Add equity print quote joins

services/compute/src/equity-joins.ts

@@ -0,0 +1,104 @@
+import type { EquityPrint, EquityPrintJoin, EquityQuote } from "@islandflow/types";
+
+export type EquityQuoteJoin = {
+  quote: EquityQuote | null;
+  ageMs: number;
+  stale: boolean;
+};
+
+export type QuotePlacement = "AA" | "A" | "B" | "BB" | "MID" | "MISSING" | "STALE";
+
+const roundTo = (value: number, digits = 4): number => {
+  if (!Number.isFinite(value)) {
+    return 0;
+  }
+  return Number(value.toFixed(digits));
+};
+
+export const classifyQuotePlacement = (
+  price: number,
+  join: EquityQuoteJoin
+): QuotePlacement => {
+  if (!Number.isFinite(price)) {
+    return "MISSING";
+  }
+  if (!join.quote) {
+    return "MISSING";
+  }
+  if (join.stale) {
+    return "STALE";
+  }
+
+  const bid = join.quote.bid;
+  const ask = join.quote.ask;
+  if (!Number.isFinite(bid) || !Number.isFinite(ask) || ask <= 0) {
+    return "MISSING";
+  }
+
+  const spread = Math.max(0, ask - bid);
+  const epsilon = Math.max(0.01, spread * 0.05);
+
+  if (price > ask + epsilon) {
+    return "AA";
+  }
+  if (price >= ask - epsilon) {
+    return "A";
+  }
+  if (price < bid - epsilon) {
+    return "BB";
+  }
+  if (price <= bid + epsilon) {
+    return "B";
+  }
+
+  return "MID";
+};
+
+export const buildEquityPrintJoin = (
+  print: EquityPrint,
+  join: EquityQuoteJoin
+): EquityPrintJoin => {
+  const joinQuality: Record<string, number> = {};
+  const placement = classifyQuotePlacement(print.price, join);
+  const features: Record<string, string | number | boolean> = {
+    underlying_id: print.underlying_id,
+    price: print.price,
+    size: print.size,
+    off_exchange_flag: print.offExchangeFlag,
+    print_ts: print.ts,
+    quote_placement: placement
+  };
+
+  if (!join.quote) {
+    joinQuality.quote_missing = 1;
+  } else {
+    joinQuality.quote_age_ms = join.ageMs;
+    if (join.stale) {
+      joinQuality.quote_stale = 1;
+    } else {
+      const bid = join.quote.bid;
+      const ask = join.quote.ask;
+      const mid = (bid + ask) / 2;
+      const spread = ask - bid;
+      features.quote_ts = join.quote.ts;
+      features.quote_bid = bid;
+      features.quote_ask = ask;
+      features.quote_mid = roundTo(mid);
+      features.quote_spread = roundTo(spread);
+    }
+  }
+
+  const joinId = `equityjoin:${print.trace_id}`;
+
+  return {
+    source_ts: print.source_ts,
+    ingest_ts: print.ingest_ts,
+    seq: print.seq,
+    trace_id: joinId,
+    id: joinId,
+    print_trace_id: print.trace_id,
+    quote_trace_id: join.quote?.trace_id ?? "",
+    features,
+    join_quality: joinQuality
+  };
+};