Implement smart money event bridge
This commit is contained in:
parent
a8cc2e3875
commit
6822fa1ba4
16 changed files with 1047 additions and 15 deletions
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@ -9,6 +9,7 @@ import {
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SUBJECT_EQUITY_QUOTES,
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SUBJECT_INFERRED_DARK,
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SUBJECT_FLOW_PACKETS,
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SUBJECT_SMART_MONEY_EVENTS,
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SUBJECT_OPTION_NBBO,
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SUBJECT_OPTION_SIGNAL_PRINTS,
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STREAM_ALERTS,
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@ -19,6 +20,7 @@ import {
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STREAM_EQUITY_QUOTES,
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STREAM_INFERRED_DARK,
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STREAM_FLOW_PACKETS,
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STREAM_SMART_MONEY_EVENTS,
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STREAM_OPTION_NBBO,
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STREAM_OPTION_SIGNAL_PRINTS,
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buildDurableConsumer,
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@ -36,17 +38,21 @@ import {
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ensureEquityQuotesTable,
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ensureInferredDarkTable,
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ensureFlowPacketsTable,
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ensureSmartMoneyEventsTable,
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ensureOptionNBBOTable,
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ensureOptionPrintsTable,
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fetchAlertsAfter,
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fetchAlertsBefore,
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fetchClassifierHitsAfter,
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fetchClassifierHitsBefore,
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fetchSmartMoneyEventsAfter,
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fetchSmartMoneyEventsBefore,
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fetchFlowPacketsAfter,
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fetchFlowPacketById,
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fetchFlowPacketsBefore,
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fetchRecentAlerts,
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fetchRecentClassifierHits,
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fetchRecentSmartMoneyEvents,
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fetchRecentEquityPrintJoins,
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fetchRecentFlowPackets,
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fetchRecentInferredDark,
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@ -95,6 +101,7 @@ import {
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OptionSecurityTypeSchema,
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OptionTypeSchema,
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FlowPacketSchema,
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SmartMoneyEventSchema,
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OptionNBBOSchema,
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OptionPrintSchema,
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getSubscriptionKey
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@ -256,6 +263,7 @@ type Channel =
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| "equity-joins"
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| "inferred-dark"
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| "flow"
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| "smart-money"
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| "classifier-hits"
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| "alerts";
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@ -278,6 +286,7 @@ const equityQuoteSockets = new Set<LegacySocket>();
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const equityJoinSockets = new Set<LegacySocket>();
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const inferredDarkSockets = new Set<LegacySocket>();
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const flowSockets = new Set<LegacySocket>();
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const smartMoneySockets = new Set<LegacySocket>();
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const classifierHitSockets = new Set<LegacySocket>();
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const alertSockets = new Set<LegacySocket>();
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const liveSocketSubscriptions = new Map<LiveSocket, Set<string>>();
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@ -772,6 +781,19 @@ 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_SMART_MONEY_EVENTS,
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subjects: [SUBJECT_SMART_MONEY_EVENTS],
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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_CLASSIFIER_HITS,
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subjects: [SUBJECT_CLASSIFIER_HITS],
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@ -812,6 +834,7 @@ const run = async () => {
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await ensureEquityPrintJoinsTable(clickhouse);
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await ensureInferredDarkTable(clickhouse);
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await ensureFlowPacketsTable(clickhouse);
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await ensureSmartMoneyEventsTable(clickhouse);
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await ensureClassifierHitsTable(clickhouse);
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await ensureAlertsTable(clickhouse);
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});
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@ -918,6 +941,11 @@ const run = async () => {
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stream: STREAM_FLOW_PACKETS,
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durableName: "api-flow-packets"
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},
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{
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subject: SUBJECT_SMART_MONEY_EVENTS,
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stream: STREAM_SMART_MONEY_EVENTS,
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durableName: "api-smart-money-events"
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},
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{
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subject: SUBJECT_CLASSIFIER_HITS,
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stream: STREAM_CLASSIFIER_HITS,
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@ -1057,18 +1085,24 @@ const run = async () => {
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consumerBindings[7].durableName
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);
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const classifierHitSubscription = await subscribeWithReset(
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const smartMoneySubscription = await subscribeWithReset(
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consumerBindings[8].subject,
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consumerBindings[8].stream,
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consumerBindings[8].durableName
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);
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const alertSubscription = await subscribeWithReset(
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const classifierHitSubscription = await subscribeWithReset(
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consumerBindings[9].subject,
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consumerBindings[9].stream,
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consumerBindings[9].durableName
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);
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const alertSubscription = await subscribeWithReset(
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consumerBindings[10].subject,
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consumerBindings[10].stream,
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consumerBindings[10].durableName
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);
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const fanoutLive = async (
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subscription: LiveSubscription,
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item: unknown,
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@ -1269,6 +1303,22 @@ const run = async () => {
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}
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};
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const pumpSmartMoney = async () => {
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for await (const msg of smartMoneySubscription.messages) {
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try {
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const payload = SmartMoneyEventSchema.parse(smartMoneySubscription.decode(msg));
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broadcast(smartMoneySockets, { type: "smart-money", payload });
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await fanoutLive({ channel: "smart-money" }, payload, "smart-money");
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msg.ack();
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} catch (error) {
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logger.error("failed to process smart money event", {
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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 pumpClassifierHits = async () => {
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for await (const msg of classifierHitSubscription.messages) {
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try {
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@ -1309,6 +1359,7 @@ const run = async () => {
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void pumpEquityJoins();
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void pumpInferredDark();
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void pumpFlow();
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void pumpSmartMoney();
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void pumpClassifierHits();
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void pumpAlerts();
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@ -1429,6 +1480,12 @@ 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/smart-money") {
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const limit = parseLimit(url.searchParams.get("limit"));
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const data = await fetchRecentSmartMoneyEvents(clickhouse, limit);
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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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@ -1507,6 +1564,14 @@ const run = async () => {
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);
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}
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if (req.method === "GET" && url.pathname === "/history/smart-money") {
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const { beforeTs, beforeSeq, limit } = parseBeforeParams(url);
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const data = await fetchSmartMoneyEventsBefore(clickhouse, beforeTs, beforeSeq, limit);
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return jsonResponse(
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buildHistoryResponse(data, (item) => ({ ts: item.source_ts, seq: item.seq }))
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);
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}
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if (req.method === "GET" && url.pathname === "/history/classifier-hits") {
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const { beforeTs, beforeSeq, limit } = parseBeforeParams(url);
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const data = await fetchClassifierHitsBefore(clickhouse, beforeTs, beforeSeq, limit);
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@ -1651,6 +1716,14 @@ const run = async () => {
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return jsonResponse({ data, next });
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}
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if (req.method === "GET" && url.pathname === "/replay/smart-money") {
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const { afterTs, afterSeq, limit } = parseReplayParams(url);
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const data = await fetchSmartMoneyEventsAfter(clickhouse, afterTs, afterSeq, limit);
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const last = data.at(-1);
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const next = last ? { ts: last.source_ts, seq: last.seq } : null;
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return jsonResponse({ data, next });
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}
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if (req.method === "GET" && url.pathname === "/replay/classifier-hits") {
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const { afterTs, afterSeq, limit } = parseReplayParams(url);
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const data = await fetchClassifierHitsAfter(clickhouse, afterTs, afterSeq, limit);
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@ -1739,6 +1812,14 @@ 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/smart-money") {
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if (serverRef.upgrade(req, { data: { channel: "smart-money" } })) {
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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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@ -1781,6 +1862,8 @@ const run = async () => {
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inferredDarkSockets.add(socket);
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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 === "smart-money") {
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smartMoneySockets.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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@ -1842,6 +1925,8 @@ const run = async () => {
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inferredDarkSockets.delete(socket);
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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 === "smart-money") {
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smartMoneySockets.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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@ -9,6 +9,7 @@ import {
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fetchRecentFlowPackets,
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fetchRecentInferredDark,
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fetchRecentOptionNBBO,
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fetchRecentSmartMoneyEvents,
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type ClickHouseClient
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} from "@islandflow/storage";
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import type { OptionPrintQueryFilters } from "@islandflow/storage";
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@ -30,6 +31,7 @@ import {
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matchesOptionPrintFilters,
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OptionNBBOSchema,
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OptionPrintSchema,
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SmartMoneyEventSchema,
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type OptionFlowFilters,
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type Cursor,
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type EquityCandle,
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@ -51,6 +53,7 @@ const GENERIC_LIMIT_ENV_KEYS: Record<LiveGenericChannel, string> = {
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"equity-quotes": "LIVE_LIMIT_EQUITY_QUOTES",
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"equity-joins": "LIVE_LIMIT_EQUITY_JOINS",
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flow: "LIVE_LIMIT_FLOW",
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"smart-money": "LIVE_LIMIT_SMART_MONEY",
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"classifier-hits": "LIVE_LIMIT_CLASSIFIER_HITS",
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alerts: "LIVE_LIMIT_ALERTS",
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"inferred-dark": "LIVE_LIMIT_INFERRED_DARK"
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@ -111,6 +114,7 @@ export const resolveGenericLiveLimits = (env: NodeJS.ProcessEnv = process.env):
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"equity-quotes": parseGenericLimit(env, "equity-quotes", DEFAULT_GENERIC_LIMIT),
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"equity-joins": parseGenericLimit(env, "equity-joins", DEFAULT_GENERIC_LIMIT),
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flow: parseGenericLimit(env, "flow", DEFAULT_GENERIC_LIMIT),
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"smart-money": parseGenericLimit(env, "smart-money", DEFAULT_GENERIC_LIMIT),
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"classifier-hits": parseGenericLimit(env, "classifier-hits", DEFAULT_GENERIC_LIMIT),
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alerts: parseGenericLimit(env, "alerts", DEFAULT_GENERIC_LIMIT),
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"inferred-dark": parseGenericLimit(env, "inferred-dark", DEFAULT_GENERIC_LIMIT)
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@ -185,6 +189,14 @@ const getGenericConfig = (limits: GenericLiveLimits): {
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cursor: (item) => ({ ts: item.source_ts, seq: item.seq }),
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fetchRecent: fetchRecentFlowPackets
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},
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"smart-money": {
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redisKey: "live:smart-money",
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cursorField: "smart-money",
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limit: limits["smart-money"],
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parse: (value) => SmartMoneyEventSchema.parse(value),
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cursor: (item) => ({ ts: item.source_ts, seq: item.seq }),
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fetchRecent: fetchRecentSmartMoneyEvents
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},
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"classifier-hits": {
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redisKey: "live:classifier-hits",
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cursorField: "classifier-hits",
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@ -154,6 +154,7 @@ describe("LiveStateManager", () => {
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"equity-quotes": 10000,
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"equity-joins": 10000,
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flow: 2,
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"smart-money": 10000,
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"classifier-hits": 10000,
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alerts: 10000,
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"inferred-dark": 10000
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@ -8,6 +8,7 @@ import {
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SUBJECT_EQUITY_QUOTES,
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SUBJECT_INFERRED_DARK,
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SUBJECT_FLOW_PACKETS,
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SUBJECT_SMART_MONEY_EVENTS,
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SUBJECT_OPTION_NBBO,
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SUBJECT_OPTION_SIGNAL_PRINTS,
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STREAM_ALERTS,
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@ -17,6 +18,7 @@ import {
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STREAM_EQUITY_QUOTES,
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STREAM_INFERRED_DARK,
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STREAM_FLOW_PACKETS,
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STREAM_SMART_MONEY_EVENTS,
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STREAM_OPTION_NBBO,
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STREAM_OPTION_SIGNAL_PRINTS,
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buildDurableConsumer,
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@ -32,11 +34,13 @@ import {
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ensureEquityPrintJoinsTable,
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ensureInferredDarkTable,
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ensureFlowPacketsTable,
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ensureSmartMoneyEventsTable,
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insertAlert,
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insertClassifierHit,
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insertEquityPrintJoin,
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insertInferredDark,
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insertFlowPacket
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insertFlowPacket,
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insertSmartMoneyEvent
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} from "@islandflow/storage";
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import {
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AlertEventSchema,
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@ -46,6 +50,7 @@ import {
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EquityQuoteSchema,
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InferredDarkEventSchema,
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FlowPacketSchema,
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SmartMoneyEventSchema,
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OptionNBBOSchema,
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OptionPrintSchema,
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type AlertEvent,
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@ -55,11 +60,16 @@ import {
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type EquityPrintJoin,
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type InferredDarkEvent,
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type FlowPacket,
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type SmartMoneyEvent,
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type OptionNBBO,
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type OptionPrint
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} from "@islandflow/types";
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import { z } from "zod";
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import { evaluateClassifiers, type ClassifierConfig } from "./classifiers";
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import type { ClassifierConfig } from "./classifiers";
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import {
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buildSmartMoneyEventFromPacket,
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deriveClassifierHitsFromSmartMoneyEvent
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} from "./parent-events";
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import { parseContractId } from "./contracts";
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import {
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createDarkInferenceState,
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@ -886,7 +896,23 @@ const emitClassifiers = async (
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js: Awaited<ReturnType<typeof connectJetStreamWithRetry>>["js"],
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packet: FlowPacket
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): Promise<void> => {
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const hits = evaluateClassifiers(packet, classifierConfig);
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let smartMoneyEvent: SmartMoneyEvent;
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try {
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smartMoneyEvent = SmartMoneyEventSchema.parse(buildSmartMoneyEventFromPacket(packet));
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await insertSmartMoneyEvent(clickhouse, smartMoneyEvent);
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await publishJson(js, SUBJECT_SMART_MONEY_EVENTS, smartMoneyEvent);
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} catch (error) {
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if (isExpectedShutdownNatsError(error)) {
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return;
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}
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logger.error("failed to emit smart money event", {
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error: error instanceof Error ? error.message : String(error),
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packet_id: packet.id
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});
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return;
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}
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const hits = deriveClassifierHitsFromSmartMoneyEvent(smartMoneyEvent);
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if (hits.length === 0) {
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return;
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}
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@ -922,7 +948,7 @@ const emitClassifiers = async (
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source_ts: packet.source_ts,
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ingest_ts: packet.ingest_ts,
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seq: packet.seq,
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trace_id: `alert:${packet.id}`,
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trace_id: `alert:${smartMoneyEvent.event_id}`,
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score,
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severity,
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hits: hitEvents.map((hit) => ({
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@ -931,7 +957,11 @@ const emitClassifiers = async (
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direction: hit.direction,
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explanations: hit.explanations
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})),
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evidence_refs: [packet.id, ...packet.members]
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evidence_refs: [smartMoneyEvent.event_id, packet.id, ...packet.members],
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...(smartMoneyEvent.primary_profile_id
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? { primary_profile_id: smartMoneyEvent.primary_profile_id }
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: {}),
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profile_scores: smartMoneyEvent.profile_scores
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});
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try {
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@ -1100,6 +1130,19 @@ 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_SMART_MONEY_EVENTS,
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subjects: [SUBJECT_SMART_MONEY_EVENTS],
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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_EQUITY_JOINS,
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subjects: [SUBJECT_EQUITY_JOINS],
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@ -1173,6 +1216,7 @@ const run = async () => {
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await retry("clickhouse table init", 120, 500, async () => {
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await ensureFlowPacketsTable(clickhouse);
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await ensureSmartMoneyEventsTable(clickhouse);
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await ensureEquityPrintJoinsTable(clickhouse);
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await ensureInferredDarkTable(clickhouse);
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await ensureClassifierHitsTable(clickhouse);
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320
services/compute/src/parent-events.ts
Normal file
320
services/compute/src/parent-events.ts
Normal file
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@ -0,0 +1,320 @@
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import {
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SmartMoneyEventSchema,
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type ClassifierHit,
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type FlowPacket,
|
||||
type SmartMoneyDirection,
|
||||
type SmartMoneyEvent,
|
||||
type SmartMoneyFeatures,
|
||||
type SmartMoneyProfileId,
|
||||
type SmartMoneyProfileScore
|
||||
} from "@islandflow/types";
|
||||
import { parseContractId } from "./contracts";
|
||||
|
||||
const MS_PER_DAY = 86_400_000;
|
||||
const SPECIAL_CONDITIONS = new Set(["AUCTION", "CROSS", "OPENING", "CLOSING", "COMPLEX", "SPREAD"]);
|
||||
|
||||
const clamp = (value: number, min = 0, max = 1): number => {
|
||||
if (!Number.isFinite(value)) {
|
||||
return min;
|
||||
}
|
||||
return Math.max(min, Math.min(max, value));
|
||||
};
|
||||
|
||||
const numberFeature = (packet: FlowPacket, key: string): number => {
|
||||
const value = packet.features[key];
|
||||
return typeof value === "number" && Number.isFinite(value) ? value : 0;
|
||||
};
|
||||
|
||||
const stringFeature = (packet: FlowPacket, key: string): string => {
|
||||
const value = packet.features[key];
|
||||
return typeof value === "string" ? value : "";
|
||||
};
|
||||
|
||||
const boolFeature = (packet: FlowPacket, key: string): boolean | null => {
|
||||
const value = packet.features[key];
|
||||
return typeof value === "boolean" ? value : null;
|
||||
};
|
||||
|
||||
const confidenceBand = (probability: number): SmartMoneyProfileScore["confidence_band"] => {
|
||||
if (probability >= 0.72) {
|
||||
return "high";
|
||||
}
|
||||
if (probability >= 0.52) {
|
||||
return "medium";
|
||||
}
|
||||
return "low";
|
||||
};
|
||||
|
||||
const score = (
|
||||
profile_id: SmartMoneyProfileId,
|
||||
probability: number,
|
||||
direction: SmartMoneyDirection,
|
||||
reasons: string[]
|
||||
): SmartMoneyProfileScore => ({
|
||||
profile_id,
|
||||
probability: clamp(probability),
|
||||
confidence_band: confidenceBand(probability),
|
||||
direction,
|
||||
reasons
|
||||
});
|
||||
|
||||
const getReferenceTs = (packet: FlowPacket): number => {
|
||||
return numberFeature(packet, "end_ts") || packet.source_ts;
|
||||
};
|
||||
|
||||
const getDteDays = (packet: FlowPacket): number | null => {
|
||||
const contract = parseContractId(stringFeature(packet, "option_contract_id"));
|
||||
if (!contract) {
|
||||
return null;
|
||||
}
|
||||
const expiryTs = Date.parse(`${contract.expiry}T00:00:00Z`);
|
||||
if (!Number.isFinite(expiryTs)) {
|
||||
return null;
|
||||
}
|
||||
const diff = expiryTs - getReferenceTs(packet);
|
||||
return diff >= 0 ? Math.ceil(diff / MS_PER_DAY) : null;
|
||||
};
|
||||
|
||||
const inferDirection = (packet: FlowPacket): SmartMoneyDirection => {
|
||||
const structureRights = stringFeature(packet, "structure_rights");
|
||||
const optionType = stringFeature(packet, "option_type") || parseContractId(stringFeature(packet, "option_contract_id"))?.right;
|
||||
const buy = numberFeature(packet, "nbbo_aggressive_buy_ratio");
|
||||
const sell = numberFeature(packet, "nbbo_aggressive_sell_ratio");
|
||||
const sellDominant = sell >= buy + 0.12;
|
||||
|
||||
if (structureRights === "C") {
|
||||
return sellDominant ? "bearish" : "bullish";
|
||||
}
|
||||
if (structureRights === "P") {
|
||||
return sellDominant ? "bullish" : "bearish";
|
||||
}
|
||||
if (optionType === "C") {
|
||||
return sellDominant ? "bearish" : "bullish";
|
||||
}
|
||||
if (optionType === "P") {
|
||||
return sellDominant ? "bullish" : "bearish";
|
||||
}
|
||||
return "neutral";
|
||||
};
|
||||
|
||||
const buildFeatures = (packet: FlowPacket): SmartMoneyFeatures => {
|
||||
const contractId = stringFeature(packet, "option_contract_id");
|
||||
const contract = parseContractId(contractId);
|
||||
const underlyingMid = numberFeature(packet, "underlying_mid");
|
||||
const quoteAge = numberFeature(packet, "nbbo_age_ms") || numberFeature(packet, "underlying_quote_age_ms");
|
||||
const printCount = Math.max(0, Math.round(numberFeature(packet, "count") || packet.members.length));
|
||||
const staleCount = numberFeature(packet, "nbbo_stale_count");
|
||||
const missingCount = numberFeature(packet, "nbbo_missing_count");
|
||||
const structureLegs = Math.max(0, Math.round(numberFeature(packet, "structure_legs")));
|
||||
const strikeCount = Math.max(1, Math.round(numberFeature(packet, "structure_strikes") || (contract ? 1 : 0)));
|
||||
const specialCount = numberFeature(packet, "special_print_count");
|
||||
const eventTs = numberFeature(packet, "corporate_event_ts");
|
||||
const referenceTs = getReferenceTs(packet);
|
||||
const expiryTs = contract ? Date.parse(`${contract.expiry}T00:00:00Z`) : Number.NaN;
|
||||
|
||||
const atmProximity =
|
||||
contract && underlyingMid > 0 ? Math.abs(contract.strike - underlyingMid) / underlyingMid : null;
|
||||
|
||||
return {
|
||||
contract_count: Math.max(1, structureLegs || 1),
|
||||
print_count: printCount,
|
||||
total_size: numberFeature(packet, "total_size"),
|
||||
total_premium: numberFeature(packet, "total_premium"),
|
||||
total_notional: numberFeature(packet, "total_notional"),
|
||||
start_ts: numberFeature(packet, "start_ts") || packet.source_ts,
|
||||
end_ts: numberFeature(packet, "end_ts") || packet.source_ts,
|
||||
window_ms: Math.max(0, Math.round(numberFeature(packet, "window_ms"))),
|
||||
...(contractId ? { option_contract_id: contractId } : {}),
|
||||
...(contract?.right === "C" || contract?.right === "P" ? { option_type: contract.right } : {}),
|
||||
dte_days: getDteDays(packet),
|
||||
moneyness: contract && underlyingMid > 0 ? contract.strike / underlyingMid : null,
|
||||
atm_proximity: atmProximity,
|
||||
aggressor_buy_ratio: clamp(numberFeature(packet, "nbbo_aggressive_buy_ratio")),
|
||||
aggressor_sell_ratio: clamp(numberFeature(packet, "nbbo_aggressive_sell_ratio")),
|
||||
aggressor_ratio: clamp(numberFeature(packet, "nbbo_aggressive_ratio")),
|
||||
nbbo_coverage_ratio: clamp(numberFeature(packet, "nbbo_coverage_ratio")),
|
||||
nbbo_inside_ratio: clamp(numberFeature(packet, "nbbo_inside_ratio")),
|
||||
nbbo_stale_ratio: printCount > 0 ? clamp((staleCount + missingCount) / printCount) : 0,
|
||||
quote_age_ms: quoteAge > 0 ? quoteAge : null,
|
||||
venue_count: Math.max(1, Math.round(numberFeature(packet, "venue_count") || 1)),
|
||||
inter_fill_ms_mean: printCount > 1 ? numberFeature(packet, "window_ms") / Math.max(1, printCount - 1) : null,
|
||||
strike_count: strikeCount,
|
||||
strike_concentration: strikeCount > 0 ? clamp(1 / strikeCount) : 0,
|
||||
...(stringFeature(packet, "structure_type") ? { structure_type: stringFeature(packet, "structure_type") } : {}),
|
||||
structure_legs: structureLegs,
|
||||
same_size_leg_symmetry: clamp(numberFeature(packet, "same_size_leg_symmetry")),
|
||||
net_directional_bias: clamp(
|
||||
numberFeature(packet, "nbbo_aggressive_buy_ratio") - numberFeature(packet, "nbbo_aggressive_sell_ratio"),
|
||||
-1,
|
||||
1
|
||||
),
|
||||
synthetic_iv_shock: numberFeature(packet, "execution_iv_shock") || null,
|
||||
spread_widening: numberFeature(packet, "nbbo_spread_z") || null,
|
||||
underlying_move_bps: numberFeature(packet, "underlying_move_bps") || null,
|
||||
days_to_event: eventTs > 0 ? (eventTs - referenceTs) / MS_PER_DAY : null,
|
||||
expiry_after_event: eventTs > 0 && Number.isFinite(expiryTs) ? expiryTs >= eventTs : null,
|
||||
pre_event_concentration: eventTs > 0 && eventTs >= referenceTs ? clamp(1 - (eventTs - referenceTs) / (21 * MS_PER_DAY)) : null,
|
||||
special_print_ratio: printCount > 0 ? clamp(specialCount / printCount) : 0
|
||||
};
|
||||
};
|
||||
|
||||
const detectSuppression = (packet: FlowPacket, features: SmartMoneyFeatures): string[] => {
|
||||
const reasons: string[] = [];
|
||||
const conditions = String(packet.features.conditions ?? "")
|
||||
.split(",")
|
||||
.map((item) => item.trim().toUpperCase())
|
||||
.filter(Boolean);
|
||||
if (conditions.some((condition) => SPECIAL_CONDITIONS.has(condition)) || features.special_print_ratio >= 0.34) {
|
||||
reasons.push("special_print_or_complex_context");
|
||||
}
|
||||
if (features.nbbo_coverage_ratio < 0.35 || features.nbbo_stale_ratio >= 0.5) {
|
||||
reasons.push("stale_or_missing_quote_context");
|
||||
}
|
||||
if (features.nbbo_inside_ratio >= 0.7 && features.aggressor_ratio < 0.35) {
|
||||
reasons.push("inside_market_or_cross_like_execution");
|
||||
}
|
||||
return reasons;
|
||||
};
|
||||
|
||||
const evaluateProfiles = (
|
||||
packet: FlowPacket,
|
||||
features: SmartMoneyFeatures,
|
||||
suppressed: string[]
|
||||
): SmartMoneyProfileScore[] => {
|
||||
const direction = inferDirection(packet);
|
||||
const dte = features.dte_days ?? 999;
|
||||
const structure = features.structure_type ?? "";
|
||||
const isStructure = features.structure_legs >= 2 || Boolean(structure);
|
||||
const buy = features.aggressor_buy_ratio;
|
||||
const sell = features.aggressor_sell_ratio;
|
||||
const premiumFactor = clamp(features.total_premium / 120_000);
|
||||
const sizeFactor = clamp(features.total_size / 1800);
|
||||
const burstFactor = clamp(features.print_count / 8);
|
||||
const quality = clamp(features.nbbo_coverage_ratio - features.nbbo_stale_ratio);
|
||||
const shortDatedOtm =
|
||||
dte <= 7 && features.atm_proximity !== null && features.atm_proximity >= 0.05 && features.option_type === "C";
|
||||
const nearAtm = features.atm_proximity !== null && features.atm_proximity <= 0.015;
|
||||
const preEvent =
|
||||
features.days_to_event !== null &&
|
||||
features.days_to_event >= 0 &&
|
||||
features.days_to_event <= 21 &&
|
||||
features.expiry_after_event === true;
|
||||
|
||||
const scores = [
|
||||
score(
|
||||
"institutional_directional",
|
||||
suppressed.length > 0 || shortDatedOtm
|
||||
? 0.18
|
||||
: 0.2 + premiumFactor * 0.25 + burstFactor * 0.18 + quality * 0.16 + (buy >= 0.58 || sell >= 0.58 ? 0.12 : 0),
|
||||
direction,
|
||||
[
|
||||
"large_parent_event",
|
||||
"directional_aggressor_mix",
|
||||
...(shortDatedOtm ? ["retail_frenzy_guard"] : []),
|
||||
...suppressed
|
||||
]
|
||||
),
|
||||
score(
|
||||
"retail_whale",
|
||||
0.12 +
|
||||
(shortDatedOtm ? 0.28 : 0) +
|
||||
burstFactor * 0.18 +
|
||||
clamp(features.synthetic_iv_shock ?? 0, 0, 0.2) +
|
||||
(features.total_premium < 100_000 ? 0.1 : 0),
|
||||
direction,
|
||||
["short_dated_otm_attention_flow", "burst_print_pattern"]
|
||||
),
|
||||
score(
|
||||
"event_driven",
|
||||
0.12 + (preEvent ? 0.32 : 0) + premiumFactor * 0.14 + clamp(features.spread_widening ?? 0, 0, 0.16),
|
||||
direction === "unknown" ? "neutral" : direction,
|
||||
["event_calendar_alignment", "expiry_after_event", "pre_event_concentration"]
|
||||
),
|
||||
score(
|
||||
"vol_seller",
|
||||
0.12 + (sell >= 0.58 ? 0.24 : 0) + (structure === "straddle" || structure === "strangle" ? 0.2 : 0) + premiumFactor * 0.14,
|
||||
"neutral",
|
||||
["sell_side_premium", "short_vol_structure_evidence"]
|
||||
),
|
||||
score(
|
||||
"arbitrage",
|
||||
0.08 +
|
||||
(isStructure ? 0.18 : 0) +
|
||||
(features.same_size_leg_symmetry >= 0.7 ? 0.24 : 0) +
|
||||
(Math.abs(features.net_directional_bias) <= 0.15 ? 0.18 : 0),
|
||||
"neutral",
|
||||
["matched_leg_symmetry", "near_flat_directional_exposure"]
|
||||
),
|
||||
score(
|
||||
"hedge_reactive",
|
||||
0.1 +
|
||||
(dte <= 2 && nearAtm ? 0.32 : 0) +
|
||||
clamp(Math.abs(features.underlying_move_bps ?? 0) / 80, 0, 0.18) +
|
||||
sizeFactor * 0.12,
|
||||
direction,
|
||||
["short_dated_atm_gamma_context", "underlying_move_linkage"]
|
||||
)
|
||||
];
|
||||
|
||||
return scores.sort((a, b) => b.probability - a.probability);
|
||||
};
|
||||
|
||||
export const buildSmartMoneyEventFromPacket = (packet: FlowPacket): SmartMoneyEvent => {
|
||||
const features = buildFeatures(packet);
|
||||
const suppressed = detectSuppression(packet, features);
|
||||
const profileScores = evaluateProfiles(packet, features, suppressed);
|
||||
const primary = profileScores[0] ?? null;
|
||||
const abstained = !primary || primary.probability < 0.42 || suppressed.includes("stale_or_missing_quote_context");
|
||||
const underlying = stringFeature(packet, "underlying_id") || parseContractId(features.option_contract_id ?? "")?.root || "UNKNOWN";
|
||||
const eventKind = features.structure_legs >= 2 || stringFeature(packet, "packet_kind") === "structure"
|
||||
? "multi_leg_event"
|
||||
: "single_leg_event";
|
||||
|
||||
return SmartMoneyEventSchema.parse({
|
||||
source_ts: packet.source_ts,
|
||||
ingest_ts: packet.ingest_ts,
|
||||
seq: packet.seq,
|
||||
trace_id: `smartmoney:${packet.id}`,
|
||||
event_id: `smartmoney:${eventKind}:${packet.id}`,
|
||||
packet_ids: [packet.id],
|
||||
member_print_ids: packet.members,
|
||||
underlying_id: underlying,
|
||||
event_kind: eventKind,
|
||||
event_window_ms: features.window_ms,
|
||||
features,
|
||||
profile_scores: profileScores,
|
||||
primary_profile_id: abstained ? null : primary?.profile_id ?? null,
|
||||
primary_direction: abstained ? "unknown" : primary?.direction ?? "unknown",
|
||||
abstained,
|
||||
suppressed_reasons: suppressed
|
||||
});
|
||||
};
|
||||
|
||||
const LEGACY_PROFILE_MAP: Record<SmartMoneyProfileId, string> = {
|
||||
institutional_directional: "smart_money_institutional_directional",
|
||||
retail_whale: "smart_money_retail_whale",
|
||||
event_driven: "smart_money_event_driven",
|
||||
vol_seller: "smart_money_vol_seller",
|
||||
arbitrage: "smart_money_arbitrage",
|
||||
hedge_reactive: "smart_money_hedge_reactive"
|
||||
};
|
||||
|
||||
export const deriveClassifierHitsFromSmartMoneyEvent = (event: SmartMoneyEvent): ClassifierHit[] => {
|
||||
if (event.abstained || !event.primary_profile_id) {
|
||||
return [];
|
||||
}
|
||||
|
||||
return event.profile_scores
|
||||
.filter((entry) => entry.profile_id === event.primary_profile_id || entry.probability >= 0.5)
|
||||
.slice(0, 3)
|
||||
.map((entry) => ({
|
||||
classifier_id: LEGACY_PROFILE_MAP[entry.profile_id],
|
||||
confidence: entry.probability,
|
||||
direction: entry.direction,
|
||||
explanations: [
|
||||
`Profile ${entry.profile_id} probability ${(entry.probability * 100).toFixed(0)}%.`,
|
||||
...entry.reasons,
|
||||
...event.suppressed_reasons.map((reason) => `Suppression guard: ${reason}.`)
|
||||
]
|
||||
}));
|
||||
};
|
||||
58
services/compute/tests/parent-events.test.ts
Normal file
58
services/compute/tests/parent-events.test.ts
Normal file
|
|
@ -0,0 +1,58 @@
|
|||
import { describe, expect, it } from "bun:test";
|
||||
import {
|
||||
buildSmartMoneyEventFromPacket,
|
||||
deriveClassifierHitsFromSmartMoneyEvent
|
||||
} from "../src/parent-events";
|
||||
import { buildFlowPacket } from "./helpers";
|
||||
|
||||
describe("smart money parent events", () => {
|
||||
it("scores institutional directional parent events and derives legacy hits", () => {
|
||||
const packet = buildFlowPacket({
|
||||
id: "flowpacket:institutional",
|
||||
source_ts: Date.parse("2025-01-15T15:00:00Z"),
|
||||
features: {
|
||||
option_contract_id: "SPY-2025-02-21-450-C",
|
||||
underlying_id: "SPY",
|
||||
count: 8,
|
||||
window_ms: 450,
|
||||
total_size: 2200,
|
||||
total_premium: 180_000,
|
||||
total_notional: 18_000_000,
|
||||
nbbo_coverage_ratio: 0.92,
|
||||
nbbo_aggressive_ratio: 0.82,
|
||||
nbbo_aggressive_buy_ratio: 0.78,
|
||||
nbbo_aggressive_sell_ratio: 0.04,
|
||||
nbbo_inside_ratio: 0.08,
|
||||
underlying_mid: 448
|
||||
}
|
||||
});
|
||||
|
||||
const event = buildSmartMoneyEventFromPacket(packet);
|
||||
expect(event.event_kind).toBe("single_leg_event");
|
||||
expect(event.primary_profile_id).toBe("institutional_directional");
|
||||
expect(event.primary_direction).toBe("bullish");
|
||||
|
||||
const hits = deriveClassifierHitsFromSmartMoneyEvent(event);
|
||||
expect(hits[0]?.classifier_id).toBe("smart_money_institutional_directional");
|
||||
});
|
||||
|
||||
it("abstains when quote context is stale or missing", () => {
|
||||
const packet = buildFlowPacket({
|
||||
id: "flowpacket:stale",
|
||||
features: {
|
||||
option_contract_id: "SPY-2025-02-21-450-C",
|
||||
count: 8,
|
||||
window_ms: 450,
|
||||
total_size: 2200,
|
||||
total_premium: 180_000,
|
||||
nbbo_coverage_ratio: 0.1,
|
||||
nbbo_missing_count: 8
|
||||
}
|
||||
});
|
||||
|
||||
const event = buildSmartMoneyEventFromPacket(packet);
|
||||
expect(event.abstained).toBe(true);
|
||||
expect(event.primary_profile_id).toBeNull();
|
||||
expect(event.suppressed_reasons).toContain("stale_or_missing_quote_context");
|
||||
});
|
||||
});
|
||||
Loading…
Add table
Add a link
Reference in a new issue