calendar-optimizer/server/src/lib/polygon.ts

// import pThrottle from "p-throttle";
import pRetry from "p-retry";

const apiKey = "H95NTsatM1iTWLUwDLxM2J5zhUVYdCEz";
// export const getApiKey = pThrottle({ limit: 5, interval: 60000 })(() => apiKey);
export const getApiKey = () => apiKey;

export const optionContractToTicker = ({
  symbol,
  expirationDate,
  strike,
  type,
}: {
  symbol: string;
  expirationDate: string;
  strike: number;
  type: "call" | "put";
}) =>
  `O:${symbol}${expirationDate.substring(2, 4)}${expirationDate.substring(
    5,
    7
  )}${expirationDate.substring(8, 10)}${
    type === "call" ? "C" : "P"
  }${Math.floor(strike * 1000)
    .toString()
    .padStart(8, "0")}`;

type PolygonOptionContractsResponse = {
  next_url?: string;
  results: Array<{
    ticker: string;
    expiration_date: string;
    strike_price: number;
    contract_type: "call" | "put";
  }>;
};
export async function* makeGetOptionContractsIterator(
  symbol: string,
  date: string
) {
  let latestBatchResponse = await pRetry(
    async () =>
      (await (
        await fetch(
          `https://api.polygon.io/v3/reference/options/contracts?underlying_ticker=${symbol}&as_of=${date}&sort=ticker&limit=1000&apiKey=${await getApiKey()}`
        )
      ).json()) as PolygonOptionContractsResponse,
    { forever: true, factor: 2, maxTimeout: 120000 }
  );
  yield latestBatchResponse.results.map((result) => ({
    asOfDate: date,
    symbol,
    expirationDate: result.expiration_date,
    strike: result.strike_price,
    type: result.contract_type,
  }));

  // as long as there's a `next_url`, call that:
  while (latestBatchResponse.hasOwnProperty("next_url")) {
    latestBatchResponse = await pRetry(
      async () =>
        (await (
          await fetch(
            `${latestBatchResponse.next_url}&apiKey=${await getApiKey()}`
          )
        ).json()) as PolygonOptionContractsResponse,
      { forever: true, factor: 2, maxTimeout: 120000 }
    );
    yield latestBatchResponse.results?.map((result) => ({
      asOfDate: date,
      symbol,
      expirationDate: result.expiration_date,
      strike: result.strike_price,
      type: result.contract_type,
    })) || [];
  }
}

type PolygonOptionContractAggregatesResponse = {
  next_url?: string;
  status: string;
  resultsCount: number;
  results: Array<{
    c: number;
    h: number;
    n: number;
    l: number;
    o: number;
    t: number;
    v: number;
    vw: number;
  }>;
};
export type OptionContract = {
  symbol: string;
  expirationDate: string;
  strike: number;
  type: "call" | "put";
};
export async function* makeGetOptionContractAggregatesIterator({
  symbol,
  expirationDate,
  strike,
  type,
  firstDate,
}: OptionContract & { firstDate: string }) {
  const optionContractTicker = optionContractToTicker({
    symbol: symbol,
    expirationDate,
    strike,
    type,
  });
  const expirationDateAsDateObject = new Date(expirationDate);
  const currentDateAsDateObject = new Date(firstDate);
  while (currentDateAsDateObject <= expirationDateAsDateObject) {
    const asOfDate = currentDateAsDateObject.toISOString().substring(0, 10);
    const url = `https://api.polygon.io/v2/aggs/ticker/${optionContractTicker}/range/1/minute/${asOfDate}/${asOfDate}?adjusted=false&sort=asc&limit=50000&apiKey=${await getApiKey()}`;
    let latestBatchResponse;
    latestBatchResponse = await pRetry(
      async () =>
        (await (
          await fetch(url)
        ).json()) as PolygonOptionContractAggregatesResponse,
      { forever: true, factor: 2, maxTimeout: 120000 }
    );
    if (latestBatchResponse.status.toLowerCase() === "ok") {
      yield latestBatchResponse.results?.map((result) => ({
        symbol,
        expirationDate,
        strike,
        type,

        tsStart: (result.t || 0) / 1000,
        open: result.o,
        close: result.c,
        low: result.l,
        high: result.h,
      })) || [];
    } else if (latestBatchResponse.status === "NOT_AUTHORIZED") {
      console.error("Skipping due to:", latestBatchResponse);
    } else {
      console.error(latestBatchResponse);
      throw new Error(`error fetching option contract aggregate ${url}`);
    }
    currentDateAsDateObject.setUTCDate(
      currentDateAsDateObject.getUTCDate() + 1
    );
  }
}