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Add multi-leg structure tagging for flow packets

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dirtydishes 2025-12-30 13:33:50 -05:00
parent 163ab1039e
commit 0b0ffa651e
8 changed files with 291 additions and 93 deletions
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@ -14,6 +14,7 @@ Done now (in repo):
- Synthetic options/equity prints (full S&P 500) published to NATS and persisted to ClickHouse
- Deterministic option FlowPacket clustering (time window) + persistence
- Rolling stats in Redis (premium/size/spread) with z-score features on FlowPackets
- FlowPacket structure tags (vertical/ladder/straddle/strangle) for multi-leg bursts
- Rule-first classifiers + alert scoring with ClickHouse persistence + WS/REST endpoints
- API: REST for prints/flow packets/classifier hits/alerts, WS for live options/equities/flow/alerts/hits, replay endpoints
- UI: live tapes for options/equities/flow + replay toggle + pause controls + replay time/completion
@ -24,7 +25,7 @@ Done now (in repo):
In progress / blocked:
- Live data adapters beyond dev-only feeds (requires licensed data source)
- Advanced clustering
- Advanced clustering (spreads/rolls beyond basic structure tags)
Not started:
- Dark pool inference
@ -45,6 +46,7 @@ Not started:
- Raw event persistence in ClickHouse + streaming via NATS JetStream
- Deterministic option FlowPacket clustering (time-window)
- Rolling stats baselines in Redis with z-score features on FlowPackets
- Basic multi-leg structure tagging on FlowPackets
- Classifiers + alert scoring (rule-first) with WS/REST endpoints
- API gateway with REST, WS, and replay endpoints
- UI tapes for options/equities/flow packets + alerts/hits with live/replay toggle and pause controls