Add smart-money option signal path and tape filters

packages/types/tests/live.test.ts

@@ -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 }
       ]
     });

packages/types/tests/options-flow.test.ts

@@ -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);
+  });
+});