dirtydishes/islandflow
1
0
Fork 0
Code Issues 2 Pull requests 4 Projects Releases Packages Wiki Activity Actions 1

Added per‑print NBBO placement tracking into clustering, exposed aggressor mix on

Browse source 
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 2025-12-30 17:31:37 -05:00
parent 0b0ffa651e
commit 69758d28d9
7 changed files with 247 additions and 12 deletions
Download patch file Download diff file Expand all files Collapse all files

50
services/compute/src/classifiers.ts
View file

@ -10,6 +10,8 @@ export type ClassifierConfig = {
spikeMinPremiumZ: number;
spikeMinSizeZ: number;
zMinSamples: number;
minNbboCoverage: number;
minAggressorRatio: number;
};
const clamp = (value: number, min = 0, max = 1): number => {
@ -31,6 +33,34 @@ const getNumberFeature = (packet: FlowPacket, key: string): number => {
return typeof value === "number" && Number.isFinite(value) ? value : 0;
};
const formatPct = (value: number): string => `${Math.round(value * 100)}%`;
const applyAggressorAdjustment = (
confidence: number,
coverage: number,
aggressiveRatio: number,
config: ClassifierConfig
): { confidence: number; note: string } => {
if (!Number.isFinite(coverage) || coverage <= 0) {
return { confidence, note: "Aggressor mix unavailable (no NBBO coverage)." };
}
let adjusted = confidence;
if (coverage >= config.minNbboCoverage) {
if (aggressiveRatio >= config.minAggressorRatio) {
adjusted += 0.05;
} else {
adjusted -= 0.1;
}
}
const note = `Aggressor mix ${formatPct(aggressiveRatio)} aggressive, NBBO coverage ${formatPct(
coverage
)}.`;
return { confidence: adjusted, note };
};
const buildSweepHit = (
packet: FlowPacket,
contract: ParsedContract,
@ -45,6 +75,10 @@ const buildSweepHit = (
const windowMs = getNumberFeature(packet, "window_ms");
const premiumZ = getNumberFeature(packet, "total_premium_z");
const premiumBaseline = getNumberFeature(packet, "total_premium_baseline_n");
const coverage = getNumberFeature(packet, "nbbo_coverage_ratio");
const aggressiveBuyRatio = getNumberFeature(packet, "nbbo_aggressive_buy_ratio");
const aggressiveSellRatio = getNumberFeature(packet, "nbbo_aggressive_sell_ratio");
const aggressiveRatio = Math.max(aggressiveBuyRatio, aggressiveSellRatio);
const baselineReady = premiumBaseline >= config.zMinSamples;
const passesAbsolute = totalPremium >= config.sweepMinPremium;
@ -74,7 +108,8 @@ const buildSweepHit = (
}
}
confidence = clamp(confidence, 0, 0.95);
const aggressor = applyAggressorAdjustment(confidence, coverage, aggressiveRatio, config);
confidence = clamp(aggressor.confidence, 0, 0.95);
const baselineNote = baselineReady
? `Baseline premium z-score ${premiumZ.toFixed(2)} over ${Math.round(premiumBaseline)} samples.`
@ -88,7 +123,8 @@ const buildSweepHit = (
`Likely ${direction === "bullish" ? "call" : "put"} sweep: ${count} prints in ${Math.round(windowMs)}ms for ${packet.features.option_contract_id ?? packet.id}.`,
`Premium ${formatUsd(totalPremium)} across ${Math.round(totalSize)} contracts; price ${priceTrend}.`,
`Thresholds: >=${config.sweepMinCount} prints and >=${formatUsd(config.sweepMinPremium)} premium or z>=${config.sweepMinPremiumZ.toFixed(1)}.`,
baselineNote
baselineNote,
aggressor.note
]
};
};
@ -102,6 +138,10 @@ const buildSpikeHit = (packet: FlowPacket, config: ClassifierConfig): Classifier
const sizeZ = getNumberFeature(packet, "total_size_z");
const premiumBaseline = getNumberFeature(packet, "total_premium_baseline_n");
const sizeBaseline = getNumberFeature(packet, "total_size_baseline_n");
const coverage = getNumberFeature(packet, "nbbo_coverage_ratio");
const aggressiveBuyRatio = getNumberFeature(packet, "nbbo_aggressive_buy_ratio");
const aggressiveSellRatio = getNumberFeature(packet, "nbbo_aggressive_sell_ratio");
const aggressiveRatio = Math.max(aggressiveBuyRatio, aggressiveSellRatio);
const premiumBaselineReady = premiumBaseline >= config.zMinSamples;
const sizeBaselineReady = sizeBaseline >= config.zMinSamples;
@ -131,7 +171,8 @@ const buildSpikeHit = (packet: FlowPacket, config: ClassifierConfig): Classifier
}
}
confidence = clamp(confidence, 0, 0.9);
const aggressor = applyAggressorAdjustment(confidence, coverage, aggressiveRatio, config);
confidence = clamp(aggressor.confidence, 0, 0.9);
const baselineNote =
premiumBaselineReady || sizeBaselineReady
@ -146,7 +187,8 @@ const buildSpikeHit = (packet: FlowPacket, config: ClassifierConfig): Classifier
`Unusual contract spike: ${count} prints in ${Math.round(windowMs)}ms for ${packet.features.option_contract_id ?? packet.id}.`,
`Premium ${formatUsd(totalPremium)} across ${Math.round(totalSize)} contracts.`,
`Thresholds: >=${config.spikeMinSize} contracts and >=${formatUsd(config.spikeMinPremium)} premium or z>=${config.spikeMinPremiumZ.toFixed(1)}.`,
baselineNote
baselineNote,
aggressor.note
]
};
};