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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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77
services/api/tests/live.test.ts
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@ -196,4 +196,81 @@ describe("LiveStateManager", () => {
expect(stats.trimOperations).toBeGreaterThan(0);
expect(stats.cacheDepthByKey["live:flow"]).toBe(2);
});
it("filters option and flow snapshots using subscription filters", async () => {
const manager = new LiveStateManager(makeClickHouse(), null);
await manager.ingest("options", {
source_ts: 100,
ingest_ts: 101,
seq: 1,
trace_id: "opt-1",
ts: 100,
option_contract_id: "AAPL-2025-01-17-200-C",
price: 1,
size: 100,
exchange: "X",
underlying_id: "AAPL",
option_type: "call",
notional: 10000,
nbbo_side: "A",
is_etf: false,
signal_pass: true,
signal_reasons: ["keep:ask-side"],
signal_profile: "smart-money"
});
await manager.ingest("options", {
source_ts: 110,
ingest_ts: 111,
seq: 2,
trace_id: "opt-2",
ts: 110,
option_contract_id: "SPY-2025-01-17-500-P",
price: 1,
size: 100,
exchange: "X",
underlying_id: "SPY",
option_type: "put",
notional: 10000,
nbbo_side: "B",
is_etf: true,
signal_pass: true,
signal_reasons: ["keep:ask-side"],
signal_profile: "smart-money"
});
await manager.ingest("flow", {
source_ts: 120,
ingest_ts: 121,
seq: 3,
trace_id: "flow-1",
id: "flow-1",
members: ["opt-1"],
features: {
option_contract_id: "AAPL-2025-01-17-200-C",
total_notional: 10000,
is_etf: false,
option_type: "call",
nbbo_a_count: 1,
nbbo_aa_count: 0,
nbbo_mid_count: 0,
nbbo_b_count: 0,
nbbo_bb_count: 0,
nbbo_missing_count: 0,
nbbo_stale_count: 0
},
join_quality: {}
});
const optionSnapshot = await manager.getSnapshot({
channel: "options",
filters: { securityTypes: ["stock"], nbboSides: ["A"], optionTypes: ["call"] }
});
const flowSnapshot = await manager.getSnapshot({
channel: "flow",
filters: { securityTypes: ["stock"], nbboSides: ["A"], optionTypes: ["call"] }
});
expect(optionSnapshot.items).toHaveLength(1);
expect(flowSnapshot.items).toHaveLength(1);
});
});