Add smart-money option signal path and tape filters
This commit is contained in:
parent
758f111d7e
commit
27b0a399e6
23 changed files with 1827 additions and 175 deletions
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@ -1,4 +1,5 @@
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import { z } from "zod";
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import { OptionNbboSideSchema, OptionTypeSchema, OptionsSignalModeSchema } from "./options-flow";
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export const EventMetaSchema = z.object({
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source_ts: z.number().int().nonnegative(),
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@ -16,7 +17,18 @@ export const OptionPrintSchema = EventMetaSchema.merge(
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price: z.number().nonnegative(),
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size: z.number().int().positive(),
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exchange: z.string().min(1),
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conditions: z.array(z.string().min(1)).optional()
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conditions: z.array(z.string().min(1)).optional(),
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underlying_id: z.preprocess((value) => (value === null ? undefined : value), z.string().min(1).optional()),
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option_type: z.preprocess((value) => (value === null ? undefined : value), OptionTypeSchema.optional()),
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notional: z.preprocess((value) => (value === null ? undefined : value), z.number().nonnegative().optional()),
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nbbo_side: z.preprocess((value) => (value === null ? undefined : value), OptionNbboSideSchema.optional()),
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is_etf: z.preprocess((value) => (value === null ? undefined : value), z.boolean().optional()),
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signal_pass: z.preprocess((value) => (value === null ? undefined : value), z.boolean().optional()),
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signal_reasons: z.array(z.string().min(1)).optional(),
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signal_profile: z.preprocess(
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(value) => (value === null ? undefined : value),
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OptionsSignalModeSchema.optional()
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)
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})
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);
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@ -1,3 +1,4 @@
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export * from "./events";
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export * from "./live";
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export * from "./options-flow";
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export * from "./sp500";
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@ -10,6 +10,10 @@ import {
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OptionNBBOSchema,
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OptionPrintSchema
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} from "./events";
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import {
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OptionFlowFiltersSchema,
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optionFlowFilterKey
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} from "./options-flow";
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export const CursorSchema = z.object({
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ts: z.number().int().nonnegative(),
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@ -47,7 +51,15 @@ export type LiveGenericChannel = z.infer<typeof LiveGenericChannelSchema>;
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export const LiveSubscriptionSchema = z.discriminatedUnion("channel", [
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z.object({
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channel: LiveGenericChannelSchema
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channel: z.literal("options"),
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filters: OptionFlowFiltersSchema.optional()
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}),
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z.object({
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channel: z.literal("flow"),
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filters: OptionFlowFiltersSchema.optional()
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}),
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z.object({
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channel: z.enum(["nbbo", "equities", "equity-joins", "classifier-hits", "alerts", "inferred-dark"])
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}),
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z.object({
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channel: z.literal("equity-candles"),
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@ -165,6 +177,9 @@ export type LiveServerMessage = z.infer<typeof LiveServerMessageSchema>;
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export const getSubscriptionKey = (subscription: LiveSubscription): string => {
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switch (subscription.channel) {
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case "options":
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case "flow":
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return `${subscription.channel}|${optionFlowFilterKey(subscription.filters)}`;
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case "equity-candles":
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return `${subscription.channel}|${subscription.underlying_id}|${subscription.interval_ms}`;
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case "equity-overlay":
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464
packages/types/src/options-flow.ts
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464
packages/types/src/options-flow.ts
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@ -0,0 +1,464 @@
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import { z } from "zod";
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import type { FlowPacket, OptionNBBO, OptionPrint } from "./events";
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export const SyntheticMarketModeSchema = z.enum(["realistic", "active", "firehose"]);
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export type SyntheticMarketMode = z.infer<typeof SyntheticMarketModeSchema>;
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export const OptionTypeSchema = z.enum(["call", "put"]);
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export type OptionType = z.infer<typeof OptionTypeSchema>;
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export const OptionNbboSideSchema = z.enum(["AA", "A", "MID", "B", "BB", "MISSING", "STALE"]);
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export type OptionNbboSide = z.infer<typeof OptionNbboSideSchema>;
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export const OptionFlowViewSchema = z.enum(["signal", "raw"]);
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export type OptionFlowView = z.infer<typeof OptionFlowViewSchema>;
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export const OptionSecurityTypeSchema = z.enum(["stock", "etf"]);
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export type OptionSecurityType = z.infer<typeof OptionSecurityTypeSchema>;
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export const OptionsSignalModeSchema = z.enum(["smart-money", "balanced", "all"]);
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export type OptionsSignalMode = z.infer<typeof OptionsSignalModeSchema>;
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export const OptionFlowFiltersSchema = z.object({
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view: OptionFlowViewSchema.optional(),
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securityTypes: z.array(OptionSecurityTypeSchema).optional(),
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nbboSides: z.array(OptionNbboSideSchema).optional(),
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optionTypes: z.array(OptionTypeSchema).optional(),
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minNotional: z.number().nonnegative().optional()
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});
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export type OptionFlowFilters = z.infer<typeof OptionFlowFiltersSchema>;
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export type ParsedOptionContract = {
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root: string;
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expiry: string;
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strike: number;
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right: "C" | "P";
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};
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export type SyntheticModeResolution = {
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market: SyntheticMarketMode;
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options: SyntheticMarketMode;
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equities: SyntheticMarketMode;
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};
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export type OptionsSignalConfig = {
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mode: OptionsSignalMode;
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minNotional: number;
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etfMinNotional: number;
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bidSideMinNotional: number;
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midMinNotional: number;
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missingNbboMinNotional: number;
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largePrintMinSize: number;
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largePrintMinNotional: number;
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sweepMinNotional: number;
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autoKeepMinNotional: number;
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nbboMaxAgeMs: number;
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etfUnderlyings: Set<string>;
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};
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export type DerivedOptionPrintMetadata = {
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underlying_id?: string;
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option_type?: OptionType;
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notional?: number;
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nbbo_side?: OptionNbboSide;
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is_etf?: boolean;
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};
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export type OptionSignalDecision = {
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signalPass: boolean;
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signalReasons: string[];
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signalProfile: OptionsSignalMode;
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};
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const parseDashedContract = (value: string): ParsedOptionContract | null => {
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const parts = value.split("-");
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if (parts.length < 6) {
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return null;
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}
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const rightRaw = parts.at(-1) ?? "";
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if (rightRaw !== "C" && rightRaw !== "P") {
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return null;
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}
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const strikeRaw = parts.at(-2) ?? "";
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const strike = Number(strikeRaw);
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const expiryParts = parts.slice(-5, -2);
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const expiry = expiryParts.join("-");
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const root = parts.slice(0, -5).join("-");
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if (!root || !expiry || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right: rightRaw
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};
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};
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const parseOccContract = (value: string): ParsedOptionContract | null => {
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if (value.length < 15) {
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return null;
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}
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const tail = value.slice(-15);
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const root = value.slice(0, -15).trim();
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const expiryRaw = tail.slice(0, 6);
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const right = tail.slice(6, 7);
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const strikeRaw = tail.slice(7);
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if (!/^\d{6}$/.test(expiryRaw) || !/^\d{8}$/.test(strikeRaw)) {
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return null;
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}
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if (right !== "C" && right !== "P") {
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return null;
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}
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const year = 2000 + Number(expiryRaw.slice(0, 2));
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const month = Number(expiryRaw.slice(2, 4)) - 1;
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const day = Number(expiryRaw.slice(4, 6));
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const expiryDate = new Date(Date.UTC(year, month, day));
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const expiry = expiryDate.toISOString().slice(0, 10);
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const strike = Number(strikeRaw) / 1000;
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if (!root || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right
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};
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};
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export const parseOptionContractId = (value: string | undefined): ParsedOptionContract | null => {
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if (!value) {
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return null;
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}
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return parseDashedContract(value) ?? parseOccContract(value);
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};
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export const resolveSyntheticMarketModes = (input: {
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syntheticMarketMode?: string | null | undefined;
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syntheticOptionsMode?: string | null | undefined;
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syntheticEquitiesMode?: string | null | undefined;
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}): SyntheticModeResolution => {
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const market = SyntheticMarketModeSchema.catch("realistic").parse(
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input.syntheticMarketMode ?? "realistic"
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);
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const options = SyntheticMarketModeSchema.catch(market).parse(
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input.syntheticOptionsMode ?? market
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);
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const equities = SyntheticMarketModeSchema.catch(market).parse(
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input.syntheticEquitiesMode ?? market
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);
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return { market, options, equities };
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};
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export const classifyOptionNbboSide = (
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price: number,
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quote: Pick<OptionNBBO, "bid" | "ask" | "ts"> | null | undefined,
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tradeTs: number,
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maxAgeMs: number
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): OptionNbboSide => {
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if (!quote || !Number.isFinite(price)) {
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return "MISSING";
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}
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const bid = quote.bid;
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const ask = quote.ask;
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if (!Number.isFinite(bid) || !Number.isFinite(ask) || ask <= 0) {
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return "MISSING";
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}
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const ageMs = Math.abs(tradeTs - quote.ts);
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if (ageMs > maxAgeMs) {
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return "STALE";
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}
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const spread = Math.max(0, ask - bid);
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const epsilon = Math.max(0.01, spread * 0.05);
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if (price > ask + epsilon) {
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return "AA";
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}
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if (price >= ask - epsilon) {
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return "A";
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}
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if (price < bid - epsilon) {
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return "BB";
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}
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if (price <= bid + epsilon) {
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return "B";
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}
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return "MID";
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};
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export const deriveOptionPrintMetadata = (
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print: Pick<OptionPrint, "option_contract_id" | "price" | "size" | "ts">,
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quote: Pick<OptionNBBO, "bid" | "ask" | "ts"> | null | undefined,
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config: Pick<OptionsSignalConfig, "nbboMaxAgeMs" | "etfUnderlyings">
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): DerivedOptionPrintMetadata => {
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const parsed = parseOptionContractId(print.option_contract_id);
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const underlying = parsed?.root?.toUpperCase();
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const optionType = parsed?.right === "C" ? "call" : parsed?.right === "P" ? "put" : undefined;
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const notional = Number.isFinite(print.price) && Number.isFinite(print.size)
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? Number((print.price * print.size * 100).toFixed(2))
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: undefined;
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return {
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underlying_id: underlying,
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option_type: optionType,
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notional,
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nbbo_side: classifyOptionNbboSide(print.price, quote, print.ts, config.nbboMaxAgeMs),
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is_etf: underlying ? config.etfUnderlyings.has(underlying) : undefined
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};
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};
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const hasCondition = (conditions: string[] | undefined, expected: string): boolean => {
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return (conditions ?? []).some((condition) => condition.toUpperCase() === expected);
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};
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const balancedThresholds = (config: OptionsSignalConfig): OptionsSignalConfig => ({
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...config,
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minNotional: Math.min(config.minNotional, 5_000),
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etfMinNotional: Math.min(config.etfMinNotional, 25_000),
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bidSideMinNotional: Math.min(config.bidSideMinNotional, 15_000),
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midMinNotional: Math.min(config.midMinNotional, 12_500),
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missingNbboMinNotional: Math.min(config.missingNbboMinNotional, 25_000),
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sweepMinNotional: Math.min(config.sweepMinNotional, 15_000),
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autoKeepMinNotional: Math.min(config.autoKeepMinNotional, 75_000)
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});
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export const evaluateOptionSignal = (
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print: Pick<
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OptionPrint,
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"size" | "conditions" | "signal_profile" | "underlying_id" | "option_type" | "notional" | "nbbo_side" | "is_etf"
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>,
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baseConfig: OptionsSignalConfig
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): OptionSignalDecision => {
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const mode = print.signal_profile ?? baseConfig.mode;
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if (mode === "all") {
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return {
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signalPass: true,
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signalReasons: ["mode:all"],
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signalProfile: "all"
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};
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}
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const config = mode === "balanced" ? balancedThresholds(baseConfig) : baseConfig;
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const reasons: string[] = [];
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const notional = print.notional ?? 0;
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const side = print.nbbo_side ?? "MISSING";
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const isSweepOrIso = hasCondition(print.conditions, "SWEEP") || hasCondition(print.conditions, "ISO");
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if (notional < config.minNotional) {
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return {
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signalPass: false,
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signalReasons: ["reject:min-notional"],
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signalProfile: mode
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};
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}
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if (notional >= config.autoKeepMinNotional) {
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reasons.push("keep:auto-large");
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}
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if (print.is_etf && notional < config.etfMinNotional) {
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return {
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signalPass: false,
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signalReasons: ["reject:etf-min-notional"],
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signalProfile: mode
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};
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}
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if ((side === "B" || side === "BB") && notional < config.bidSideMinNotional) {
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return {
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signalPass: false,
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signalReasons: ["reject:bid-side-min-notional"],
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signalProfile: mode
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};
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}
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if (side === "MID" && !isSweepOrIso && notional < config.midMinNotional) {
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return {
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signalPass: false,
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signalReasons: ["reject:mid-min-notional"],
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signalProfile: mode
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};
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}
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if ((side === "MISSING" || side === "STALE") && notional < config.missingNbboMinNotional) {
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return {
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signalPass: false,
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signalReasons: ["reject:missing-nbbo-min-notional"],
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signalProfile: mode
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};
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}
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if ((side === "A" || side === "AA") && notional >= config.minNotional) {
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reasons.push("keep:ask-side");
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}
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if (isSweepOrIso && notional >= config.sweepMinNotional) {
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reasons.push("keep:sweep-or-iso");
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}
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if (print.size >= config.largePrintMinSize && notional >= config.largePrintMinNotional) {
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reasons.push("keep:large-contract-count");
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}
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if (reasons.length === 0) {
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return {
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signalPass: false,
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signalReasons: ["reject:no-signal-rule"],
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signalProfile: mode
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};
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}
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return {
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signalPass: true,
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signalReasons: reasons,
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signalProfile: mode
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};
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};
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const sortStrings = (values: string[] | undefined): string[] | undefined => {
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if (!values || values.length === 0) {
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return undefined;
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}
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return [...new Set(values)].sort();
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};
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export const normalizeOptionFlowFilters = (
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filters: OptionFlowFilters | undefined
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): OptionFlowFilters | undefined => {
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if (!filters) {
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return undefined;
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}
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return {
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view: filters.view,
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securityTypes: sortStrings(filters.securityTypes) as OptionSecurityType[] | undefined,
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nbboSides: sortStrings(filters.nbboSides) as OptionNbboSide[] | undefined,
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optionTypes: sortStrings(filters.optionTypes) as OptionType[] | undefined,
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minNotional:
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typeof filters.minNotional === "number" && Number.isFinite(filters.minNotional)
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? filters.minNotional
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: undefined
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};
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};
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export const optionFlowFilterKey = (filters: OptionFlowFilters | undefined): string => {
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return JSON.stringify(normalizeOptionFlowFilters(filters) ?? {});
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};
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export const matchesOptionPrintFilters = (
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print: Pick<OptionPrint, "is_etf" | "nbbo_side" | "option_type" | "notional" | "signal_pass">,
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filters: OptionFlowFilters | undefined
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): boolean => {
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if (!filters) {
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return true;
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}
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const view = filters.view ?? "signal";
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if (view === "signal" && print.signal_pass === false) {
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return false;
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}
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if (filters.securityTypes?.length) {
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const securityType: OptionSecurityType = print.is_etf ? "etf" : "stock";
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if (!filters.securityTypes.includes(securityType)) {
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return false;
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}
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}
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if (filters.nbboSides?.length) {
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const side = print.nbbo_side ?? "MISSING";
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if (!filters.nbboSides.includes(side)) {
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return false;
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}
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}
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if (filters.optionTypes?.length) {
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const optionType = print.option_type;
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if (!optionType || !filters.optionTypes.includes(optionType)) {
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return false;
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}
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}
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if (typeof filters.minNotional === "number" && (print.notional ?? 0) < filters.minNotional) {
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return false;
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}
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return true;
|
||||
};
|
||||
|
||||
export const matchesFlowPacketFilters = (
|
||||
packet: FlowPacket,
|
||||
filters: OptionFlowFilters | undefined
|
||||
): boolean => {
|
||||
if (!filters) {
|
||||
return true;
|
||||
}
|
||||
|
||||
const features = packet.features ?? {};
|
||||
const totalNotional = typeof features.total_notional === "number" ? features.total_notional : Number(features.total_notional ?? 0);
|
||||
if (typeof filters.minNotional === "number" && (!Number.isFinite(totalNotional) || totalNotional < filters.minNotional)) {
|
||||
return false;
|
||||
}
|
||||
|
||||
if (filters.securityTypes?.length) {
|
||||
const isEtf = typeof features.is_etf === "boolean" ? features.is_etf : features.is_etf === 1;
|
||||
const securityType: OptionSecurityType = isEtf ? "etf" : "stock";
|
||||
if (!filters.securityTypes.includes(securityType)) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
if (filters.optionTypes?.length) {
|
||||
const optionType =
|
||||
typeof features.option_type === "string"
|
||||
? features.option_type
|
||||
: typeof features.structure_rights === "string"
|
||||
? features.structure_rights.toLowerCase()
|
||||
: null;
|
||||
if (
|
||||
!optionType ||
|
||||
!filters.optionTypes.some((selected) => optionType.includes(selected))
|
||||
) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
if (filters.nbboSides?.length) {
|
||||
const sideToFeature: Record<OptionNbboSide, string> = {
|
||||
AA: "nbbo_aa_count",
|
||||
A: "nbbo_a_count",
|
||||
MID: "nbbo_mid_count",
|
||||
B: "nbbo_b_count",
|
||||
BB: "nbbo_bb_count",
|
||||
MISSING: "nbbo_missing_count",
|
||||
STALE: "nbbo_stale_count"
|
||||
};
|
||||
const matchesSide = filters.nbboSides.some((side) => {
|
||||
const value = features[sideToFeature[side]];
|
||||
return typeof value === "number" ? value > 0 : Number(value ?? 0) > 0;
|
||||
});
|
||||
if (!matchesSide) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
|
||||
return true;
|
||||
};
|
||||
|
|
@ -8,7 +8,21 @@ import {
|
|||
|
||||
describe("live protocol types", () => {
|
||||
it("builds stable keys for generic and parameterized subscriptions", () => {
|
||||
expect(getSubscriptionKey({ channel: "flow" })).toBe("flow");
|
||||
expect(getSubscriptionKey({ channel: "flow" })).toBe("flow|{}");
|
||||
expect(
|
||||
getSubscriptionKey({
|
||||
channel: "options",
|
||||
filters: {
|
||||
view: "signal",
|
||||
securityTypes: ["stock"],
|
||||
nbboSides: ["A", "AA"],
|
||||
optionTypes: ["call", "put"],
|
||||
minNotional: 25000
|
||||
}
|
||||
})
|
||||
).toBe(
|
||||
'options|{"view":"signal","securityTypes":["stock"],"nbboSides":["A","AA"],"optionTypes":["call","put"],"minNotional":25000}'
|
||||
);
|
||||
expect(
|
||||
getSubscriptionKey({
|
||||
channel: "equity-candles",
|
||||
|
|
@ -25,7 +39,7 @@ describe("live protocol types", () => {
|
|||
const parsed = LiveClientMessageSchema.parse({
|
||||
op: "subscribe",
|
||||
subscriptions: [
|
||||
{ channel: "flow" },
|
||||
{ channel: "flow", filters: { nbboSides: ["AA", "A"], minNotional: 50000 } },
|
||||
{ channel: "equity-candles", underlying_id: "SPY", interval_ms: 60000 }
|
||||
]
|
||||
});
|
||||
|
|
|
|||
132
packages/types/tests/options-flow.test.ts
Normal file
132
packages/types/tests/options-flow.test.ts
Normal file
|
|
@ -0,0 +1,132 @@
|
|||
import { describe, expect, it } from "bun:test";
|
||||
import {
|
||||
deriveOptionPrintMetadata,
|
||||
evaluateOptionSignal,
|
||||
resolveSyntheticMarketModes,
|
||||
type OptionsSignalConfig
|
||||
} from "../src/options-flow";
|
||||
|
||||
const baseConfig: OptionsSignalConfig = {
|
||||
mode: "smart-money",
|
||||
minNotional: 10_000,
|
||||
etfMinNotional: 50_000,
|
||||
bidSideMinNotional: 25_000,
|
||||
midMinNotional: 20_000,
|
||||
missingNbboMinNotional: 50_000,
|
||||
largePrintMinSize: 500,
|
||||
largePrintMinNotional: 10_000,
|
||||
sweepMinNotional: 25_000,
|
||||
autoKeepMinNotional: 100_000,
|
||||
nbboMaxAgeMs: 1_500,
|
||||
etfUnderlyings: new Set(["SPY", "QQQ"])
|
||||
};
|
||||
|
||||
describe("options-flow helpers", () => {
|
||||
it("resolves synthetic modes with per-service overrides", () => {
|
||||
expect(
|
||||
resolveSyntheticMarketModes({
|
||||
syntheticMarketMode: "active",
|
||||
syntheticOptionsMode: "firehose"
|
||||
})
|
||||
).toEqual({
|
||||
market: "active",
|
||||
options: "firehose",
|
||||
equities: "active"
|
||||
});
|
||||
});
|
||||
|
||||
it("derives underlying, notional, nbbo side, and etf metadata", () => {
|
||||
const metadata = deriveOptionPrintMetadata(
|
||||
{
|
||||
option_contract_id: "SPY-2025-01-17-450-C",
|
||||
price: 2.5,
|
||||
size: 100,
|
||||
ts: 5_000
|
||||
},
|
||||
{
|
||||
bid: 2.3,
|
||||
ask: 2.5,
|
||||
ts: 4_500
|
||||
},
|
||||
baseConfig
|
||||
);
|
||||
|
||||
expect(metadata.underlying_id).toBe("SPY");
|
||||
expect(metadata.option_type).toBe("call");
|
||||
expect(metadata.notional).toBe(25_000);
|
||||
expect(metadata.nbbo_side).toBe("A");
|
||||
expect(metadata.is_etf).toBe(true);
|
||||
});
|
||||
|
||||
it("accepts and rejects smart-money thresholds at boundaries", () => {
|
||||
const acceptedAsk = evaluateOptionSignal(
|
||||
{
|
||||
size: 100,
|
||||
conditions: [],
|
||||
underlying_id: "AAPL",
|
||||
option_type: "call",
|
||||
notional: 10_000,
|
||||
nbbo_side: "A",
|
||||
is_etf: false
|
||||
},
|
||||
baseConfig
|
||||
);
|
||||
expect(acceptedAsk.signalPass).toBe(true);
|
||||
|
||||
const rejectedLow = evaluateOptionSignal(
|
||||
{
|
||||
size: 100,
|
||||
conditions: [],
|
||||
underlying_id: "AAPL",
|
||||
option_type: "call",
|
||||
notional: 9_999,
|
||||
nbbo_side: "A",
|
||||
is_etf: false
|
||||
},
|
||||
baseConfig
|
||||
);
|
||||
expect(rejectedLow.signalPass).toBe(false);
|
||||
|
||||
const rejectedBid = evaluateOptionSignal(
|
||||
{
|
||||
size: 100,
|
||||
conditions: [],
|
||||
underlying_id: "AAPL",
|
||||
option_type: "put",
|
||||
notional: 24_999,
|
||||
nbbo_side: "B",
|
||||
is_etf: false
|
||||
},
|
||||
baseConfig
|
||||
);
|
||||
expect(rejectedBid.signalPass).toBe(false);
|
||||
|
||||
const acceptedSweep = evaluateOptionSignal(
|
||||
{
|
||||
size: 100,
|
||||
conditions: ["SWEEP"],
|
||||
underlying_id: "AAPL",
|
||||
option_type: "call",
|
||||
notional: 25_000,
|
||||
nbbo_side: "MID",
|
||||
is_etf: false
|
||||
},
|
||||
baseConfig
|
||||
);
|
||||
expect(acceptedSweep.signalPass).toBe(true);
|
||||
|
||||
const rejectedEtf = evaluateOptionSignal(
|
||||
{
|
||||
size: 100,
|
||||
conditions: [],
|
||||
underlying_id: "SPY",
|
||||
option_type: "call",
|
||||
notional: 49_999,
|
||||
nbbo_side: "A",
|
||||
is_etf: true
|
||||
},
|
||||
baseConfig
|
||||
);
|
||||
expect(rejectedEtf.signalPass).toBe(false);
|
||||
});
|
||||
});
|
||||
Loading…
Add table
Add a link
Reference in a new issue