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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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103
services/ingest-options/src/index.ts
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@ -3,8 +3,10 @@ import { createLogger } from "@islandflow/observability";
import {
SUBJECT_OPTION_NBBO,
SUBJECT_OPTION_PRINTS,
SUBJECT_OPTION_SIGNAL_PRINTS,
STREAM_OPTION_NBBO,
STREAM_OPTION_PRINTS,
STREAM_OPTION_SIGNAL_PRINTS,
connectJetStreamWithRetry,
ensureStream,
publishJson
@ -16,7 +18,16 @@ import {
insertOptionNBBO,
insertOptionPrint
} from "@islandflow/storage";
import { OptionNBBOSchema, OptionPrintSchema, type OptionNBBO, type OptionPrint } from "@islandflow/types";
import {
OptionNBBOSchema,
OptionPrintSchema,
evaluateOptionSignal,
deriveOptionPrintMetadata,
resolveSyntheticMarketModes,
type OptionNBBO,
type OptionPrint,
type OptionsSignalConfig
} from "@islandflow/types";
import { createAlpacaOptionsAdapter } from "./adapters/alpaca";
import { createDatabentoOptionsAdapter } from "./adapters/databento";
import { createIbkrOptionsAdapter } from "./adapters/ibkr";
@ -68,6 +79,17 @@ const envSchema = z.object({
IBKR_CURRENCY: z.string().min(1).default("USD"),
IBKR_PYTHON_BIN: z.string().min(1).default("python3"),
EMIT_INTERVAL_MS: z.coerce.number().int().positive().default(1000),
SYNTHETIC_MARKET_MODE: z.string().default("realistic"),
SYNTHETIC_OPTIONS_MODE: z.string().default(""),
OPTIONS_SIGNAL_MODE: z.enum(["smart-money", "balanced", "all"]).default("smart-money"),
OPTIONS_SIGNAL_MIN_NOTIONAL: z.coerce.number().nonnegative().default(10_000),
OPTIONS_SIGNAL_ETF_MIN_NOTIONAL: z.coerce.number().nonnegative().default(50_000),
OPTIONS_SIGNAL_BID_SIDE_MIN_NOTIONAL: z.coerce.number().nonnegative().default(25_000),
OPTIONS_SIGNAL_MID_MIN_NOTIONAL: z.coerce.number().nonnegative().default(20_000),
OPTIONS_SIGNAL_NBBO_MAX_AGE_MS: z.coerce.number().int().positive().default(1500),
OPTIONS_SIGNAL_ETF_UNDERLYINGS: z
.string()
.default("SPY,QQQ,IWM,DIA,TLT,GLD,SLV,XLF,XLE,XLV,XLI,XLP,XLU,XLY,SMH,ARKK"),
TESTING_MODE: z
.preprocess((value) => {
if (typeof value === "string") {
@ -86,11 +108,34 @@ const envSchema = z.object({
});
const env = readEnv(envSchema);
const syntheticModes = resolveSyntheticMarketModes({
syntheticMarketMode: env.SYNTHETIC_MARKET_MODE,
syntheticOptionsMode: env.SYNTHETIC_OPTIONS_MODE
});
const optionsSignalConfig: OptionsSignalConfig = {
mode: env.OPTIONS_SIGNAL_MODE,
minNotional: env.OPTIONS_SIGNAL_MIN_NOTIONAL,
etfMinNotional: env.OPTIONS_SIGNAL_ETF_MIN_NOTIONAL,
bidSideMinNotional: env.OPTIONS_SIGNAL_BID_SIDE_MIN_NOTIONAL,
midMinNotional: env.OPTIONS_SIGNAL_MID_MIN_NOTIONAL,
missingNbboMinNotional: 50_000,
largePrintMinSize: 500,
largePrintMinNotional: env.OPTIONS_SIGNAL_MIN_NOTIONAL,
sweepMinNotional: env.OPTIONS_SIGNAL_BID_SIDE_MIN_NOTIONAL,
autoKeepMinNotional: 100_000,
nbboMaxAgeMs: env.OPTIONS_SIGNAL_NBBO_MAX_AGE_MS,
etfUnderlyings: new Set(
env.OPTIONS_SIGNAL_ETF_UNDERLYINGS.split(",")
.map((value) => value.trim().toUpperCase())
.filter(Boolean)
)
};
const state = {
shuttingDown: false,
shutdownPromise: null as Promise<void> | null
};
const latestNbboByContract = new Map<string, OptionNBBO>();
const getErrorMessage = (error: unknown): string => {
return error instanceof Error ? error.message : String(error);
@ -169,7 +214,10 @@ const retry = async <T>(
const selectAdapter = (name: string): OptionIngestAdapter => {
if (name === "synthetic") {
return createSyntheticOptionsAdapter({ emitIntervalMs: env.EMIT_INTERVAL_MS });
return createSyntheticOptionsAdapter({
emitIntervalMs: env.EMIT_INTERVAL_MS,
mode: syntheticModes.options
});
}
if (name === "alpaca") {
@ -277,6 +325,19 @@ const run = async () => {
num_replicas: 1
});
await ensureStream(jsm, {
name: STREAM_OPTION_SIGNAL_PRINTS,
subjects: [SUBJECT_OPTION_SIGNAL_PRINTS],
retention: "limits",
storage: "file",
discard: "old",
max_msgs_per_subject: -1,
max_msgs: -1,
max_bytes: -1,
max_age: 0,
num_replicas: 1
});
const clickhouse = createClickHouseClient({
url: env.CLICKHOUSE_URL,
database: env.CLICKHOUSE_DATABASE
@ -303,15 +364,41 @@ const run = async () => {
return;
}
const print = OptionPrintSchema.parse(candidate);
const rawPrint = OptionPrintSchema.parse(candidate);
const derived = deriveOptionPrintMetadata(
rawPrint,
latestNbboByContract.get(rawPrint.option_contract_id),
optionsSignalConfig
);
const signalDecision = evaluateOptionSignal(
{
...rawPrint,
...derived,
signal_profile: optionsSignalConfig.mode
},
optionsSignalConfig
);
const print = OptionPrintSchema.parse({
...rawPrint,
...derived,
signal_pass: signalDecision.signalPass,
signal_reasons: signalDecision.signalReasons,
signal_profile: signalDecision.signalProfile
});
try {
await insertOptionPrint(clickhouse, print);
await publishJson(js, SUBJECT_OPTION_PRINTS, print);
if (print.signal_pass) {
await publishJson(js, SUBJECT_OPTION_SIGNAL_PRINTS, print);
}
logger.info("published option print", {
trace_id: print.trace_id,
seq: print.seq,
option_contract_id: print.option_contract_id
option_contract_id: print.option_contract_id,
signal_pass: print.signal_pass,
nbbo_side: print.nbbo_side,
notional: print.notional
});
} catch (error) {
if (isExpectedShutdownError(error)) {
@ -335,6 +422,14 @@ const run = async () => {
}
const nbbo = OptionNBBOSchema.parse(candidate);
const existing = latestNbboByContract.get(nbbo.option_contract_id);
if (
!existing ||
nbbo.ts > existing.ts ||
(nbbo.ts === existing.ts && nbbo.seq >= existing.seq)
) {
latestNbboByContract.set(nbbo.option_contract_id, nbbo);
}
try {
await insertOptionNBBO(clickhouse, nbbo);