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Only executing the code\n * catches that. This does.\n */\nimport {\n fromColumnar,\n gunzip,\n gzip,\n type Snapshot,\n toColumnar,\n} from \"./recorder.ts\";\n\nconst expiries = [\"2026-08-24\", \"2026-08-25\", \"2026-08-26\"];\nconst rows: any[] = [];\nfor (let e = 0; e < 3; e++) {\n for (let k = 28400; k <= 30200; k += 25) {\n for (const r of [\"C\", \"P\"]) {\n rows.push({\n s: k,\n r,\n e: expiries[e],\n iv: 0.1683 + Math.random() * 0.09,\n oi: Math.floor(Math.random() * 900) + 1,\n v: Math.floor(Math.random() * 400),\n b: +(Math.random() * 60).toFixed(2),\n a: +(Math.random() * 60).toFixed(2),\n });\n }\n }\n}\nconsole.log(`synthetic rows: ${rows.length}`);\n\nconst snap: Snapshot = {\n sym: \"NDX\",\n ts: new Date().toISOString(),\n spot: 29308.86,\n src: \"cboe_delayed\",\n delayed: true,\n v: 2,\n cols: toColumnar(rows, expiries),\n expiries,\n diag: {\n fetched: 16488,\n kept: rows.length,\n expiries,\n droppedExpired: 1,\n ms: 1300,\n },\n};\n\nconst rowJson = JSON.stringify({ q: rows });\nconst colJson = JSON.stringify(snap);\nconst packed = await gzip(colJson);\n\nconsole.log(`row-oriented JSON : ${(rowJson.length / 1024).toFixed(1)} KB`);\nconsole.log(\n `columnar JSON : ${(colJson.length / 1024).toFixed(1)} KB (${\n (rowJson.length / colJson.length).toFixed(2)\n }x)`,\n);\nconsole.log(\n `columnar + gzip : ${(packed.byteLength / 1024).toFixed(1)} KB (${\n (rowJson.length / packed.byteLength).toFixed(1)\n }x total)`,\n);\n\nconst back = fromColumnar(JSON.parse(await gunzip(packed)) as Snapshot);\nlet bad = 0;\nfor (let i = 0; i < rows.length; i++) {\n const a = rows[i], b = back[i];\n if (\n a.s !== b.s || a.r !== b.r || a.e !== b.e || a.oi !== b.oi || a.v !== b.v\n ) bad++;\n if (Math.abs(a.iv - b.iv) > 1e-4 || Math.abs(a.b - b.b) > 0.005) bad++;\n}\nconsole.log(`\\nround-trip mismatches: ${bad}`);\nconsole.log(bad === 0 ? \"ROUND TRIP OK\" : \"ROUND TRIP FAILED\");\n\nconst daily = (packed.byteLength * 1.6 * 4) / 1048576;\nconsole.log(\n `\\nprojected: ${\n (daily * 1024).toFixed(0)\n } KB/day -> free 10MB tier lasts ~${Math.floor(10 / daily)} days`,\n);\nprocess.exit(bad === 0 ? 0 : 1);","label",[129],"ebaa82e6-dbdb-487a-a7d8-a2d56180c2e8","recorder.ts","9694b27e-9e44-11f1-90c3-1607ee4eb77e",14,["D",1787415694304],6,"interval","/**\n * recorder.ts — Val.town scheduled snapshot recorder.\n *\n * PURPOSE: every day this does not run is a day of calibration data you cannot\n * buy back cheaply. Historical intraday chain snapshots are expensive or simply\n * unavailable at retail pricing. Recording your own from a free delayed source\n * costs nothing and starts the clock immediately.\n *\n * LICENSING: this deliberately uses DELAYED data (>=15 min) and stores only\n * what is needed to reconstruct the gamma field. OPRA charges no display or\n * non-display fees on data delayed 15 minutes or more. The derived levels the\n * engine ultimately publishes cannot be reverse-engineered back into a chain,\n * which is the standard test derived-data clauses apply.\n *\n * DEPLOY: paste into a Val.town Val, set type to \"Cron\", schedule below.\n *\n * Recommended cron (UTC, covers the RTH session at 4 points):\n * 35 14,16,18,19 * * 1-5\n * These UTC hours fall inside RTH in BOTH regimes:\n * EDT (UTC-4): 10:35, 12:35, 14:35, 15:35 ET\n * EST (UTC-5): 09:35, 11:35, 13:35, 14:35 ET\n * so no seasonal edit is needed when the US changes clocks.\n *\n * STATUS: the CBOE adapter reached the live endpoint successfully on first\n * run (both QQQ and NDX fetched, parsed, narrowed and written to blob). The\n * only failure was in the index bookkeeping below, now fixed.\n */\n\n// SCOPED blob storage (per-val, Amazon S3). Note the /main.ts suffix - that is\n// what selects scoped over the older global (account-wide, Cloudflare R2)\n// store at \"https://esm.town/v/std/blob\". They are DIFFERENT stores: anything\n// written via the global import will not appear in this val's blob panel.\nimport { blob } from \"https://esm.town/v/std/blob/main.ts\";\n\n// ---------------------------------------------------------------------------\n// Config\n// ---------------------------------------------------------------------------\n\nconst SYMBOLS = [\n { key: \"QQQ\", cboe: \"QQQ\" },\n { key: \"NDX\", cboe: \"_NDX\" }, // CBOE prefixes index symbols with underscore\n];\n\n/** Keep strikes within this many percent of spot. Far strikes carry ~0 gamma. */\nconst STRIKE_WINDOW_PCT = 0.08;\n\n/** Keep this many nearest expiries. 0DTE + next two is plenty. */\nconst MAX_EXPIRIES = 3;\n\n/**\n * Delete snapshots older than this.\n *\n * STORAGE BUDGET - this is the binding constraint, not the cron rate:\n * Val Town free plan = 10 MB total\n * Val Town pro plan = 1024 MB total\n *\n * Uncompressed, one capture round is ~115 KB across both symbols, so 4 runs a\n * day is ~460 KB/day and the FREE TIER FILLS IN ABOUT THREE WEEKS. With\n * columnar layout + gzip below, a round drops to roughly 12-18 KB, so:\n * free tier ~= 5-7 months of history\n * pro tier ~= many years\n *\n * If you stay on free, drop RETAIN_DAYS to ~150 or move to 2 runs/day.\n */\nconst RETAIN_DAYS = 400;\n\n/**\n * Which scheduled run does the retention sweep. MUST be one of the UTC hours\n * in your cron expression or the sweep silently never runs.\n * Cron: 35 14,16,18,19 * * 1-5\n */\nconst RETENTION_SWEEP_UTC_HOUR = 14;\n\n// ---------------------------------------------------------------------------\n// Types\n// ---------------------------------------------------------------------------\n\ninterface RecordedQuote {\n s: number; // strike\n r: \"C\" | \"P\"; // right\n e: string; // expiry YYYY-MM-DD\n iv: number;\n oi: number;\n v: number; // volume\n b: number; // bid\n a: number; // ask\n}\n\n/**\n * COLUMNAR layout, not an array of objects.\n *\n * A row-oriented array repeats every field name ~1,200 times per snapshot.\n * Columnar stores each field name once and puts the values in parallel arrays,\n * which also gives gzip long runs of similar numbers to work with. Between the\n * two, a snapshot shrinks by roughly 8-10x. Against a 10 MB free-tier cap that\n * is the difference between three weeks and most of a year of history.\n */\nexport interface Snapshot {\n sym: string;\n ts: string; // ISO timestamp of capture\n spot: number;\n src: string;\n delayed: true;\n v: 2; // schema version - readers MUST check this\n cols: {\n s: number[]; // strike\n r: number[]; // 0 = call, 1 = put\n e: number[]; // index into `expiries`\n iv: number[];\n oi: number[];\n vol: number[];\n b: number[];\n a: number[];\n };\n expiries: string[];\n diag: {\n fetched: number;\n kept: number;\n expiries: string[];\n droppedExpired: number;\n ms: number;\n };\n}\n\nexport function toColumnar(rows: RecordedQuote[], expiries: string[]) {\n const eIdx = new Map(expiries.map((e, i) => [e, i]));\n const c = {\n s: [] as number[],\n r: [] as number[],\n e: [] as number[],\n iv: [] as number[],\n oi: [] as number[],\n vol: [] as number[],\n b: [] as number[],\n a: [] as number[],\n };\n for (const q of rows) {\n c.s.push(q.s);\n c.r.push(q.r === \"C\" ? 0 : 1);\n c.e.push(eIdx.get(q.e) ?? 0);\n // Round to the precision that actually matters. Trailing float noise costs\n // real bytes and buys nothing: IV to 4dp, prices to 2dp.\n c.iv.push(Math.round(q.iv * 1e4) / 1e4);\n c.oi.push(q.oi);\n c.vol.push(q.v);\n c.b.push(Math.round(q.b * 100) / 100);\n c.a.push(Math.round(q.a * 100) / 100);\n }\n return c;\n}\n\n/** Inverse of toColumnar - what the calibration job uses to read snapshots. */\nexport function fromColumnar(snap: Snapshot): RecordedQuote[] {\n const { cols, expiries } = snap;\n const out: RecordedQuote[] = [];\n for (let i = 0; i < cols.s.length; i++) {\n out.push({\n s: cols.s[i],\n r: cols.r[i] === 0 ? \"C\" : \"P\",\n e: expiries[cols.e[i]],\n iv: cols.iv[i],\n oi: cols.oi[i],\n v: cols.vol[i],\n b: cols.b[i],\n a: cols.a[i],\n });\n }\n return out;\n}\n\n/** gzip a string via the platform CompressionStream. */\nexport async function gzip(text: string): Promise {\n const cs = new CompressionStream(\"gzip\");\n const stream = new Blob([text]).stream().pipeThrough(cs);\n const buf = await new Response(stream).arrayBuffer();\n return new Uint8Array(buf);\n}\n\n/** gunzip back to a string. Pair with fromColumnar to read a snapshot. */\nexport async function gunzip(bytes: Uint8Array): Promise {\n const ds = new DecompressionStream(\"gzip\");\n const stream = new Blob([bytes as BlobPart]).stream().pipeThrough(ds);\n return await new Response(stream).text();\n}\n\n// ---------------------------------------------------------------------------\n// CBOE delayed-quote adapter\n// ---------------------------------------------------------------------------\n\n/**\n * CBOE publishes a free delayed chain as a single JSON document per symbol.\n * Option symbols are OCC-format: ROOT + YYMMDD + C|P + strike*1000 padded to 8.\n */\nfunction parseOccSymbol(\n occ: string,\n): { expiry: string; right: \"C\" | \"P\"; strike: number } | null {\n const m = occ.match(/^([A-Z_]+)(\\d{6})([CP])(\\d{8})$/);\n if (!m) return null;\n const [, , ymd, right, strikeRaw] = m;\n const yy = ymd.slice(0, 2);\n const expiry = `20${yy}-${ymd.slice(2, 4)}-${ymd.slice(4, 6)}`;\n return {\n expiry,\n right: right as \"C\" | \"P\",\n strike: parseInt(strikeRaw, 10) / 1000,\n };\n}\n\nasync function fetchCboe(\n cboeSym: string,\n): Promise<{ spot: number; rows: RecordedQuote[] }> {\n const url =\n `https://cdn.cboe.com/api/global/delayed_quotes/options/${cboeSym}.json`;\n const res = await fetch(url, {\n headers: { \"User-Agent\": \"Mozilla/5.0\", Accept: \"application/json\" },\n });\n if (!res.ok) throw new Error(`CBOE ${cboeSym} HTTP ${res.status}`);\n const j: any = await res.json();\n\n const spot = Number(j?.data?.current_price ?? j?.data?.close);\n if (!(spot > 0)) throw new Error(`CBOE ${cboeSym}: no usable spot`);\n\n const raw: any[] = j?.data?.options ?? [];\n const rows: RecordedQuote[] = [];\n for (const o of raw) {\n const p = parseOccSymbol(String(o.option ?? \"\"));\n if (!p) continue;\n rows.push({\n s: p.strike,\n r: p.right,\n e: p.expiry,\n iv: Number(o.iv ?? 0),\n oi: Number(o.open_interest ?? 0),\n v: Number(o.volume ?? 0),\n b: Number(o.bid ?? 0),\n a: Number(o.ask ?? 0),\n });\n }\n return { spot, rows };\n}\n\n// ---------------------------------------------------------------------------\n// Narrowing\n// ---------------------------------------------------------------------------\n\n/**\n * Narrow hard. A full QQQ chain is ~15k contracts; within +/-8% of spot on the\n * three nearest expiries it is a few hundred. Strikes far from spot contribute\n * essentially zero gamma, so nothing of value is lost and blob storage stays\n * comfortably inside the free tier.\n */\nfunction narrow(\n rows: RecordedQuote[],\n spot: number,\n asof: Date,\n): { kept: RecordedQuote[]; expiries: string[]; droppedExpired: number } {\n const lo = spot * (1 - STRIKE_WINDOW_PCT);\n const hi = spot * (1 + STRIKE_WINDOW_PCT);\n\n // Drop expiries that have already passed. CBOE's delayed feed still lists\n // them after the close, and a dead expiry silently eats one of the\n // MAX_EXPIRIES slots while contributing nothing (tau <= 0 => zero gamma).\n const today = asof.toISOString().slice(0, 10);\n const allExpiries = [...new Set(rows.map((r) => r.e))].sort();\n const live = allExpiries.filter((e) => e >= today);\n const droppedExpired = allExpiries.length - live.length;\n\n const expiries = live.slice(0, MAX_EXPIRIES);\n const keepExp = new Set(expiries);\n\n const kept = rows.filter(\n (r) => keepExp.has(r.e) && r.s >= lo && r.s <= hi && r.oi > 0 && r.iv > 0,\n );\n return { kept, expiries, droppedExpired };\n}\n\n// ---------------------------------------------------------------------------\n// Main\n// ---------------------------------------------------------------------------\n\nexport default async function record(): Promise {\n const started = Date.now();\n const now = new Date();\n const stamp = now.toISOString().replace(/[:.]/g, \"-\");\n const results: any[] = [];\n\n for (const sym of SYMBOLS) {\n const t0 = Date.now();\n try {\n const { spot, rows } = await fetchCboe(sym.cboe);\n const { kept, expiries, droppedExpired } = narrow(rows, spot, now);\n\n if (kept.length < 20) {\n results.push({\n sym: sym.key,\n ok: false,\n error: `only ${kept.length} usable contracts`,\n });\n continue;\n }\n\n const snap: Snapshot = {\n sym: sym.key,\n ts: now.toISOString(),\n spot,\n src: \"cboe_delayed\",\n delayed: true,\n v: 2,\n cols: toColumnar(kept, expiries),\n expiries,\n diag: {\n fetched: rows.length,\n kept: kept.length,\n expiries,\n droppedExpired,\n ms: Date.now() - t0,\n },\n };\n\n const raw = JSON.stringify(snap);\n const packed = await gzip(raw);\n await blob.set(`chain_${sym.key}_${stamp}.json.gz`, packed);\n const bytes = packed.byteLength;\n\n // Maintain a lightweight index so the calibration job can enumerate\n // snapshots without listing the whole blob store every time.\n const idxKey = `chainidx_${now.toISOString().slice(0, 10)}`;\n let idx: string[] = [];\n try {\n const existing = await blob.getJSON(idxKey);\n // Val Town's blob.getJSON returns undefined for a missing key rather\n // than throwing, so a bare try/catch never fires and idx stays\n // undefined. Check the shape, don't rely on the catch.\n if (Array.isArray(existing)) idx = existing as string[];\n } catch { /* key does not exist yet - empty index is correct */ }\n idx.push(`chain_${sym.key}_${stamp}.json.gz`);\n await blob.setJSON(idxKey, idx);\n\n results.push({\n sym: sym.key,\n ok: true,\n spot,\n fetched: rows.length,\n kept: kept.length,\n expiries,\n droppedExpired,\n rawKb: +(raw.length / 1024).toFixed(1),\n gzKb: +(bytes / 1024).toFixed(1),\n ratio: +(raw.length / bytes).toFixed(1),\n ms: Date.now() - t0,\n });\n } catch (e: any) {\n results.push({ sym: sym.key, ok: false, error: String(e?.message ?? e) });\n }\n }\n\n // Retention sweep, cheap and only once a day.\n if (now.getUTCHours() === RETENTION_SWEEP_UTC_HOUR) {\n try {\n const cutoff = new Date(Date.now() - RETAIN_DAYS * 864e5).toISOString();\n const all = await blob.list(\"chain_\");\n let purged = 0;\n let totalBytes = 0;\n for (const b of all) {\n const m = b.key.match(/chain_[A-Z]+_(\\d{4}-\\d{2}-\\d{2})/);\n if (m && m[1] < cutoff.slice(0, 10)) {\n await blob.delete(b.key);\n purged++;\n } else totalBytes += (b as any).size ?? 0;\n }\n // Surface storage use every day so the 10 MB free ceiling cannot creep up\n // and start failing writes silently mid-calibration.\n results.push({\n retention: {\n purged,\n cutoff: cutoff.slice(0, 10),\n blobsKept: all.length - purged,\n storageMb: +(totalBytes / 1048576).toFixed(2),\n freeTierPct: +((totalBytes / 1048576 / 10) * 100).toFixed(1),\n },\n });\n } catch (e: any) {\n results.push({ retention: { error: String(e?.message ?? e) } });\n }\n }\n\n const summary = {\n ok: results.every((r) => r.ok !== false),\n at: now.toISOString(),\n totalMs: Date.now() - started,\n results,\n };\n\n // Cron ignores the return value, so log it or you will never see it.\n console.log(JSON.stringify(summary, null, 2));\n\n return Response.json(summary, { headers: { \"cache-control\": \"no-store\" } });\n}",[141],"b5612abf-0b8b-4670-b1fd-c8947681999b","main.ts","82693e5a-9e44-11f1-9111-1607ee4eb77e",1,["D",1787415250788],[150],"2dd214f1-7bae-470e-9e32-1871ba7adb21",["D",1787415946823],[28],"pulls","branches","forks","envVars",{"_165":62,"_167":62},"connections",{"_165":62,"_166":62},"count","unfilledCount","emptyCount",{"_43":155,"_32":28,"_30":31,"_131":-5,"_41":42,"_40":14,"_133":25,"_38":182,"_13":152,"_34":35,"_36":37,"_24":25,"_138":-5,"_173":183,"_27":184},{"_43":149,"_32":150,"_30":151,"_131":-5,"_41":42,"_40":152,"_133":25,"_38":179,"_13":62,"_34":35,"_36":37,"_24":25,"_138":-5,"_173":180,"_27":181},{"_43":140,"_32":141,"_30":142,"_131":-5,"_41":42,"_40":143,"_133":25,"_38":176,"_13":145,"_34":146,"_36":147,"_24":25,"_138":-5,"_173":177,"_27":178},{"_43":128,"_32":129,"_30":130,"_131":-5,"_41":42,"_40":132,"_133":25,"_38":172,"_13":135,"_34":136,"_36":137,"_24":25,"_138":-5,"_173":174,"_27":175},["D",1787415601400],"children",[],[129],["D",1787415694304],[],[141],["D",1787415250788],[],[150],["D",1787415946823],[],[28],["D",1787415250732],{"_96":95,"_102":37},{"_96":95,"_97":37,"_98":37,"_18":54,"_99":100,"_101":25},{"_13":85,"_32":86,"_43":42,"_87":44,"_88":-5,"_89":-5,"_90":-5,"_91":-5,"_92":-5,"_93":45,"_94":95},"ctx",{"_78":-5,"_121":222,"_223":224,"_225":226,"_227":25,"_228":25,"_229":25,"_230":58,"_231":-5,"_232":-7,"_233":-7,"_234":62,"_235":25,"_236":25,"_237":-5,"_238":25,"_239":25,"_240":25,"_241":-5},"ENV",{"_193":194,"_195":196,"_197":86,"_198":199,"_200":201,"_202":203,"_204":205,"_206":207,"_208":209,"_210":211,"_212":213,"_214":215,"_216":217,"_218":219,"_220":221},"REACT_APP_SENTRY_DSN","https://586020d86f05489db63a554690acf1e9@o1398359.ingest.sentry.io/6724499","RENDER_GIT_COMMIT","e87eb04e707cf64e7e532c8e8ec395f209e17f15","RENDER_GIT_BRANCH","POSTHOG_API_TOKEN","phc_nmoyuAkStEZuUp69rYlg1DZgrIt19Gx0Y4Hwf8tGgJP","POSTHOG_API_HOST","https://wart.val.town","WEB_API_TEMPLATE","https://{val}.web.val.run","APP_URL","https://www.val.town","MODULE_URL","https://esm.town","VANITY_WEB_API_TEMPLATE","https://{label}.val.run/","DENOLS_URL","https://lsp.val.town","NODE_ENV","production","CLOUDFLARE_TURNSTILE_SITE_KEY","0x4AAAAAACtaIZJH7s9rBMZ6","GOOGLE_CLIENT_ID","875989696899-jtsqkhlbdv5jrlsk8631p7ipjg3c6o62.apps.googleusercontent.com","STRIPE_PUBLISHABLE_KEY","pk_live_51N2zvWEpZTTLipIkVEwXrUG9AT0yeOOEYxszarZT1jpsZV58Ly6wlg3SltZpHN26CUalOBmUSY7adQRQiSkCZz2500qSXNkf8Y","API_URL","https://api.val.town",[],"preferencesKeybindings","default","preferencesTheme","light","preferencesFixers","preferencesCopilot","preferencesSelectionAi","preferencesCloseBrackets","preferencesChatPanelState","preferencesDprint","preferencesDenofmt","notificationCount","flagDenols","isBusinessOrgMember","businessOrgHandle","isBusinessOrgAdmin","isHigherTownieTier","navCollapsed","currentOrgId"]

Diff · v16