dirtydishes/islandflow
1
0
Fork 0
Code Issues 2 Pull requests 4 Projects Releases Packages Wiki Activity Actions 1

Join underlying quotes for 0DTE classifier

Browse source
This commit is contained in:
dirtydishes 2026-01-09 16:11:38 -05:00
parent f96f5699ef
commit 2752025fbc
5 changed files with 145 additions and 3 deletions
Download patch file Download diff file Expand all files Collapse all files

20
services/compute/tests/classifiers.test.ts
View file

@ -12,7 +12,10 @@ const baseConfig: ClassifierConfig = {
spikeMinSizeZ: 2,
zMinSamples: 12,
minNbboCoverage: 0.5,
minAggressorRatio: 0.55
minAggressorRatio: 0.55,
zeroDteMaxAtmPct: 0.01,
zeroDteMinPremium: 20_000,
zeroDteMinSize: 400
};
const DEFAULT_TS = Date.UTC(2024, 0, 2);
@ -187,4 +190,19 @@ describe("classifier structure and positioning signals", () => {
const hit = hits.find((candidate) => candidate.classifier_id === "far_dated_conviction");
expect(hit?.direction).toBe("bullish");
});
test("zero dte gamma punch triggers when ATM and large", () => {
const packet = buildPacket({
option_contract_id: "SPY-2024-01-02-450-C",
total_premium: 35_000,
total_size: 600,
underlying_mid: 450,
nbbo_coverage_ratio: 0.8,
nbbo_aggressive_buy_ratio: 0.7,
nbbo_aggressive_sell_ratio: 0.3
});
const hits = evaluateClassifiers(packet, baseConfig);
const hit = hits.find((candidate) => candidate.classifier_id === "zero_dte_gamma_punch");
expect(hit?.direction).toBe("bullish");
});
});