Merge pull request #30 from dirtydishes/live-clickhouse-scrollgate
Implement live tape scroll-gated history
This commit is contained in:
dirtydishes
GitHub
commit
62244ce048
6 changed files with 535 additions and 53 deletions
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@ -62,13 +62,25 @@ const parseBoundedInt = (
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return Math.max(min, Math.min(max, Math.floor(parsed)));
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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 = parseBoundedInt(process.env.NEXT_PUBLIC_LIVE_HOT_WINDOW, 100, 1, 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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1,
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100000
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);
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const LIVE_HISTORY_SOFT_CAP = parseBoundedInt(
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process.env.NEXT_PUBLIC_LIVE_HISTORY_SOFT_CAP,
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5000,
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100,
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50000
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);
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const LIVE_HISTORY_BATCH = parseBoundedInt(
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process.env.NEXT_PUBLIC_LIVE_HISTORY_BATCH,
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500,
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1,
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1000
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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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@ -409,6 +421,16 @@ type PausableTapeData<T> = {
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dropped: number;
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};
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type LiveHistoryBuffer<T> = {
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liveHead: T[];
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queuedLive: T[];
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historyTail: T[];
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nextBefore: Cursor | null;
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historyLoading: boolean;
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historyExhausted: boolean;
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autoHydrating: boolean;
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};
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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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@ -488,6 +510,37 @@ const EMPTY_PAUSABLE_TAPE = {
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dropped: 0
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};
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const appendHistoryTail = <T extends SortableItem>(
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current: T[],
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incoming: T[],
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liveHead: T[],
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cap = LIVE_HISTORY_SOFT_CAP
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): T[] => {
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if (incoming.length === 0) {
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return current;
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}
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const seen = new Set<string>();
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for (const item of liveHead) {
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seen.add(getTapeItemKey(item));
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}
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for (const item of current) {
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seen.add(getTapeItemKey(item));
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}
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const appended = [...current];
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for (const item of incoming) {
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const key = getTapeItemKey(item);
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if (seen.has(key)) {
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continue;
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}
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seen.add(key);
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appended.push(item);
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}
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return cap > 0 ? appended.slice(0, cap) : appended;
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};
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export const getLiveFeedStatus = (
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sourceStatus: WsStatus,
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freshestTs: number | null,
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@ -1315,6 +1368,40 @@ const useScrollAnchor = (
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return { capture, apply };
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};
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const useBottomHistoryGate = (
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listRef: React.RefObject<HTMLDivElement>,
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enabled: boolean,
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onLoadOlder: () => void
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): void => {
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const loadRef = useRef(onLoadOlder);
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useEffect(() => {
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loadRef.current = onLoadOlder;
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}, [onLoadOlder]);
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useEffect(() => {
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if (!enabled) {
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return;
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}
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const element = listRef.current;
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if (!element) {
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return;
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}
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const maybeLoad = () => {
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const threshold = Math.max(240, element.clientHeight * 0.5);
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if (element.scrollTop + element.clientHeight >= element.scrollHeight - threshold) {
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loadRef.current();
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}
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};
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maybeLoad();
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element.addEventListener("scroll", maybeLoad);
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return () => {
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element.removeEventListener("scroll", maybeLoad);
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};
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}, [enabled, listRef]);
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};
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type VirtualListResult<T> = {
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visibleItems: T[];
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topSpacerHeight: number;
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@ -1886,6 +1973,7 @@ type PausableTapeViewConfig<T extends SortableItem & { seq: number }> = {
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enabled: boolean;
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sourceStatus: WsStatus;
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sourceItems: T[];
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historyTail?: T[];
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lastUpdate: number | null;
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freshnessMs: number;
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onNewItems?: (count: number) => void;
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@ -2011,10 +2099,14 @@ const usePausableTapeView = <T extends SortableItem & { seq: number }>(
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)
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: "disconnected";
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const projected = projectPausableTapeState(data.visible, status, config.lastUpdate);
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const items = useMemo(
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() => [...projected.items, ...(config.historyTail ?? [])],
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[projected.items, config.historyTail]
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);
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return {
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status,
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items: projected.items,
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items,
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lastUpdate: projected.lastUpdate,
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replayTime: null,
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replayComplete: false,
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@ -2269,6 +2361,15 @@ type LiveSessionState = {
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historyLoading: Partial<Record<string, boolean>>;
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historyErrors: Partial<Record<string, string | null>>;
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loadOlder: (channel: LiveSubscription["channel"]) => Promise<void>;
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optionsHistory: OptionPrint[];
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nbboHistory: OptionNBBO[];
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equitiesHistory: EquityPrint[];
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equityJoinsHistory: EquityPrintJoin[];
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flowHistory: FlowPacket[];
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smartMoneyHistory: SmartMoneyEvent[];
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classifierHitsHistory: ClassifierHitEvent[];
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alertsHistory: AlertEvent[];
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inferredDarkHistory: InferredDarkEvent[];
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options: OptionPrint[];
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nbbo: OptionNBBO[];
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equities: EquityPrint[];
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@ -2360,14 +2461,23 @@ export const getLiveManifest = (
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];
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if (pathname === "/tape") {
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return dedupeLiveSubscriptions([
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...baselineSubs,
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{ channel: "nbbo" },
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{ channel: "equities", ...equityScope },
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{ channel: "flow", filters: flowFilters },
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{ channel: "smart-money" },
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{ channel: "classifier-hits" }
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]);
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const optionsSub: Extract<LiveSubscription, { channel: "options" }> = {
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channel: "options",
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filters: flowFilters,
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...optionScope,
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snapshot_limit: LIVE_HOT_WINDOW_OPTIONS
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};
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const tapeSubs: LiveSubscription[] = [
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optionsSub,
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{ channel: "nbbo", snapshot_limit: LIVE_HOT_WINDOW },
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{ channel: "equities", ...equityScope, snapshot_limit: LIVE_HOT_WINDOW },
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{ channel: "flow", filters: flowFilters, snapshot_limit: LIVE_HOT_WINDOW },
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{ channel: "smart-money", snapshot_limit: LIVE_HOT_WINDOW },
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{ channel: "classifier-hits", snapshot_limit: LIVE_HOT_WINDOW },
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{ channel: "alerts", snapshot_limit: LIVE_HOT_WINDOW },
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{ channel: "inferred-dark", snapshot_limit: LIVE_HOT_WINDOW }
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];
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return dedupeLiveSubscriptions(tapeSubs);
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}
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return dedupeLiveSubscriptions([
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@ -2410,6 +2520,15 @@ const useLiveSession = (
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const [classifierHits, setClassifierHits] = useState<ClassifierHitEvent[]>([]);
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const [alerts, setAlerts] = useState<AlertEvent[]>([]);
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const [inferredDark, setInferredDark] = useState<InferredDarkEvent[]>([]);
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const [optionsHistory, setOptionsHistory] = useState<OptionPrint[]>([]);
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const [nbboHistory, setNbboHistory] = useState<OptionNBBO[]>([]);
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const [equitiesHistory, setEquitiesHistory] = useState<EquityPrint[]>([]);
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const [equityJoinsHistory, setEquityJoinsHistory] = useState<EquityPrintJoin[]>([]);
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const [flowHistory, setFlowHistory] = useState<FlowPacket[]>([]);
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const [smartMoneyHistory, setSmartMoneyHistory] = useState<SmartMoneyEvent[]>([]);
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const [classifierHitsHistory, setClassifierHitsHistory] = useState<ClassifierHitEvent[]>([]);
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const [alertsHistory, setAlertsHistory] = useState<AlertEvent[]>([]);
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const [inferredDarkHistory, setInferredDarkHistory] = useState<InferredDarkEvent[]>([]);
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const [chartCandles, setChartCandles] = useState<EquityCandle[]>([]);
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const [chartOverlay, setChartOverlay] = useState<EquityPrint[]>([]);
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const socketRef = useRef<WebSocket | null>(null);
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@ -2443,6 +2562,15 @@ const useLiveSession = (
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setClassifierHits([]);
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setAlerts([]);
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setInferredDark([]);
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setOptionsHistory([]);
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setNbboHistory([]);
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setEquitiesHistory([]);
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setEquityJoinsHistory([]);
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setFlowHistory([]);
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setSmartMoneyHistory([]);
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setClassifierHitsHistory([]);
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setAlertsHistory([]);
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setInferredDarkHistory([]);
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setChartCandles([]);
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setChartOverlay([]);
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subscribedKeysRef.current = new Set();
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@ -2699,9 +2827,11 @@ const useLiveSession = (
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);
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if (resetScopedChannels.has("options")) {
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setOptions([]);
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setOptionsHistory([]);
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}
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if (resetScopedChannels.has("equities")) {
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setEquities([]);
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setEquitiesHistory([]);
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}
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if (resetScopedChannels.size > 0) {
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setHistoryCursors((current) => {
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@ -2765,7 +2895,7 @@ const useLiveSession = (
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const params = new URLSearchParams({
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before_ts: String(cursor.ts),
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before_seq: String(cursor.seq),
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limit: String(subscription.channel === "options" ? 500 : 200)
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limit: String(subscription.channel === "options" ? LIVE_HISTORY_BATCH : 200)
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});
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if (subscription.channel === "options" || subscription.channel === "flow") {
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appendOptionFlowFilters(params, subscription.filters);
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@ -2783,45 +2913,49 @@ const useLiveSession = (
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const mergeOlder = <T extends SortableItem>(
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setter: Dispatch<SetStateAction<T[]>>,
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limit: number
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liveHead: T[],
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cap = LIVE_HISTORY_SOFT_CAP
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) => {
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setter((prev) =>
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mergeNewest(older as T[], prev, limit, (evicted) =>
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incrementRetentionMetric("hotWindowEvictions", evicted)
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)
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);
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setter((prev) => appendHistoryTail(prev, older as T[], liveHead, cap));
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};
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switch (subscription.channel) {
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case "options":
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mergeOlder(setOptions, LIVE_HOT_WINDOW_OPTIONS);
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mergeOlder(
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setOptionsHistory,
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options,
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subscription.underlying_ids?.length || subscription.option_contract_id ? 0 : LIVE_HISTORY_SOFT_CAP
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);
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break;
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case "nbbo":
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mergeOlder(setNbbo, LIVE_HOT_WINDOW);
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mergeOlder(setNbboHistory, nbbo);
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break;
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case "equities":
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mergeOlder(setEquities, LIVE_HOT_WINDOW);
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mergeOlder(
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setEquitiesHistory,
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equities,
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subscription.underlying_ids?.length ? 0 : LIVE_HISTORY_SOFT_CAP
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);
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break;
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case "equity-quotes":
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mergeOlder(setEquityQuotes, LIVE_HOT_WINDOW);
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break;
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case "equity-joins":
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mergeOlder(setEquityJoins, LIVE_HOT_WINDOW);
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mergeOlder(setEquityJoinsHistory, equityJoins);
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break;
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case "flow":
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mergeOlder(setFlow, LIVE_HOT_WINDOW);
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mergeOlder(setFlowHistory, flow);
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break;
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case "smart-money":
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mergeOlder(setSmartMoney, LIVE_HOT_WINDOW);
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mergeOlder(setSmartMoneyHistory, smartMoney);
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break;
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case "classifier-hits":
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mergeOlder(setClassifierHits, LIVE_HOT_WINDOW);
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mergeOlder(setClassifierHitsHistory, classifierHits);
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break;
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case "alerts":
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mergeOlder(setAlerts, LIVE_HOT_WINDOW);
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mergeOlder(setAlertsHistory, alerts);
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break;
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case "inferred-dark":
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mergeOlder(setInferredDark, LIVE_HOT_WINDOW);
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mergeOlder(setInferredDarkHistory, inferredDark);
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break;
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}
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@ -2839,9 +2973,44 @@ const useLiveSession = (
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setHistoryLoading((current) => ({ ...current, [key]: false }));
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}
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},
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[enabled, manifest, historyCursors, historyLoading]
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[
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enabled,
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manifest,
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historyCursors,
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historyLoading,
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options,
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nbbo,
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equities,
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equityJoins,
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flow,
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smartMoney,
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classifierHits,
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alerts,
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inferredDark
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]
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);
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useEffect(() => {
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if (!enabled || pathname !== "/tape") {
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return;
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}
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const scoped = manifest.filter(
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(subscription) =>
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(subscription.channel === "options" &&
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(subscription.underlying_ids?.length || subscription.option_contract_id)) ||
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(subscription.channel === "equities" && subscription.underlying_ids?.length)
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);
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if (scoped.length === 0) {
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return;
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}
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for (const subscription of scoped) {
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const key = getLiveSubscriptionKey(subscription);
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if (historyCursors[key] && !historyLoading[key]) {
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void loadOlder(subscription.channel);
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}
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}
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}, [enabled, pathname, manifest, historyCursors, historyLoading, loadOlder]);
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return {
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status,
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connectedAt,
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@ -2852,6 +3021,15 @@ const useLiveSession = (
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historyLoading,
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historyErrors,
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loadOlder,
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optionsHistory,
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nbboHistory,
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equitiesHistory,
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equityJoinsHistory,
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flowHistory,
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smartMoneyHistory,
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classifierHitsHistory,
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alertsHistory,
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inferredDarkHistory,
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options,
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nbbo,
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equities,
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@ -4435,6 +4613,7 @@ const useTerminalState = () => {
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enabled: mode === "live",
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sourceStatus: liveSession.status,
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sourceItems: liveSession.options,
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historyTail: liveSession.optionsHistory,
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lastUpdate: liveSession.lastUpdate,
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freshnessMs: LIVE_OPTIONS_STALE_MS,
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retentionLimit: LIVE_HOT_WINDOW_OPTIONS,
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@ -4447,6 +4626,7 @@ const useTerminalState = () => {
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enabled: mode === "live",
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sourceStatus: liveSession.status,
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sourceItems: liveSession.equities,
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historyTail: liveSession.equitiesHistory,
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lastUpdate: liveSession.lastUpdate,
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freshnessMs: LIVE_EQUITIES_STALE_MS,
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captureScroll: equitiesAnchor.capture,
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@ -4458,6 +4638,7 @@ const useTerminalState = () => {
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enabled: mode === "live",
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sourceStatus: liveSession.status,
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sourceItems: liveSession.flow,
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historyTail: liveSession.flowHistory,
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lastUpdate: liveSession.lastUpdate,
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freshnessMs: LIVE_FLOW_STALE_MS,
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captureScroll: flowAnchor.capture,
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@ -4469,26 +4650,26 @@ const useTerminalState = () => {
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const optionsFeed = mode === "live" ? liveOptions : options;
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const nbboFeed =
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mode === "live" ? toStaticTapeState(liveSession.status, liveSession.nbbo, liveSession.lastUpdate) : nbbo;
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mode === "live" ? toStaticTapeState(liveSession.status, [...liveSession.nbbo, ...liveSession.nbboHistory], liveSession.lastUpdate) : nbbo;
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const equitiesFeed = mode === "live" ? liveEquities : equities;
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const equityJoinsFeed =
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mode === "live"
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? toStaticTapeState(liveSession.status, liveSession.equityJoins, liveSession.lastUpdate)
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? toStaticTapeState(liveSession.status, [...liveSession.equityJoins, ...liveSession.equityJoinsHistory], liveSession.lastUpdate)
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: equityJoins;
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const flowFeed = mode === "live" ? liveFlow : flow;
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const alertsFeed =
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mode === "live" ? toStaticTapeState(liveSession.status, liveSession.alerts, liveSession.lastUpdate) : alerts;
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mode === "live" ? toStaticTapeState(liveSession.status, [...liveSession.alerts, ...liveSession.alertsHistory], liveSession.lastUpdate) : alerts;
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const classifierHitsFeed =
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mode === "live"
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? toStaticTapeState(liveSession.status, liveSession.classifierHits, liveSession.lastUpdate)
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? toStaticTapeState(liveSession.status, [...liveSession.classifierHits, ...liveSession.classifierHitsHistory], liveSession.lastUpdate)
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: classifierHits;
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const smartMoneyFeed =
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mode === "live"
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? toStaticTapeState(liveSession.status, liveSession.smartMoney, liveSession.lastUpdate)
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? toStaticTapeState(liveSession.status, [...liveSession.smartMoney, ...liveSession.smartMoneyHistory], liveSession.lastUpdate)
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: smartMoney;
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const inferredDarkFeed =
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mode === "live"
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? toStaticTapeState(liveSession.status, liveSession.inferredDark, liveSession.lastUpdate)
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? toStaticTapeState(liveSession.status, [...liveSession.inferredDark, ...liveSession.inferredDarkHistory], liveSession.lastUpdate)
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: inferredDark;
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useLayoutEffect(() => {
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|
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@ -4575,6 +4756,11 @@ const useTerminalState = () => {
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const [pinnedEquityJoinMap, setPinnedEquityJoinMap] = useState<
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Map<string, PinnedEntry<EquityPrintJoin>>
|
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>(() => new Map());
|
||||
const [optionSupportSmartMoney, setOptionSupportSmartMoney] = useState<SmartMoneyEvent[]>([]);
|
||||
const [optionSupportClassifierHits, setOptionSupportClassifierHits] = useState<ClassifierHitEvent[]>([]);
|
||||
const [historicalNbboByTraceId, setHistoricalNbboByTraceId] = useState<Map<string, OptionNBBO | null>>(
|
||||
() => new Map()
|
||||
);
|
||||
|
||||
const resolvedOptionPrintMap = useMemo(() => {
|
||||
const merged = new Map<string, OptionPrint>();
|
||||
|
|
@ -4809,7 +4995,7 @@ const useTerminalState = () => {
|
|||
|
||||
const classifierHitsByPacketId = useMemo(() => {
|
||||
const map = new Map<string, ClassifierHitEvent[]>();
|
||||
for (const hit of classifierHitsFeed.items) {
|
||||
for (const hit of [...classifierHitsFeed.items, ...optionSupportClassifierHits]) {
|
||||
const packetId = extractPacketIdFromClassifierHitTrace(hit.trace_id);
|
||||
if (!packetId) {
|
||||
continue;
|
||||
|
|
@ -4817,11 +5003,11 @@ const useTerminalState = () => {
|
|||
map.set(packetId, [...(map.get(packetId) ?? []), hit]);
|
||||
}
|
||||
return map;
|
||||
}, [classifierHitsFeed.items, extractPacketIdFromClassifierHitTrace]);
|
||||
}, [classifierHitsFeed.items, optionSupportClassifierHits, extractPacketIdFromClassifierHitTrace]);
|
||||
|
||||
const smartMoneyByPacketId = useMemo(() => {
|
||||
const map = new Map<string, SmartMoneyEvent>();
|
||||
for (const event of smartMoneyFeed.items) {
|
||||
for (const event of [...smartMoneyFeed.items, ...optionSupportSmartMoney]) {
|
||||
for (const packetId of event.packet_ids) {
|
||||
const existing = map.get(packetId);
|
||||
if (!existing || event.source_ts > existing.source_ts || event.seq > existing.seq) {
|
||||
|
|
@ -4830,17 +5016,17 @@ const useTerminalState = () => {
|
|||
}
|
||||
}
|
||||
return map;
|
||||
}, [smartMoneyFeed.items]);
|
||||
}, [smartMoneyFeed.items, optionSupportSmartMoney]);
|
||||
|
||||
const packetIdByOptionTraceId = useMemo(() => {
|
||||
const map = new Map<string, string>();
|
||||
for (const packet of flowFeed.items) {
|
||||
for (const packet of resolvedFlowPacketMap.values()) {
|
||||
for (const member of packet.members) {
|
||||
map.set(member, packet.id);
|
||||
}
|
||||
}
|
||||
return map;
|
||||
}, [flowFeed.items]);
|
||||
}, [resolvedFlowPacketMap]);
|
||||
|
||||
const classifierDecorByOptionTraceId = useMemo(() => {
|
||||
const map = new Map<string, ClassifierDecor>();
|
||||
|
|
@ -4858,6 +5044,111 @@ const useTerminalState = () => {
|
|||
return map;
|
||||
}, [classifierHitsByPacketId, packetIdByOptionTraceId, smartMoneyByPacketId]);
|
||||
|
||||
useEffect(() => {
|
||||
if (mode !== "live" || optionsFeed.items.length === 0) {
|
||||
return;
|
||||
}
|
||||
|
||||
const traceIds: string[] = [];
|
||||
const nbboContext: Array<{ trace_id: string; option_contract_id: string; ts: number }> = [];
|
||||
for (const print of optionsFeed.items.slice(0, 1000)) {
|
||||
if (!print.trace_id || classifierDecorByOptionTraceId.has(print.trace_id)) {
|
||||
continue;
|
||||
}
|
||||
if (!packetIdByOptionTraceId.has(print.trace_id)) {
|
||||
traceIds.push(print.trace_id);
|
||||
}
|
||||
const missingPreservedNbbo =
|
||||
typeof print.execution_nbbo_side !== "string" &&
|
||||
typeof print.nbbo_side !== "string" &&
|
||||
!historicalNbboByTraceId.has(print.trace_id);
|
||||
if (missingPreservedNbbo) {
|
||||
nbboContext.push({
|
||||
trace_id: print.trace_id,
|
||||
option_contract_id: print.option_contract_id,
|
||||
ts: print.ts
|
||||
});
|
||||
}
|
||||
if (traceIds.length >= 250 && nbboContext.length >= 250) {
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
const uniqueTraceIds = Array.from(new Set(traceIds)).slice(0, 250);
|
||||
const uniqueNbboContext = Array.from(
|
||||
new Map(nbboContext.map((item) => [item.trace_id, item])).values()
|
||||
).slice(0, 250);
|
||||
if (uniqueTraceIds.length === 0 && uniqueNbboContext.length === 0) {
|
||||
return;
|
||||
}
|
||||
|
||||
let cancelled = false;
|
||||
void fetch(buildApiUrl("/lookup/options-support"), {
|
||||
method: "POST",
|
||||
headers: { "content-type": "application/json" },
|
||||
body: JSON.stringify({
|
||||
trace_ids: uniqueTraceIds,
|
||||
nbbo_context: uniqueNbboContext
|
||||
})
|
||||
})
|
||||
.then(async (response) => {
|
||||
if (!response.ok) {
|
||||
throw new Error(await readErrorDetail(response));
|
||||
}
|
||||
return response.json() as Promise<{
|
||||
packets?: FlowPacket[];
|
||||
smart_money?: SmartMoneyEvent[];
|
||||
classifier_hits?: ClassifierHitEvent[];
|
||||
nbbo_by_trace_id?: Record<string, OptionNBBO | null>;
|
||||
}>;
|
||||
})
|
||||
.then((payload) => {
|
||||
if (cancelled) {
|
||||
return;
|
||||
}
|
||||
const now = Date.now();
|
||||
const packetMap = new Map<string, FlowPacket>();
|
||||
for (const packet of payload.packets ?? []) {
|
||||
packetMap.set(packet.id, packet);
|
||||
}
|
||||
if (packetMap.size > 0) {
|
||||
setPinnedFlowPacketMap((prev) => upsertPinnedEntries(prev, packetMap, now));
|
||||
}
|
||||
if (payload.smart_money?.length) {
|
||||
setOptionSupportSmartMoney((prev) =>
|
||||
mergeNewest(payload.smart_money ?? [], prev, PINNED_EVIDENCE_MAX_ITEMS)
|
||||
);
|
||||
}
|
||||
if (payload.classifier_hits?.length) {
|
||||
setOptionSupportClassifierHits((prev) =>
|
||||
mergeNewest(payload.classifier_hits ?? [], prev, PINNED_EVIDENCE_MAX_ITEMS)
|
||||
);
|
||||
}
|
||||
if (payload.nbbo_by_trace_id) {
|
||||
setHistoricalNbboByTraceId((prev) => {
|
||||
const next = new Map(prev);
|
||||
for (const [traceId, quote] of Object.entries(payload.nbbo_by_trace_id ?? {})) {
|
||||
next.set(traceId, quote);
|
||||
}
|
||||
return next;
|
||||
});
|
||||
}
|
||||
})
|
||||
.catch((error) => {
|
||||
console.warn("Failed to hydrate option row support", error);
|
||||
});
|
||||
|
||||
return () => {
|
||||
cancelled = true;
|
||||
};
|
||||
}, [
|
||||
mode,
|
||||
optionsFeed.items,
|
||||
classifierDecorByOptionTraceId,
|
||||
packetIdByOptionTraceId,
|
||||
historicalNbboByTraceId
|
||||
]);
|
||||
|
||||
const selectedClassifierPacketId = useMemo(() => {
|
||||
if (!selectedClassifierHit) {
|
||||
return null;
|
||||
|
|
@ -5456,6 +5747,7 @@ const useTerminalState = () => {
|
|||
tickerSet,
|
||||
chartTicker,
|
||||
nbboMap,
|
||||
historicalNbboByTraceId,
|
||||
optionPrintMap: resolvedOptionPrintMap,
|
||||
equityPrintMap,
|
||||
equityJoinMap: resolvedEquityJoinMap,
|
||||
|
|
@ -5808,6 +6100,9 @@ const OptionsPane = ({ limit }: OptionsPaneProps) => {
|
|||
const state = useTerminal();
|
||||
const items = limit ? state.filteredOptions.slice(0, limit) : state.filteredOptions;
|
||||
const virtual = useVirtualList(items, state.optionsScroll.listRef, !limit, 36);
|
||||
useBottomHistoryGate(state.optionsScroll.listRef, state.mode === "live" && !limit, () =>
|
||||
void state.liveSession.loadOlder("options")
|
||||
);
|
||||
|
||||
return (
|
||||
<Pane
|
||||
|
|
@ -5868,7 +6163,7 @@ const OptionsPane = ({ limit }: OptionsPaneProps) => {
|
|||
const contractId = normalizeContractId(print.option_contract_id);
|
||||
const parsed = parseOptionContractId(contractId);
|
||||
const contractDisplay = formatOptionContractLabel(contractId);
|
||||
const quote = state.nbboMap.get(contractId);
|
||||
const quote = state.historicalNbboByTraceId.get(print.trace_id) ?? state.nbboMap.get(contractId);
|
||||
const hasPreservedNbbo = typeof print.execution_nbbo_side === "string";
|
||||
const nbboSide =
|
||||
print.execution_nbbo_side ??
|
||||
|
|
@ -5982,6 +6277,9 @@ const EquitiesPane = ({ limit }: EquitiesPaneProps) => {
|
|||
const state = useTerminal();
|
||||
const items = limit ? state.filteredEquities.slice(0, limit) : state.filteredEquities;
|
||||
const virtual = useVirtualList(items, state.equitiesScroll.listRef, !limit, 36);
|
||||
useBottomHistoryGate(state.equitiesScroll.listRef, state.mode === "live" && !limit, () =>
|
||||
void state.liveSession.loadOlder("equities")
|
||||
);
|
||||
|
||||
return (
|
||||
<Pane
|
||||
|
|
@ -6077,6 +6375,9 @@ const FlowPane = ({ limit, title = "Flow" }: FlowPaneProps) => {
|
|||
const state = useTerminal();
|
||||
const items = limit ? state.filteredFlow.slice(0, limit) : state.filteredFlow;
|
||||
const virtual = useVirtualList(items, state.flowScroll.listRef, !limit, 44);
|
||||
useBottomHistoryGate(state.flowScroll.listRef, state.mode === "live" && !limit, () =>
|
||||
void state.liveSession.loadOlder("flow")
|
||||
);
|
||||
|
||||
return (
|
||||
<Pane
|
||||
|
|
@ -6216,6 +6517,9 @@ const AlertsPane = ({ limit, withStrip = false, className }: AlertsPaneProps) =>
|
|||
const state = useTerminal();
|
||||
const items = limit ? state.filteredAlerts.slice(0, limit) : state.filteredAlerts;
|
||||
const virtual = useVirtualList(items, state.alertsScroll.listRef, !limit, 46);
|
||||
useBottomHistoryGate(state.alertsScroll.listRef, state.mode === "live" && !limit, () =>
|
||||
void state.liveSession.loadOlder("alerts")
|
||||
);
|
||||
|
||||
return (
|
||||
<Pane
|
||||
|
|
@ -6312,6 +6616,10 @@ type ClassifierPaneProps = {
|
|||
|
||||
const ClassifierPane = ({ limit, className }: ClassifierPaneProps) => {
|
||||
const state = useTerminal();
|
||||
useBottomHistoryGate(state.classifierScroll.listRef, state.mode === "live" && !limit, () => {
|
||||
void state.liveSession.loadOlder("smart-money");
|
||||
void state.liveSession.loadOlder("classifier-hits");
|
||||
});
|
||||
const smartMoneyItems = limit ? state.filteredSmartMoneyEvents.slice(0, limit) : state.filteredSmartMoneyEvents;
|
||||
const legacyItems =
|
||||
smartMoneyItems.length === 0
|
||||
|
|
@ -6438,6 +6746,9 @@ const DarkPane = ({ limit, className }: DarkPaneProps) => {
|
|||
const state = useTerminal();
|
||||
const items = limit ? state.filteredInferredDark.slice(0, limit) : state.filteredInferredDark;
|
||||
const virtual = useVirtualList(items, state.darkScroll.listRef, !limit, 44);
|
||||
useBottomHistoryGate(state.darkScroll.listRef, state.mode === "live" && !limit, () =>
|
||||
void state.liveSession.loadOlder("inferred-dark")
|
||||
);
|
||||
|
||||
return (
|
||||
<Pane
|
||||
|
|
|
|||
|
|
@ -1,3 +1,5 @@
|
|||
## Docker-internal service URLs (do not use 127.0.0.1/localhost here).
|
||||
## Containers must reach each other via Compose service names.
|
||||
NATS_URL=nats://nats:4222
|
||||
CLICKHOUSE_URL=http://clickhouse:8123
|
||||
CLICKHOUSE_DATABASE=default
|
||||
|
|
|
|||
|
|
@ -1560,6 +1560,104 @@ export const fetchFlowPacketById = async (
|
|||
return record ? FlowPacketSchema.parse(fromFlowPacketRecord(record)) : null;
|
||||
};
|
||||
|
||||
export const fetchFlowPacketsByMemberTraceIds = async (
|
||||
client: ClickHouseClient,
|
||||
traceIds: string[]
|
||||
): Promise<FlowPacket[]> => {
|
||||
const ids = Array.from(new Set(traceIds.map((id) => id.trim()).filter(Boolean)));
|
||||
if (ids.length === 0) {
|
||||
return [];
|
||||
}
|
||||
|
||||
const memberPredicates = ids.map((id) => `has(members, ${quoteString(id)})`);
|
||||
const result = await client.query({
|
||||
query: `SELECT * FROM ${FLOW_PACKETS_TABLE} WHERE ${memberPredicates.join(" OR ")} ORDER BY source_ts DESC, seq DESC LIMIT ${clampLookupLimit(ids.length * 4)}`,
|
||||
format: "JSONEachRow"
|
||||
});
|
||||
|
||||
const rows = await result.json<unknown[]>();
|
||||
const records = rows
|
||||
.map(normalizeFlowPacketRow)
|
||||
.filter((record): record is FlowPacketRecord => record !== null);
|
||||
return FlowPacketSchema.array().parse(records.map(fromFlowPacketRecord));
|
||||
};
|
||||
|
||||
export const fetchSmartMoneyEventsByPacketIds = async (
|
||||
client: ClickHouseClient,
|
||||
packetIds: string[]
|
||||
): Promise<SmartMoneyEvent[]> => {
|
||||
const ids = Array.from(new Set(packetIds.map((id) => id.trim()).filter(Boolean)));
|
||||
if (ids.length === 0) {
|
||||
return [];
|
||||
}
|
||||
|
||||
const packetPredicates = ids.map((id) => `has(packet_ids, ${quoteString(id)})`);
|
||||
const result = await client.query({
|
||||
query: `SELECT * FROM ${SMART_MONEY_EVENTS_TABLE} WHERE ${packetPredicates.join(" OR ")} ORDER BY source_ts DESC, seq DESC LIMIT ${clampLookupLimit(ids.length * 4)}`,
|
||||
format: "JSONEachRow"
|
||||
});
|
||||
|
||||
const rows = await result.json<unknown[]>();
|
||||
const records = rows
|
||||
.map(normalizeSmartMoneyEventRow)
|
||||
.filter((record): record is SmartMoneyEventRecord => record !== null);
|
||||
return SmartMoneyEventSchema.array().parse(records.map(fromSmartMoneyEventRecord));
|
||||
};
|
||||
|
||||
export const fetchClassifierHitsByPacketIds = async (
|
||||
client: ClickHouseClient,
|
||||
packetIds: string[]
|
||||
): Promise<ClassifierHitEvent[]> => {
|
||||
const ids = Array.from(new Set(packetIds.map((id) => id.trim()).filter(Boolean)));
|
||||
if (ids.length === 0) {
|
||||
return [];
|
||||
}
|
||||
|
||||
const tracePredicates = ids.map((id) => `position(trace_id, ${quoteString(id)}) > 0`);
|
||||
const result = await client.query({
|
||||
query: `SELECT * FROM ${CLASSIFIER_HITS_TABLE} WHERE ${tracePredicates.join(" OR ")} ORDER BY source_ts DESC, seq DESC LIMIT ${clampLookupLimit(ids.length * 4)}`,
|
||||
format: "JSONEachRow"
|
||||
});
|
||||
|
||||
const rows = await result.json<unknown[]>();
|
||||
const records = rows
|
||||
.map(normalizeClassifierHitRow)
|
||||
.filter((record): record is ClassifierHitRecord => record !== null);
|
||||
return ClassifierHitEventSchema.array().parse(records.map(fromClassifierHitRecord));
|
||||
};
|
||||
|
||||
export const fetchNearestOptionNBBOForPrints = async (
|
||||
client: ClickHouseClient,
|
||||
inputs: Array<{ trace_id: string; option_contract_id: string; ts: number }>
|
||||
): Promise<Record<string, OptionNBBO | null>> => {
|
||||
const normalized = inputs
|
||||
.map((item) => ({
|
||||
trace_id: item.trace_id.trim(),
|
||||
option_contract_id: item.option_contract_id.trim(),
|
||||
ts: clampCursor(item.ts)
|
||||
}))
|
||||
.filter((item) => item.trace_id && item.option_contract_id);
|
||||
if (normalized.length === 0) {
|
||||
return {};
|
||||
}
|
||||
|
||||
const byTraceId: Record<string, OptionNBBO | null> = Object.fromEntries(
|
||||
normalized.map((item) => [item.trace_id, null])
|
||||
);
|
||||
await Promise.all(
|
||||
normalized.map(async (item) => {
|
||||
const result = await client.query({
|
||||
query: `SELECT * FROM ${OPTION_NBBO_TABLE} WHERE option_contract_id = ${quoteString(item.option_contract_id)} AND ts <= ${item.ts} ORDER BY ts DESC, seq DESC LIMIT 1`,
|
||||
format: "JSONEachRow"
|
||||
});
|
||||
const rows = await result.json<unknown[]>();
|
||||
const quote = OptionNBBOSchema.array().parse(rows.map(normalizeOptionNbboRow))[0] ?? null;
|
||||
byTraceId[item.trace_id] = quote;
|
||||
})
|
||||
);
|
||||
return byTraceId;
|
||||
};
|
||||
|
||||
export const fetchOptionPrintsByTraceIds = async (
|
||||
client: ClickHouseClient,
|
||||
traceIds: string[]
|
||||
|
|
|
|||
|
|
@ -60,21 +60,26 @@ export const LiveSubscriptionSchema = z.discriminatedUnion("channel", [
|
|||
channel: z.literal("options"),
|
||||
filters: OptionFlowFiltersSchema.optional(),
|
||||
underlying_ids: z.array(z.string().min(1)).optional(),
|
||||
option_contract_id: z.string().min(1).optional()
|
||||
option_contract_id: z.string().min(1).optional(),
|
||||
snapshot_limit: z.number().int().positive().optional()
|
||||
}),
|
||||
z.object({
|
||||
channel: z.literal("flow"),
|
||||
filters: OptionFlowFiltersSchema.optional()
|
||||
filters: OptionFlowFiltersSchema.optional(),
|
||||
snapshot_limit: z.number().int().positive().optional()
|
||||
}),
|
||||
z.object({
|
||||
channel: z.literal("smart-money")
|
||||
channel: z.literal("smart-money"),
|
||||
snapshot_limit: z.number().int().positive().optional()
|
||||
}),
|
||||
z.object({
|
||||
channel: z.enum(["nbbo", "equity-quotes", "equity-joins", "classifier-hits", "alerts", "inferred-dark"])
|
||||
channel: z.enum(["nbbo", "equity-quotes", "equity-joins", "classifier-hits", "alerts", "inferred-dark"]),
|
||||
snapshot_limit: z.number().int().positive().optional()
|
||||
}),
|
||||
z.object({
|
||||
channel: z.literal("equities"),
|
||||
underlying_ids: z.array(z.string().min(1)).optional()
|
||||
underlying_ids: z.array(z.string().min(1)).optional(),
|
||||
snapshot_limit: z.number().int().positive().optional()
|
||||
}),
|
||||
z.object({
|
||||
channel: z.literal("equity-candles"),
|
||||
|
|
|
|||
|
|
@ -49,6 +49,7 @@ import {
|
|||
fetchSmartMoneyEventsBefore,
|
||||
fetchFlowPacketsAfter,
|
||||
fetchFlowPacketById,
|
||||
fetchFlowPacketsByMemberTraceIds,
|
||||
fetchFlowPacketsBefore,
|
||||
fetchRecentAlerts,
|
||||
fetchRecentClassifierHits,
|
||||
|
|
@ -76,6 +77,9 @@ import {
|
|||
fetchOptionPrintsBefore,
|
||||
fetchOptionPrintsAfter,
|
||||
fetchOptionPrintsByTraceIds,
|
||||
fetchNearestOptionNBBOForPrints,
|
||||
fetchSmartMoneyEventsByPacketIds,
|
||||
fetchClassifierHitsByPacketIds,
|
||||
fetchRecentOptionPrints
|
||||
} from "@islandflow/storage";
|
||||
import type { EquityPrintQueryFilters, OptionPrintQueryFilters } from "@islandflow/storage";
|
||||
|
|
@ -303,6 +307,28 @@ const jsonResponse = (body: unknown, status = 200): Response => {
|
|||
});
|
||||
};
|
||||
|
||||
const readJsonBody = async (req: Request): Promise<unknown> => {
|
||||
const text = await req.text();
|
||||
if (!text.trim()) {
|
||||
return {};
|
||||
}
|
||||
return JSON.parse(text);
|
||||
};
|
||||
|
||||
const optionsSupportLookupSchema = z.object({
|
||||
trace_ids: z.array(z.string().min(1)).default([]),
|
||||
nbbo_context: z
|
||||
.array(
|
||||
z.object({
|
||||
trace_id: z.string().min(1),
|
||||
option_contract_id: z.string().min(1),
|
||||
ts: z.number().int().nonnegative()
|
||||
})
|
||||
)
|
||||
.optional()
|
||||
.default([])
|
||||
});
|
||||
|
||||
const parseLimit = (value: string | null): number => {
|
||||
if (value === null) {
|
||||
return env.REST_DEFAULT_LIMIT;
|
||||
|
|
@ -1608,6 +1634,33 @@ const run = async () => {
|
|||
return jsonResponse({ data });
|
||||
}
|
||||
|
||||
if (req.method === "POST" && url.pathname === "/lookup/options-support") {
|
||||
try {
|
||||
const body = optionsSupportLookupSchema.parse(await readJsonBody(req));
|
||||
const packets = await fetchFlowPacketsByMemberTraceIds(clickhouse, body.trace_ids);
|
||||
const packetIds = packets.map((packet) => packet.id);
|
||||
const [smartMoney, classifierHits, nbboByTraceId] = await Promise.all([
|
||||
fetchSmartMoneyEventsByPacketIds(clickhouse, packetIds),
|
||||
fetchClassifierHitsByPacketIds(clickhouse, packetIds),
|
||||
fetchNearestOptionNBBOForPrints(clickhouse, body.nbbo_context)
|
||||
]);
|
||||
return jsonResponse({
|
||||
packets,
|
||||
smart_money: smartMoney,
|
||||
classifier_hits: classifierHits,
|
||||
nbbo_by_trace_id: nbboByTraceId
|
||||
});
|
||||
} catch (error) {
|
||||
return jsonResponse(
|
||||
{
|
||||
error: "invalid options support lookup",
|
||||
detail: error instanceof Error ? error.message : String(error)
|
||||
},
|
||||
400
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
if (req.method === "GET" && url.pathname === "/equity-joins/by-id") {
|
||||
const ids = url.searchParams.getAll("id");
|
||||
const data = await fetchEquityPrintJoinsByIds(clickhouse, ids);
|
||||
|
|
|
|||
|
|
@ -327,6 +327,14 @@ const nextBeforeForItems = <T>(items: T[], cursorOf: (item: T) => Cursor): Curso
|
|||
return last ? cursorOf(last) : null;
|
||||
};
|
||||
|
||||
const snapshotLimitFor = (subscription: LiveSubscription, configuredLimit: number): number => {
|
||||
const requested = "snapshot_limit" in subscription ? subscription.snapshot_limit : undefined;
|
||||
if (!requested) {
|
||||
return configuredLimit;
|
||||
}
|
||||
return Math.max(1, Math.min(configuredLimit, Math.floor(requested)));
|
||||
};
|
||||
|
||||
const candleRedisKey = (underlyingId: string, intervalMs: number): string =>
|
||||
`live:equity-candles:${underlyingId}:${intervalMs}`;
|
||||
|
||||
|
|
@ -448,6 +456,7 @@ export class LiveStateManager {
|
|||
const scoped =
|
||||
Boolean(subscription.underlying_ids?.length) || Boolean(subscription.option_contract_id);
|
||||
if (subscription.filters?.view === "raw" || scoped) {
|
||||
const limit = snapshotLimitFor(subscription, this.generic.options.limit);
|
||||
const storageFilters: OptionPrintQueryFilters = {
|
||||
view: subscription.filters?.view ?? "signal",
|
||||
security:
|
||||
|
|
@ -463,7 +472,7 @@ export class LiveStateManager {
|
|||
};
|
||||
const items = await fetchRecentOptionPrints(
|
||||
this.clickhouse,
|
||||
this.generic.options.limit,
|
||||
limit,
|
||||
undefined,
|
||||
storageFilters
|
||||
);
|
||||
|
|
@ -476,10 +485,11 @@ export class LiveStateManager {
|
|||
}
|
||||
|
||||
const config = this.generic.options;
|
||||
const limit = snapshotLimitFor(subscription, config.limit);
|
||||
const items = (this.genericItems.get("options") ?? []).filter((item) =>
|
||||
isWithinLiveFeedLookback("options", item) &&
|
||||
matchesOptionPrintFilters(item, subscription.filters)
|
||||
);
|
||||
).slice(0, limit);
|
||||
return {
|
||||
subscription,
|
||||
items,
|
||||
|
|
@ -489,10 +499,11 @@ export class LiveStateManager {
|
|||
}
|
||||
case "flow": {
|
||||
const config = this.generic.flow;
|
||||
const limit = snapshotLimitFor(subscription, config.limit);
|
||||
const items = (this.genericItems.get("flow") ?? []).filter((item) =>
|
||||
isWithinLiveFeedLookback("flow", item) &&
|
||||
matchesFlowPacketFilters(item, subscription.filters)
|
||||
);
|
||||
).slice(0, limit);
|
||||
return {
|
||||
subscription,
|
||||
items,
|
||||
|
|
@ -502,12 +513,13 @@ export class LiveStateManager {
|
|||
}
|
||||
case "equities": {
|
||||
const config = this.generic.equities;
|
||||
const limit = snapshotLimitFor(subscription, config.limit);
|
||||
if (subscription.underlying_ids?.length) {
|
||||
const filters: EquityPrintQueryFilters = {
|
||||
underlyingIds: subscription.underlying_ids,
|
||||
sinceTs: Date.now() - LIVE_FEED_LOOKBACK_MS
|
||||
};
|
||||
const items = await fetchRecentEquityPrints(this.clickhouse, config.limit, filters);
|
||||
const items = await fetchRecentEquityPrints(this.clickhouse, limit, filters);
|
||||
return {
|
||||
subscription,
|
||||
items,
|
||||
|
|
@ -517,7 +529,7 @@ export class LiveStateManager {
|
|||
}
|
||||
const items = (this.genericItems.get("equities") ?? []).filter((item) =>
|
||||
isWithinLiveFeedLookback("equities", item)
|
||||
);
|
||||
).slice(0, limit);
|
||||
return {
|
||||
subscription,
|
||||
items,
|
||||
|
|
@ -555,9 +567,10 @@ export class LiveStateManager {
|
|||
}
|
||||
default: {
|
||||
const config = this.generic[subscription.channel];
|
||||
const limit = snapshotLimitFor(subscription, config.limit);
|
||||
const items = (this.genericItems.get(subscription.channel) ?? []).filter((item) =>
|
||||
isWithinLiveFeedLookback(subscription.channel, item)
|
||||
);
|
||||
).slice(0, limit);
|
||||
return {
|
||||
subscription,
|
||||
items,
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue