Added per‑print NBBO placement tracking into clustering, exposed aggressor mix on
FlowPackets, and used it to adjust sweep/spike confidence. The Flow Packets UI now shows an aggressor mix pill with coverage and inside ratio.
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7 changed files with 247 additions and 12 deletions
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@ -15,6 +15,7 @@ Done now (in repo):
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- Deterministic option FlowPacket clustering (time window) + persistence
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- Rolling stats in Redis (premium/size/spread) with z-score features on FlowPackets
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- FlowPacket structure tags (vertical/ladder/straddle/strangle) for multi-leg bursts
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- Aggressor mix features (NBBO placement ratios) on FlowPackets
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- Rule-first classifiers + alert scoring with ClickHouse persistence + WS/REST endpoints
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- API: REST for prints/flow packets/classifier hits/alerts, WS for live options/equities/flow/alerts/hits, replay endpoints
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- UI: live tapes for options/equities/flow + replay toggle + pause controls + replay time/completion
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@ -47,6 +48,7 @@ Not started:
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- Deterministic option FlowPacket clustering (time-window)
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- Rolling stats baselines in Redis with z-score features on FlowPackets
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- Basic multi-leg structure tagging on FlowPackets
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- Aggressor mix features from NBBO placement on FlowPackets
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- Classifiers + alert scoring (rule-first) with WS/REST endpoints
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- API gateway with REST, WS, and replay endpoints
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- UI tapes for options/equities/flow packets + alerts/hits with live/replay toggle and pause controls
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@ -110,6 +112,7 @@ Adapter selection (env):
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- Compute: `COMPUTE_DELIVER_POLICY` (`new` default), `COMPUTE_CONSUMER_RESET` (force skip backlog)
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- Rolling stats: `REDIS_URL`, `ROLLING_WINDOW_SIZE`, `ROLLING_TTL_SEC`
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- Classifier tuning: `CLASSIFIER_SWEEP_MIN_PREMIUM_Z`, `CLASSIFIER_SPIKE_MIN_PREMIUM_Z`, `CLASSIFIER_SPIKE_MIN_SIZE_Z`, `CLASSIFIER_Z_MIN_SAMPLES`
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- Aggressor gating: `CLASSIFIER_MIN_NBBO_COVERAGE`, `CLASSIFIER_MIN_AGGRESSOR_RATIO`
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Testing mode (throttles ingest to reduce CPU):
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- `TESTING_MODE=true` enables throttling
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