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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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8
services/replay/src/index.ts
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@ -5,10 +5,12 @@ import {
SUBJECT_EQUITY_QUOTES,
SUBJECT_OPTION_NBBO,
SUBJECT_OPTION_PRINTS,
SUBJECT_OPTION_SIGNAL_PRINTS,
STREAM_EQUITY_PRINTS,
STREAM_EQUITY_QUOTES,
STREAM_OPTION_NBBO,
STREAM_OPTION_PRINTS,
STREAM_OPTION_SIGNAL_PRINTS,
connectJetStreamWithRetry,
ensureStream,
publishJson
@ -304,6 +306,9 @@ const run = async () => {
const def = STREAM_DEFS[kind];
await ensureStream(jsm, buildStreamConfig(def.streamName, def.subject));
}
if (streamKinds.includes("options")) {
await ensureStream(jsm, buildStreamConfig(STREAM_OPTION_SIGNAL_PRINTS, SUBJECT_OPTION_SIGNAL_PRINTS));
}
const clickhouse = createClickHouseClient({
url: env.CLICKHOUSE_URL,
@ -411,6 +416,9 @@ const run = async () => {
try {
await publishJson(js, stream.subject, event);
if (stream.kind === "options" && (event as OptionPrint).signal_pass) {
await publishJson(js, SUBJECT_OPTION_SIGNAL_PRINTS, event as OptionPrint);
}
} catch (error) {
logger.error("failed to publish replay event", {
error: error instanceof Error ? error.message : String(error),