feat: saxo history

2026-07-19 08:49:57 +02:00
parent d4fb15ca9a
commit e7247d4c4c
5 changed files with 131 additions and 33 deletions
--- a/backend/routers/saxo.py
+++ b/backend/routers/saxo.py
@@ -6,7 +6,8 @@ from pydantic import BaseModel
 from services import saxo_auth
 from services.saxo_scheduler import get_watchlist, set_watchlist, get_snapshot_minutes, set_snapshot_minutes, run_snapshot_pass
 from services.database import (
-    get_saxo_snapshots, get_saxo_snapshot_symbols, dedupe_saxo_snapshots,
+    get_saxo_snapshot_symbols, dedupe_saxo_snapshots,
+    get_snapshot_rows_asof, delete_saxo_snapshots,
    get_saxo_catalog, get_saxo_catalog_summary, upsert_saxo_catalog_rows,
 )

@@ -171,10 +172,18 @@ def quote(symbol: str, asset_type: str = Query("FxSpot")):
@router.get("/history")
 def history(
    symbol: Optional[str] = Query(None),
-    date_from: Optional[str] = Query(None),
-    date_to: Optional[str] = Query(None),
+    as_of: Optional[str] = Query(None, description="ISO datetime — replay the chain as it stood at/before this moment. Omit for the latest capture."),
 ):
-    return get_saxo_snapshots(symbol, date_from, date_to)
+    """One row per (symbol, expiry, strike, type) — the latest capture, or the latest at/
+    before `as_of` to replay a past moment. The full 5-min history is retained underneath
+    for future backtest use; this endpoint only ever surfaces one row per contract."""
+    return get_snapshot_rows_asof(symbol, as_of)
+
+
+@router.delete("/history/{symbol}")
+def delete_history(symbol: str):
+    """Wipes the full accumulated snapshot history for one symbol."""
+    return {"symbol": symbol.upper(), "rows_deleted": delete_saxo_snapshots(symbol.upper())}


 class CatalogRefreshRequest(BaseModel):
--- a/backend/services/database.py
+++ b/backend/services/database.py
@@ -6219,6 +6219,49 @@ def get_latest_saxo_snapshot_rows(symbol: str) -> List[Dict[str, Any]]:
    return [dict(r) for r in rows]


+def get_snapshot_rows_asof(symbol: Optional[str] = None, as_of: Optional[str] = None) -> List[Dict[str, Any]]:
+    """One row per (symbol, expiry_date, strike, option_type) — the freshest capture at or
+    before `as_of` (an ISO datetime string), or simply the freshest capture overall when
+    as_of is omitted. Powers the Saxo History page's default 'current chain' view and its
+    'replay a past moment' filter — the full granular history stays in the table underneath
+    for later backtest use, this just picks one row per contract."""
+    conn = get_conn()
+    where_symbol = "AND symbol = ?" if symbol else ""
+    where_asof = "AND created_at <= ?" if as_of else ""
+    params: List[Any] = []
+    if symbol:
+        params.append(symbol)
+    if as_of:
+        params.append(as_of)
+    rows = conn.execute(f"""
+        SELECT s.* FROM saxo_option_snapshots s
+        JOIN (
+            SELECT symbol, expiry_date, strike, option_type, MAX(created_at) AS max_created
+            FROM saxo_option_snapshots
+            WHERE 1=1 {where_symbol} {where_asof}
+            GROUP BY symbol, expiry_date, strike, option_type
+        ) latest
+        ON s.symbol = latest.symbol AND s.expiry_date = latest.expiry_date
+           AND s.strike = latest.strike AND s.option_type = latest.option_type
+           AND s.created_at = latest.max_created
+        ORDER BY s.symbol, s.expiry_date, s.strike
+    """, params).fetchall()
+    conn.close()
+    return [dict(r) for r in rows]
+
+
+def delete_saxo_snapshots(symbol: str) -> int:
+    """Wipes the full accumulated history for one symbol (all expiries/strikes/dates) —
+    the raw history table is otherwise never pruned, so this is the user-triggered escape
+    hatch for a ticker they no longer want tracked."""
+    conn = get_conn()
+    cur = conn.execute("DELETE FROM saxo_option_snapshots WHERE symbol = ?", (symbol,))
+    deleted = cur.rowcount
+    conn.commit()
+    conn.close()
+    return deleted
+
+
 def upsert_saxo_catalog_rows(rows: List[Dict[str, Any]]):
    if not rows:
        return
--- a/backend/services/saxo_client.py
+++ b/backend/services/saxo_client.py
@@ -26,7 +26,14 @@ _OPTION_ASSET_TYPES = "StockOption,StockIndexOption,FuturesOption,FxVanillaOptio
 # Applied around a Black-Scholes theoretical price when Saxo returns no live Bid/Ask (FX
 # options in particular go quiet outside FX market hours — closed over the weekend) but
 # still supplies MidVolatility/Greeks from its own model, so IV/spot/strike are usable.
+#
+# Calibrated against a real Saxo EURUSD chain: the quoted spread there sits at a near-
+# constant ~9-10 pips (~0.0009-0.0010) in ABSOLUTE terms across every strike/expiry —
+# 40%+ of the premium for a cheap OTM contract, ~8% for an expensive one. A pure
+# percentage-of-premium spread badly underprices the OTM end, so the wider of the two
+# (percentage floor vs. a spot-scaled absolute floor) is used.
 _SYNTHETIC_SPREAD_PCT = 0.05
+_SYNTHETIC_SPREAD_FLOOR_PCT_OF_SPOT = 0.0008
 _SYNTHETIC_RATE = 0.02


@@ -44,7 +51,8 @@ def _synthesize_quote(
    theo = float(black_scholes(spot, strike, T, _SYNTHETIC_RATE, iv_pct / 100.0, option_type)["price"])
    if theo <= 0:
        return None, None, None
-    half_spread = theo * _SYNTHETIC_SPREAD_PCT / 2
+    full_spread = max(theo * _SYNTHETIC_SPREAD_PCT, spot * _SYNTHETIC_SPREAD_FLOOR_PCT_OF_SPOT)
+    half_spread = full_spread / 2
    bid = round(max(0.0, theo - half_spread), 6)
    ask = round(theo + half_spread, 6)
    return bid, ask, round((bid + ask) / 2, 6)
--- a/frontend/src/hooks/useApi.ts
+++ b/frontend/src/hooks/useApi.ts
@@ -1752,14 +1752,25 @@ export const useDedupeSaxoHistory = () => {
  })
 }

-export const useSaxoHistory = (symbol?: string, dateFrom?: string, dateTo?: string) =>
+export const useSaxoHistory = (symbol?: string, asOf?: string) =>
  useQuery<SaxoSnapshotRow[]>({
-    queryKey: ['saxo-history', symbol, dateFrom, dateTo],
+    queryKey: ['saxo-history', symbol, asOf],
    queryFn: () => api.get('/saxo/history', {
-      params: { ...(symbol ? { symbol } : {}), ...(dateFrom ? { date_from: dateFrom } : {}), ...(dateTo ? { date_to: dateTo } : {}) },
+      params: { ...(symbol ? { symbol } : {}), ...(asOf ? { as_of: asOf } : {}) },
    }).then(r => r.data),
  })

+export const useDeleteSaxoHistory = () => {
+  const qc = useQueryClient()
+  return useMutation({
+    mutationFn: (symbol: string) => api.delete(`/saxo/history/${encodeURIComponent(symbol)}`).then(r => r.data as { symbol: string; rows_deleted: number }),
+    onSuccess: () => {
+      qc.invalidateQueries({ queryKey: ['saxo-history'] })
+      qc.invalidateQueries({ queryKey: ['saxo-symbols'] })
+    },
+  })
+}
+
 export type SaxoSymbolSummary = { symbol: string; rows_count: number; first_date: string; last_date: string }

 export const useSaxoSymbols = () =>
--- a/frontend/src/pages/SaxoHistory.tsx
+++ b/frontend/src/pages/SaxoHistory.tsx
@@ -1,7 +1,7 @@
 import { useMemo, useState } from 'react'
-import { History, RefreshCw, Trash2 } from 'lucide-react'
+import { History, RefreshCw, Trash2, X } from 'lucide-react'
 import clsx from 'clsx'
-import { useSaxoSymbols, useSaxoHistory, useDedupeSaxoHistory, type SaxoSnapshotRow } from '../hooks/useApi'
+import { useSaxoSymbols, useSaxoHistory, useDedupeSaxoHistory, useDeleteSaxoHistory, type SaxoSnapshotRow } from '../hooks/useApi'

 function fmt(v: number | null | undefined, digits = 2) {
  return v == null ? '—' : v.toFixed(digits)
@@ -16,34 +16,48 @@ function fmtPrice(v: number | null | undefined) {
  return v.toFixed(digits)
 }

-function daysAgo(n: number) {
-  const d = new Date()
-  d.setDate(d.getDate() - n)
-  return d.toISOString().slice(0, 10)
+// <input type="datetime-local"> has no timezone suffix, so the browser parses it as local
+// time — reformat to the same "YYYY-MM-DD HH:MM:SS" UTC shape SQLite's datetime('now')
+// writes into created_at, so a plain string comparison on the backend lines up correctly.
+function toSqliteUtc(datetimeLocal: string): string {
+  return new Date(datetimeLocal).toISOString().slice(0, 19).replace('T', ' ')
 }

 export default function SaxoHistory() {
  const { data: symbolSummaries = [] } = useSaxoSymbols()
  const [symbol, setSymbol] = useState<string>('')
-  const [dateFrom, setDateFrom] = useState(daysAgo(30))
-  const [dateTo, setDateTo] = useState('')
+  const [asOfLocal, setAsOfLocal] = useState<string>('')
+
+  const asOf = asOfLocal ? toSqliteUtc(asOfLocal) : undefined
+  const { data: rows = [], isLoading, isFetching, refetch } = useSaxoHistory(symbol || undefined, asOf)

-  const { data: rows = [], isLoading, isFetching, refetch } = useSaxoHistory(symbol || undefined, dateFrom || undefined, dateTo || undefined)
  const dedupe = useDedupeSaxoHistory()
  const [dedupeMsg, setDedupeMsg] = useState<string | null>(null)
-
  const handleDedupe = () => {
    dedupe.mutate(undefined, {
      onSuccess: (data) => setDedupeMsg(`${data.rows_deleted} ligne(s) redondante(s) supprimée(s).`),
    })
  }

+  const deleteHistory = useDeleteSaxoHistory()
+  const handleDelete = () => {
+    if (!symbol) return
+    if (!window.confirm(`Effacer tout l'historique de snapshots de "${symbol}" ? Cette action est irréversible (les données ne seront plus disponibles pour les backtests).`)) return
+    deleteHistory.mutate(symbol, {
+      onSuccess: (data) => {
+        setDedupeMsg(`${data.rows_deleted} ligne(s) supprimée(s) pour ${data.symbol}.`)
+        setSymbol('')
+      },
+    })
+  }
+
  const grouped = useMemo(() => {
-    const groups: { date: string; rows: SaxoSnapshotRow[] }[] = []
+    const groups: { key: string; symbol: string; expiry: string; rows: SaxoSnapshotRow[] }[] = []
    for (const r of rows) {
+      const key = `${r.symbol}||${r.expiry_date}`
      const last = groups[groups.length - 1]
-      if (last && last.date === r.snapshot_date) last.rows.push(r)
-      else groups.push({ date: r.snapshot_date, rows: [r] })
+      if (last && last.key === key) last.rows.push(r)
+      else groups.push({ key, symbol: r.symbol, expiry: r.expiry_date, rows: [r] })
    }
    return groups
  }, [rows])
@@ -56,7 +70,7 @@ export default function SaxoHistory() {
            <History className="w-5 h-5 text-blue-400" /> Saxo — Historique des snapshots
          </h1>
          <p className="text-xs text-slate-500 mt-0.5">
-            Accumulé depuis la connexion Saxo — pas d'historique passé disponible via leur API, seulement ce qu'on capture nous-mêmes.
+            Une ligne par contrat (ticker/maturité/strike/type) — la capture la plus récente, ou celle en vigueur à la date/heure choisie ci-dessous.
          </p>
        </div>
        <div className="flex items-center gap-2">
@@ -94,16 +108,27 @@ export default function SaxoHistory() {
          </select>
        </div>
        <div>
-          <label className="stat-label block mb-1">Du</label>
-          <input type="date" value={dateFrom} onChange={e => setDateFrom(e.target.value)}
-            className="bg-dark-700 border border-slate-700/50 rounded px-2 py-1.5 text-sm text-white" />
+          <label className="stat-label block mb-1">Voir au (vide = actuel)</label>
+          <div className="flex items-center gap-1.5">
+            <input type="datetime-local" value={asOfLocal} onChange={e => setAsOfLocal(e.target.value)}
+              className="bg-dark-700 border border-slate-700/50 rounded px-2 py-1.5 text-sm text-white" />
+            {asOfLocal && (
+              <button onClick={() => setAsOfLocal('')} title="Revenir à l'actuel" className="text-slate-500 hover:text-slate-300">
+                <X className="w-4 h-4" />
+              </button>
+            )}
+          </div>
        </div>
-        <div>
-          <label className="stat-label block mb-1">Au</label>
-          <input type="date" value={dateTo} onChange={e => setDateTo(e.target.value)}
-            className="bg-dark-700 border border-slate-700/50 rounded px-2 py-1.5 text-sm text-white" />
-        </div>
-        <div className="text-xs text-slate-500 ml-auto">{rows.length} lignes</div>
+        <button
+          onClick={handleDelete}
+          disabled={!symbol || deleteHistory.isPending}
+          title={symbol ? `Effacer tout l'historique de ${symbol}` : 'Choisissez un symbole précis pour effacer son historique'}
+          className="flex items-center gap-1.5 text-xs border border-red-700/50 text-red-400 hover:text-red-300 hover:border-red-500 px-3 py-1.5 rounded transition-all disabled:opacity-30 disabled:cursor-not-allowed"
+        >
+          <Trash2 className="w-3.5 h-3.5" />
+          {deleteHistory.isPending ? 'Suppression...' : `Effacer l'historique${symbol ? ` de ${symbol}` : ''}`}
+        </button>
+        <div className="text-xs text-slate-500 ml-auto">{rows.length} contrat(s)</div>
      </div>

      {symbolSummaries.length > 0 && (
@@ -143,13 +168,14 @@ export default function SaxoHistory() {
                <th className="py-1 pr-3 text-right">Gamma</th>
                <th className="py-1 pr-3 text-right">Theta</th>
                <th className="py-1 pr-3 text-right">Vega</th>
+                <th className="py-1 pr-3">Capturé le</th>
              </tr>
            </thead>
            <tbody>
              {grouped.map(group => (
                <>
-                  <tr key={`h-${group.date}`} className="border-t border-slate-700/40">
-                    <td colSpan={13} className="py-1.5 pr-3 text-slate-300 font-semibold bg-dark-700/30">{group.date}</td>
+                  <tr key={`h-${group.key}`} className="border-t border-slate-700/40">
+                    <td colSpan={14} className="py-1.5 pr-3 text-slate-300 font-semibold bg-dark-700/30">{group.symbol} — {group.expiry}</td>
                  </tr>
                  {group.rows.map(r => (
                    <tr key={r.id} className="border-t border-slate-800/60 hover:bg-dark-700/30">
@@ -174,6 +200,7 @@ export default function SaxoHistory() {
                      <td className="py-1 pr-3 text-right text-slate-400">{fmt(r.gamma, 4)}</td>
                      <td className="py-1 pr-3 text-right text-slate-400">{fmt(r.theta, 4)}</td>
                      <td className="py-1 pr-3 text-right text-slate-400">{fmt(r.vega, 4)}</td>
+                      <td className="py-1 pr-3 text-slate-500">{r.created_at}</td>
                    </tr>
                  ))}
                </>