dirtydishes/islandflow
1
0
Fork 0
Code Issues 2 Pull requests 4 Projects Releases Packages Wiki Activity Actions 1

Add smart-money option signal path and tape filters

Browse source
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
Download patch file Download diff file Expand all files Collapse all files

44
services/compute/src/index.ts
View file

@ -9,7 +9,7 @@ import {
SUBJECT_INFERRED_DARK,
SUBJECT_FLOW_PACKETS,
SUBJECT_OPTION_NBBO,
SUBJECT_OPTION_PRINTS,
SUBJECT_OPTION_SIGNAL_PRINTS,
STREAM_ALERTS,
STREAM_CLASSIFIER_HITS,
STREAM_EQUITY_JOINS,
@ -18,7 +18,7 @@ import {
STREAM_INFERRED_DARK,
STREAM_FLOW_PACKETS,
STREAM_OPTION_NBBO,
STREAM_OPTION_PRINTS,
STREAM_OPTION_SIGNAL_PRINTS,
buildDurableConsumer,
connectJetStreamWithRetry,
ensureStream,
@ -231,6 +231,9 @@ type NbboPlacementCounts = {
type ClusterState = {
contractId: string;
underlyingId: string | null;
optionType: string | null;
isEtf: boolean | null;
startTs: number;
endTs: number;
startSourceTs: number;
@ -530,6 +533,9 @@ const buildCluster = (print: OptionPrint): ClusterState => {
recordPlacement(placements, classifyPlacement(print.price, selectNbbo(print.option_contract_id, print.ts)));
return {
contractId: print.option_contract_id,
underlyingId: print.underlying_id ?? null,
optionType: print.option_type ?? null,
isEtf: typeof print.is_etf === "boolean" ? print.is_etf : null,
startTs: print.ts,
endTs: print.ts,
startSourceTs: print.source_ts,
@ -546,6 +552,15 @@ const buildCluster = (print: OptionPrint): ClusterState => {
};
const updateCluster = (cluster: ClusterState, print: OptionPrint): ClusterState => {
if (!cluster.underlyingId && print.underlying_id) {
cluster.underlyingId = print.underlying_id;
}
if (!cluster.optionType && print.option_type) {
cluster.optionType = print.option_type;
}
if (cluster.isEtf === null && typeof print.is_etf === "boolean") {
cluster.isEtf = print.is_etf;
}
cluster.endTs = Math.max(cluster.endTs, print.ts);
cluster.endIngestTs = Math.max(cluster.endIngestTs, print.ingest_ts);
cluster.endSeq = Math.max(cluster.endSeq, print.seq);
@ -705,6 +720,15 @@ const flushCluster = async (
}
}
}
if (cluster.underlyingId) {
features.underlying_id = cluster.underlyingId;
}
if (cluster.optionType) {
features.option_type = cluster.optionType;
}
if (cluster.isEtf !== null) {
features.is_etf = cluster.isEtf;
}
const placementTotal =
cluster.placements.aa +
@ -1012,8 +1036,8 @@ const run = async () => {
);
await ensureStream(jsm, {
name: STREAM_OPTION_PRINTS,
subjects: [SUBJECT_OPTION_PRINTS],
name: STREAM_OPTION_SIGNAL_PRINTS,
subjects: [SUBJECT_OPTION_SIGNAL_PRINTS],
retention: "limits",
storage: "file",
discard: "old",
@ -1162,7 +1186,7 @@ const run = async () => {
if (env.COMPUTE_CONSUMER_RESET) {
try {
await jsm.consumers.delete(STREAM_OPTION_PRINTS, durableName);
await jsm.consumers.delete(STREAM_OPTION_SIGNAL_PRINTS, durableName);
logger.warn("reset jetstream consumer", { durable: durableName });
} catch (error) {
const message = error instanceof Error ? error.message : String(error);
@ -1172,14 +1196,14 @@ const run = async () => {
}
} else {
try {
const info = await jsm.consumers.info(STREAM_OPTION_PRINTS, durableName);
const info = await jsm.consumers.info(STREAM_OPTION_SIGNAL_PRINTS, durableName);
if (info?.config?.deliver_policy && info.config.deliver_policy !== env.COMPUTE_DELIVER_POLICY) {
logger.warn("resetting consumer due to deliver policy change", {
durable: durableName,
current: info.config.deliver_policy,
desired: env.COMPUTE_DELIVER_POLICY
});
await jsm.consumers.delete(STREAM_OPTION_PRINTS, durableName);
await jsm.consumers.delete(STREAM_OPTION_SIGNAL_PRINTS, durableName);
}
} catch (error) {
const message = error instanceof Error ? error.message : String(error);
@ -1292,7 +1316,7 @@ const run = async () => {
const opts = buildDurableConsumer(durableName);
applyDeliverPolicy(opts, env.COMPUTE_DELIVER_POLICY);
try {
return await subscribeJson(js, SUBJECT_OPTION_PRINTS, opts);
return await subscribeJson(js, SUBJECT_OPTION_SIGNAL_PRINTS, opts);
} catch (error) {
const message = error instanceof Error ? error.message : String(error);
const shouldReset =
@ -1307,7 +1331,7 @@ const run = async () => {
logger.warn("resetting jetstream consumer", { durable: durableName, error: message });
try {
await jsm.consumers.delete(STREAM_OPTION_PRINTS, durableName);
await jsm.consumers.delete(STREAM_OPTION_SIGNAL_PRINTS, durableName);
} catch (deleteError) {
const deleteMessage = deleteError instanceof Error ? deleteError.message : String(deleteError);
if (!deleteMessage.includes("not found")) {
@ -1320,7 +1344,7 @@ const run = async () => {
const resetOpts = buildDurableConsumer(durableName);
applyDeliverPolicy(resetOpts, env.COMPUTE_DELIVER_POLICY);
return await subscribeJson(js, SUBJECT_OPTION_PRINTS, resetOpts);
return await subscribeJson(js, SUBJECT_OPTION_SIGNAL_PRINTS, resetOpts);
}
})();