Merge pull request #24 from dirtydishes/t3code/expand-options-tape-display
Expand options tape retention and contract display
This commit is contained in:
dirtydishes
GitHub
commit
31627589de
5 changed files with 235 additions and 18 deletions
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@ -58,6 +58,7 @@ COMPUTE_CONSUMER_RESET=false
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NBBO_MAX_AGE_MS=1000
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NEXT_PUBLIC_NBBO_MAX_AGE_MS=1000
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NEXT_PUBLIC_LIVE_HOT_WINDOW=2000
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NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS=25000
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NEXT_PUBLIC_PINNED_EVIDENCE_TTL_MS=1200000
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NEXT_PUBLIC_PINNED_EVIDENCE_MAX_ITEMS=4000
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ROLLING_WINDOW_SIZE=50
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@ -186,7 +186,8 @@ Default `smart-money` behavior:
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### Web live retention
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- `NEXT_PUBLIC_LIVE_HOT_WINDOW` (frontend hot live window cap; default `2000`)
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- `NEXT_PUBLIC_LIVE_HOT_WINDOW` (frontend hot live window cap for non-options feeds; default `2000`)
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- `NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS` (frontend hot live window cap for options prints; default `25000`)
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- `NEXT_PUBLIC_PINNED_EVIDENCE_TTL_MS` (pinned evidence TTL; default `1200000`)
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- `NEXT_PUBLIC_PINNED_EVIDENCE_MAX_ITEMS` (pinned evidence cache guardrail; default `4000`)
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- `NEXT_PUBLIC_FLOW_FILTER_PRESET` (`smart-money` | `balanced` | `all`, default `smart-money`)
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@ -211,6 +212,7 @@ Default `smart-money` behavior:
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- Live retention uses a two-tier model:
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- API/Redis maintain a bounded hot cache per live generic channel.
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- UI keeps a bounded hot window for rendering performance around the signal view rather than raw noise.
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- Options prints can use a deeper dedicated cap via `NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS` without raising every other feed.
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- Alert/drawer evidence is pinned and hydrated by id/trace so details remain inspectable after hot-window eviction.
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- Firehose-readiness strategy:
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- preserve raw ingest for storage/replay,
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@ -859,6 +859,12 @@ h3 {
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font-weight: 600;
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}
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.option-contract {
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display: inline-flex;
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flex-wrap: wrap;
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gap: 8px;
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}
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.meta,
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.drawer-row-meta,
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.flow-meta {
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@ -868,6 +874,41 @@ h3 {
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font-size: 0.76rem;
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}
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.notional-emphasis {
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font-weight: 700;
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letter-spacing: 0.01em;
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color: #ffe08c;
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}
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.condition-chip {
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display: inline-flex;
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align-items: center;
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padding: 3px 8px;
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border-radius: 999px;
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border: 1px solid var(--border);
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font-size: 0.68rem;
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letter-spacing: 0.08em;
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text-transform: uppercase;
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}
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.condition-sweep {
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border-color: rgba(37, 193, 122, 0.34);
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color: #98f0c0;
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background: var(--green-soft);
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}
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.condition-iso {
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border-color: rgba(77, 163, 255, 0.34);
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color: #bddcff;
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background: var(--blue-soft);
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}
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.condition-neutral {
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border-color: rgba(192, 200, 210, 0.28);
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color: #d4dbe3;
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background: rgba(192, 200, 210, 0.08);
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}
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.pill,
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.drawer-chip,
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.flag {
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@ -2,6 +2,8 @@ import { describe, expect, it } from "bun:test";
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import {
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buildDefaultFlowFilters,
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countActiveFlowFilterGroups,
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formatCompactUsd,
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formatOptionContractLabel,
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flushPausableTapeData,
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getLiveFeedStatus,
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nextFlowFilterPopoverState,
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@ -51,6 +53,18 @@ describe("live tape pausable helpers", () => {
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expect(state.visible.map((item) => item.trace_id)).toEqual(["a"]);
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});
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it("applies custom retention limits when requested", () => {
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const state = reducePausableTapeData(
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{ visible: [], queued: [], seenKeys: new Set<string>(), dropped: 0 },
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[makeItem("a", 1, 100), makeItem("b", 2, 200), makeItem("c", 3, 300)],
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false,
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2
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);
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expect(state.visible.map((item) => item.trace_id)).toEqual(["c", "b"]);
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expect(state.visible).toHaveLength(2);
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});
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it("marks connected feeds stale once their freshest event ages past the threshold", () => {
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expect(getLiveFeedStatus("connected", 1000, 500, 1400)).toBe("connected");
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expect(getLiveFeedStatus("connected", 1000, 500, 1601)).toBe("stale");
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@ -107,6 +121,43 @@ describe("live tape pausable helpers", () => {
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});
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});
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describe("options display formatters", () => {
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it("formats dashed option contracts as ticker strike expiry", () => {
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expect(formatOptionContractLabel("SPY-2025-01-17-450-C")).toEqual({
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ticker: "SPY",
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strike: "450C",
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expiration: "01-17-25"
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});
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});
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it("formats OCC contracts as ticker strike expiry", () => {
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expect(formatOptionContractLabel("AAPL250117P00150000")).toEqual({
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ticker: "AAPL",
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strike: "150P",
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expiration: "01-17-25"
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});
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});
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it("preserves decimal strikes and side suffix", () => {
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expect(formatOptionContractLabel("QQQ-2025-01-17-509.5-C")).toEqual({
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ticker: "QQQ",
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strike: "509.5C",
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expiration: "01-17-25"
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});
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});
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it("returns null when contract parsing fails", () => {
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expect(formatOptionContractLabel("not-a-contract")).toBeNull();
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});
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it("formats compact notional values", () => {
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expect(formatCompactUsd(999)).toBe("999.00");
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expect(formatCompactUsd(11_430)).toBe("11.4K");
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expect(formatCompactUsd(1_250_000)).toBe("1.3M");
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expect(formatCompactUsd(Number.NaN)).toBe("0.00");
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});
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});
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describe("flow filter popup helpers", () => {
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it("opens and closes the popup via toggle and dismiss actions", () => {
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expect(nextFlowFilterPopoverState(false, "toggle")).toBe(true);
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@ -35,6 +35,7 @@ import type {
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} from "@islandflow/types";
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import {
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getSubscriptionKey as getLiveSubscriptionKey,
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parseOptionContractId,
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matchesFlowPacketFilters,
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matchesOptionPrintFilters
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} from "@islandflow/types";
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@ -57,6 +58,12 @@ const parseBoundedInt = (
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};
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const LIVE_HOT_WINDOW = parseBoundedInt(process.env.NEXT_PUBLIC_LIVE_HOT_WINDOW, 2000, 100, 100000);
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const LIVE_HOT_WINDOW_OPTIONS = parseBoundedInt(
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process.env.NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS,
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25000,
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100,
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100000
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);
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const LIVE_OPTIONS_STALE_MS = 15_000;
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const LIVE_NBBO_STALE_MS = 15_000;
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const LIVE_EQUITIES_STALE_MS = 15_000;
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@ -284,6 +291,12 @@ type PinnedEntry<T> = {
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updatedAt: number;
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};
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type OptionContractDisplay = {
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ticker: string;
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strike: string;
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expiration: string;
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};
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type RetentionMetricKey =
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| "hotWindowEvictions"
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| "pinnedFetchMisses"
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@ -378,7 +391,8 @@ type PausableTapeData<T> = {
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export const reducePausableTapeData = <T extends SortableItem>(
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current: PausableTapeData<T>,
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incoming: T[],
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paused: boolean
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paused: boolean,
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retentionLimit = LIVE_HOT_WINDOW
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): PausableTapeData<T> => {
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if (incoming.length === 0) {
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return current;
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@ -403,7 +417,7 @@ export const reducePausableTapeData = <T extends SortableItem>(
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if (paused) {
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return {
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visible: current.visible,
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queued: mergeNewest(unseen, current.queued, LIVE_HOT_WINDOW, (evicted) =>
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queued: mergeNewest(unseen, current.queued, retentionLimit, (evicted) =>
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incrementRetentionMetric("hotWindowEvictions", evicted)
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),
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seenKeys: nextSeenKeys,
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@ -413,7 +427,7 @@ export const reducePausableTapeData = <T extends SortableItem>(
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const nextBatch = current.queued.length > 0 ? [...current.queued, ...unseen] : unseen;
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return {
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visible: mergeNewest(nextBatch, current.visible, LIVE_HOT_WINDOW, (evicted) =>
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visible: mergeNewest(nextBatch, current.visible, retentionLimit, (evicted) =>
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incrementRetentionMetric("hotWindowEvictions", evicted)
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),
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queued: [],
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@ -423,14 +437,15 @@ export const reducePausableTapeData = <T extends SortableItem>(
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};
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export const flushPausableTapeData = <T extends SortableItem>(
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current: PausableTapeData<T>
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current: PausableTapeData<T>,
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retentionLimit = LIVE_HOT_WINDOW
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): PausableTapeData<T> => {
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if (current.queued.length === 0) {
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return current.dropped === 0 ? current : { ...current, dropped: 0 };
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}
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return {
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visible: mergeNewest(current.queued, current.visible, LIVE_HOT_WINDOW, (evicted) =>
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visible: mergeNewest(current.queued, current.visible, retentionLimit, (evicted) =>
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incrementRetentionMetric("hotWindowEvictions", evicted)
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),
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queued: [],
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@ -545,9 +560,74 @@ const formatUsd = (value: number): string => {
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});
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};
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export const formatCompactUsd = (value: number): string => {
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if (!Number.isFinite(value)) {
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return "0.00";
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}
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const abs = Math.abs(value);
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const sign = value < 0 ? "-" : "";
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if (abs < 1_000) {
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return formatUsd(value);
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}
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if (abs < 1_000_000) {
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return `${sign}${(abs / 1_000).toFixed(1)}K`;
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}
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if (abs < 1_000_000_000) {
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return `${sign}${(abs / 1_000_000).toFixed(1)}M`;
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}
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return `${sign}${(abs / 1_000_000_000).toFixed(1)}B`;
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};
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const normalizeContractId = (value: string): string => value.trim();
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const formatStrike = (value: number): string => {
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if (!Number.isFinite(value)) {
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return "0";
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}
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if (Number.isInteger(value)) {
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return value.toLocaleString(undefined, { maximumFractionDigits: 0 });
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}
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return value.toLocaleString(undefined, { minimumFractionDigits: 0, maximumFractionDigits: 3 });
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};
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const formatExpiryShort = (value: string): string | null => {
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const match = value.match(/^(\d{4})-(\d{2})-(\d{2})$/);
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if (!match) {
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return null;
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}
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const [, year, month, day] = match;
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return `${month}-${day}-${year.slice(2)}`;
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};
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export const formatOptionContractLabel = (value: string): OptionContractDisplay | null => {
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const normalized = normalizeContractId(value);
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if (!normalized) {
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return null;
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}
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const parsed = parseOptionContractId(normalized);
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if (!parsed) {
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return null;
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}
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const expiration = formatExpiryShort(parsed.expiry);
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if (!expiration) {
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return null;
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}
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return {
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ticker: parsed.root.toUpperCase(),
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strike: `${formatStrike(parsed.strike)}${parsed.right}`,
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expiration
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};
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};
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const formatContractLabel = (value: string): string => {
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const parsed = formatOptionContractLabel(value);
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if (parsed) {
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return `${parsed.ticker} ${parsed.strike} ${parsed.expiration}`;
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}
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const normalized = normalizeContractId(value);
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if (!normalized) {
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return "Unknown contract";
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@ -1180,6 +1260,7 @@ type TapeConfig<T> = {
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replaySourceKey?: string | null;
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onReplaySourceKey?: (key: string | null) => void;
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queryParams?: Record<string, string | null | undefined>;
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hotWindowLimit?: number;
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};
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const useTape = <T extends SortableItem & { seq: number }>(
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@ -1193,6 +1274,7 @@ const useTape = <T extends SortableItem & { seq: number }>(
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const replaySourceKey = config.replaySourceKey ?? null;
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const onReplaySourceKey = config.onReplaySourceKey;
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const queryParams = config.queryParams;
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const hotWindowLimit = config.hotWindowLimit ?? LIVE_HOT_WINDOW;
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const [status, setStatus] = useState<WsStatus>("connecting");
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const [items, setItems] = useState<T[]>([]);
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const [lastUpdate, setLastUpdate] = useState<number | null>(null);
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@ -1249,13 +1331,13 @@ const useTape = <T extends SortableItem & { seq: number }>(
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}
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setItems((prev) =>
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mergeNewest(buffered, prev, LIVE_HOT_WINDOW, (evicted) =>
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mergeNewest(buffered, prev, hotWindowLimit, (evicted) =>
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incrementRetentionMetric("hotWindowEvictions", evicted)
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)
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);
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setLastUpdate(Date.now());
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});
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}, [captureScroll, onNewItems]);
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}, [captureScroll, hotWindowLimit, onNewItems]);
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const togglePause = useCallback(() => {
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setPaused((prev) => {
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@ -1605,6 +1687,7 @@ type PausableTapeViewConfig<T extends SortableItem & { seq: number }> = {
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onNewItems?: (count: number) => void;
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captureScroll?: () => void;
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getItemTs?: (item: T) => number;
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retentionLimit?: number;
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};
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const usePausableTapeView = <T extends SortableItem & { seq: number }>(
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@ -1632,7 +1715,12 @@ const usePausableTapeView = <T extends SortableItem & { seq: number }>(
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}
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setData((current) => {
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const next = reducePausableTapeData(current, config.sourceItems, paused);
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const next = reducePausableTapeData(
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current,
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config.sourceItems,
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paused,
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config.retentionLimit ?? LIVE_HOT_WINDOW
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);
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if (next === current) {
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return current;
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}
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@ -1645,7 +1733,14 @@ const usePausableTapeView = <T extends SortableItem & { seq: number }>(
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return next;
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});
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}, [config.enabled, config.sourceItems, config.onNewItems, config.captureScroll, paused]);
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}, [
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config.enabled,
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config.sourceItems,
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config.onNewItems,
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config.captureScroll,
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config.retentionLimit,
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paused
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]);
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useEffect(() => {
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if (!config.enabled || paused) {
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@ -1653,7 +1748,7 @@ const usePausableTapeView = <T extends SortableItem & { seq: number }>(
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}
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setData((current) => {
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const next = flushPausableTapeData(current);
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const next = flushPausableTapeData(current, config.retentionLimit ?? LIVE_HOT_WINDOW);
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if (next === current) {
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return current;
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}
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@ -1665,7 +1760,7 @@ const usePausableTapeView = <T extends SortableItem & { seq: number }>(
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return next;
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});
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}, [config.enabled, config.onNewItems, config.captureScroll, paused]);
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}, [config.captureScroll, config.enabled, config.onNewItems, config.retentionLimit, paused]);
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const togglePause = useCallback(() => {
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setPaused((current) => !current);
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@ -2094,7 +2189,8 @@ const useLiveSession = (
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const mergeItems = <T extends SortableItem>(
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setter: React.Dispatch<React.SetStateAction<T[]>>,
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nextItems: T[]
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nextItems: T[],
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retentionLimit = LIVE_HOT_WINDOW
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) => {
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setter((prev) =>
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message.op === "snapshot"
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@ -2106,7 +2202,7 @@ const useLiveSession = (
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)
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? prev
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: (nextItems as T[])
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: mergeNewest(nextItems as T[], prev, LIVE_HOT_WINDOW, (evicted) =>
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: mergeNewest(nextItems as T[], prev, retentionLimit, (evicted) =>
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incrementRetentionMetric("hotWindowEvictions", evicted)
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)
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);
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@ -2114,7 +2210,7 @@ const useLiveSession = (
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switch (subscription.channel) {
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case "options":
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mergeItems(setOptions, items as OptionPrint[]);
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mergeItems(setOptions, items as OptionPrint[], LIVE_HOT_WINDOW_OPTIONS);
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break;
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case "nbbo":
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mergeItems(setNbbo, items as OptionNBBO[]);
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@ -3532,6 +3628,7 @@ const useTerminalState = () => {
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replayPath: "/replay/options",
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latestPath: "/prints/options",
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expectedType: "option-print",
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hotWindowLimit: LIVE_HOT_WINDOW_OPTIONS,
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batchSize: mode === "replay" ? 120 : undefined,
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pollMs: mode === "replay" ? 200 : undefined,
|
||||
captureScroll: optionsAnchor.capture,
|
||||
|
|
@ -3639,6 +3736,7 @@ const useTerminalState = () => {
|
|||
sourceItems: liveSession.options,
|
||||
lastUpdate: liveSession.lastUpdate,
|
||||
freshnessMs: LIVE_OPTIONS_STALE_MS,
|
||||
retentionLimit: LIVE_HOT_WINDOW_OPTIONS,
|
||||
captureScroll: optionsAnchor.capture,
|
||||
onNewItems: optionsScroll.onNewItems
|
||||
});
|
||||
|
|
@ -4886,6 +4984,7 @@ const OptionsPane = ({ limit }: OptionsPaneProps) => {
|
|||
) : null}
|
||||
{virtual.visibleItems.map((print) => {
|
||||
const contractId = normalizeContractId(print.option_contract_id);
|
||||
const contractDisplay = formatOptionContractLabel(contractId);
|
||||
const quote = state.nbboMap.get(contractId);
|
||||
const nbboAge = quote ? Math.abs(print.ts - quote.ts) : null;
|
||||
const nbboStale = nbboAge !== null && nbboAge > NBBO_MAX_AGE_MS_SAFE;
|
||||
|
|
@ -4896,13 +4995,36 @@ const OptionsPane = ({ limit }: OptionsPaneProps) => {
|
|||
return (
|
||||
<div className="row" key={`${print.trace_id}-${print.seq}`}>
|
||||
<div>
|
||||
<div className="contract">{formatContractLabel(contractId)}</div>
|
||||
<div className={`contract${contractDisplay ? " option-contract" : ""}`}>
|
||||
{contractDisplay ? (
|
||||
<>
|
||||
<span>{contractDisplay.ticker}</span>
|
||||
<span>{contractDisplay.strike}</span>
|
||||
<span>{contractDisplay.expiration}</span>
|
||||
</>
|
||||
) : (
|
||||
formatContractLabel(contractId)
|
||||
)}
|
||||
</div>
|
||||
<div className="meta">
|
||||
<span>${formatPrice(print.price)}</span>
|
||||
<span>{formatSize(print.size)}x</span>
|
||||
<span>{print.exchange}</span>
|
||||
<span>Notional ${formatUsd(notional)}</span>
|
||||
{print.conditions?.length ? <span>{print.conditions.join(", ")}</span> : null}
|
||||
<span className="notional-emphasis">Notional ${formatCompactUsd(notional)}</span>
|
||||
{print.conditions?.map((condition) => {
|
||||
const normalized = condition.toUpperCase();
|
||||
const tone =
|
||||
normalized === "SWEEP"
|
||||
? "condition-sweep"
|
||||
: normalized === "ISO"
|
||||
? "condition-iso"
|
||||
: "condition-neutral";
|
||||
return (
|
||||
<span className={`condition-chip ${tone}`} key={`${print.trace_id}-${condition}`}>
|
||||
{normalized}
|
||||
</span>
|
||||
);
|
||||
})}
|
||||
</div>
|
||||
{quote ? (
|
||||
<div className="meta nbbo-meta">
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue