tradeblocks-mcp 2.2.0-beta.7 → 2.2.0

package/dist/test-exports.js

@@ -1740,6 +1740,21 @@ var MassiveAggregateResponseSchema = z.object({
   request_id: z.string(),
   next_url: z.string().optional()
 });
+var MassiveQuoteSchema = z.object({
+  bid_price: z.number(),
+  ask_price: z.number(),
+  sip_timestamp: z.number(),
+  // nanoseconds
+  bid_size: z.number(),
+  ask_size: z.number(),
+  sequence_number: z.number()
+});
+var MassiveQuotesResponseSchema = z.object({
+  status: z.string(),
+  request_id: z.string(),
+  results: z.array(MassiveQuoteSchema).default([]),
+  next_url: z.string().optional()
+});
 var MassiveSnapshotGreeksSchema = z.object({
   delta: z.number(),
   gamma: z.number(),
@@ -1830,6 +1845,12 @@ function massiveTimestampToETTime(unixMs) {
     hour12: false
   });
 }
+function nanosToETMinuteKey(nanosTimestamp) {
+  const ms = Math.floor(nanosTimestamp / 1e6);
+  const date = massiveTimestampToETDate(ms);
+  const time = massiveTimestampToETTime(ms);
+  return `${date} ${time}`;
+}
 function getApiKey() {
   const key = process.env.MASSIVE_API_KEY;
   if (!key) {
@@ -2030,8 +2051,86 @@ var MassiveProvider = class {
         url = null;
       }
     }
+    const quotesEnabled2 = process.env.MASSIVE_QUOTES_ENABLED === "true" || process.env.MASSIVE_QUOTES_ENABLED === "1";
+    if (quotesEnabled2 && assetClass === "option" && timespan !== "day" && allRows.length > 0) {
+      const quotesMap = await this.fetchQuotesForBars(apiTicker, headers, from, to);
+      if (quotesMap.size > 0) {
+        for (const row of allRows) {
+          if (row.time != null) {
+            const key = `${row.date} ${row.time}`;
+            const quote = quotesMap.get(key);
+            if (quote != null) {
+              row.bid = quote.bid;
+              row.ask = quote.ask;
+            }
+          }
+        }
+      }
+    }
     return allRows;
   }
+  /**
+   * Fetches historical quotes (bid/ask) for an option ticker over a date range.
+   * Returns a Map keyed by "YYYY-MM-DD HH:MM" ET minute key.
+   * Any error (network, HTTP error, parse failure) silently returns an empty Map.
+   */
+  async fetchQuotesForBars(apiTicker, headers, from, to) {
+    const result = /* @__PURE__ */ new Map();
+    try {
+      let url = `${MASSIVE_BASE_URL}/v3/quotes/${encodeURIComponent(apiTicker)}?timestamp.gte=${from}&timestamp.lte=${to}&order=asc&limit=${MASSIVE_MAX_LIMIT}`;
+      const seenCursors = /* @__PURE__ */ new Set();
+      const QUOTES_MAX_PAGES = 100;
+      let pageCount = 0;
+      while (url) {
+        pageCount++;
+        if (pageCount > QUOTES_MAX_PAGES) {
+          break;
+        }
+        let response;
+        try {
+          response = await fetch(url, {
+            headers,
+            signal: AbortSignal.timeout(3e4)
+          });
+        } catch {
+          return result;
+        }
+        if (!response.ok) {
+          return result;
+        }
+        const json = await response.json();
+        const parsed = MassiveQuotesResponseSchema.safeParse(json);
+        if (!parsed.success) {
+          return result;
+        }
+        const data = parsed.data;
+        for (const quote of data.results) {
+          const key = nanosToETMinuteKey(quote.sip_timestamp);
+          result.set(key, { bid: quote.bid_price, ask: quote.ask_price });
+        }
+        if (data.next_url) {
+          const nextUrlObj = new URL(data.next_url);
+          const cursor = nextUrlObj.searchParams.get("cursor") ?? data.next_url;
+          if (seenCursors.has(cursor)) {
+            break;
+          }
+          seenCursors.add(cursor);
+          url = data.next_url;
+        } else {
+          url = null;
+        }
+      }
+    } catch {
+      return /* @__PURE__ */ new Map();
+    }
+    return result;
+  }
+  async fetchQuotes(ticker, from, to) {
+    const apiKey = getApiKey();
+    const apiTicker = toMassiveTicker(ticker, "option");
+    const headers = { Authorization: `Bearer ${apiKey}` };
+    return this.fetchQuotesForBars(apiTicker, headers, from, to);
+  }
   async fetchOptionSnapshot(options) {
     const apiKey = getApiKey();
     const { underlying } = options;
@@ -4317,6 +4416,9 @@ function computeReplayMfeMae(pnlPath) {
 import { z as z5 } from "zod";
 
 // src/utils/bar-cache.ts
+function quotesEnabled() {
+  return process.env.MASSIVE_QUOTES_ENABLED === "true" || process.env.MASSIVE_QUOTES_ENABLED === "1";
+}
 async function fetchBarsWithCache(opts) {
   const { ticker, from, to, timespan, assetClass, baseDir } = opts;
   try {
@@ -4332,7 +4434,7 @@ async function fetchBarsWithCache(opts) {
     );
     const rows = cached.getRows();
     if (rows.length > 0) {
-      return rows.map((row) => ({
+      const bars2 = rows.map((row) => ({
         open: Number(row[0]),
         high: Number(row[1]),
         low: Number(row[2]),
@@ -4345,6 +4447,44 @@ async function fetchBarsWithCache(opts) {
         volume: 0
         // market.intraday has no volume column
       }));
+      const missingQuotes = assetClass === "option" && quotesEnabled() && bars2.some((b) => b.bid == null && b.ask == null);
+      if (missingQuotes) {
+        try {
+          const provider = getProvider();
+          if (provider.fetchQuotes) {
+            const quotesMap = await provider.fetchQuotes(ticker, from, to);
+            if (quotesMap.size > 0) {
+              const updates = [];
+              for (const bar of bars2) {
+                if (bar.time != null) {
+                  const key = `${bar.date} ${bar.time}`;
+                  const quote = quotesMap.get(key);
+                  if (quote != null) {
+                    bar.bid = quote.bid;
+                    bar.ask = quote.ask;
+                    updates.push(
+                      `('${escaped}', '${bar.date}', '${bar.time}', ${quote.bid}, ${quote.ask})`
+                    );
+                  }
+                }
+              }
+              if (updates.length > 0) {
+                const updateConn = opts.conn ?? await getConnection(baseDir ?? ".");
+                for (let i = 0; i < updates.length; i += 500) {
+                  const chunk = updates.slice(i, i + 500);
+                  await updateConn.run(
+                    `UPDATE market.intraday AS m SET bid = v.bid, ask = v.ask
+                     FROM (VALUES ${chunk.join(", ")}) AS v(ticker, date, time, bid, ask)
+                     WHERE m.ticker = v.ticker AND m.date = v.date AND m.time = v.time`
+                  );
+                }
+              }
+            }
+          }
+        } catch {
+        }
+      }
+      return bars2;
     }
   } catch {
   }
@@ -6266,6 +6406,8 @@ export {
   MassiveAggregateResponseSchema,
   MassiveBarSchema,
   MassiveProvider,
+  MassiveQuoteSchema,
+  MassiveQuotesResponseSchema,
   MassiveSnapshotContractSchema,
   MassiveSnapshotResponseSchema,
   OPEN_KNOWN_FIELDS,
@@ -6365,6 +6507,7 @@ export {
   markPrice,
   massiveTimestampToETDate,
   massiveTimestampToETTime,
+  nanosToETMinuteKey,
   parseLegsString,
   pdf,
   performTailRiskAnalysis,