Add flow packet clustering

packages/bus/src/subjects.ts

@@ -2,3 +2,5 @@ export const STREAM_OPTION_PRINTS = "OPTIONS_PRINTS";
 export const SUBJECT_OPTION_PRINTS = "options.prints";
 export const STREAM_EQUITY_PRINTS = "EQUITY_PRINTS";
 export const SUBJECT_EQUITY_PRINTS = "equities.prints";
+export const STREAM_FLOW_PACKETS = "FLOW_PACKETS";
+export const SUBJECT_FLOW_PACKETS = "flow.packets";

packages/storage/src/clickhouse.ts

@@ -1,6 +1,6 @@
 import { createClient, type ClickHouseClient } from "@clickhouse/client";
-import { EquityPrintSchema, OptionPrintSchema } from "@islandflow/types";
+import { EquityPrintSchema, FlowPacketSchema, OptionPrintSchema } from "@islandflow/types";
-import type { EquityPrint, OptionPrint } from "@islandflow/types";
+import type { EquityPrint, FlowPacket, OptionPrint } from "@islandflow/types";
 import {
   normalizeOptionPrint,
   optionPrintsTableDDL,
@@ -11,6 +11,13 @@ import {
   EQUITY_PRINTS_TABLE,
   normalizeEquityPrint
 } from "./equity-prints";
+import {
+  FLOW_PACKETS_TABLE,
+  flowPacketsTableDDL,
+  fromFlowPacketRecord,
+  toFlowPacketRecord,
+  type FlowPacketRecord
+} from "./flow-packets";
 
 export type ClickHouseOptions = {
   url: string;
@@ -44,6 +51,14 @@ export const ensureEquityPrintsTable = async (
   });
 };
 
+export const ensureFlowPacketsTable = async (
+  client: ClickHouseClient
+): Promise<void> => {
+  await client.exec({
+    query: flowPacketsTableDDL()
+  });
+};
+
 export const insertOptionPrint = async (
   client: ClickHouseClient,
   print: OptionPrint
@@ -68,6 +83,18 @@ export const insertEquityPrint = async (
   });
 };
 
+export const insertFlowPacket = async (
+  client: ClickHouseClient,
+  packet: FlowPacket
+): Promise<void> => {
+  const record = toFlowPacketRecord(packet);
+  await client.insert({
+    table: FLOW_PACKETS_TABLE,
+    values: [record],
+    format: "JSONEachRow"
+  });
+};
+
 const clampLimit = (limit: number): number => {
   if (!Number.isFinite(limit)) {
     return 100;
@@ -149,6 +176,26 @@ const normalizeEquityRow = (row: unknown): unknown => {
   return row;
 };
 
+const normalizeFlowPacketRow = (row: unknown): FlowPacketRecord | null => {
+  if (!row || typeof row !== "object") {
+    return null;
+  }
+
+  const record = row as Record<string, unknown>;
+  return {
+    source_ts: coerceNumber(record.source_ts) as number,
+    ingest_ts: coerceNumber(record.ingest_ts) as number,
+    seq: coerceNumber(record.seq) as number,
+    trace_id: String(record.trace_id ?? ""),
+    id: String(record.id ?? ""),
+    members: Array.isArray(record.members)
+      ? record.members.map((value) => String(value))
+      : [],
+    features_json: String(record.features_json ?? "{}"),
+    join_quality_json: String(record.join_quality_json ?? "{}")
+  };
+};
+
 export const fetchRecentOptionPrints = async (
   client: ClickHouseClient,
   limit: number
@@ -177,6 +224,24 @@ export const fetchRecentEquityPrints = async (
   return EquityPrintSchema.array().parse(rows.map(normalizeEquityRow));
 };
 
+export const fetchRecentFlowPackets = async (
+  client: ClickHouseClient,
+  limit: number
+): Promise<FlowPacket[]> => {
+  const safeLimit = clampLimit(limit);
+  const result = await client.query({
+    query: `SELECT * FROM ${FLOW_PACKETS_TABLE} ORDER BY source_ts DESC, seq DESC LIMIT ${safeLimit}`,
+    format: "JSONEachRow"
+  });
+
+  const rows = await result.json<unknown[]>();
+  const records = rows
+    .map(normalizeFlowPacketRow)
+    .filter((record): record is FlowPacketRecord => record !== null);
+  const packets = records.map(fromFlowPacketRecord);
+  return FlowPacketSchema.array().parse(packets);
+};
+
 export const fetchOptionPrintsAfter = async (
   client: ClickHouseClient,
   afterTs: number,

packages/storage/src/flow-packets.ts

@@ -0,0 +1,70 @@
+import type { FlowPacket } from "@islandflow/types";
+
+export const FLOW_PACKETS_TABLE = "flow_packets";
+
+export type FlowPacketRecord = {
+  source_ts: number;
+  ingest_ts: number;
+  seq: number;
+  trace_id: string;
+  id: string;
+  members: string[];
+  features_json: string;
+  join_quality_json: string;
+};
+
+export const flowPacketsTableDDL = (): string => {
+  return `
+CREATE TABLE IF NOT EXISTS ${FLOW_PACKETS_TABLE} (
+  source_ts UInt64,
+  ingest_ts UInt64,
+  seq UInt64,
+  trace_id String,
+  id String,
+  members Array(String),
+  features_json String,
+  join_quality_json String
+)
+ENGINE = MergeTree
+ORDER BY (source_ts, seq)
+`;
+};
+
+export const toFlowPacketRecord = (packet: FlowPacket): FlowPacketRecord => {
+  return {
+    source_ts: packet.source_ts,
+    ingest_ts: packet.ingest_ts,
+    seq: packet.seq,
+    trace_id: packet.trace_id,
+    id: packet.id,
+    members: packet.members,
+    features_json: JSON.stringify(packet.features),
+    join_quality_json: JSON.stringify(packet.join_quality)
+  };
+};
+
+const safeJson = (value: string, fallback: Record<string, unknown>): Record<string, unknown> => {
+  try {
+    const parsed = JSON.parse(value);
+    if (parsed && typeof parsed === "object") {
+      return parsed as Record<string, unknown>;
+    }
+  } catch {
+    // ignore
+  }
+
+  return fallback;
+};
+
+export const fromFlowPacketRecord = (record: FlowPacketRecord): FlowPacket => {
+  return {
+    source_ts: record.source_ts,
+    ingest_ts: record.ingest_ts,
+    seq: record.seq,
+    trace_id: record.trace_id,
+    id: record.id,
+    members: record.members,
+    features: safeJson(record.features_json, {}),
+    join_quality: safeJson(record.join_quality_json, {}) as Record<string, number>
+  };
+};

packages/storage/src/index.ts

@@ -1,3 +1,4 @@
 export * from "./clickhouse";
+export * from "./flow-packets";
 export * from "./equity-prints";
 export * from "./option-prints";

packages/storage/tests/flow-packets.test.ts

@@ -0,0 +1,39 @@
+import { describe, expect, it } from "bun:test";
+import {
+  flowPacketsTableDDL,
+  FLOW_PACKETS_TABLE,
+  fromFlowPacketRecord,
+  toFlowPacketRecord
+} from "../src/flow-packets";
+
+const packet = {
+  source_ts: 10,
+  ingest_ts: 20,
+  seq: 1,
+  trace_id: "fp-1",
+  id: "fp-1",
+  members: ["p1", "p2"],
+  features: {
+    option_contract_id: "SPY-2025-01-17-450-C",
+    count: 2,
+    total_size: 30
+  },
+  join_quality: {
+    nbbo_age_ms: 5
+  }
+};
+
+describe("flow-packets storage helpers", () => {
+  it("includes the correct table name in the DDL", () => {
+    const ddl = flowPacketsTableDDL();
+    expect(ddl).toContain(FLOW_PACKETS_TABLE);
+    expect(ddl).toContain("CREATE TABLE IF NOT EXISTS");
+  });
+
+  it("round-trips flow packet records", () => {
+    const record = toFlowPacketRecord(packet);
+    const restored = fromFlowPacketRecord(record);
+    expect(restored.features).toEqual(packet.features);
+    expect(restored.join_quality).toEqual(packet.join_quality);
+  });
+});

services/api/src/index.ts

@@ -13,7 +13,9 @@ import {
 import {
   createClickHouseClient,
   ensureEquityPrintsTable,
+  ensureFlowPacketsTable,
   ensureOptionPrintsTable,
+  fetchRecentFlowPackets,
   fetchEquityPrintsAfter,
   fetchRecentEquityPrints,
   fetchOptionPrintsAfter,
@@ -141,6 +143,7 @@ const run = async () => {
 
   await ensureOptionPrintsTable(clickhouse);
   await ensureEquityPrintsTable(clickhouse);
+  await ensureFlowPacketsTable(clickhouse);
 
   const optionSubscription = await subscribeJson(
     js,
@@ -208,6 +211,12 @@ const run = async () => {
         return jsonResponse({ data });
       }
 
+      if (req.method === "GET" && url.pathname === "/flow/packets") {
+        const limit = parseLimit(url.searchParams.get("limit"));
+        const data = await fetchRecentFlowPackets(clickhouse, limit);
+        return jsonResponse({ data });
+      }
+
       if (req.method === "GET" && url.pathname === "/replay/options") {
         const { afterTs, afterSeq, limit } = parseReplayParams(url);
         const data = await fetchOptionPrintsAfter(clickhouse, afterTs, afterSeq, limit);

services/compute/package.json

@@ -9,6 +9,7 @@
     "@islandflow/bus": "workspace:*",
     "@islandflow/config": "workspace:*",
     "@islandflow/observability": "workspace:*",
+    "@islandflow/storage": "workspace:*",
     "@islandflow/types": "workspace:*",
     "zod": "^3.23.8"
   }

services/compute/src/index.ts

@@ -1,25 +1,137 @@
 import { readEnv } from "@islandflow/config";
 import { createLogger } from "@islandflow/observability";
 import {
+  SUBJECT_FLOW_PACKETS,
   SUBJECT_OPTION_PRINTS,
+  STREAM_FLOW_PACKETS,
   STREAM_OPTION_PRINTS,
   buildDurableConsumer,
   connectJetStreamWithRetry,
   ensureStream,
+  publishJson,
   subscribeJson
 } from "@islandflow/bus";
-import { OptionPrintSchema } from "@islandflow/types";
+import {
+  createClickHouseClient,
+  ensureFlowPacketsTable,
+  insertFlowPacket
+} from "@islandflow/storage";
+import { FlowPacketSchema, OptionPrintSchema, type FlowPacket, type OptionPrint } from "@islandflow/types";
 import { z } from "zod";
 
 const service = "compute";
 const logger = createLogger({ service });
 
 const envSchema = z.object({
-  NATS_URL: z.string().default("nats://localhost:4222")
+  NATS_URL: z.string().default("nats://localhost:4222"),
+  CLICKHOUSE_URL: z.string().default("http://localhost:8123"),
+  CLICKHOUSE_DATABASE: z.string().default("default"),
+  CLUSTER_WINDOW_MS: z.coerce.number().int().positive().default(500)
 });
 
 const env = readEnv(envSchema);
 
+type ClusterState = {
+  contractId: string;
+  startTs: number;
+  endTs: number;
+  startSourceTs: number;
+  endIngestTs: number;
+  endSeq: number;
+  members: string[];
+  totalSize: number;
+  totalPremium: number;
+  firstPrice: number;
+  lastPrice: number;
+};
+
+const clusters = new Map<string, ClusterState>();
+
+const buildCluster = (print: OptionPrint): ClusterState => {
+  return {
+    contractId: print.option_contract_id,
+    startTs: print.ts,
+    endTs: print.ts,
+    startSourceTs: print.source_ts,
+    endIngestTs: print.ingest_ts,
+    endSeq: print.seq,
+    members: [print.trace_id],
+    totalSize: print.size,
+    totalPremium: print.price * print.size,
+    firstPrice: print.price,
+    lastPrice: print.price
+  };
+};
+
+const updateCluster = (cluster: ClusterState, print: OptionPrint): ClusterState => {
+  cluster.endTs = Math.max(cluster.endTs, print.ts);
+  cluster.endIngestTs = Math.max(cluster.endIngestTs, print.ingest_ts);
+  cluster.endSeq = Math.max(cluster.endSeq, print.seq);
+  cluster.members.push(print.trace_id);
+  cluster.totalSize += print.size;
+  cluster.totalPremium += print.price * print.size;
+  cluster.lastPrice = print.price;
+  return cluster;
+};
+
+const flushCluster = async (
+  clickhouse: ReturnType<typeof createClickHouseClient>,
+  js: Awaited<ReturnType<typeof connectJetStreamWithRetry>>["js"],
+  cluster: ClusterState
+): Promise<void> => {
+  const features = {
+    option_contract_id: cluster.contractId,
+    count: cluster.members.length,
+    total_size: cluster.totalSize,
+    total_premium: Number(cluster.totalPremium.toFixed(4)),
+    first_price: cluster.firstPrice,
+    last_price: cluster.lastPrice,
+    start_ts: cluster.startTs,
+    end_ts: cluster.endTs,
+    window_ms: env.CLUSTER_WINDOW_MS
+  };
+
+  const packet: FlowPacket = {
+    source_ts: cluster.startSourceTs,
+    ingest_ts: cluster.endIngestTs,
+    seq: cluster.endSeq,
+    trace_id: `flowpacket:${cluster.contractId}:${cluster.startTs}:${cluster.endTs}`,
+    id: `flowpacket:${cluster.contractId}:${cluster.startTs}:${cluster.endTs}`,
+    members: cluster.members,
+    features,
+    join_quality: {}
+  };
+
+  const validated = FlowPacketSchema.parse(packet);
+
+  await insertFlowPacket(clickhouse, validated);
+  await publishJson(js, SUBJECT_FLOW_PACKETS, validated);
+
+  logger.info("emitted flow packet", {
+    id: validated.id,
+    contract: cluster.contractId,
+    count: cluster.members.length
+  });
+};
+
+const flushEligibleClusters = async (
+  clickhouse: ReturnType<typeof createClickHouseClient>,
+  js: Awaited<ReturnType<typeof connectJetStreamWithRetry>>["js"],
+  currentTs: number,
+  skipContractId: string
+): Promise<void> => {
+  for (const [contractId, cluster] of clusters) {
+    if (contractId === skipContractId) {
+      continue;
+    }
+
+    if (currentTs - cluster.endTs > env.CLUSTER_WINDOW_MS) {
+      clusters.delete(contractId);
+      await flushCluster(clickhouse, js, cluster);
+    }
+  }
+};
+
 const run = async () => {
   logger.info("service starting");
 
@@ -44,13 +156,42 @@ const run = async () => {
     num_replicas: 1
   });
 
-  const opts = buildDurableConsumer("compute-option-prints");
+  await ensureStream(jsm, {
+    name: STREAM_FLOW_PACKETS,
+    subjects: [SUBJECT_FLOW_PACKETS],
+    retention: "limits",
+    storage: "file",
+    discard: "old",
+    max_msgs_per_subject: -1,
+    max_msgs: -1,
+    max_bytes: -1,
+    max_age: 0,
+    num_replicas: 1
+  });
 
-  const subscription = await subscribeJson(js, SUBJECT_OPTION_PRINTS, opts);
+  const clickhouse = createClickHouseClient({
+    url: env.CLICKHOUSE_URL,
+    database: env.CLICKHOUSE_DATABASE
+  });
+
+  await ensureFlowPacketsTable(clickhouse);
+
+  const subscription = await subscribeJson(
+    js,
+    SUBJECT_OPTION_PRINTS,
+    buildDurableConsumer("compute-option-prints")
+  );
 
   const shutdown = async (signal: string) => {
     logger.info("service stopping", { signal });
+
+    for (const cluster of clusters.values()) {
+      await flushCluster(clickhouse, js, cluster);
+    }
+    clusters.clear();
+
     await nc.drain();
+    await clickhouse.close();
     process.exit(0);
   };
 
@@ -60,11 +201,19 @@ const run = async () => {
   for await (const msg of subscription.messages) {
     try {
       const print = OptionPrintSchema.parse(subscription.decode(msg));
-      logger.info("received option print", {
+      await flushEligibleClusters(clickhouse, js, print.ts, print.option_contract_id);
-        trace_id: print.trace_id,
+
-        seq: print.seq,
+      const existing = clusters.get(print.option_contract_id);
-        option_contract_id: print.option_contract_id
+      if (!existing) {
-      });
+        clusters.set(print.option_contract_id, buildCluster(print));
+      } else if (print.ts - existing.startTs <= env.CLUSTER_WINDOW_MS) {
+        updateCluster(existing, print);
+      } else {
+        clusters.delete(print.option_contract_id);
+        await flushCluster(clickhouse, js, existing);
+        clusters.set(print.option_contract_id, buildCluster(print));
+      }
+
       msg.ack();
     } catch (error) {
       logger.error("failed to process option print", {