initial commit
Avraham Sakal
4 months ago
commit
f2711a1386
@ -0,0 +1,2 @@
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node_modules
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.env
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@ -0,0 +1,2 @@
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nodejs 22.8.0
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pnpm 9.7.1
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@ -0,0 +1,84 @@
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import { restClient } from "@polygon.io/client-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 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: 6 });
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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("2024-05-02", "2024-05-03")) {
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const contracts = await polygon.reference.optionsContracts({
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underlying_ticker: "SPY",
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as_of: date,
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limit: 1000,
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});
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if (contracts.status?.toLowerCase() === "ok" && contracts.results) {
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for (const contract of contracts.results) {
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/** I don't know why we need this `if` again, but typescript yelled at me: */
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if (contract.ticker) {
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await queue.add(async () => {
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if (contract.ticker) {
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const quotes = await polygon.options.quotes(
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contract.ticker,
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{
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timestamp: date,
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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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if (quotes.status?.toLowerCase() === "ok" && quotes.results) {
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console.log(date, contract.ticker, quotes.results?.length);
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}
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}
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});
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}
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}
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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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@ -0,0 +1,24 @@
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{
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"name": "polygon-ingester",
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"version": "1.0.0",
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"description": "",
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"main": "index.js",
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"type": "module",
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"scripts": {
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"test": "echo \"Error: no test specified\" && exit 1"
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},
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"keywords": [],
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"author": "",
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"license": "ISC",
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"devDependencies": {
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"@types/node": "^22.10.5",
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"tsx": "^4.19.2",
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"typescript": "^5.7.2"
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},
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"dependencies": {
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"@humanwhocodes/env": "^4.0.0",
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"@polygon.io/client-js": "^7.3.2",
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"dotenv": "^16.4.7",
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"p-queue": "^8.0.1"
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}
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}
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@ -0,0 +1,601 @@
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lockfileVersion: '9.0'
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settings:
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|
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importers:
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.:
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dependencies:
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|
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|
||||
// "jsxFragmentFactory": "", /* Specify the JSX Fragment reference used for fragments when targeting React JSX emit e.g. 'React.Fragment' or 'Fragment'. */
|
||||
// "jsxImportSource": "", /* Specify module specifier used to import the JSX factory functions when using 'jsx: react-jsx*'. */
|
||||
// "reactNamespace": "", /* Specify the object invoked for 'createElement'. This only applies when targeting 'react' JSX emit. */
|
||||
// "noLib": true, /* Disable including any library files, including the default lib.d.ts. */
|
||||
// "useDefineForClassFields": true, /* Emit ECMAScript-standard-compliant class fields. */
|
||||
// "moduleDetection": "auto", /* Control what method is used to detect module-format JS files. */
|
||||
|
||||
/* Modules */
|
||||
"module": "NodeNext" /* Specify what module code is generated. */,
|
||||
// "rootDir": "./", /* Specify the root folder within your source files. */
|
||||
"moduleResolution": "nodenext" /* Specify how TypeScript looks up a file from a given module specifier. */,
|
||||
// "baseUrl": "./", /* Specify the base directory to resolve non-relative module names. */
|
||||
// "paths": {}, /* Specify a set of entries that re-map imports to additional lookup locations. */
|
||||
// "rootDirs": [], /* Allow multiple folders to be treated as one when resolving modules. */
|
||||
// "typeRoots": [], /* Specify multiple folders that act like './node_modules/@types'. */
|
||||
// "types": [], /* Specify type package names to be included without being referenced in a source file. */
|
||||
// "allowUmdGlobalAccess": true, /* Allow accessing UMD globals from modules. */
|
||||
// "moduleSuffixes": [], /* List of file name suffixes to search when resolving a module. */
|
||||
// "allowImportingTsExtensions": true, /* Allow imports to include TypeScript file extensions. Requires '--moduleResolution bundler' and either '--noEmit' or '--emitDeclarationOnly' to be set. */
|
||||
// "rewriteRelativeImportExtensions": true, /* Rewrite '.ts', '.tsx', '.mts', and '.cts' file extensions in relative import paths to their JavaScript equivalent in output files. */
|
||||
// "resolvePackageJsonExports": true, /* Use the package.json 'exports' field when resolving package imports. */
|
||||
// "resolvePackageJsonImports": true, /* Use the package.json 'imports' field when resolving imports. */
|
||||
// "customConditions": [], /* Conditions to set in addition to the resolver-specific defaults when resolving imports. */
|
||||
// "noUncheckedSideEffectImports": true, /* Check side effect imports. */
|
||||
// "resolveJsonModule": true, /* Enable importing .json files. */
|
||||
// "allowArbitraryExtensions": true, /* Enable importing files with any extension, provided a declaration file is present. */
|
||||
// "noResolve": true, /* Disallow 'import's, 'require's or '<reference>'s from expanding the number of files TypeScript should add to a project. */
|
||||
|
||||
/* JavaScript Support */
|
||||
// "allowJs": true, /* Allow JavaScript files to be a part of your program. Use the 'checkJS' option to get errors from these files. */
|
||||
// "checkJs": true, /* Enable error reporting in type-checked JavaScript files. */
|
||||
// "maxNodeModuleJsDepth": 1, /* Specify the maximum folder depth used for checking JavaScript files from 'node_modules'. Only applicable with 'allowJs'. */
|
||||
|
||||
/* Emit */
|
||||
// "declaration": true, /* Generate .d.ts files from TypeScript and JavaScript files in your project. */
|
||||
// "declarationMap": true, /* Create sourcemaps for d.ts files. */
|
||||
// "emitDeclarationOnly": true, /* Only output d.ts files and not JavaScript files. */
|
||||
// "sourceMap": true, /* Create source map files for emitted JavaScript files. */
|
||||
// "inlineSourceMap": true, /* Include sourcemap files inside the emitted JavaScript. */
|
||||
// "noEmit": true, /* Disable emitting files from a compilation. */
|
||||
// "outFile": "./", /* Specify a file that bundles all outputs into one JavaScript file. If 'declaration' is true, also designates a file that bundles all .d.ts output. */
|
||||
// "outDir": "./", /* Specify an output folder for all emitted files. */
|
||||
// "removeComments": true, /* Disable emitting comments. */
|
||||
// "importHelpers": true, /* Allow importing helper functions from tslib once per project, instead of including them per-file. */
|
||||
// "downlevelIteration": true, /* Emit more compliant, but verbose and less performant JavaScript for iteration. */
|
||||
// "sourceRoot": "", /* Specify the root path for debuggers to find the reference source code. */
|
||||
// "mapRoot": "", /* Specify the location where debugger should locate map files instead of generated locations. */
|
||||
// "inlineSources": true, /* Include source code in the sourcemaps inside the emitted JavaScript. */
|
||||
// "emitBOM": true, /* Emit a UTF-8 Byte Order Mark (BOM) in the beginning of output files. */
|
||||
// "newLine": "crlf", /* Set the newline character for emitting files. */
|
||||
// "stripInternal": true, /* Disable emitting declarations that have '@internal' in their JSDoc comments. */
|
||||
// "noEmitHelpers": true, /* Disable generating custom helper functions like '__extends' in compiled output. */
|
||||
// "noEmitOnError": true, /* Disable emitting files if any type checking errors are reported. */
|
||||
// "preserveConstEnums": true, /* Disable erasing 'const enum' declarations in generated code. */
|
||||
// "declarationDir": "./", /* Specify the output directory for generated declaration files. */
|
||||
|
||||
/* Interop Constraints */
|
||||
// "isolatedModules": true, /* Ensure that each file can be safely transpiled without relying on other imports. */
|
||||
// "verbatimModuleSyntax": true, /* Do not transform or elide any imports or exports not marked as type-only, ensuring they are written in the output file's format based on the 'module' setting. */
|
||||
// "isolatedDeclarations": true, /* Require sufficient annotation on exports so other tools can trivially generate declaration files. */
|
||||
// "allowSyntheticDefaultImports": true, /* Allow 'import x from y' when a module doesn't have a default export. */
|
||||
"esModuleInterop": true /* Emit additional JavaScript to ease support for importing CommonJS modules. This enables 'allowSyntheticDefaultImports' for type compatibility. */,
|
||||
// "preserveSymlinks": true, /* Disable resolving symlinks to their realpath. This correlates to the same flag in node. */
|
||||
"forceConsistentCasingInFileNames": true /* Ensure that casing is correct in imports. */,
|
||||
|
||||
/* Type Checking */
|
||||
"strict": true /* Enable all strict type-checking options. */,
|
||||
// "noImplicitAny": true, /* Enable error reporting for expressions and declarations with an implied 'any' type. */
|
||||
// "strictNullChecks": true, /* When type checking, take into account 'null' and 'undefined'. */
|
||||
// "strictFunctionTypes": true, /* When assigning functions, check to ensure parameters and the return values are subtype-compatible. */
|
||||
// "strictBindCallApply": true, /* Check that the arguments for 'bind', 'call', and 'apply' methods match the original function. */
|
||||
// "strictPropertyInitialization": true, /* Check for class properties that are declared but not set in the constructor. */
|
||||
// "strictBuiltinIteratorReturn": true, /* Built-in iterators are instantiated with a 'TReturn' type of 'undefined' instead of 'any'. */
|
||||
// "noImplicitThis": true, /* Enable error reporting when 'this' is given the type 'any'. */
|
||||
// "useUnknownInCatchVariables": true, /* Default catch clause variables as 'unknown' instead of 'any'. */
|
||||
// "alwaysStrict": true, /* Ensure 'use strict' is always emitted. */
|
||||
// "noUnusedLocals": true, /* Enable error reporting when local variables aren't read. */
|
||||
// "noUnusedParameters": true, /* Raise an error when a function parameter isn't read. */
|
||||
// "exactOptionalPropertyTypes": true, /* Interpret optional property types as written, rather than adding 'undefined'. */
|
||||
// "noImplicitReturns": true, /* Enable error reporting for codepaths that do not explicitly return in a function. */
|
||||
// "noFallthroughCasesInSwitch": true, /* Enable error reporting for fallthrough cases in switch statements. */
|
||||
// "noUncheckedIndexedAccess": true, /* Add 'undefined' to a type when accessed using an index. */
|
||||
// "noImplicitOverride": true, /* Ensure overriding members in derived classes are marked with an override modifier. */
|
||||
// "noPropertyAccessFromIndexSignature": true, /* Enforces using indexed accessors for keys declared using an indexed type. */
|
||||
// "allowUnusedLabels": true, /* Disable error reporting for unused labels. */
|
||||
// "allowUnreachableCode": true, /* Disable error reporting for unreachable code. */
|
||||
|
||||
/* Completeness */
|
||||
// "skipDefaultLibCheck": true, /* Skip type checking .d.ts files that are included with TypeScript. */
|
||||
"skipLibCheck": true /* Skip type checking all .d.ts files. */
|
||||
}
|
||||
}
|
||||
Loading…
Reference in New Issue