Add classifier hits and alerts pipeline
Add NATS subjects + ClickHouse tables for classifier hits/alerts, evaluate sweep/spike rules in compute, expose API/WS endpoints, and cover storage helpers with tests.
This commit is contained in:
dirtydishes
parent
ad58c62c37
commit
58485b4d97
11 changed files with 861 additions and 8 deletions
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@ -1,9 +1,13 @@
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import { readEnv } from "@islandflow/config";
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import { createLogger } from "@islandflow/observability";
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import {
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SUBJECT_ALERTS,
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SUBJECT_CLASSIFIER_HITS,
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SUBJECT_EQUITY_PRINTS,
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SUBJECT_FLOW_PACKETS,
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SUBJECT_OPTION_PRINTS,
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STREAM_ALERTS,
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STREAM_CLASSIFIER_HITS,
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STREAM_EQUITY_PRINTS,
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STREAM_FLOW_PACKETS,
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STREAM_OPTION_PRINTS,
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@ -14,16 +18,26 @@ import {
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} from "@islandflow/bus";
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import {
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createClickHouseClient,
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ensureAlertsTable,
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ensureClassifierHitsTable,
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ensureEquityPrintsTable,
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ensureFlowPacketsTable,
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ensureOptionPrintsTable,
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fetchRecentAlerts,
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fetchRecentClassifierHits,
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fetchRecentFlowPackets,
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fetchEquityPrintsAfter,
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fetchRecentEquityPrints,
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fetchOptionPrintsAfter,
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fetchRecentOptionPrints
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} from "@islandflow/storage";
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import { EquityPrintSchema, FlowPacketSchema, OptionPrintSchema } from "@islandflow/types";
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import {
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AlertEventSchema,
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ClassifierHitEventSchema,
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EquityPrintSchema,
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FlowPacketSchema,
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OptionPrintSchema
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} from "@islandflow/types";
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import { z } from "zod";
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const service = "api";
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@ -73,7 +87,7 @@ const replayParamsSchema = z.object({
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limit: z.coerce.number().int().positive().max(1000).default(200)
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});
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type Channel = "options" | "equities" | "flow";
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type Channel = "options" | "equities" | "flow" | "classifier-hits" | "alerts";
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type WsData = {
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channel: Channel;
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@ -82,6 +96,8 @@ type WsData = {
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const optionSockets = new Set<WebSocket<WsData>>();
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const equitySockets = new Set<WebSocket<WsData>>();
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const flowSockets = new Set<WebSocket<WsData>>();
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const classifierHitSockets = new Set<WebSocket<WsData>>();
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const alertSockets = new Set<WebSocket<WsData>>();
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const jsonResponse = (body: unknown, status = 200): Response => {
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return new Response(JSON.stringify(body), {
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@ -179,6 +195,32 @@ const run = async () => {
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num_replicas: 1
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});
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await ensureStream(jsm, {
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name: STREAM_CLASSIFIER_HITS,
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subjects: [SUBJECT_CLASSIFIER_HITS],
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retention: "limits",
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storage: "file",
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discard: "old",
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max_msgs_per_subject: -1,
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max_msgs: -1,
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max_bytes: -1,
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max_age: 0,
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num_replicas: 1
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});
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await ensureStream(jsm, {
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name: STREAM_ALERTS,
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subjects: [SUBJECT_ALERTS],
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retention: "limits",
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storage: "file",
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discard: "old",
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max_msgs_per_subject: -1,
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max_msgs: -1,
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max_bytes: -1,
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max_age: 0,
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num_replicas: 1
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});
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const clickhouse = createClickHouseClient({
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url: env.CLICKHOUSE_URL,
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database: env.CLICKHOUSE_DATABASE
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@ -188,6 +230,8 @@ const run = async () => {
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await ensureOptionPrintsTable(clickhouse);
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await ensureEquityPrintsTable(clickhouse);
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await ensureFlowPacketsTable(clickhouse);
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await ensureClassifierHitsTable(clickhouse);
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await ensureAlertsTable(clickhouse);
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});
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const optionSubscription = await subscribeJson(
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@ -208,6 +252,18 @@ const run = async () => {
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buildDurableConsumer("api-flow-packets")
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);
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const classifierHitSubscription = await subscribeJson(
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js,
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SUBJECT_CLASSIFIER_HITS,
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buildDurableConsumer("api-classifier-hits")
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);
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const alertSubscription = await subscribeJson(
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js,
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SUBJECT_ALERTS,
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buildDurableConsumer("api-alerts")
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);
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const pumpOptions = async () => {
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for await (const msg of optionSubscription.messages) {
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try {
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@ -253,9 +309,41 @@ const run = async () => {
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}
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};
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const pumpClassifierHits = async () => {
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for await (const msg of classifierHitSubscription.messages) {
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try {
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const payload = ClassifierHitEventSchema.parse(classifierHitSubscription.decode(msg));
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broadcast(classifierHitSockets, { type: "classifier-hit", payload });
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msg.ack();
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} catch (error) {
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logger.error("failed to process classifier hit", {
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error: error instanceof Error ? error.message : String(error)
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});
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msg.term();
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}
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}
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};
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const pumpAlerts = async () => {
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for await (const msg of alertSubscription.messages) {
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try {
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const payload = AlertEventSchema.parse(alertSubscription.decode(msg));
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broadcast(alertSockets, { type: "alert", payload });
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msg.ack();
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} catch (error) {
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logger.error("failed to process alert", {
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error: error instanceof Error ? error.message : String(error)
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});
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msg.term();
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}
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}
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};
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void pumpOptions();
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void pumpEquities();
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void pumpFlow();
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void pumpClassifierHits();
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void pumpAlerts();
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const server = Bun.serve<WsData>({
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port: env.API_PORT,
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@ -284,6 +372,18 @@ const run = async () => {
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return jsonResponse({ data });
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}
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if (req.method === "GET" && url.pathname === "/flow/classifier-hits") {
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const limit = parseLimit(url.searchParams.get("limit"));
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const data = await fetchRecentClassifierHits(clickhouse, limit);
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return jsonResponse({ data });
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}
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if (req.method === "GET" && url.pathname === "/flow/alerts") {
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const limit = parseLimit(url.searchParams.get("limit"));
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const data = await fetchRecentAlerts(clickhouse, limit);
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return jsonResponse({ data });
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}
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if (req.method === "GET" && url.pathname === "/replay/options") {
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const { afterTs, afterSeq, limit } = parseReplayParams(url);
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const data = await fetchOptionPrintsAfter(clickhouse, afterTs, afterSeq, limit);
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@ -324,6 +424,22 @@ const run = async () => {
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return jsonResponse({ error: "websocket upgrade failed" }, 400);
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}
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if (req.method === "GET" && url.pathname === "/ws/classifier-hits") {
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if (serverRef.upgrade(req, { data: { channel: "classifier-hits" } })) {
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return new Response(null, { status: 101 });
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}
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return jsonResponse({ error: "websocket upgrade failed" }, 400);
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}
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if (req.method === "GET" && url.pathname === "/ws/alerts") {
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if (serverRef.upgrade(req, { data: { channel: "alerts" } })) {
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return new Response(null, { status: 101 });
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}
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return jsonResponse({ error: "websocket upgrade failed" }, 400);
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}
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return jsonResponse({ error: "not found" }, 404);
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},
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websocket: {
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@ -332,8 +448,12 @@ const run = async () => {
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optionSockets.add(socket);
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} else if (socket.data.channel === "equities") {
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equitySockets.add(socket);
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} else {
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} else if (socket.data.channel === "flow") {
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flowSockets.add(socket);
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} else if (socket.data.channel === "classifier-hits") {
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classifierHitSockets.add(socket);
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} else {
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alertSockets.add(socket);
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}
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logger.info("websocket connected", { channel: socket.data.channel });
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@ -343,8 +463,12 @@ const run = async () => {
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optionSockets.delete(socket);
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} else if (socket.data.channel === "equities") {
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equitySockets.delete(socket);
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} else {
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} else if (socket.data.channel === "flow") {
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flowSockets.delete(socket);
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} else if (socket.data.channel === "classifier-hits") {
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classifierHitSockets.delete(socket);
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} else {
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alertSockets.delete(socket);
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}
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logger.info("websocket disconnected", { channel: socket.data.channel });
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221
services/compute/src/classifiers.ts
Normal file
221
services/compute/src/classifiers.ts
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@ -0,0 +1,221 @@
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import type { ClassifierHit, FlowPacket } from "@islandflow/types";
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type ParsedContract = {
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root: string;
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expiry: string;
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strike: number;
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right: "C" | "P";
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};
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export type ClassifierConfig = {
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sweepMinPremium: number;
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sweepMinCount: number;
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spikeMinPremium: number;
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spikeMinSize: number;
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};
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const clamp = (value: number, min = 0, max = 1): number => {
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if (!Number.isFinite(value)) {
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return min;
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}
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return Math.max(min, Math.min(max, value));
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};
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const formatUsd = (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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return `$${value.toFixed(2)}`;
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};
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const parseDashedContract = (value: string): ParsedContract | null => {
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const parts = value.split("-");
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if (parts.length < 6) {
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return null;
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}
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const rightRaw = parts.at(-1) ?? "";
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if (rightRaw !== "C" && rightRaw !== "P") {
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return null;
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}
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const strikeRaw = parts.at(-2) ?? "";
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const strike = Number(strikeRaw);
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const expiryParts = parts.slice(-5, -2);
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const expiry = expiryParts.join("-");
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const root = parts.slice(0, -5).join("-");
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if (!root || !expiry || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right: rightRaw
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};
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};
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const parseOccContract = (value: string): ParsedContract | null => {
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if (value.length < 15) {
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return null;
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}
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const tail = value.slice(-15);
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const root = value.slice(0, -15).trim();
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const expiryRaw = tail.slice(0, 6);
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const right = tail.slice(6, 7);
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const strikeRaw = tail.slice(7);
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if (!/^\d{6}$/.test(expiryRaw) || !/^\d{8}$/.test(strikeRaw)) {
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return null;
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}
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if (right !== "C" && right !== "P") {
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return null;
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}
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const year = 2000 + Number(expiryRaw.slice(0, 2));
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const month = Number(expiryRaw.slice(2, 4)) - 1;
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const day = Number(expiryRaw.slice(4, 6));
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const expiryDate = new Date(Date.UTC(year, month, day));
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const expiry = expiryDate.toISOString().slice(0, 10);
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const strike = Number(strikeRaw) / 1000;
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if (!root || !Number.isFinite(strike)) {
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return null;
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}
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return {
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root,
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expiry,
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strike,
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right
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};
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};
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const parseContractId = (value: string | undefined): ParsedContract | null => {
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if (!value) {
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return null;
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}
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return parseDashedContract(value) ?? parseOccContract(value);
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};
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const getNumberFeature = (packet: FlowPacket, key: string): number => {
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const value = packet.features[key];
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return typeof value === "number" && Number.isFinite(value) ? value : 0;
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};
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const buildSweepHit = (
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packet: FlowPacket,
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contract: ParsedContract,
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direction: "bullish" | "bearish",
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config: ClassifierConfig
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): ClassifierHit | null => {
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const count = getNumberFeature(packet, "count");
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const totalPremium = getNumberFeature(packet, "total_premium");
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const totalSize = getNumberFeature(packet, "total_size");
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const firstPrice = getNumberFeature(packet, "first_price");
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const lastPrice = getNumberFeature(packet, "last_price");
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const windowMs = getNumberFeature(packet, "window_ms");
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if (count < config.sweepMinCount || totalPremium < config.sweepMinPremium) {
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return null;
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}
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const priceDelta = lastPrice - firstPrice;
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const priceTrend = priceDelta >= 0 ? "up" : "down";
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let confidence = 0.55;
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if (priceDelta >= 0) {
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confidence += 0.1;
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}
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if (count >= config.sweepMinCount + 2) {
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confidence += 0.1;
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}
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if (totalPremium >= config.sweepMinPremium * 2) {
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confidence += 0.15;
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}
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confidence = clamp(confidence, 0, 0.95);
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return {
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classifier_id: direction === "bullish" ? "large_bullish_call_sweep" : "large_bearish_put_sweep",
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confidence,
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direction,
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explanations: [
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`Likely ${direction === "bullish" ? "call" : "put"} sweep: ${count} prints in ${Math.round(windowMs)}ms for ${packet.features.option_contract_id ?? packet.id}.`,
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`Premium ${formatUsd(totalPremium)} across ${Math.round(totalSize)} contracts; price ${priceTrend}.`,
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`Thresholds: >=${config.sweepMinCount} prints and >=${formatUsd(config.sweepMinPremium)} premium.`
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]
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};
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};
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const buildSpikeHit = (packet: FlowPacket, config: ClassifierConfig): ClassifierHit | null => {
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const count = getNumberFeature(packet, "count");
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const totalPremium = getNumberFeature(packet, "total_premium");
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const totalSize = getNumberFeature(packet, "total_size");
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const windowMs = getNumberFeature(packet, "window_ms");
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if (totalSize < config.spikeMinSize || totalPremium < config.spikeMinPremium) {
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return null;
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}
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let confidence = 0.5;
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if (totalSize >= config.spikeMinSize * 2) {
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confidence += 0.15;
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}
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if (totalPremium >= config.spikeMinPremium * 2) {
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confidence += 0.15;
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}
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if (count >= 3) {
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confidence += 0.1;
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}
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confidence = clamp(confidence, 0, 0.9);
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return {
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classifier_id: "unusual_contract_spike",
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confidence,
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direction: "neutral",
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explanations: [
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`Unusual contract spike: ${count} prints in ${Math.round(windowMs)}ms for ${packet.features.option_contract_id ?? packet.id}.`,
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`Premium ${formatUsd(totalPremium)} across ${Math.round(totalSize)} contracts.`,
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`Thresholds: >=${config.spikeMinSize} contracts and >=${formatUsd(config.spikeMinPremium)} premium.`
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]
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};
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};
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export const evaluateClassifiers = (
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packet: FlowPacket,
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config: ClassifierConfig
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): ClassifierHit[] => {
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const contractId = typeof packet.features.option_contract_id === "string"
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? packet.features.option_contract_id
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: "";
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const contract = parseContractId(contractId);
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const hits: ClassifierHit[] = [];
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if (contract?.right === "C") {
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const hit = buildSweepHit(packet, contract, "bullish", config);
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if (hit) {
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hits.push(hit);
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}
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}
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if (contract?.right === "P") {
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const hit = buildSweepHit(packet, contract, "bearish", config);
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if (hit) {
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hits.push(hit);
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}
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}
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const spikeHit = buildSpikeHit(packet, config);
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if (spikeHit) {
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hits.push(spikeHit);
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}
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return hits;
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};
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|
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@ -1,8 +1,12 @@
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import { readEnv } from "@islandflow/config";
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import { createLogger } from "@islandflow/observability";
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import {
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SUBJECT_ALERTS,
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SUBJECT_CLASSIFIER_HITS,
|
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SUBJECT_FLOW_PACKETS,
|
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SUBJECT_OPTION_PRINTS,
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STREAM_ALERTS,
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STREAM_CLASSIFIER_HITS,
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STREAM_FLOW_PACKETS,
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STREAM_OPTION_PRINTS,
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buildDurableConsumer,
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|
|
@ -13,11 +17,25 @@ import {
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} from "@islandflow/bus";
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import {
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createClickHouseClient,
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ensureAlertsTable,
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ensureClassifierHitsTable,
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ensureFlowPacketsTable,
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insertAlert,
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insertClassifierHit,
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insertFlowPacket
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} from "@islandflow/storage";
|
||||
import { FlowPacketSchema, OptionPrintSchema, type FlowPacket, type OptionPrint } from "@islandflow/types";
|
||||
import {
|
||||
AlertEventSchema,
|
||||
ClassifierHitEventSchema,
|
||||
FlowPacketSchema,
|
||||
OptionPrintSchema,
|
||||
type AlertEvent,
|
||||
type ClassifierHitEvent,
|
||||
type FlowPacket,
|
||||
type OptionPrint
|
||||
} from "@islandflow/types";
|
||||
import { z } from "zod";
|
||||
import { evaluateClassifiers, type ClassifierConfig } from "./classifiers";
|
||||
|
||||
const service = "compute";
|
||||
const logger = createLogger({ service });
|
||||
|
|
@ -41,11 +59,22 @@ const envSchema = z.object({
|
|||
}
|
||||
return value;
|
||||
}, z.boolean())
|
||||
.default(false)
|
||||
.default(false),
|
||||
CLASSIFIER_SWEEP_MIN_PREMIUM: z.coerce.number().positive().default(50_000),
|
||||
CLASSIFIER_SWEEP_MIN_COUNT: z.coerce.number().int().positive().default(3),
|
||||
CLASSIFIER_SPIKE_MIN_PREMIUM: z.coerce.number().positive().default(25_000),
|
||||
CLASSIFIER_SPIKE_MIN_SIZE: z.coerce.number().int().positive().default(500)
|
||||
});
|
||||
|
||||
const env = readEnv(envSchema);
|
||||
|
||||
const classifierConfig: ClassifierConfig = {
|
||||
sweepMinPremium: env.CLASSIFIER_SWEEP_MIN_PREMIUM,
|
||||
sweepMinCount: env.CLASSIFIER_SWEEP_MIN_COUNT,
|
||||
spikeMinPremium: env.CLASSIFIER_SPIKE_MIN_PREMIUM,
|
||||
spikeMinSize: env.CLASSIFIER_SPIKE_MIN_SIZE
|
||||
};
|
||||
|
||||
const retry = async <T>(
|
||||
label: string,
|
||||
attempts: number,
|
||||
|
|
@ -170,6 +199,8 @@ const flushCluster = async (
|
|||
await insertFlowPacket(clickhouse, validated);
|
||||
await publishJson(js, SUBJECT_FLOW_PACKETS, validated);
|
||||
|
||||
await emitClassifiers(clickhouse, js, validated);
|
||||
|
||||
logger.info("emitted flow packet", {
|
||||
id: validated.id,
|
||||
contract: cluster.contractId,
|
||||
|
|
@ -177,6 +208,79 @@ const flushCluster = async (
|
|||
});
|
||||
};
|
||||
|
||||
const scoreAlert = (packet: FlowPacket, hits: ClassifierHitEvent[]): { score: number; severity: string } => {
|
||||
const premium =
|
||||
typeof packet.features.total_premium === "number" ? packet.features.total_premium : 0;
|
||||
const premiumScore = Math.min(70, Math.round(premium / 1000));
|
||||
const maxConfidence = hits.reduce((max, hit) => Math.max(max, hit.confidence), 0);
|
||||
const confidenceScore = Math.round(maxConfidence * 20);
|
||||
const hitScore = Math.min(20, hits.length * 5);
|
||||
const score = Math.max(0, Math.min(100, premiumScore + confidenceScore + hitScore));
|
||||
const severity = score >= 80 ? "high" : score >= 45 ? "medium" : "low";
|
||||
return { score, severity };
|
||||
};
|
||||
|
||||
const emitClassifiers = async (
|
||||
clickhouse: ReturnType<typeof createClickHouseClient>,
|
||||
js: Awaited<ReturnType<typeof connectJetStreamWithRetry>>["js"],
|
||||
packet: FlowPacket
|
||||
): Promise<void> => {
|
||||
const hits = evaluateClassifiers(packet, classifierConfig);
|
||||
if (hits.length === 0) {
|
||||
return;
|
||||
}
|
||||
|
||||
const hitEvents: ClassifierHitEvent[] = hits.map((hit) =>
|
||||
ClassifierHitEventSchema.parse({
|
||||
source_ts: packet.source_ts,
|
||||
ingest_ts: packet.ingest_ts,
|
||||
seq: packet.seq,
|
||||
trace_id: `classifier:${hit.classifier_id}:${packet.id}`,
|
||||
...hit
|
||||
})
|
||||
);
|
||||
|
||||
for (const hit of hitEvents) {
|
||||
try {
|
||||
await insertClassifierHit(clickhouse, hit);
|
||||
await publishJson(js, SUBJECT_CLASSIFIER_HITS, hit);
|
||||
} catch (error) {
|
||||
logger.error("failed to emit classifier hit", {
|
||||
error: error instanceof Error ? error.message : String(error),
|
||||
classifier_id: hit.classifier_id,
|
||||
packet_id: packet.id
|
||||
});
|
||||
}
|
||||
}
|
||||
|
||||
const { score, severity } = scoreAlert(packet, hitEvents);
|
||||
const alert: AlertEvent = AlertEventSchema.parse({
|
||||
source_ts: packet.source_ts,
|
||||
ingest_ts: packet.ingest_ts,
|
||||
seq: packet.seq,
|
||||
trace_id: `alert:${packet.id}`,
|
||||
score,
|
||||
severity,
|
||||
hits: hitEvents.map((hit) => ({
|
||||
classifier_id: hit.classifier_id,
|
||||
confidence: hit.confidence,
|
||||
direction: hit.direction,
|
||||
explanations: hit.explanations
|
||||
})),
|
||||
evidence_refs: [packet.id, ...packet.members]
|
||||
});
|
||||
|
||||
try {
|
||||
await insertAlert(clickhouse, alert);
|
||||
await publishJson(js, SUBJECT_ALERTS, alert);
|
||||
} catch (error) {
|
||||
logger.error("failed to emit alert", {
|
||||
error: error instanceof Error ? error.message : String(error),
|
||||
packet_id: packet.id
|
||||
});
|
||||
}
|
||||
};
|
||||
|
||||
const flushEligibleClusters = async (
|
||||
clickhouse: ReturnType<typeof createClickHouseClient>,
|
||||
js: Awaited<ReturnType<typeof connectJetStreamWithRetry>>["js"],
|
||||
|
|
@ -232,6 +336,32 @@ const run = async () => {
|
|||
num_replicas: 1
|
||||
});
|
||||
|
||||
await ensureStream(jsm, {
|
||||
name: STREAM_CLASSIFIER_HITS,
|
||||
subjects: [SUBJECT_CLASSIFIER_HITS],
|
||||
retention: "limits",
|
||||
storage: "file",
|
||||
discard: "old",
|
||||
max_msgs_per_subject: -1,
|
||||
max_msgs: -1,
|
||||
max_bytes: -1,
|
||||
max_age: 0,
|
||||
num_replicas: 1
|
||||
});
|
||||
|
||||
await ensureStream(jsm, {
|
||||
name: STREAM_ALERTS,
|
||||
subjects: [SUBJECT_ALERTS],
|
||||
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
|
||||
|
|
@ -239,6 +369,8 @@ const run = async () => {
|
|||
|
||||
await retry("clickhouse table init", 20, 500, async () => {
|
||||
await ensureFlowPacketsTable(clickhouse);
|
||||
await ensureClassifierHitsTable(clickhouse);
|
||||
await ensureAlertsTable(clickhouse);
|
||||
});
|
||||
|
||||
const durableName = "compute-option-prints";
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue