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.
This commit is contained in:
dirtydishes
parent
0b0ffa651e
commit
69758d28d9
7 changed files with 247 additions and 12 deletions
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@ -10,6 +10,8 @@ export type ClassifierConfig = {
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spikeMinPremiumZ: number;
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spikeMinSizeZ: number;
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zMinSamples: number;
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minNbboCoverage: number;
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minAggressorRatio: number;
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};
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const clamp = (value: number, min = 0, max = 1): number => {
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@ -31,6 +33,34 @@ const getNumberFeature = (packet: FlowPacket, key: string): number => {
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return typeof value === "number" && Number.isFinite(value) ? value : 0;
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};
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const formatPct = (value: number): string => `${Math.round(value * 100)}%`;
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const applyAggressorAdjustment = (
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confidence: number,
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coverage: number,
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aggressiveRatio: number,
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config: ClassifierConfig
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): { confidence: number; note: string } => {
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if (!Number.isFinite(coverage) || coverage <= 0) {
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return { confidence, note: "Aggressor mix unavailable (no NBBO coverage)." };
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}
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let adjusted = confidence;
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if (coverage >= config.minNbboCoverage) {
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if (aggressiveRatio >= config.minAggressorRatio) {
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adjusted += 0.05;
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} else {
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adjusted -= 0.1;
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}
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}
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const note = `Aggressor mix ${formatPct(aggressiveRatio)} aggressive, NBBO coverage ${formatPct(
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coverage
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)}.`;
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return { confidence: adjusted, note };
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};
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const buildSweepHit = (
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packet: FlowPacket,
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contract: ParsedContract,
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@ -45,6 +75,10 @@ const buildSweepHit = (
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const windowMs = getNumberFeature(packet, "window_ms");
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const premiumZ = getNumberFeature(packet, "total_premium_z");
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const premiumBaseline = getNumberFeature(packet, "total_premium_baseline_n");
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const coverage = getNumberFeature(packet, "nbbo_coverage_ratio");
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const aggressiveBuyRatio = getNumberFeature(packet, "nbbo_aggressive_buy_ratio");
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const aggressiveSellRatio = getNumberFeature(packet, "nbbo_aggressive_sell_ratio");
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const aggressiveRatio = Math.max(aggressiveBuyRatio, aggressiveSellRatio);
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const baselineReady = premiumBaseline >= config.zMinSamples;
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const passesAbsolute = totalPremium >= config.sweepMinPremium;
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@ -74,7 +108,8 @@ const buildSweepHit = (
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}
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}
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confidence = clamp(confidence, 0, 0.95);
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const aggressor = applyAggressorAdjustment(confidence, coverage, aggressiveRatio, config);
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confidence = clamp(aggressor.confidence, 0, 0.95);
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const baselineNote = baselineReady
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? `Baseline premium z-score ${premiumZ.toFixed(2)} over ${Math.round(premiumBaseline)} samples.`
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@ -88,7 +123,8 @@ const buildSweepHit = (
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`Likely ${direction === "bullish" ? "call" : "put"} sweep: ${count} prints in ${Math.round(windowMs)}ms for ${packet.features.option_contract_id ?? packet.id}.`,
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`Premium ${formatUsd(totalPremium)} across ${Math.round(totalSize)} contracts; price ${priceTrend}.`,
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`Thresholds: >=${config.sweepMinCount} prints and >=${formatUsd(config.sweepMinPremium)} premium or z>=${config.sweepMinPremiumZ.toFixed(1)}.`,
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baselineNote
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baselineNote,
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aggressor.note
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]
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};
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};
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@ -102,6 +138,10 @@ const buildSpikeHit = (packet: FlowPacket, config: ClassifierConfig): Classifier
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const sizeZ = getNumberFeature(packet, "total_size_z");
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const premiumBaseline = getNumberFeature(packet, "total_premium_baseline_n");
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const sizeBaseline = getNumberFeature(packet, "total_size_baseline_n");
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const coverage = getNumberFeature(packet, "nbbo_coverage_ratio");
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const aggressiveBuyRatio = getNumberFeature(packet, "nbbo_aggressive_buy_ratio");
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const aggressiveSellRatio = getNumberFeature(packet, "nbbo_aggressive_sell_ratio");
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const aggressiveRatio = Math.max(aggressiveBuyRatio, aggressiveSellRatio);
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const premiumBaselineReady = premiumBaseline >= config.zMinSamples;
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const sizeBaselineReady = sizeBaseline >= config.zMinSamples;
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@ -131,7 +171,8 @@ const buildSpikeHit = (packet: FlowPacket, config: ClassifierConfig): Classifier
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}
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}
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confidence = clamp(confidence, 0, 0.9);
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const aggressor = applyAggressorAdjustment(confidence, coverage, aggressiveRatio, config);
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confidence = clamp(aggressor.confidence, 0, 0.9);
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const baselineNote =
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premiumBaselineReady || sizeBaselineReady
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@ -146,7 +187,8 @@ const buildSpikeHit = (packet: FlowPacket, config: ClassifierConfig): Classifier
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`Unusual contract spike: ${count} prints in ${Math.round(windowMs)}ms for ${packet.features.option_contract_id ?? packet.id}.`,
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`Premium ${formatUsd(totalPremium)} across ${Math.round(totalSize)} contracts.`,
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`Thresholds: >=${config.spikeMinSize} contracts and >=${formatUsd(config.spikeMinPremium)} premium or z>=${config.spikeMinPremiumZ.toFixed(1)}.`,
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baselineNote
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baselineNote,
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aggressor.note
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]
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};
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};
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@ -78,7 +78,9 @@ const envSchema = z.object({
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CLASSIFIER_SPIKE_MIN_SIZE: z.coerce.number().int().positive().default(400),
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CLASSIFIER_SPIKE_MIN_PREMIUM_Z: z.coerce.number().nonnegative().default(2.5),
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CLASSIFIER_SPIKE_MIN_SIZE_Z: z.coerce.number().nonnegative().default(2),
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CLASSIFIER_Z_MIN_SAMPLES: z.coerce.number().int().nonnegative().default(12)
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CLASSIFIER_Z_MIN_SAMPLES: z.coerce.number().int().nonnegative().default(12),
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CLASSIFIER_MIN_NBBO_COVERAGE: z.coerce.number().min(0).max(1).default(0.5),
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CLASSIFIER_MIN_AGGRESSOR_RATIO: z.coerce.number().min(0).max(1).default(0.55)
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});
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const env = readEnv(envSchema);
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@ -91,7 +93,9 @@ const classifierConfig: ClassifierConfig = {
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spikeMinSize: env.CLASSIFIER_SPIKE_MIN_SIZE,
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spikeMinPremiumZ: env.CLASSIFIER_SPIKE_MIN_PREMIUM_Z,
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spikeMinSizeZ: env.CLASSIFIER_SPIKE_MIN_SIZE_Z,
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zMinSamples: env.CLASSIFIER_Z_MIN_SAMPLES
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zMinSamples: env.CLASSIFIER_Z_MIN_SAMPLES,
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minNbboCoverage: env.CLASSIFIER_MIN_NBBO_COVERAGE,
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minAggressorRatio: env.CLASSIFIER_MIN_AGGRESSOR_RATIO
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};
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const retry = async <T>(
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@ -128,6 +132,18 @@ const roundTo = (value: number, digits = 4): number => {
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return Number(value.toFixed(digits));
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};
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type NbboPlacement = "AA" | "A" | "B" | "BB" | "MID" | "MISSING" | "STALE";
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type NbboPlacementCounts = {
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aa: number;
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a: number;
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b: number;
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bb: number;
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mid: number;
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missing: number;
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stale: number;
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};
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type ClusterState = {
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contractId: string;
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startTs: number;
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@ -140,6 +156,7 @@ type ClusterState = {
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totalPremium: number;
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firstPrice: number;
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lastPrice: number;
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placements: NbboPlacementCounts;
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};
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const clusters = new Map<string, ClusterState>();
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@ -152,6 +169,43 @@ const rollingKey = (metric: string, contractId: string): string => {
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return `rolling:${metric}:${contractId}`;
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};
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const createPlacementCounts = (): NbboPlacementCounts => ({
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aa: 0,
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a: 0,
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b: 0,
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bb: 0,
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mid: 0,
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missing: 0,
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stale: 0
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});
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const recordPlacement = (counts: NbboPlacementCounts, placement: NbboPlacement): void => {
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switch (placement) {
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case "AA":
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counts.aa += 1;
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break;
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case "A":
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counts.a += 1;
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break;
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case "B":
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counts.b += 1;
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break;
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case "BB":
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counts.bb += 1;
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break;
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case "MID":
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counts.mid += 1;
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break;
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case "STALE":
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counts.stale += 1;
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break;
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case "MISSING":
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default:
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counts.missing += 1;
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break;
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}
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};
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const buildLegFromCluster = (cluster: ClusterState): ContractLeg | null => {
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const parsed = parseContractId(cluster.contractId);
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if (!parsed) {
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@ -237,6 +291,8 @@ const applyDeliverPolicy = (
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};
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const buildCluster = (print: OptionPrint): ClusterState => {
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const placements = createPlacementCounts();
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recordPlacement(placements, classifyPlacement(print.price, selectNbbo(print.option_contract_id, print.ts)));
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return {
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contractId: print.option_contract_id,
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startTs: print.ts,
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@ -248,7 +304,8 @@ const buildCluster = (print: OptionPrint): ClusterState => {
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totalSize: print.size,
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totalPremium: print.price * print.size,
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firstPrice: print.price,
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lastPrice: print.price
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lastPrice: print.price,
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placements
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};
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};
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@ -260,6 +317,10 @@ const updateCluster = (cluster: ClusterState, print: OptionPrint): ClusterState
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cluster.totalSize += print.size;
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cluster.totalPremium += print.price * print.size;
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cluster.lastPrice = print.price;
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recordPlacement(
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cluster.placements,
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classifyPlacement(print.price, selectNbbo(print.option_contract_id, print.ts))
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);
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return cluster;
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};
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@ -291,6 +352,42 @@ const selectNbbo = (contractId: string, ts: number): NbboJoin => {
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return { nbbo, ageMs, stale };
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};
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const classifyPlacement = (price: number, join: NbboJoin): NbboPlacement => {
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if (!Number.isFinite(price)) {
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return "MISSING";
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}
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if (!join.nbbo) {
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return "MISSING";
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}
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if (join.stale) {
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return "STALE";
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}
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const bid = join.nbbo.bid;
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const ask = join.nbbo.ask;
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if (!Number.isFinite(bid) || !Number.isFinite(ask) || ask <= 0) {
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return "MISSING";
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}
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const spread = Math.max(0, ask - bid);
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const epsilon = Math.max(0.01, spread * 0.05);
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if (price > ask + epsilon) {
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return "AA";
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}
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if (price >= ask - epsilon) {
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return "A";
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}
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if (price < bid - epsilon) {
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return "BB";
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}
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if (price <= bid + epsilon) {
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return "B";
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}
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return "MID";
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};
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const flushCluster = async (
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clickhouse: ReturnType<typeof createClickHouseClient>,
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js: Awaited<ReturnType<typeof connectJetStreamWithRetry>>["js"],
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@ -315,6 +412,37 @@ const flushCluster = async (
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window_ms: env.CLUSTER_WINDOW_MS
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};
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const placementTotal =
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cluster.placements.aa +
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cluster.placements.a +
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cluster.placements.b +
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cluster.placements.bb +
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cluster.placements.mid;
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const aggressiveTotal =
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cluster.placements.aa + cluster.placements.a + cluster.placements.b + cluster.placements.bb;
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const aggressiveBuy = cluster.placements.aa + cluster.placements.a;
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const aggressiveSell = cluster.placements.bb + cluster.placements.b;
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const coverageRatio = cluster.members.length > 0 ? placementTotal / cluster.members.length : 0;
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const aggressiveBuyRatio = aggressiveTotal > 0 ? aggressiveBuy / aggressiveTotal : 0;
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const aggressiveSellRatio = aggressiveTotal > 0 ? aggressiveSell / aggressiveTotal : 0;
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const insideRatio = placementTotal > 0 ? cluster.placements.mid / placementTotal : 0;
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const aggressiveRatio = placementTotal > 0 ? aggressiveTotal / placementTotal : 0;
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features.nbbo_aa_count = cluster.placements.aa;
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features.nbbo_a_count = cluster.placements.a;
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features.nbbo_b_count = cluster.placements.b;
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features.nbbo_bb_count = cluster.placements.bb;
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features.nbbo_mid_count = cluster.placements.mid;
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features.nbbo_missing_count = cluster.placements.missing;
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features.nbbo_stale_count = cluster.placements.stale;
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features.nbbo_coverage_ratio = roundTo(coverageRatio);
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features.nbbo_aggressive_buy_ratio = roundTo(aggressiveBuyRatio);
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features.nbbo_aggressive_sell_ratio = roundTo(aggressiveSellRatio);
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features.nbbo_inside_ratio = roundTo(insideRatio);
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features.nbbo_aggressive_ratio = roundTo(aggressiveRatio);
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joinQuality.nbbo_coverage_ratio = roundTo(coverageRatio);
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const addRollingSnapshot = async (
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metric: string,
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value: number,
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