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