Add multi-leg structure tagging for flow packets
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dirtydishes
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163ab1039e
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8 changed files with 291 additions and 93 deletions
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@ -1,11 +1,5 @@
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import type { ClassifierHit, FlowPacket } from "@islandflow/types";
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type ParsedContract = {
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root: string;
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expiry: string;
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strike: number;
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right: "C" | "P";
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};
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import { parseContractId, type ParsedContract } from "./contracts";
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export type ClassifierConfig = {
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sweepMinPremium: number;
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@ -32,81 +26,6 @@ const formatUsd = (value: number): string => {
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return `$${value.toFixed(2)}`;
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};
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const parseDashedContract = (value: string): ParsedContract | null => {
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const parts = value.split("-");
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if (parts.length < 6) {
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return null;
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}
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const rightRaw = parts.at(-1) ?? "";
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if (rightRaw !== "C" && rightRaw !== "P") {
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return null;
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}
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const strikeRaw = parts.at(-2) ?? "";
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const strike = Number(strikeRaw);
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const expiryParts = parts.slice(-5, -2);
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const expiry = expiryParts.join("-");
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const root = parts.slice(0, -5).join("-");
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if (!root || !expiry || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right: rightRaw
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};
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};
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const parseOccContract = (value: string): ParsedContract | null => {
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if (value.length < 15) {
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return null;
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}
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const tail = value.slice(-15);
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const root = value.slice(0, -15).trim();
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const expiryRaw = tail.slice(0, 6);
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const right = tail.slice(6, 7);
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const strikeRaw = tail.slice(7);
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if (!/^\d{6}$/.test(expiryRaw) || !/^\d{8}$/.test(strikeRaw)) {
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return null;
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}
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if (right !== "C" && right !== "P") {
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return null;
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}
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const year = 2000 + Number(expiryRaw.slice(0, 2));
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const month = Number(expiryRaw.slice(2, 4)) - 1;
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const day = Number(expiryRaw.slice(4, 6));
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const expiryDate = new Date(Date.UTC(year, month, day));
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const expiry = expiryDate.toISOString().slice(0, 10);
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const strike = Number(strikeRaw) / 1000;
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if (!root || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right
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};
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};
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const parseContractId = (value: string | undefined): ParsedContract | null => {
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if (!value) {
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return null;
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}
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return parseDashedContract(value) ?? parseOccContract(value);
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};
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const getNumberFeature = (packet: FlowPacket, key: string): number => {
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const value = packet.features[key];
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return typeof value === "number" && Number.isFinite(value) ? value : 0;
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81
services/compute/src/contracts.ts
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81
services/compute/src/contracts.ts
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@ -0,0 +1,81 @@
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export type ParsedContract = {
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root: string;
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expiry: string;
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strike: number;
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right: "C" | "P";
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};
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const parseDashedContract = (value: string): ParsedContract | null => {
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const parts = value.split("-");
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if (parts.length < 6) {
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return null;
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}
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const rightRaw = parts.at(-1) ?? "";
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if (rightRaw !== "C" && rightRaw !== "P") {
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return null;
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}
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const strikeRaw = parts.at(-2) ?? "";
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const strike = Number(strikeRaw);
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const expiryParts = parts.slice(-5, -2);
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const expiry = expiryParts.join("-");
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const root = parts.slice(0, -5).join("-");
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if (!root || !expiry || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right: rightRaw
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};
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};
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const parseOccContract = (value: string): ParsedContract | null => {
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if (value.length < 15) {
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return null;
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}
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const tail = value.slice(-15);
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const root = value.slice(0, -15).trim();
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const expiryRaw = tail.slice(0, 6);
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const right = tail.slice(6, 7);
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const strikeRaw = tail.slice(7);
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if (!/^\d{6}$/.test(expiryRaw) || !/^\d{8}$/.test(strikeRaw)) {
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return null;
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}
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if (right !== "C" && right !== "P") {
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return null;
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}
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const year = 2000 + Number(expiryRaw.slice(0, 2));
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const month = Number(expiryRaw.slice(2, 4)) - 1;
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const day = Number(expiryRaw.slice(4, 6));
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const expiryDate = new Date(Date.UTC(year, month, day));
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const expiry = expiryDate.toISOString().slice(0, 10);
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const strike = Number(strikeRaw) / 1000;
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if (!root || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right
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};
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};
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export const parseContractId = (value: string | undefined): ParsedContract | null => {
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if (!value) {
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return null;
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}
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return parseDashedContract(value) ?? parseOccContract(value);
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};
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@ -40,7 +40,9 @@ import {
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} from "@islandflow/types";
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import { z } from "zod";
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import { evaluateClassifiers, type ClassifierConfig } from "./classifiers";
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import { parseContractId } from "./contracts";
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import { createRedisClient, updateRollingStats, type RollingStatsConfig } from "./rolling-stats";
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import { summarizeStructure, type ContractLeg } from "./structures";
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const service = "compute";
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const logger = createLogger({ service });
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@ -142,11 +144,77 @@ type ClusterState = {
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const clusters = new Map<string, ClusterState>();
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const nbboCache = new Map<string, OptionNBBO>();
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const recentLegsByKey = new Map<string, ContractLeg[]>();
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const MAX_RECENT_LEGS = 20;
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const rollingKey = (metric: string, contractId: string): string => {
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return `rolling:${metric}:${contractId}`;
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};
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const buildLegFromCluster = (cluster: ClusterState): ContractLeg | null => {
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const parsed = parseContractId(cluster.contractId);
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if (!parsed) {
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return null;
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}
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return {
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...parsed,
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contractId: cluster.contractId,
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startTs: cluster.startTs,
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endTs: cluster.endTs
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};
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};
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const buildLegKey = (leg: ContractLeg): string => {
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return `${leg.root}:${leg.expiry}`;
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};
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const isWithinStructureWindow = (anchorTs: number, candidateTs: number): boolean => {
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return Math.abs(anchorTs - candidateTs) <= env.CLUSTER_WINDOW_MS;
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};
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const collectRecentLegs = (key: string, anchorTs: number, excludeId: string): ContractLeg[] => {
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const recent = recentLegsByKey.get(key) ?? [];
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const filtered = recent.filter(
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(leg) => leg.contractId !== excludeId && isWithinStructureWindow(anchorTs, leg.endTs)
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);
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recentLegsByKey.set(key, filtered);
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return filtered;
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};
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const storeRecentLeg = (leg: ContractLeg, anchorTs: number): void => {
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const key = buildLegKey(leg);
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const recent = collectRecentLegs(key, anchorTs, "");
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const next = [leg, ...recent].slice(0, MAX_RECENT_LEGS);
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recentLegsByKey.set(key, next);
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};
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const collectActiveLegs = (
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key: string,
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anchorTs: number,
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excludeId: string
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): ContractLeg[] => {
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const legs: ContractLeg[] = [];
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for (const [contractId, cluster] of clusters) {
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if (contractId === excludeId) {
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continue;
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}
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const leg = buildLegFromCluster(cluster);
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if (!leg) {
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continue;
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}
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if (buildLegKey(leg) !== key) {
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continue;
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}
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if (!isWithinStructureWindow(anchorTs, leg.endTs)) {
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continue;
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}
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legs.push(leg);
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}
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return legs;
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};
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const applyDeliverPolicy = (
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opts: ReturnType<typeof buildDurableConsumer>,
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policy: typeof env.COMPUTE_DELIVER_POLICY
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@ -275,6 +343,25 @@ const flushCluster = async (
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await addRollingSnapshot("premium", totalPremium, "total_premium");
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await addRollingSnapshot("size", cluster.totalSize, "total_size");
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const currentLeg = buildLegFromCluster(cluster);
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if (currentLeg) {
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const key = buildLegKey(currentLeg);
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const anchorTs = cluster.endTs;
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const candidates = [
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...collectRecentLegs(key, anchorTs, currentLeg.contractId),
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...collectActiveLegs(key, anchorTs, currentLeg.contractId)
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];
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const summary = summarizeStructure([currentLeg, ...candidates]);
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if (summary) {
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features.structure_type = summary.type;
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features.structure_legs = summary.legs;
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features.structure_strikes = summary.strikes;
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features.structure_strike_span = roundTo(summary.strikeSpan);
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features.structure_rights = summary.rights;
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}
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storeRecentLeg(currentLeg, anchorTs);
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}
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if (!nbboJoin.nbbo) {
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joinQuality.nbbo_missing = 1;
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} else {
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46
services/compute/src/structures.ts
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46
services/compute/src/structures.ts
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@ -0,0 +1,46 @@
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import type { ParsedContract } from "./contracts";
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export type ContractLeg = ParsedContract & {
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contractId: string;
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startTs: number;
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endTs: number;
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};
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export type StructureSummary = {
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type: string;
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legs: number;
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strikes: number;
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strikeSpan: number;
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rights: string;
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contractIds: string[];
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};
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export const summarizeStructure = (legs: ContractLeg[]): StructureSummary | null => {
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if (legs.length < 2) {
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return null;
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}
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const strikes = Array.from(new Set(legs.map((leg) => leg.strike))).sort((a, b) => a - b);
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const rights = new Set(legs.map((leg) => leg.right));
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const strikeSpan = strikes.length >= 2 ? strikes[strikes.length - 1] - strikes[0] : 0;
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let type = "multi_leg";
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if (rights.size === 2 && strikes.length === 1) {
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type = "straddle";
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} else if (rights.size === 2 && strikes.length >= 2) {
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type = "strangle";
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} else if (rights.size === 1 && strikes.length === 2) {
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type = "vertical";
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} else if (rights.size === 1 && strikes.length >= 3) {
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type = "ladder";
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}
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return {
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type,
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legs: legs.length,
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strikes: strikes.length,
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strikeSpan,
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rights: rights.size === 2 ? "C/P" : Array.from(rights)[0] ?? "",
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contractIds: legs.map((leg) => leg.contractId)
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};
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};
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43
services/compute/tests/structures.test.ts
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43
services/compute/tests/structures.test.ts
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@ -0,0 +1,43 @@
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import { describe, expect, test } from "bun:test";
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import { summarizeStructure, type ContractLeg } from "../src/structures";
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const leg = (contractId: string, right: "C" | "P", strike: number): ContractLeg => ({
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contractId,
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root: "SPY",
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expiry: "2025-01-17",
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right,
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strike,
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startTs: 0,
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endTs: 0
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});
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describe("structure summaries", () => {
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test("detects verticals", () => {
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const summary = summarizeStructure([leg("c1", "C", 100), leg("c2", "C", 105)]);
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expect(summary?.type).toBe("vertical");
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expect(summary?.legs).toBe(2);
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expect(summary?.strikes).toBe(2);
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});
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test("detects ladders", () => {
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const summary = summarizeStructure([
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leg("c1", "C", 100),
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leg("c2", "C", 105),
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leg("c3", "C", 110)
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]);
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expect(summary?.type).toBe("ladder");
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expect(summary?.strikes).toBe(3);
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});
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test("detects straddles", () => {
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const summary = summarizeStructure([leg("c1", "C", 100), leg("p1", "P", 100)]);
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expect(summary?.type).toBe("straddle");
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expect(summary?.rights).toBe("C/P");
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});
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test("detects strangles", () => {
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const summary = summarizeStructure([leg("c1", "C", 105), leg("p1", "P", 95)]);
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expect(summary?.type).toBe("strangle");
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expect(summary?.strikes).toBe(2);
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});
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});
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