111 lines
4 KiB
TypeScript
111 lines
4 KiB
TypeScript
import { describe, expect, it } from "bun:test";
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import {
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createClickHouseClient,
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fetchOptionPrintsBefore,
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fetchOptionPrintsByTraceIds,
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fetchRecentOptionPrints
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} from "../src/clickhouse";
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import {
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normalizeOptionPrint,
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optionPrintsTableDDL,
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OPTION_PRINTS_TABLE
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} from "../src/option-prints";
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const basePrint = {
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source_ts: 100,
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ingest_ts: 200,
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seq: 1,
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trace_id: "trace-1",
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ts: 100,
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option_contract_id: "SPY-2025-01-17-450-C",
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price: 1.25,
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size: 10,
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exchange: "TEST"
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};
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describe("option-prints storage helpers", () => {
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it("normalizes missing conditions to empty array", () => {
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const normalized = normalizeOptionPrint(basePrint);
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expect(normalized.conditions).toEqual([]);
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});
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it("normalizes legacy rows with missing execution context", () => {
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const normalized = normalizeOptionPrint(basePrint);
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expect(normalized.execution_nbbo_bid).toBeUndefined();
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expect(normalized.execution_underlying_spot).toBeUndefined();
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expect(normalized.execution_iv).toBeUndefined();
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});
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it("includes the correct table name in the DDL", () => {
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const ddl = optionPrintsTableDDL();
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expect(ddl).toContain(OPTION_PRINTS_TABLE);
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expect(ddl).toContain("CREATE TABLE IF NOT EXISTS");
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expect(ddl).toContain("execution_nbbo_bid Nullable(Float64)");
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expect(ddl).toContain("execution_underlying_spot Nullable(Float64)");
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expect(ddl).toContain("execution_iv Nullable(Float64)");
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});
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it("builds before/history and trace lookup queries", async () => {
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const queries: string[] = [];
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const client = createClickHouseClient({ url: "http://127.0.0.1:8123" });
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client.query = async ({ query }) => {
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queries.push(query);
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return {
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async json<T>() {
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if (query.includes("trace-ctx")) {
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return [
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{
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...basePrint,
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trace_id: "trace-ctx",
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conditions: [],
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execution_nbbo_bid: "1.20",
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execution_nbbo_ask: "1.30",
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execution_nbbo_mid: "1.25",
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execution_nbbo_side: "A",
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execution_underlying_spot: "450.05",
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execution_underlying_source: "equity_quote_mid",
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execution_iv: "0.42",
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execution_iv_source: "synthetic_pressure_model",
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signal_reasons: ["large_notional"],
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signal_pass: 1
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}
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] as T;
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}
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return [] as T;
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}
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};
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};
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await fetchRecentOptionPrints(client, 25, undefined, {
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view: "signal",
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security: "stock",
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nbboSides: ["AA", "A"],
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optionTypes: ["call"],
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minNotional: 25_000,
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underlyingIds: ["AAPL", "NVDA"],
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optionContractId: "AAPL-2025-01-17-200-C",
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sinceTs: 123
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});
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await fetchOptionPrintsBefore(client, 100, 5, 20, "alpaca", { view: "raw" });
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await fetchOptionPrintsByTraceIds(client, ["trace-1", "trace-2"]);
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const rows = await fetchRecentOptionPrints(client, 1, "trace-ctx", { view: "signal" });
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expect(queries[0]).toContain("signal_pass = 1");
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expect(queries[0]).toContain("(is_etf = 0 OR is_etf IS NULL)");
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expect(queries[0]).toContain("nbbo_side IN ('AA', 'A')");
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expect(queries[0]).toContain("option_type IN ('call')");
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expect(queries[0]).toContain("notional >= 25000");
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expect(queries[0]).toContain("underlying_id IN ('AAPL', 'NVDA')");
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expect(queries[0]).toContain("option_contract_id = 'AAPL-2025-01-17-200-C'");
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expect(queries[0]).toContain("ts >= 123");
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expect(queries[1]).toContain("(ts, seq) < (100, 5)");
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expect(queries[1]).toContain("startsWith(trace_id, 'alpaca')");
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expect(queries[1]).not.toContain("signal_pass = 1");
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expect(queries[1]).toContain("ORDER BY ts DESC, seq DESC LIMIT 20");
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expect(queries[2]).toContain("trace_id IN ('trace-1', 'trace-2')");
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expect(rows[0].execution_nbbo_side).toBe("A");
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expect(rows[0].execution_underlying_spot).toBe(450.05);
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expect(rows[0].execution_iv).toBe(0.42);
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expect(rows[0].signal_reasons).toEqual(["large_notional"]);
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});
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});
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