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Add smart-money option signal path and tape filters

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This commit is contained in:
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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58
services/api/src/live.ts
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@ -1,4 +1,5 @@
import {
fetchRecentOptionPrints,
fetchRecentAlerts,
fetchRecentClassifierHits,
fetchRecentEquityCandles,
@ -7,9 +8,9 @@ import {
fetchRecentFlowPackets,
fetchRecentInferredDark,
fetchRecentOptionNBBO,
fetchRecentOptionPrints,
type ClickHouseClient
} from "@islandflow/storage";
import type { OptionPrintQueryFilters } from "@islandflow/storage";
import {
AlertEventSchema,
ClassifierHitEventSchema,
@ -22,8 +23,11 @@ import {
InferredDarkEventSchema,
LiveGenericChannel,
LiveSubscription,
matchesFlowPacketFilters,
matchesOptionPrintFilters,
OptionNBBOSchema,
OptionPrintSchema,
type OptionFlowFilters,
type Cursor,
type EquityCandle,
type EquityPrint,
@ -124,7 +128,8 @@ const getGenericConfig = (limits: GenericLiveLimits): {
limit: limits.options,
parse: (value) => OptionPrintSchema.parse(value),
cursor: (item) => ({ ts: item.ts, seq: item.seq }),
fetchRecent: fetchRecentOptionPrints
fetchRecent: (clickhouse, limit) =>
fetchRecentOptionPrints(clickhouse, limit, undefined, { view: "signal" })
},
nbbo: {
redisKey: "live:nbbo",
@ -279,6 +284,55 @@ export class LiveStateManager {
async getSnapshot(subscription: LiveSubscription): Promise<FeedSnapshot<unknown>> {
switch (subscription.channel) {
case "options": {
if (subscription.filters?.view === "raw") {
const storageFilters: OptionPrintQueryFilters = {
view: "raw",
security:
subscription.filters.securityTypes?.length === 1
? subscription.filters.securityTypes[0]
: "all",
nbboSides: subscription.filters.nbboSides,
optionTypes: subscription.filters.optionTypes,
minNotional: subscription.filters.minNotional
};
const items = await fetchRecentOptionPrints(
this.clickhouse,
this.generic.options.limit,
undefined,
storageFilters
);
return {
subscription,
items,
watermark: items[0] ? { ts: items[0].ts, seq: items[0].seq } : null,
next_before: nextBeforeForItems(items, (item) => ({ ts: item.ts, seq: item.seq }))
};
}
const config = this.generic.options;
const items = (this.genericItems.get("options") ?? []).filter((item) =>
matchesOptionPrintFilters(item, subscription.filters)
);
return {
subscription,
items,
watermark: this.genericCursors.get(config.cursorField) ?? null,
next_before: nextBeforeForItems(items, config.cursor)
};
}
case "flow": {
const config = this.generic.flow;
const items = (this.genericItems.get("flow") ?? []).filter((item) =>
matchesFlowPacketFilters(item, subscription.filters)
);
return {
subscription,
items,
watermark: this.genericCursors.get(config.cursorField) ?? null,
next_before: nextBeforeForItems(items, config.cursor)
};
}
case "equity-candles": {
const key = candleRedisKey(subscription.underlying_id, subscription.interval_ms);
const cursorField = candleCursorField(subscription.underlying_id, subscription.interval_ms);