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Add smart money event calendar enrichment

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dirtydishes 2026-05-04 19:21:18 -04:00
parent 6108aea166
commit 6b794ec7ac
11 changed files with 270 additions and 8 deletions
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33
services/compute/src/index.ts
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@ -1,5 +1,10 @@
import { readEnv } from "@islandflow/config";
import { createLogger } from "@islandflow/observability";
import {
createEmptyEventCalendarProvider,
loadEventCalendarProviderFromFile,
type EventCalendarProvider
} from "@islandflow/refdata/event-calendar";
import {
SUBJECT_ALERTS,
SUBJECT_CLASSIFIER_HITS,
@ -135,10 +140,12 @@ const envSchema = z.object({
CLASSIFIER_MIN_AGGRESSOR_RATIO: z.coerce.number().min(0).max(1).default(0.55),
CLASSIFIER_0DTE_MAX_ATM_PCT: z.coerce.number().min(0).max(1).default(0.01),
CLASSIFIER_0DTE_MIN_PREMIUM: z.coerce.number().positive().default(20_000),
CLASSIFIER_0DTE_MIN_SIZE: z.coerce.number().int().positive().default(400)
CLASSIFIER_0DTE_MIN_SIZE: z.coerce.number().int().positive().default(400),
SMART_MONEY_EVENT_CALENDAR_PATH: z.string().optional()
});
const env = readEnv(envSchema);
let eventCalendarProvider: EventCalendarProvider = createEmptyEventCalendarProvider();
const classifierConfig: ClassifierConfig = {
sweepMinPremium: env.CLASSIFIER_SWEEP_MIN_PREMIUM,
@ -898,7 +905,16 @@ const emitClassifiers = async (
): Promise<void> => {
let smartMoneyEvent: SmartMoneyEvent;
try {
smartMoneyEvent = SmartMoneyEventSchema.parse(buildSmartMoneyEventFromPacket(packet));
const underlyingId =
typeof packet.features.underlying_id === "string"
? packet.features.underlying_id
: parseContractId(typeof packet.features.option_contract_id === "string" ? packet.features.option_contract_id : "")?.root;
const referenceTs =
typeof packet.features.end_ts === "number" && Number.isFinite(packet.features.end_ts)
? packet.features.end_ts
: packet.source_ts;
const eventCalendarMatch = underlyingId ? eventCalendarProvider.findNextEvent(underlyingId, referenceTs) : null;
smartMoneyEvent = SmartMoneyEventSchema.parse(buildSmartMoneyEventFromPacket(packet, { eventCalendarMatch }));
await insertSmartMoneyEvent(clickhouse, smartMoneyEvent);
await publishJson(js, SUBJECT_SMART_MONEY_EVENTS, smartMoneyEvent);
} catch (error) {
@ -1200,6 +1216,19 @@ const run = async () => {
database: env.CLICKHOUSE_DATABASE
});
if (env.SMART_MONEY_EVENT_CALENDAR_PATH) {
try {
eventCalendarProvider = await loadEventCalendarProviderFromFile(env.SMART_MONEY_EVENT_CALENDAR_PATH);
logger.info("smart money event calendar loaded", { path: env.SMART_MONEY_EVENT_CALENDAR_PATH });
} catch (error) {
eventCalendarProvider = createEmptyEventCalendarProvider();
logger.warn("smart money event calendar unavailable; scoring will use neutral event features", {
path: env.SMART_MONEY_EVENT_CALENDAR_PATH,
error: error instanceof Error ? error.message : String(error)
});
}
}
const redis = createRedisClient(env.REDIS_URL);
redis.on("error", (error) => {
logger.warn("redis client error", { error: error instanceof Error ? error.message : String(error) });