Tune synthetic flow mix and stabilize second-row card lists
This commit is contained in:
dirtydishes
parent
eda219852f
commit
15fce370ef
4 changed files with 290 additions and 165 deletions
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@ -373,6 +373,7 @@ h1 {
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scrollbar-gutter: stable;
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}
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.row {
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display: flex;
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justify-content: space-between;
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@ -793,31 +794,30 @@ h1 {
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.card-flow,
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.card-alerts,
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.card-classifiers {
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display: grid;
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grid-template-columns: minmax(0, 1fr);
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height: 760px;
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display: flex;
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flex-direction: column;
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height: 960px;
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overflow: hidden;
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}
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.card-flow,
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.card-classifiers {
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grid-template-rows: auto auto minmax(0, 1fr);
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}
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.card-alerts {
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grid-template-rows: auto auto auto minmax(0, 1fr);
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}
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.card-flow .list,
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.card-alerts .list,
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.card-classifiers .list {
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height: 100%;
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.card-body {
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display: flex;
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flex-direction: column;
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flex: 1 1 0;
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min-height: 0;
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gap: 16px;
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}
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.card-body .list {
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flex: 1 1 0;
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min-height: 0;
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height: auto;
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}
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@media (max-width: 720px) {
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.card-flow,
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.card-alerts,
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.card-classifiers {
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height: 600px;
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height: 780px;
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}
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}
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@ -239,6 +239,22 @@ const useListScroll = (): ListScrollState => {
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isAtTopRef.current = isAtTop;
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}, [isAtTop]);
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const updateScrollState = useCallback(() => {
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const el = listRef.current;
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if (!el) {
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return;
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}
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const atTop = el.scrollTop <= 2;
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isAtTopRef.current = atTop;
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setIsAtTop(atTop);
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if (atTop) {
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setMissed(0);
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}
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}, [isAtTopRef]);
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useEffect(() => {
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const el = listRef.current;
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if (!el) {
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@ -246,21 +262,16 @@ const useListScroll = (): ListScrollState => {
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}
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const onScroll = () => {
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const atTop = el.scrollTop <= 2;
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isAtTopRef.current = atTop;
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setIsAtTop(atTop);
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if (atTop) {
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setMissed(0);
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}
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updateScrollState();
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};
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onScroll();
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updateScrollState();
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el.addEventListener("scroll", onScroll);
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return () => {
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el.removeEventListener("scroll", onScroll);
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};
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}, []);
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}, [updateScrollState]);
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const onNewItems = useCallback((count: number) => {
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if (count <= 0) {
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@ -281,9 +292,10 @@ const useListScroll = (): ListScrollState => {
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return;
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}
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el.scrollTo({ top: 0, behavior: "smooth" });
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setMissed(0);
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}, []);
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isAtTopRef.current = true;
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el.scrollTop = 0;
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updateScrollState();
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}, [isAtTopRef, listRef, updateScrollState]);
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return {
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listRef,
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@ -299,10 +311,11 @@ const useScrollAnchor = (
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listRef: React.RefObject<HTMLDivElement>,
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isAtTopRef: React.MutableRefObject<boolean>
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) => {
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const pendingRef = useRef<{ top: number; height: number } | null>(null);
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const pendingRef = useRef<{ height: number } | null>(null);
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const capture = useCallback(() => {
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if (isAtTopRef.current) {
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pendingRef.current = null;
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return;
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}
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@ -312,7 +325,6 @@ const useScrollAnchor = (
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}
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pendingRef.current = {
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top: el.scrollTop,
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height: el.scrollHeight
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};
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}, [isAtTopRef, listRef]);
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@ -328,10 +340,17 @@ const useScrollAnchor = (
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return;
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}
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if (isAtTopRef.current) {
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pendingRef.current = null;
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return;
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}
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const delta = el.scrollHeight - pending.height;
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el.scrollTop = pending.top + delta;
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if (delta !== 0) {
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el.scrollTop = Math.max(0, el.scrollTop + delta);
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}
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pendingRef.current = null;
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}, [listRef]);
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}, [isAtTopRef, listRef]);
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return { capture, apply };
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};
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@ -1624,48 +1643,50 @@ export default function HomePage() {
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/>
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</div>
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<div className="list" ref={flowScroll.listRef}>
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{mode !== "live" ? (
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<div className="empty">Flow packets are live-only in this build.</div>
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) : filteredFlow.length === 0 ? (
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<div className="empty">
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{tickerSet.size > 0
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? "No flow packets match the current filter."
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: "No flow packets yet. Start compute."}
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</div>
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) : (
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filteredFlow.map((packet) => {
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const features = packet.features ?? {};
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const contract = String(features.option_contract_id ?? packet.id ?? "unknown");
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const count = parseNumber(features.count, packet.members.length);
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const totalSize = parseNumber(features.total_size, 0);
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const totalPremium = parseNumber(features.total_premium, 0);
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const notional = totalPremium * 100;
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const startTs = parseNumber(features.start_ts, packet.source_ts);
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const endTs = parseNumber(features.end_ts, startTs);
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const windowMs = parseNumber(features.window_ms, 0);
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<div className="card-body">
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<div className="list" ref={flowScroll.listRef}>
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{mode !== "live" ? (
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<div className="empty">Flow packets are live-only in this build.</div>
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) : filteredFlow.length === 0 ? (
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<div className="empty">
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{tickerSet.size > 0
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? "No flow packets match the current filter."
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: "No flow packets yet. Start compute."}
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</div>
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) : (
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filteredFlow.map((packet) => {
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const features = packet.features ?? {};
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const contract = String(features.option_contract_id ?? packet.id ?? "unknown");
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const count = parseNumber(features.count, packet.members.length);
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const totalSize = parseNumber(features.total_size, 0);
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const totalPremium = parseNumber(features.total_premium, 0);
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const notional = totalPremium * 100;
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const startTs = parseNumber(features.start_ts, packet.source_ts);
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const endTs = parseNumber(features.end_ts, startTs);
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const windowMs = parseNumber(features.window_ms, 0);
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return (
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<div className="row" key={packet.id}>
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<div>
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<div className="contract">{contract}</div>
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<div className="meta flow-meta">
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<span>{formatFlowMetric(count)} prints</span>
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<span>{formatFlowMetric(totalSize)} size</span>
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<span>Premium ${formatPrice(totalPremium)}</span>
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<span>Notional ${formatUsd(notional)}</span>
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{windowMs > 0 ? (
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<span>{formatFlowMetric(windowMs, "ms")}</span>
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) : null}
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return (
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<div className="row" key={packet.id}>
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<div>
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<div className="contract">{contract}</div>
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<div className="meta flow-meta">
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<span>{formatFlowMetric(count)} prints</span>
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<span>{formatFlowMetric(totalSize)} size</span>
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<span>Premium ${formatPrice(totalPremium)}</span>
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<span>Notional ${formatUsd(notional)}</span>
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{windowMs > 0 ? (
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<span>{formatFlowMetric(windowMs, "ms")}</span>
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) : null}
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</div>
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</div>
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<div className="time">
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{formatTime(startTs)} → {formatTime(endTs)}
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</div>
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</div>
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<div className="time">
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{formatTime(startTs)} → {formatTime(endTs)}
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</div>
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</div>
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);
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})
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)}
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);
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})
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)}
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</div>
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</div>
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</section>
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@ -1694,50 +1715,51 @@ export default function HomePage() {
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/>
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</div>
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<AlertSeverityStrip alerts={filteredAlerts} />
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<div className="card-body">
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<AlertSeverityStrip alerts={filteredAlerts} />
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<div className="list" ref={alertsScroll.listRef}>
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{mode !== "live" ? (
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<div className="empty">Alerts are live-only in this build.</div>
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) : filteredAlerts.length === 0 ? (
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<div className="empty">
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{tickerSet.size > 0
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? "No alerts match the current filter."
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: "No alerts yet. Start compute."}
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</div>
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) : (
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filteredAlerts.map((alert) => {
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const primary = alert.hits[0];
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const direction = primary ? normalizeDirection(primary.direction) : "neutral";
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<div className="list" ref={alertsScroll.listRef}>
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{mode !== "live" ? (
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<div className="empty">Alerts are live-only in this build.</div>
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) : filteredAlerts.length === 0 ? (
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<div className="empty">
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{tickerSet.size > 0
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? "No alerts match the current filter."
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: "No alerts yet. Start compute."}
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</div>
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) : (
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filteredAlerts.map((alert) => {
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const primary = alert.hits[0];
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const direction = primary ? normalizeDirection(primary.direction) : "neutral";
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return (
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<button
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className="row row-button"
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key={`${alert.trace_id}-${alert.seq}`}
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type="button"
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onClick={() => setSelectedAlert(alert)}
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>
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<div>
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<div className="contract">
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{primary ? humanizeClassifierId(primary.classifier_id) : "Alert"}
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</div>
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<div className="meta">
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<span className={`pill severity-${alert.severity}`}>{alert.severity}</span>
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<span>Score {Math.round(alert.score)}</span>
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<span>{alert.hits.length} hits</span>
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{primary ? (
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<span className={`pill direction-${direction}`}>{direction}</span>
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return (
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<button
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className="row row-button"
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key={`${alert.trace_id}-${alert.seq}`}
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type="button"
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onClick={() => setSelectedAlert(alert)}
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>
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<div>
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<div className="contract">
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{primary ? humanizeClassifierId(primary.classifier_id) : "Alert"}
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</div>
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<div className="meta">
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<span className={`pill severity-${alert.severity}`}>{alert.severity}</span>
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<span>Score {Math.round(alert.score)}</span>
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<span>{alert.hits.length} hits</span>
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{primary ? (
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<span className={`pill direction-${direction}`}>{direction}</span>
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) : null}
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</div>
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{primary?.explanations?.[0] ? (
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<div className="note">{primary.explanations[0]}</div>
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) : null}
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</div>
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{primary?.explanations?.[0] ? (
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<div className="note">{primary.explanations[0]}</div>
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) : null}
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</div>
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<div className="time">{formatTime(alert.source_ts)}</div>
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</button>
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);
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})
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)}
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<div className="time">{formatTime(alert.source_ts)}</div>
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</button>
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);
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})
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)}
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</div>
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</div>
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</section>
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@ -1766,35 +1788,37 @@ export default function HomePage() {
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/>
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</div>
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<div className="list" ref={classifierScroll.listRef}>
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{mode !== "live" ? (
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<div className="empty">Classifier hits are live-only in this build.</div>
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) : filteredClassifierHits.length === 0 ? (
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<div className="empty">
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{tickerSet.size > 0
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? "No classifier hits match the current filter."
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: "No classifier hits yet. Start compute."}
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</div>
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) : (
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filteredClassifierHits.map((hit) => {
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const direction = normalizeDirection(hit.direction);
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return (
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<div className="row" key={`${hit.trace_id}-${hit.seq}`}>
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<div>
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<div className="contract">{humanizeClassifierId(hit.classifier_id)}</div>
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<div className="meta">
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<span className={`pill direction-${direction}`}>{direction}</span>
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<span>Confidence {formatConfidence(hit.confidence)}</span>
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<div className="card-body">
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<div className="list" ref={classifierScroll.listRef}>
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{mode !== "live" ? (
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<div className="empty">Classifier hits are live-only in this build.</div>
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) : filteredClassifierHits.length === 0 ? (
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<div className="empty">
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{tickerSet.size > 0
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? "No classifier hits match the current filter."
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: "No classifier hits yet. Start compute."}
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</div>
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) : (
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filteredClassifierHits.map((hit) => {
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const direction = normalizeDirection(hit.direction);
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return (
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<div className="row" key={`${hit.trace_id}-${hit.seq}`}>
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<div>
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<div className="contract">{humanizeClassifierId(hit.classifier_id)}</div>
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<div className="meta">
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<span className={`pill direction-${direction}`}>{direction}</span>
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<span>Confidence {formatConfidence(hit.confidence)}</span>
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</div>
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{hit.explanations?.[0] ? (
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<div className="note">{hit.explanations[0]}</div>
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) : null}
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</div>
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{hit.explanations?.[0] ? (
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<div className="note">{hit.explanations[0]}</div>
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) : null}
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<div className="time">{formatTime(hit.source_ts)}</div>
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</div>
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<div className="time">{formatTime(hit.source_ts)}</div>
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</div>
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);
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})
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)}
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);
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})
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)}
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</div>
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</div>
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</section>
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</div>
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@ -60,10 +60,10 @@ const envSchema = z.object({
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return value;
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}, z.boolean())
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.default(false),
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CLASSIFIER_SWEEP_MIN_PREMIUM: z.coerce.number().positive().default(50_000),
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CLASSIFIER_SWEEP_MIN_PREMIUM: z.coerce.number().positive().default(40_000),
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CLASSIFIER_SWEEP_MIN_COUNT: z.coerce.number().int().positive().default(3),
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CLASSIFIER_SPIKE_MIN_PREMIUM: z.coerce.number().positive().default(25_000),
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CLASSIFIER_SPIKE_MIN_SIZE: z.coerce.number().int().positive().default(500)
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CLASSIFIER_SPIKE_MIN_PREMIUM: z.coerce.number().positive().default(20_000),
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CLASSIFIER_SPIKE_MIN_SIZE: z.coerce.number().int().positive().default(400)
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});
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const env = readEnv(envSchema);
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@ -11,18 +11,102 @@ type Burst = {
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baseSize: number;
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exchange: string;
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conditions?: string[];
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burstSize: number;
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printCount: number;
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priceStep: number;
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};
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const MS_PER_DAY = 24 * 60 * 60 * 1000;
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const EXPIRY_OFFSETS = [7, 14, 28, 45, 60, 90];
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const EXPIRY_OFFSETS = [0, 1, 7, 14, 28, 45, 60, 90];
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const EXCHANGES = ["CBOE", "PHLX", "ISE", "ARCA", "BOX", "MIAX"];
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const CONDITIONS = ["SWEEP", "ISO", "FILL", "TEST"];
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const BURST_RUN_RANGE: [number, number] = [2, 4];
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type Scenario = {
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id: string;
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weight: number;
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right: "C" | "P" | "either";
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countRange: [number, number];
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sizeRange: [number, number];
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premiumRange: [number, number];
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priceTrend: "up" | "down" | "flat";
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conditions?: string[];
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};
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const SCENARIOS: Scenario[] = [
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{
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id: "bullish_sweep",
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weight: 35,
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right: "C",
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countRange: [7, 10],
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sizeRange: [600, 1800],
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premiumRange: [120_000, 240_000],
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priceTrend: "up",
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conditions: ["SWEEP"]
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},
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{
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id: "bearish_sweep",
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weight: 35,
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right: "P",
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countRange: [7, 10],
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sizeRange: [600, 1800],
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premiumRange: [120_000, 240_000],
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priceTrend: "up",
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conditions: ["SWEEP"]
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},
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{
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id: "contract_spike",
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weight: 20,
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right: "either",
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countRange: [5, 8],
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sizeRange: [1200, 3200],
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premiumRange: [60_000, 140_000],
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priceTrend: "flat",
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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);
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue