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Add smart-money option signal path and tape filters

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dirtydishes 2026-04-28 16:29:44 -04:00
parent 758f111d7e
commit 27b0a399e6
23 changed files with 1827 additions and 175 deletions
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27
packages/storage/tests/option-prints.test.ts
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@ -1,5 +1,10 @@
import { describe, expect, it } from "bun:test";
import { createClickHouseClient, fetchOptionPrintsBefore, fetchOptionPrintsByTraceIds } from "../src/clickhouse";
import {
createClickHouseClient,
fetchOptionPrintsBefore,
fetchOptionPrintsByTraceIds,
fetchRecentOptionPrints
} from "../src/clickhouse";
import { normalizeOptionPrint, optionPrintsTableDDL, OPTION_PRINTS_TABLE } from "../src/option-prints";
const basePrint = {
@ -38,12 +43,24 @@ describe("option-prints storage helpers", () => {
};
};
await fetchRecentOptionPrints(client, 25, undefined, {
view: "signal",
security: "stock",
nbboSides: ["AA", "A"],
optionTypes: ["call"],
minNotional: 25_000
});
await fetchOptionPrintsBefore(client, 100, 5, 20, "alpaca");
await fetchOptionPrintsByTraceIds(client, ["trace-1", "trace-2"]);
expect(queries[0]).toContain("(ts, seq) < (100, 5)");
expect(queries[0]).toContain("startsWith(trace_id, 'alpaca')");
expect(queries[0]).toContain("ORDER BY ts DESC, seq DESC LIMIT 20");
expect(queries[1]).toContain("trace_id IN ('trace-1', 'trace-2')");
expect(queries[0]).toContain("signal_pass = 1");
expect(queries[0]).toContain("(is_etf = 0 OR is_etf IS NULL)");
expect(queries[0]).toContain("nbbo_side IN ('AA', 'A')");
expect(queries[0]).toContain("option_type IN ('call')");
expect(queries[0]).toContain("notional >= 25000");
expect(queries[1]).toContain("(ts, seq) < (100, 5)");
expect(queries[1]).toContain("startsWith(trace_id, 'alpaca')");
expect(queries[1]).toContain("ORDER BY ts DESC, seq DESC LIMIT 20");
expect(queries[2]).toContain("trace_id IN ('trace-1', 'trace-2')");
});
});