Add multi-leg structure tagging for flow packets

README.md

@@ -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

apps/web/app/globals.css

@@ -426,6 +426,12 @@ h1 {
   background: rgba(111, 91, 57, 0.12);
 }
 
+.structure-tag {
+  border-color: rgba(39, 84, 138, 0.45);
+  color: #27548a;
+  background: rgba(39, 84, 138, 0.12);
+}
+
 .nbbo-meta {
   font-size: 0.72rem;
   color: #6f5b39;

apps/web/app/page.tsx

@@ -1778,16 +1778,22 @@ export default function HomePage() {
                   const features = packet.features ?? {};
                   const contract = String(features.option_contract_id ?? packet.id ?? "unknown");
                   const count = parseNumber(features.count, packet.members.length);
-                const totalSize = parseNumber(features.total_size, 0);
+                  const totalSize = parseNumber(features.total_size, 0);
-                const totalPremium = parseNumber(features.total_premium, 0);
+                  const totalPremium = parseNumber(features.total_premium, 0);
-                const notional = totalPremium * 100;
+                  const notional = totalPremium * 100;
-                const startTs = parseNumber(features.start_ts, packet.source_ts);
+                  const startTs = parseNumber(features.start_ts, packet.source_ts);
-                const endTs = parseNumber(features.end_ts, startTs);
+                  const endTs = parseNumber(features.end_ts, startTs);
-                const windowMs = parseNumber(features.window_ms, 0);
+                  const windowMs = parseNumber(features.window_ms, 0);
-                const nbboBid = parseNumber(features.nbbo_bid, Number.NaN);
+                  const structureType =
-                const nbboAsk = parseNumber(features.nbbo_ask, Number.NaN);
+                    typeof features.structure_type === "string" ? features.structure_type : "";
-                const nbboMid = parseNumber(features.nbbo_mid, Number.NaN);
+                  const structureLegs = parseNumber(features.structure_legs, 0);
-                const nbboSpread = parseNumber(features.nbbo_spread, Number.NaN);
+                  const structureRights =
+                    typeof features.structure_rights === "string" ? features.structure_rights : "";
+                  const structureStrikes = parseNumber(features.structure_strikes, 0);
+                  const nbboBid = parseNumber(features.nbbo_bid, Number.NaN);
+                  const nbboAsk = parseNumber(features.nbbo_ask, Number.NaN);
+                  const nbboMid = parseNumber(features.nbbo_mid, Number.NaN);
+                  const nbboSpread = parseNumber(features.nbbo_spread, Number.NaN);
                 const nbboAge = parseNumber(packet.join_quality.nbbo_age_ms, Number.NaN);
                 const nbboStale = parseNumber(packet.join_quality.nbbo_stale, 0) > 0;
                 const nbboMissing = parseNumber(packet.join_quality.nbbo_missing, 0) > 0;
@@ -1804,6 +1810,14 @@ export default function HomePage() {
                         {windowMs > 0 ? (
                           <span>{formatFlowMetric(windowMs, "ms")}</span>
                         ) : null}
+                        {structureType ? (
+                          <span className="pill structure-tag">
+                            {structureType.replace(/_/g, " ")}
+                            {structureRights ? ` ${structureRights}` : ""}
+                            {structureLegs > 0 ? ` ${structureLegs}L` : ""}
+                            {structureStrikes > 0 ? ` ${structureStrikes}K` : ""}
+                          </span>
+                        ) : null}
                         {Number.isFinite(nbboBid) && Number.isFinite(nbboAsk) ? (
                           <span>
                             NBBO ${formatPrice(nbboBid)} x ${formatPrice(nbboAsk)}

services/compute/src/classifiers.ts

@@ -1,11 +1,5 @@
 import type { ClassifierHit, FlowPacket } from "@islandflow/types";
-
+import { parseContractId, type ParsedContract } from "./contracts";
-type ParsedContract = {
-  root: string;
-  expiry: string;
-  strike: number;
-  right: "C" | "P";
-};
 
 export type ClassifierConfig = {
   sweepMinPremium: number;
@@ -32,81 +26,6 @@ const formatUsd = (value: number): string => {
   return `$${value.toFixed(2)}`;
 };
 
-const parseDashedContract = (value: string): ParsedContract | null => {
-  const parts = value.split("-");
-  if (parts.length < 6) {
-    return null;
-  }
-
-  const rightRaw = parts.at(-1) ?? "";
-  if (rightRaw !== "C" && rightRaw !== "P") {
-    return null;
-  }
-
-  const strikeRaw = parts.at(-2) ?? "";
-  const strike = Number(strikeRaw);
-  const expiryParts = parts.slice(-5, -2);
-  const expiry = expiryParts.join("-");
-  const root = parts.slice(0, -5).join("-");
-
-  if (!root || !expiry || !Number.isFinite(strike)) {
-    return null;
-  }
-
-  return {
-    root,
-    expiry,
-    strike,
-    right: rightRaw
-  };
-};
-
-const parseOccContract = (value: string): ParsedContract | null => {
-  if (value.length < 15) {
-    return null;
-  }
-
-  const tail = value.slice(-15);
-  const root = value.slice(0, -15).trim();
-  const expiryRaw = tail.slice(0, 6);
-  const right = tail.slice(6, 7);
-  const strikeRaw = tail.slice(7);
-
-  if (!/^\d{6}$/.test(expiryRaw) || !/^\d{8}$/.test(strikeRaw)) {
-    return null;
-  }
-
-  if (right !== "C" && right !== "P") {
-    return null;
-  }
-
-  const year = 2000 + Number(expiryRaw.slice(0, 2));
-  const month = Number(expiryRaw.slice(2, 4)) - 1;
-  const day = Number(expiryRaw.slice(4, 6));
-  const expiryDate = new Date(Date.UTC(year, month, day));
-  const expiry = expiryDate.toISOString().slice(0, 10);
-  const strike = Number(strikeRaw) / 1000;
-
-  if (!root || !Number.isFinite(strike)) {
-    return null;
-  }
-
-  return {
-    root,
-    expiry,
-    strike,
-    right
-  };
-};
-
-const parseContractId = (value: string | undefined): ParsedContract | null => {
-  if (!value) {
-    return null;
-  }
-
-  return parseDashedContract(value) ?? parseOccContract(value);
-};
-
 const getNumberFeature = (packet: FlowPacket, key: string): number => {
   const value = packet.features[key];
   return typeof value === "number" && Number.isFinite(value) ? value : 0;

services/compute/src/contracts.ts

@@ -0,0 +1,81 @@
+export type ParsedContract = {
+  root: string;
+  expiry: string;
+  strike: number;
+  right: "C" | "P";
+};
+
+const parseDashedContract = (value: string): ParsedContract | null => {
+  const parts = value.split("-");
+  if (parts.length < 6) {
+    return null;
+  }
+
+  const rightRaw = parts.at(-1) ?? "";
+  if (rightRaw !== "C" && rightRaw !== "P") {
+    return null;
+  }
+
+  const strikeRaw = parts.at(-2) ?? "";
+  const strike = Number(strikeRaw);
+  const expiryParts = parts.slice(-5, -2);
+  const expiry = expiryParts.join("-");
+  const root = parts.slice(0, -5).join("-");
+
+  if (!root || !expiry || !Number.isFinite(strike)) {
+    return null;
+  }
+
+  return {
+    root,
+    expiry,
+    strike,
+    right: rightRaw
+  };
+};
+
+const parseOccContract = (value: string): ParsedContract | null => {
+  if (value.length < 15) {
+    return null;
+  }
+
+  const tail = value.slice(-15);
+  const root = value.slice(0, -15).trim();
+  const expiryRaw = tail.slice(0, 6);
+  const right = tail.slice(6, 7);
+  const strikeRaw = tail.slice(7);
+
+  if (!/^\d{6}$/.test(expiryRaw) || !/^\d{8}$/.test(strikeRaw)) {
+    return null;
+  }
+
+  if (right !== "C" && right !== "P") {
+    return null;
+  }
+
+  const year = 2000 + Number(expiryRaw.slice(0, 2));
+  const month = Number(expiryRaw.slice(2, 4)) - 1;
+  const day = Number(expiryRaw.slice(4, 6));
+  const expiryDate = new Date(Date.UTC(year, month, day));
+  const expiry = expiryDate.toISOString().slice(0, 10);
+  const strike = Number(strikeRaw) / 1000;
+
+  if (!root || !Number.isFinite(strike)) {
+    return null;
+  }
+
+  return {
+    root,
+    expiry,
+    strike,
+    right
+  };
+};
+
+export const parseContractId = (value: string | undefined): ParsedContract | null => {
+  if (!value) {
+    return null;
+  }
+
+  return parseDashedContract(value) ?? parseOccContract(value);
+};

services/compute/src/index.ts

@@ -40,7 +40,9 @@ import {
 } from "@islandflow/types";
 import { z } from "zod";
 import { evaluateClassifiers, type ClassifierConfig } from "./classifiers";
+import { parseContractId } from "./contracts";
 import { createRedisClient, updateRollingStats, type RollingStatsConfig } from "./rolling-stats";
+import { summarizeStructure, type ContractLeg } from "./structures";
 
 const service = "compute";
 const logger = createLogger({ service });
@@ -142,11 +144,77 @@ type ClusterState = {
 
 const clusters = new Map<string, ClusterState>();
 const nbboCache = new Map<string, OptionNBBO>();
+const recentLegsByKey = new Map<string, ContractLeg[]>();
+
+const MAX_RECENT_LEGS = 20;
 
 const rollingKey = (metric: string, contractId: string): string => {
   return `rolling:${metric}:${contractId}`;
 };
 
+const buildLegFromCluster = (cluster: ClusterState): ContractLeg | null => {
+  const parsed = parseContractId(cluster.contractId);
+  if (!parsed) {
+    return null;
+  }
+
+  return {
+    ...parsed,
+    contractId: cluster.contractId,
+    startTs: cluster.startTs,
+    endTs: cluster.endTs
+  };
+};
+
+const buildLegKey = (leg: ContractLeg): string => {
+  return `${leg.root}:${leg.expiry}`;
+};
+
+const isWithinStructureWindow = (anchorTs: number, candidateTs: number): boolean => {
+  return Math.abs(anchorTs - candidateTs) <= env.CLUSTER_WINDOW_MS;
+};
+
+const collectRecentLegs = (key: string, anchorTs: number, excludeId: string): ContractLeg[] => {
+  const recent = recentLegsByKey.get(key) ?? [];
+  const filtered = recent.filter(
+    (leg) => leg.contractId !== excludeId && isWithinStructureWindow(anchorTs, leg.endTs)
+  );
+  recentLegsByKey.set(key, filtered);
+  return filtered;
+};
+
+const storeRecentLeg = (leg: ContractLeg, anchorTs: number): void => {
+  const key = buildLegKey(leg);
+  const recent = collectRecentLegs(key, anchorTs, "");
+  const next = [leg, ...recent].slice(0, MAX_RECENT_LEGS);
+  recentLegsByKey.set(key, next);
+};
+
+const collectActiveLegs = (
+  key: string,
+  anchorTs: number,
+  excludeId: string
+): ContractLeg[] => {
+  const legs: ContractLeg[] = [];
+  for (const [contractId, cluster] of clusters) {
+    if (contractId === excludeId) {
+      continue;
+    }
+    const leg = buildLegFromCluster(cluster);
+    if (!leg) {
+      continue;
+    }
+    if (buildLegKey(leg) !== key) {
+      continue;
+    }
+    if (!isWithinStructureWindow(anchorTs, leg.endTs)) {
+      continue;
+    }
+    legs.push(leg);
+  }
+  return legs;
+};
+
 const applyDeliverPolicy = (
   opts: ReturnType<typeof buildDurableConsumer>,
   policy: typeof env.COMPUTE_DELIVER_POLICY
@@ -275,6 +343,25 @@ const flushCluster = async (
   await addRollingSnapshot("premium", totalPremium, "total_premium");
   await addRollingSnapshot("size", cluster.totalSize, "total_size");
 
+  const currentLeg = buildLegFromCluster(cluster);
+  if (currentLeg) {
+    const key = buildLegKey(currentLeg);
+    const anchorTs = cluster.endTs;
+    const candidates = [
+      ...collectRecentLegs(key, anchorTs, currentLeg.contractId),
+      ...collectActiveLegs(key, anchorTs, currentLeg.contractId)
+    ];
+    const summary = summarizeStructure([currentLeg, ...candidates]);
+    if (summary) {
+      features.structure_type = summary.type;
+      features.structure_legs = summary.legs;
+      features.structure_strikes = summary.strikes;
+      features.structure_strike_span = roundTo(summary.strikeSpan);
+      features.structure_rights = summary.rights;
+    }
+    storeRecentLeg(currentLeg, anchorTs);
+  }
+
   if (!nbboJoin.nbbo) {
     joinQuality.nbbo_missing = 1;
   } else {

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)
+  };
+};

services/compute/tests/structures.test.ts

@@ -0,0 +1,43 @@
+import { describe, expect, test } from "bun:test";
+import { summarizeStructure, type ContractLeg } from "../src/structures";
+
+const leg = (contractId: string, right: "C" | "P", strike: number): ContractLeg => ({
+  contractId,
+  root: "SPY",
+  expiry: "2025-01-17",
+  right,
+  strike,
+  startTs: 0,
+  endTs: 0
+});
+
+describe("structure summaries", () => {
+  test("detects verticals", () => {
+    const summary = summarizeStructure([leg("c1", "C", 100), leg("c2", "C", 105)]);
+    expect(summary?.type).toBe("vertical");
+    expect(summary?.legs).toBe(2);
+    expect(summary?.strikes).toBe(2);
+  });
+
+  test("detects ladders", () => {
+    const summary = summarizeStructure([
+      leg("c1", "C", 100),
+      leg("c2", "C", 105),
+      leg("c3", "C", 110)
+    ]);
+    expect(summary?.type).toBe("ladder");
+    expect(summary?.strikes).toBe(3);
+  });
+
+  test("detects straddles", () => {
+    const summary = summarizeStructure([leg("c1", "C", 100), leg("p1", "P", 100)]);
+    expect(summary?.type).toBe("straddle");
+    expect(summary?.rights).toBe("C/P");
+  });
+
+  test("detects strangles", () => {
+    const summary = summarizeStructure([leg("c1", "C", 105), leg("p1", "P", 95)]);
+    expect(summary?.type).toBe("strangle");
+    expect(summary?.strikes).toBe(2);
+  });
+});