init

2024-02-04 15:36:28 -05:00
commit dc63f31647
33 changed files with 3423 additions and 0 deletions
@@ -0,0 +1,15 @@
+import { createClient as createClickhouseClient } from '@clickhouse/client';
+import type { DataFormat } from '@clickhouse/client';
+
+export const clickhouse = createClickhouseClient({
+  host: process.env.CLICKHOUSE_HOST || "http://localhost:8123",
+  username:'avraham', 
+  password:'buginoo'
+});
+
+export async function query<T>(queryString:string, format:DataFormat='JSONEachRow') : Promise<Array<T>>{
+  return await (await clickhouse.query({
+    query: queryString,
+    format
+  })).json()
+}
@@ -0,0 +1,223 @@
+import { publicProcedure, router } from './trpc.js';
+import { query } from './clickhouse.js';
+import { createHTTPHandler, createHTTPServer } from '@trpc/server/adapters/standalone';
+import cors from 'cors';
+import { Object as ObjectT, String as StringT, TSchema, Number as NumberT } from '@sinclair/typebox';
+import { TypeCompiler } from '@sinclair/typebox/compiler';
+import { TRPCError } from '@trpc/server';
+import { createServer } from 'http';
+
+/**
+ * Generate a TRPC-compatible validator function given a Typebox schema.
+ * This was copied from [https://github.com/sinclairzx81/typebox/blob/6cfcdc02cc813af2f1be57407c771fc4fadfc34a/example/trpc/readme.md].
+ * @param schema A Typebox schema
+ * @returns A TRPC-compatible validator function
+ */
+export function RpcType<T extends TSchema>(schema: T) {
+  const check = TypeCompiler.Compile(schema)
+  return (value: unknown) => {
+    if (check.Check(value)) return value
+    const { path, message } = check.Errors(value).First()!
+    throw new TRPCError({ message: `${message} for ${path}`, code: 'BAD_REQUEST' })
+  }
+}
+
+
+const appRouter = router({
+  getAvailableUnderlyings: publicProcedure
+    .query(async (opts) => {
+      return (await query<{symbol:string}>(`
+        SELECT DISTINCT(symbol) as symbol FROM option_contracts
+      `))
+      .map(({symbol})=>symbol);
+    }),
+  getAvailableAsOfDates: publicProcedure
+    .input(RpcType(ObjectT({underlying:StringT()})))
+    .query(async (opts) => {
+      const underlying = opts.input.underlying;
+      return (await query<{asOfDate:string}>(`
+        SELECT 
+          DISTINCT(asOfDate) as asOfDate 
+        FROM option_contracts 
+        WHERE symbol = '${underlying}'
+      `))
+      .map(({asOfDate})=>asOfDate);
+    }),
+  getExpirationsForUnderlying: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT(),
+      asOfDate:StringT()
+    })))
+    .query(async (opts)=>{
+      const {underlying, asOfDate} = opts.input;
+      return (await query<{expirationDate:string}>(`
+        SELECT
+          DISTINCT(expirationDate)
+        FROM option_contracts
+        WHERE symbol = '${underlying}'
+        AND asOfDate = '${asOfDate}'
+      `))
+      .map(({expirationDate})=>expirationDate);
+    }),
+  getStrikesForUnderlying: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT(),
+      asOfDate:StringT(),
+      expirationDate:StringT(),
+    })))
+    .query(async (opts)=>{
+      const {underlying, asOfDate, expirationDate} = opts.input;
+      return (await query<{strike:string}>(`
+        SELECT
+          DISTINCT(strike) 
+        FROM option_contracts
+        WHERE symbol = '${underlying}'
+        AND asOfDate = '${asOfDate}'
+        AND expirationDate = '${expirationDate}'
+      `))
+      .map(({strike})=>strike);
+    }),
+  getOpensForUnderlying: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT()
+    })))
+    .query(async (opts)=>{
+      const {underlying} = opts.input;
+      return (await query<[number,number]>(`
+        SELECT
+          toUnixTimestamp(tsStart),
+          open
+        FROM stock_aggregates
+        WHERE symbol = '${underlying}'
+        ORDER BY tsStart ASC
+      `,'JSONCompactEachRow'))
+      .reduce((columns, row)=>{ columns[0].push(row[0]); columns[1].push(row[1]); return columns; },[[],[]]);
+    }),
+  getOpensForOptionContract: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT(),
+      expirationDate:StringT(),
+      strike:NumberT()
+    })))
+    .query(async (opts)=>{
+      const {underlying, expirationDate, strike} = opts.input;
+      return (await query<[number,number]>(`
+        SELECT
+          toUnixTimestamp(tsStart),
+          open
+        FROM option_aggregates
+        WHERE symbol = '${underlying}'
+        AND expirationDate = '${expirationDate}'
+        AND strike = ${strike}
+        AND optionType = 'call'
+        ORDER BY tsStart ASC
+      `,'JSONCompactEachRow'))
+      .reduce((columns, row)=>{ columns[0].push(row[0]); columns[1].push(row[1]); return columns; },[[],[]]);
+    }),
+  getHistoricalCalendarPrices: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT(),
+      daysToFrontExpiration:NumberT(),
+      daysBetweenFrontAndBackExpiration:NumberT(),
+      strikePercentageFromUnderlyingPriceRangeMin:NumberT(),
+      strikePercentageFromUnderlyingPriceRangeMax:NumberT(),
+    })))
+    .query(async (opts)=>{
+      const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPriceRangeMin, strikePercentageFromUnderlyingPriceRangeMax, } = opts.input;
+      return (await query<[number,number]>(`
+        SELECT
+          toUnixTimestamp(tsStart) as asOfTs,
+          calendarPrice
+        FROM calendar_histories
+        WHERE symbol = '${underlying}'
+        AND daysToFrontExpiration = ${daysToFrontExpiration}
+        AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
+        AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
+        AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
+      `,'JSONCompactEachRow'))
+      .reduce((columns, row)=>{ columns[0].push(row[0]); columns[1].push(row[1]); return columns; },[[],[]]);
+    }),
+  getHistoricalStockQuoteChartData: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT(),
+    })))
+    .query(async (opts)=>{
+      const {underlying, } = opts.input;
+      return (await query<[number,number]>(`
+        SELECT
+          toUnixTimestamp(tsStart) as x,
+          open as y
+        FROM stock_aggregates
+        WHERE symbol = '${underlying}'
+        ORDER BY x ASC
+      `,'JSONEachRow'));
+    }),
+  getHistoricalCalendarQuoteChartData: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT(),
+      daysToFrontExpiration:NumberT(),
+      daysBetweenFrontAndBackExpiration:NumberT(),
+      strikePercentageFromUnderlyingPriceRangeMin:NumberT(),
+      strikePercentageFromUnderlyingPriceRangeMax:NumberT(),
+    })))
+    .query(async (opts)=>{
+      const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, strikePercentageFromUnderlyingPriceRangeMin, strikePercentageFromUnderlyingPriceRangeMax, } = opts.input;
+      return (await query<[number,number]>(`
+        SELECT
+          toUnixTimestamp(tsStart) as x,
+          calendarPrice as y
+        FROM calendar_histories
+        WHERE symbol = '${underlying}'
+        AND daysToFrontExpiration = ${daysToFrontExpiration}
+        AND strikePercentageFromUnderlyingPrice >= ${strikePercentageFromUnderlyingPriceRangeMin}
+        AND strikePercentageFromUnderlyingPrice <= ${strikePercentageFromUnderlyingPriceRangeMax}
+        AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
+      `,'JSONEachRow'));
+    }),
+  getHistoricalCalendarExitQuoteChartData: publicProcedure
+    .input(RpcType(ObjectT({
+      underlying:StringT(),
+      daysToFrontExpiration:NumberT(),
+      daysBetweenFrontAndBackExpiration:NumberT(),
+    })))
+    .query(async (opts)=>{
+      const {underlying, daysToFrontExpiration, daysBetweenFrontAndBackExpiration, } = opts.input;
+      return (await query<[number,number]>(`
+        SELECT
+          FLOOR(strikePercentageFromUnderlyingPrice, 1) as x,
+          calendarPrice as y
+        FROM calendar_histories
+        WHERE symbol = '${underlying}'
+        AND daysToFrontExpiration = ${daysToFrontExpiration}
+        AND strikePercentageFromUnderlyingPrice >= -5.0
+        AND strikePercentageFromUnderlyingPrice <= 5.0
+        AND daysBetweenFrontAndBackExpiration = ${daysBetweenFrontAndBackExpiration}
+        ORDER BY x ASC
+      `,'JSONEachRow'));
+    }),
+});
+
+// Export type router type signature,
+// NOT the router itself.
+export type AppRouter = typeof appRouter;
+
+
+const handler = createHTTPHandler({
+  middleware: cors(),
+  router: appRouter,
+  createContext() {
+    return {};
+  },
+});
+
+const server = createServer((req, res)=>{
+  if(req.url.startsWith("/healthz")){
+    res.statusCode = 200;
+    res.end("OK");
+  }
+  else{
+    handler(req, res);
+  }
+});
+ 
+server.listen(parseInt(process.env.LISTEN_PORT) || 3005);
@@ -0,0 +1,14 @@
+import { initTRPC } from '@trpc/server';
+ 
+/**
+ * Initialization of tRPC backend
+ * Should be done only once per backend!
+ */
+const t = initTRPC.create();
+ 
+/**
+ * Export reusable router and procedure helpers
+ * that can be used throughout the router
+ */
+export const router = t.router;
+export const publicProcedure = t.procedure;