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Tune synthetic flow mix and stabilize second-row card lists

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This commit is contained in:
dirtydishes 2025-12-30 11:31:06 -05:00
parent eda219852f
commit 15fce370ef
4 changed files with 290 additions and 165 deletions
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147
services/ingest-options/src/adapters/synthetic.ts
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@ -11,18 +11,102 @@ type Burst = {
baseSize: number;
exchange: string;
conditions?: string[];
burstSize: number;
printCount: number;
priceStep: number;
};
const MS_PER_DAY = 24 * 60 * 60 * 1000;
const EXPIRY_OFFSETS = [7, 14, 28, 45, 60, 90];
const EXPIRY_OFFSETS = [0, 1, 7, 14, 28, 45, 60, 90];
const EXCHANGES = ["CBOE", "PHLX", "ISE", "ARCA", "BOX", "MIAX"];
const CONDITIONS = ["SWEEP", "ISO", "FILL", "TEST"];
const BURST_RUN_RANGE: [number, number] = [2, 4];
type Scenario = {
id: string;
weight: number;
right: "C" | "P" | "either";
countRange: [number, number];
sizeRange: [number, number];
premiumRange: [number, number];
priceTrend: "up" | "down" | "flat";
conditions?: string[];
};
const SCENARIOS: Scenario[] = [
{
id: "bullish_sweep",
weight: 35,
right: "C",
countRange: [7, 10],
sizeRange: [600, 1800],
premiumRange: [120_000, 240_000],
priceTrend: "up",
conditions: ["SWEEP"]
},
{
id: "bearish_sweep",
weight: 35,
right: "P",
countRange: [7, 10],
sizeRange: [600, 1800],
premiumRange: [120_000, 240_000],
priceTrend: "up",
conditions: ["SWEEP"]
},
{
id: "contract_spike",
weight: 20,
right: "either",
countRange: [5, 8],
sizeRange: [1200, 3200],
premiumRange: [60_000, 140_000],
priceTrend: "flat",
conditions: ["ISO"]
},
{
id: "noise",
weight: 10,
right: "either",
countRange: [2, 4],
sizeRange: [10, 200],
premiumRange: [500, 5000],
priceTrend: "flat",
conditions: ["FILL"]
}
];
const pick = <T,>(items: T[], seed: number): T => {
return items[Math.abs(seed) % items.length];
};
const pickInt = (min: number, max: number, seed: number): number => {
if (max <= min) {
return min;
}
const span = max - min + 1;
return min + (Math.abs(seed) % span);
};
const pickFloat = (min: number, max: number, seed: number): number => {
if (max <= min) {
return min;
}
const offset = (Math.abs(seed) % 1000) / 1000;
return min + (max - min) * offset;
};
const pickWeighted = <T extends { weight: number }>(items: T[], seed: number): T => {
const totalWeight = items.reduce((sum, item) => sum + item.weight, 0);
let target = Math.abs(seed) % totalWeight;
for (const item of items) {
if (target < item.weight) {
return item;
}
target -= item.weight;
}
return items[0];
};
const hashSymbol = (value: string): number => {
let hash = 0;
for (let i = 0; i < value.length; i += 1) {
@ -44,21 +128,36 @@ const formatExpiry = (now: number, offsetDays: number): string => {
const buildBurst = (burstIndex: number, now: number): Burst => {
const symbol = SP500_SYMBOLS[burstIndex % SP500_SYMBOLS.length];
const symbolHash = hashSymbol(symbol);
const basePrice = 30 + (symbolHash % 470);
const scenario = pickWeighted(SCENARIOS, symbolHash + burstIndex * 7);
const baseUnderlying = 30 + (symbolHash % 470);
const expiryOffset = pick(EXPIRY_OFFSETS, symbolHash + burstIndex);
const expiry = formatExpiry(now, expiryOffset);
const strikeStep = basePrice >= 200 ? 10 : 5;
const strikeOffset = ((burstIndex % 7) - 3) * strikeStep;
const strike = Math.max(1, Math.round(basePrice / strikeStep) * strikeStep + strikeOffset);
const right = burstIndex % 2 === 0 ? "C" : "P";
const strikeStep = baseUnderlying >= 200 ? 10 : baseUnderlying >= 100 ? 5 : 2.5;
const moneynessSteps = scenario.id === "noise" ? 5 : 2;
const strikeOffset = pickInt(-moneynessSteps, moneynessSteps, symbolHash + burstIndex * 11);
const strike = Math.max(
1,
Math.round(baseUnderlying / strikeStep) * strikeStep + strikeOffset * strikeStep
);
const right =
scenario.right === "either"
? (symbolHash + burstIndex) % 2 === 0
? "C"
: "P"
: scenario.right;
const contractId = `${symbol}-${expiry}-${formatStrike(strike)}-${right}`;
const exchange = pick(EXCHANGES, burstIndex + symbolHash);
const isBlock = burstIndex % 4 === 0;
const burstSize = isBlock ? 4 : burstIndex % 3 === 0 ? 2 : 1;
const baseSize = isBlock ? 1200 + (symbolHash % 1800) : 5 + (symbolHash % 180);
const distance = Math.abs(strike - basePrice);
const basePricePer = isBlock ? 12 + distance / strikeStep : 0.5 + distance / 30;
const conditions = isBlock ? [pick(CONDITIONS, burstIndex)] : undefined;
const printCount = pickInt(scenario.countRange[0], scenario.countRange[1], symbolHash + burstIndex * 13);
const baseSize = pickInt(scenario.sizeRange[0], scenario.sizeRange[1], symbolHash + burstIndex * 17);
const premiumTarget = pickFloat(
scenario.premiumRange[0],
scenario.premiumRange[1],
symbolHash + burstIndex * 19
);
const basePricePer = Math.max(0.05, Number((premiumTarget / (baseSize * printCount)).toFixed(2)));
const conditions = scenario.conditions?.length ? scenario.conditions : [pick(CONDITIONS, burstIndex)];
const priceStep =
scenario.priceTrend === "up" ? 0.01 : scenario.priceTrend === "down" ? -0.01 : 0;
return {
contractId,
@ -66,7 +165,8 @@ const buildBurst = (burstIndex: number, now: number): Burst => {
baseSize,
exchange,
conditions,
burstSize
printCount,
priceStep
};
};
@ -79,7 +179,7 @@ export const createSyntheticOptionsAdapter = (
let seq = 0;
let burstIndex = 0;
let currentBurst: Burst | null = null;
let remaining = 0;
let remainingRuns = 0;
let timer: ReturnType<typeof setInterval> | null = null;
let stopped = false;
@ -89,19 +189,20 @@ export const createSyntheticOptionsAdapter = (
}
const now = Date.now();
if (!currentBurst || remaining <= 0) {
if (!currentBurst || remainingRuns <= 0) {
burstIndex += 1;
currentBurst = buildBurst(burstIndex, now);
remaining = currentBurst.burstSize;
remainingRuns = pickInt(BURST_RUN_RANGE[0], BURST_RUN_RANGE[1], burstIndex * 23);
}
const burst = currentBurst;
const printsToEmit = remaining;
const printsToEmit = burst.printCount;
for (let i = 0; i < printsToEmit; i += 1) {
seq += 1;
const priceJitter = (i % 3) - 1;
const sizeJitter = (i % 4) - 1;
const priceJitter = ((i % 3) - 1) * 0.004;
const sizeJitter = ((i % 3) - 1) * 0.08;
const priceMultiplier = 1 + burst.priceStep * i + priceJitter;
const print: OptionPrint = {
source_ts: now + i * 5,
ingest_ts: now + i * 5,
@ -109,8 +210,8 @@ export const createSyntheticOptionsAdapter = (
trace_id: `synthetic-options-${seq}`,
ts: now + i * 5,
option_contract_id: burst.contractId,
price: Math.max(0.05, Number((burst.basePrice * (1 + priceJitter * 0.02)).toFixed(2))),
size: Math.max(1, Math.round(burst.baseSize * (1 + sizeJitter * 0.05))),
price: Math.max(0.05, Number((burst.basePrice * priceMultiplier).toFixed(2))),
size: Math.max(1, Math.round(burst.baseSize * (1 + sizeJitter))),
exchange: burst.exchange,
conditions: burst.conditions
};
@ -118,7 +219,7 @@ export const createSyntheticOptionsAdapter = (
void handlers.onTrade(print);
}
remaining = 0;
remainingRuns -= 1;
};
timer = setInterval(emit, config.emitIntervalMs);