feat: saxo history

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):

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

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)