Add multi-leg structure tagging for flow packets

services/compute/src/structures.ts

@@ -0,0 +1,46 @@
+import type { ParsedContract } from "./contracts";
+
+export type ContractLeg = ParsedContract & {
+  contractId: string;
+  startTs: number;
+  endTs: number;
+};
+
+export type StructureSummary = {
+  type: string;
+  legs: number;
+  strikes: number;
+  strikeSpan: number;
+  rights: string;
+  contractIds: string[];
+};
+
+export const summarizeStructure = (legs: ContractLeg[]): StructureSummary | null => {
+  if (legs.length < 2) {
+    return null;
+  }
+
+  const strikes = Array.from(new Set(legs.map((leg) => leg.strike))).sort((a, b) => a - b);
+  const rights = new Set(legs.map((leg) => leg.right));
+  const strikeSpan = strikes.length >= 2 ? strikes[strikes.length - 1] - strikes[0] : 0;
+
+  let type = "multi_leg";
+  if (rights.size === 2 && strikes.length === 1) {
+    type = "straddle";
+  } else if (rights.size === 2 && strikes.length >= 2) {
+    type = "strangle";
+  } else if (rights.size === 1 && strikes.length === 2) {
+    type = "vertical";
+  } else if (rights.size === 1 && strikes.length >= 3) {
+    type = "ladder";
+  }
+
+  return {
+    type,
+    legs: legs.length,
+    strikes: strikes.length,
+    strikeSpan,
+    rights: rights.size === 2 ? "C/P" : Array.from(rights)[0] ?? "",
+    contractIds: legs.map((leg) => leg.contractId)
+  };
+};