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Join underlying quotes for 0DTE classifier

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dirtydishes 2026-01-09 16:11:38 -05:00
parent f96f5699ef
commit 2752025fbc
5 changed files with 145 additions and 3 deletions
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38
services/compute/src/index.ts
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@ -115,7 +115,10 @@ const envSchema = z.object({
CLASSIFIER_SPIKE_MIN_SIZE_Z: z.coerce.number().nonnegative().default(2),
CLASSIFIER_Z_MIN_SAMPLES: z.coerce.number().int().nonnegative().default(12),
CLASSIFIER_MIN_NBBO_COVERAGE: z.coerce.number().min(0).max(1).default(0.5),
CLASSIFIER_MIN_AGGRESSOR_RATIO: z.coerce.number().min(0).max(1).default(0.55)
CLASSIFIER_MIN_AGGRESSOR_RATIO: z.coerce.number().min(0).max(1).default(0.55),
CLASSIFIER_0DTE_MAX_ATM_PCT: z.coerce.number().min(0).max(1).default(0.01),
CLASSIFIER_0DTE_MIN_PREMIUM: z.coerce.number().positive().default(20_000),
CLASSIFIER_0DTE_MIN_SIZE: z.coerce.number().int().positive().default(400)
});
const env = readEnv(envSchema);
@ -130,7 +133,10 @@ const classifierConfig: ClassifierConfig = {
spikeMinSizeZ: env.CLASSIFIER_SPIKE_MIN_SIZE_Z,
zMinSamples: env.CLASSIFIER_Z_MIN_SAMPLES,
minNbboCoverage: env.CLASSIFIER_MIN_NBBO_COVERAGE,
minAggressorRatio: env.CLASSIFIER_MIN_AGGRESSOR_RATIO
minAggressorRatio: env.CLASSIFIER_MIN_AGGRESSOR_RATIO,
zeroDteMaxAtmPct: env.CLASSIFIER_0DTE_MAX_ATM_PCT,
zeroDteMinPremium: env.CLASSIFIER_0DTE_MIN_PREMIUM,
zeroDteMinSize: env.CLASSIFIER_0DTE_MIN_SIZE
};
const darkInferenceConfig: DarkInferenceConfig = {
@ -485,6 +491,34 @@ const flushCluster = async (
window_ms: env.CLUSTER_WINDOW_MS
};
const parsedContract = parseContractId(cluster.contractId);
if (parsedContract?.root) {
features.underlying_id = parsedContract.root;
const quoteJoin = selectEquityQuote(parsedContract.root, cluster.endTs);
if (!quoteJoin.quote) {
joinQuality.underlying_quote_missing = 1;
} else {
joinQuality.underlying_quote_age_ms = quoteJoin.ageMs;
if (quoteJoin.stale) {
joinQuality.underlying_quote_stale = 1;
} else {
const bid = quoteJoin.quote.bid;
const ask = quoteJoin.quote.ask;
if (Number.isFinite(bid) && Number.isFinite(ask) && ask > 0) {
const mid = (bid + ask) / 2;
const spread = ask - bid;
features.underlying_quote_ts = quoteJoin.quote.ts;
features.underlying_bid = bid;
features.underlying_ask = ask;
features.underlying_mid = roundTo(mid);
features.underlying_spread = roundTo(spread);
} else {
joinQuality.underlying_quote_missing = 1;
}
}
}
}
const placementTotal =
cluster.placements.aa +
cluster.placements.a +