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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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17
services/compute/src/parent-events.ts
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@ -8,6 +8,7 @@ import {
type SmartMoneyProfileId,
type SmartMoneyProfileScore
} from "@islandflow/types";
import type { EventCalendarMatch } from "@islandflow/refdata/event-calendar";
import { parseContractId } from "./contracts";
const MS_PER_DAY = 86_400_000;
@ -97,7 +98,11 @@ const inferDirection = (packet: FlowPacket): SmartMoneyDirection => {
return "neutral";
};
const buildFeatures = (packet: FlowPacket): SmartMoneyFeatures => {
export type SmartMoneyParentEventOptions = {
eventCalendarMatch?: EventCalendarMatch | null;
};
const buildFeatures = (packet: FlowPacket, options: SmartMoneyParentEventOptions = {}): SmartMoneyFeatures => {
const contractId = stringFeature(packet, "option_contract_id");
const contract = parseContractId(contractId);
const underlyingMid = numberFeature(packet, "underlying_mid");
@ -108,7 +113,8 @@ const buildFeatures = (packet: FlowPacket): SmartMoneyFeatures => {
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 calendarEventTs = options.eventCalendarMatch?.event_ts ?? null;
const eventTs = calendarEventTs ?? numberFeature(packet, "corporate_event_ts");
const referenceTs = getReferenceTs(packet);
const expiryTs = contract ? Date.parse(`${contract.expiry}T00:00:00Z`) : Number.NaN;
@ -259,8 +265,11 @@ const evaluateProfiles = (
return scores.sort((a, b) => b.probability - a.probability);
};
export const buildSmartMoneyEventFromPacket = (packet: FlowPacket): SmartMoneyEvent => {
const features = buildFeatures(packet);
export const buildSmartMoneyEventFromPacket = (
packet: FlowPacket,
options: SmartMoneyParentEventOptions = {}
): SmartMoneyEvent => {
const features = buildFeatures(packet, options);
const suppressed = detectSuppression(packet, features);
const profileScores = evaluateProfiles(packet, features, suppressed);
const primary = profileScores[0] ?? null;