,
|
||||
}),
|
||||
])
|
||||
)
|
||||
);
|
||||
|
||||
/** Second, for each symbol-asOfDate combination whose option contracts
|
||||
* are not known, make them known.
|
||||
/** Second, for each option contract, get all of its quotes.
|
||||
*
|
||||
* This queries Polygon with a concurrency of 6.
|
||||
*/
|
||||
const q = new pQueue({ concurrency: 6 });
|
||||
/** Initialized with the lowest possible symbol and the earliest possible asOfDate.
|
||||
/** Initialized with the lowest possible option contract.
|
||||
* It's passed into `getNextUnstartedSymbolAndAsOfDate()`.
|
||||
*/
|
||||
let nextBatchOfUnstartedSymbolsAndAsOfDates = [
|
||||
{ symbol: "A", asOfDate: "2022-02-01" },
|
||||
let nextBatchOfUnstartedOptionContracts: Array<OptionContractDay> = [
|
||||
{
|
||||
asOfDate: "2022-02-01",
|
||||
symbol: "A",
|
||||
expirationDate: "2022-02-01",
|
||||
strike: 0,
|
||||
type: "call",
|
||||
},
|
||||
];
|
||||
while (
|
||||
(nextBatchOfUnstartedSymbolsAndAsOfDates =
|
||||
await getNextBatchOfUnstartedSymbolsAndAsOfDates(
|
||||
nextBatchOfUnstartedSymbolsAndAsOfDates.pop(),
|
||||
(nextBatchOfUnstartedOptionContracts =
|
||||
await getNextBatchOfUnstartedOptionAggregates(
|
||||
nextBatchOfUnstartedOptionContracts.pop(),
|
||||
200
|
||||
)) !== null
|
||||
) {
|
||||
await pAll(
|
||||
nextBatchOfUnstartedSymbolsAndAsOfDates.map(
|
||||
(unstartedSymbolAndAsOfDate) => () =>
|
||||
nextBatchOfUnstartedOptionContracts.map(
|
||||
(unstartedOptionContract) => () =>
|
||||
q.add(async () => {
|
||||
console.log(
|
||||
`Getting contracts for ${unstartedSymbolAndAsOfDate.symbol} at ${unstartedSymbolAndAsOfDate.asOfDate}`
|
||||
);
|
||||
await getOptionContracts(
|
||||
unstartedSymbolAndAsOfDate.symbol,
|
||||
unstartedSymbolAndAsOfDate.asOfDate
|
||||
`Getting aggregates for ${unstartedOptionContract.asOfDate} ${unstartedOptionContract.symbol} at ${unstartedOptionContract.expirationDate} ${unstartedOptionContract.strike} ${unstartedOptionContract.type}`
|
||||
);
|
||||
// await getOptionAggregates(
|
||||
// unstartedOptionContract.asOfDate,
|
||||
// unstartedOptionContract.symbol,
|
||||
// unstartedOptionContract.expirationDate,
|
||||
// unstartedOptionContract.strike,
|
||||
// unstartedOptionContract.type
|
||||
// );
|
||||
})
|
||||
)
|
||||
);
|
||||
@@ -256,11 +274,6 @@ while (
|
||||
// wait until pending queue operations are done:
|
||||
await q.onSizeLessThan(1);
|
||||
|
||||
/**
|
||||
* For each option contract, find its earliest date of existence, and get all quotes from
|
||||
* then on.
|
||||
*/
|
||||
|
||||
/*** TODOs ***/
|
||||
/*
|
||||
+ Gracefully recover from errors in individual operations.
|
||||
|
||||
@@ -1,4 +1,5 @@
|
||||
import pThrottle from 'p-throttle';
|
||||
//import pThrottle from 'p-throttle';
|
||||
|
||||
const apiKey = 'H95NTsatM1iTWLUwDLxM2J5zhUVYdCEz';
|
||||
export const getApiKey = pThrottle({limit: 5, interval: 60000})(()=>apiKey);
|
||||
const apiKey = "H95NTsatM1iTWLUwDLxM2J5zhUVYdCEz";
|
||||
//export const getApiKey = pThrottle({limit: 5, interval: 60000})(()=>apiKey);
|
||||
export const getApiKey = () => apiKey;
|
||||
|
||||
Reference in New Issue
Block a user