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# Real-Time Options Flow & Off-Exchange Analysis
This repository contains a real-time market-flow analysis platform focused on **options flow**, **off-exchange equity trades**, and **inferred institutional behavior**, built for low-latency, explainable analysis rather than black-box signals.
This repository contains a Bun + TypeScript monorepo for a personal-use, event-sourced market microstructure research platform focused on:
The system ingests real-time options trades/quotes and equity prints, clusters raw activity into higher-level flow events (sweeps, spreads, rolls, ladders), applies rule-first classifiers, and visualizes the results through a high-performance, TradingView-smooth interface with full replay and backtesting support.
- options prints + NBBO,
- off-exchange equity prints,
- explainable rule-based flow classification,
- deterministic replay,
- evidence-linked UI inspection.
## CURRENT STATE (Plan Progress)
## Current Implementation Status
Plan progress (rough): [#####-----]
Implemented now:
Done now (in repo):
- Bun monorepo + infra docker compose (ClickHouse, Redis, NATS JetStream)
- Shared event schemas + logging + config helpers
- Synthetic options/equity prints (full S&P 500) published to NATS and persisted to ClickHouse
- Deterministic option FlowPacket clustering (time window) + persistence
- Rolling stats in Redis (premium/size/spread) with z-score features on FlowPackets
- FlowPacket structure tags (vertical/ladder/straddle/strangle) for multi-leg bursts
- Aggressor mix features (NBBO placement ratios) on FlowPackets
- Rule-first classifiers + alert scoring with ClickHouse persistence + WS/REST endpoints
- Structure packet emission with full constituent evidence + roll metadata
- Roll classifier surfaced from detected multi-leg roll structures
- API: REST for prints/flow packets/classifier hits/alerts, WS for live options/equities/flow/alerts/hits, replay endpoints
- API: equities prints range query endpoint for chart overlays and drill-down
- UI: live tapes for options/equities/flow + replay toggle + pause controls + replay time/completion
- UI: alerts + classifier hits panels, ticker filter, evidence drawer, severity strip
- UI chart overlays for off-exchange equity prints + classifier/dark markers with linked evidence drawer behavior
- Databento historical replay adapter (options) with symbol mapping
- Alpaca options adapter (dev-only, bounded contract list)
- Alpaca equities adapter (stocks trades/quotes via WS)
- IBKR options adapter (single-underlying bridge via `ib_insync`)
- Dark-pool-style inference (absorbed blocks, stealth accumulation, distribution) with WS/REST surfaces and UI list
- Testing-mode throttling for ingest to reduce CPU during local dev
- Alert scoring calibration updates for confidence/coverage-aware severity
- Bun workspaces with shared packages for schemas, bus, config, observability, and ClickHouse access.
- Infra orchestration via Docker Compose (NATS JetStream, ClickHouse, Redis).
- Options ingest service with adapters:
- synthetic stream,
- Alpaca options (dev-focused, bounded contracts),
- IBKR bridge (Python sidecar),
- Databento historical replay adapter (Python sidecar).
- Equities ingest service with adapters:
- synthetic stream,
- Alpaca equities trades/quotes.
- Compute service:
- deterministic option print clustering into `FlowPacket`s,
- NBBO join quality features and aggressor-mix metrics,
- rolling baselines in Redis,
- structure summarization and structure packet emission,
- rule-based classifiers + confidence-scored alert events,
- dark-style inferred events from equity prints/quotes,
- equity print-to-quote join events.
- Candles service:
- server-side equity candle aggregation,
- ClickHouse persistence,
- optional Redis hot cache,
- NATS publication.
- Replay service:
- deterministic republishing from ClickHouse to NATS,
- multi-stream merge with stable tie-break ordering,
- speed/start/end controls.
- API service:
- REST endpoints for recent + cursor pagination,
- REST range endpoints for chart windows,
- REST replay-oriented endpoints,
- WebSocket channels for options, NBBO, equities, quotes, joins, flow, classifier hits, alerts, inferred dark, and candles.
- Next.js web app:
- live tape/workspace views,
- replay controls and status,
- signals and chart-focused routes,
- evidence-centric terminal UI.
- Refdata + EOD enricher service entrypoints are present but currently scaffolds (lifecycle/logging only).
In progress / blocked:
- Production-grade licensed live data feeds (beyond current dev/test bridges)
- Advanced clustering (spreads/rolls beyond basic structure tags)
- Expanded chart overlays and annotation density controls
Planned / not yet complete:
Not started:
- Reference data/corporate action enrichment
- Auth / secure deployment
- production-grade licensed feed integrations and entitlement workflow,
- richer refdata/corp-action enrichment,
- secure deployment/auth hardening,
- deeper structure + calibration workflows from `PLAN.md`.
## Core Principles
- **Explainability first** — every alert and signal is backed by observable data and explicit logic.
- **Event-sourced architecture** — all raw and derived events are persisted and replayable.
- **Market microstructure correctness** — conservative handling of aggressor inference, OI, and off-exchange prints.
- **Low-latency, tangible UX** — smooth real-time interaction that feels like an instrument panel, not a spreadsheet.
- **Explainability first** — inferred outputs are evidence-backed and human-readable.
- **Event sourcing** — raw and derived events persist to support replay.
- **Determinism** — replay behavior tracks live pipeline logic.
- **Microstructure awareness** — bounded joins, confidence scoring, and explicit uncertainty.
- **Bun-first tooling** — runtime/package/scripts all use Bun.
## Current Capabilities
## Monorepo Layout
- Synthetic options/equity prints with deterministic sequencing across the S&P 500
- Ingest adapter seam (env-selected; options default `synthetic`, equities: `synthetic` or `alpaca`)
- Raw event persistence in ClickHouse + streaming via NATS JetStream
- Deterministic option FlowPacket clustering (time-window)
- Rolling stats baselines in Redis with z-score features on FlowPackets
- Basic multi-leg structure tagging on FlowPackets
- Aggressor mix features from NBBO placement on FlowPackets
- Classifiers + alert scoring (rule-first) with WS/REST endpoints
- Structure packet emission with roll-aware metadata and evidence lists
- Roll classifier (rule-based, explainable) emitted from structure packets
- API gateway with REST, WS, and replay endpoints
- Equities prints range REST endpoint for chart/time-window inspection
- Server-built equity candles (service + REST/WS surfaces)
- UI tapes for options/equities/flow packets + alerts/hits with live/replay toggle and pause controls
- Chart overlays for off-exchange prints, classifier markers, and dark-pool markers with evidence linking
- Alpaca options adapter (dev-only) with bounded contract selection
- IBKR options adapter (single-underlying bridge via Python sidecar)
- Databento historical replay adapter (options, Python sidecar)
- Dark-pool-style inference (absorbed blocks, stealth accumulation, distribution) with evidence links and replay
## Planned Capabilities (from PLAN.md)
- Real-time licensed market data ingestors (options + equities)
- Candle aggregation + chart overlays
- Replay/backtesting metrics and calibration
- Reference data, symbology, and corporate-action handling
## Tech Stack
- **Runtime & tooling:** Bun
- **Language:** TypeScript
- **Frontend:** Next.js + React
- **Realtime:** WebSockets
- **Event streaming:** NATS JetStream or Redpanda
- **Storage:** ClickHouse, Redis
- **Charting:** TradingView Lightweight Charts + custom canvas/WebGL overlays
## Repository Structure
apps/
web/
services/
ingest-options/
ingest-equities/
compute/
api/
packages/
types/
ui/
chart/
- `apps/web` — Next.js UI shell/routes.
- `services/ingest-options` — options print/NBBO ingest adapters.
- `services/ingest-equities` — equity print/quote ingest adapters.
- `services/compute` — clustering, structures, classifiers, alerts, inferred dark.
- `services/candles` — server-side candle aggregation + cache.
- `services/replay` — ClickHouse → NATS replay streamer.
- `services/api` — REST + WebSocket gateway.
- `services/refdata` — scaffold service.
- `services/eod-enricher` — scaffold service.
- `packages/types` — shared event schemas/types.
- `packages/storage` — ClickHouse tables/queries.
- `packages/bus` — NATS/JetStream helpers.
- `packages/config` — env parsing.
- `packages/observability` — logger + metrics facade.
## Build and Run
Install dependencies:
- `bun install`
Start infra:
Start infrastructure only:
- `docker compose up -d`
Create env file:
- Copy `.env.example` to `.env` and fill in the API keys you plan to use.
Start everything (infra + services + web):
- copy `.env.example` to `.env` and set provider credentials as needed.
Start infra + all services + web:
- `bun run dev`
Run just the web app (fixed to port 3000):
- `bun run dev:web`
Start services only (assumes infra is already running):
Run just the API:
- `bun --cwd services/api run dev`
- `bun run dev:services`
Start web only:
- `bun run dev:web`
## Environment Configuration
All runtime configuration is driven by `.env`. Start by copying `.env.example` and edit the values you need. Defaults below match `.env.example` unless otherwise noted.
All runtime configuration comes from `.env`.
### Core infrastructure
These define how services connect to the event bus and storage backends. Documentation links are provided for convenience.
- `NATS_URL` (default `nats://127.0.0.1:4222`)
- `CLICKHOUSE_URL` (default `http://127.0.0.1:8123`)
- `CLICKHOUSE_DATABASE` (default `default`)
- `REDIS_URL` (default `redis://127.0.0.1:6379`)
- `NATS_URL` (default `nats://localhost:4222`) — NATS JetStream endpoint. See [NATS](https://nats.io/) and [JetStream](https://docs.nats.io/nats-concepts/jetstream).
- `CLICKHOUSE_URL` (default `http://localhost:8123`) — ClickHouse HTTP endpoint. See [ClickHouse](https://clickhouse.com/).
- `CLICKHOUSE_DATABASE` (default `default`) — ClickHouse database name.
- `REDIS_URL` (default `redis://localhost:6379`) — Redis endpoint for rolling stats. See [Redis](https://redis.io/).
### Ingest adapter selection
### Adapter selection
- `OPTIONS_INGEST_ADAPTER` (`synthetic` | `alpaca` | `ibkr` | `databento`)
- `EQUITIES_INGEST_ADAPTER` (`synthetic` | `alpaca`)
- `EMIT_INTERVAL_MS` (synthetic emit cadence)
- `OPTIONS_INGEST_ADAPTER` (default `synthetic`) — options ingest adapter: `synthetic`, `alpaca`, `ibkr`, `databento`.
- `EQUITIES_INGEST_ADAPTER` (default `synthetic`) — equities ingest adapter: `synthetic`, `alpaca`.
- `EMIT_INTERVAL_MS` (default `1000`) — synthetic equities emit cadence.
### Options adapter settings
### Alpaca options adapter (dev-only)
- Alpaca: `ALPACA_KEY_ID`, `ALPACA_SECRET_KEY`, `ALPACA_REST_URL`, `ALPACA_WS_BASE_URL`, `ALPACA_FEED`, `ALPACA_UNDERLYINGS`, `ALPACA_STRIKES_PER_SIDE`, `ALPACA_MAX_DTE_DAYS`, `ALPACA_MONEYNESS_PCT`, `ALPACA_MONEYNESS_FALLBACK_PCT`, `ALPACA_MAX_QUOTES`
- Databento: `DATABENTO_API_KEY`, `DATABENTO_DATASET`, `DATABENTO_SCHEMA`, `DATABENTO_NBBO_SCHEMA`, `DATABENTO_START`, `DATABENTO_END`, `DATABENTO_SYMBOLS`, `DATABENTO_STYPE_IN`, `DATABENTO_STYPE_OUT`, `DATABENTO_LIMIT`, `DATABENTO_PRICE_SCALE`, `DATABENTO_PYTHON_BIN`
- IBKR: `IBKR_HOST`, `IBKR_PORT`, `IBKR_CLIENT_ID`, `IBKR_SYMBOL`, `IBKR_EXPIRY`, `IBKR_STRIKE`, `IBKR_RIGHT`, `IBKR_EXCHANGE`, `IBKR_CURRENCY`, `IBKR_PYTHON_BIN`
Provider links: [Alpaca](https://alpaca.markets/), [Alpaca Market Data API](https://alpaca.markets/docs/api-references/market-data-api/).
### Equities adapter settings
- `ALPACA_KEY_ID`, `ALPACA_SECRET_KEY` — credentials.
- `ALPACA_REST_URL` (default `https://data.alpaca.markets`) — REST endpoint.
- `ALPACA_WS_BASE_URL` (default `wss://stream.data.alpaca.markets/v1beta1`) — streaming endpoint.
- `ALPACA_FEED` (default `indicative`) — use `opra` when you have a subscription.
- `ALPACA_EQUITIES_FEED` (default `iex`) — equities feed: `iex` (free) or `sip` (paid).
- `ALPACA_UNDERLYINGS` (default `SPY,NVDA,AAPL`) — comma-separated list of symbols.
- `ALPACA_STRIKES_PER_SIDE` (default `8`) — strikes per side around ATM.
- `ALPACA_MAX_DTE_DAYS` (default `30`) — expiry horizon.
- `ALPACA_MONEYNESS_PCT` (default `0.06`) — ATM band for strike selection.
- `ALPACA_MONEYNESS_FALLBACK_PCT` (default `0.1`) — fallback band if strikes are sparse.
- `ALPACA_MAX_QUOTES` (default `200`) — subscription size guardrail.
- `ALPACA_EQUITIES_FEED` (`iex` or `sip`)
### Databento historical replay adapter
### Compute / classifiers / inference
Provider links: [Databento](https://databento.com/), [Databento API](https://databento.com/docs/api-reference).
- Delivery and windowing: `COMPUTE_DELIVER_POLICY`, `COMPUTE_CONSUMER_RESET`, `NBBO_MAX_AGE_MS`, `ROLLING_WINDOW_SIZE`, `ROLLING_TTL_SEC`
- Classifiers: `CLASSIFIER_SWEEP_MIN_PREMIUM`, `CLASSIFIER_SWEEP_MIN_COUNT`, `CLASSIFIER_SWEEP_MIN_PREMIUM_Z`, `CLASSIFIER_SPIKE_MIN_PREMIUM`, `CLASSIFIER_SPIKE_MIN_SIZE`, `CLASSIFIER_SPIKE_MIN_PREMIUM_Z`, `CLASSIFIER_SPIKE_MIN_SIZE_Z`, `CLASSIFIER_Z_MIN_SAMPLES`, `CLASSIFIER_MIN_NBBO_COVERAGE`, `CLASSIFIER_MIN_AGGRESSOR_RATIO`, `CLASSIFIER_0DTE_MAX_ATM_PCT`, `CLASSIFIER_0DTE_MIN_PREMIUM`, `CLASSIFIER_0DTE_MIN_SIZE`
- Dark inference: `EQUITY_QUOTE_MAX_AGE_MS`, `DARK_INFER_WINDOW_MS`, `DARK_INFER_COOLDOWN_MS`, `DARK_INFER_MIN_BLOCK_SIZE`, `DARK_INFER_MIN_ACCUM_SIZE`, `DARK_INFER_MIN_ACCUM_COUNT`, `DARK_INFER_MIN_PRINT_SIZE`, `DARK_INFER_MAX_EVIDENCE`, `DARK_INFER_MAX_SPREAD_PCT`
- `DATABENTO_API_KEY` — API key.
- `DATABENTO_DATASET` (default `OPRA.PILLAR`) — dataset.
- `DATABENTO_SCHEMA` (default `trades`) — schema.
- `DATABENTO_START` — ISO date/time start for replay.
- `DATABENTO_END` — ISO date/time end (optional).
- `DATABENTO_SYMBOLS` (default `SPY.OPT`) — comma list or dataset symbols.
- `DATABENTO_STYPE_IN` (default `parent`) — input symbology type.
- `DATABENTO_STYPE_OUT` (default `instrument_id`) — output symbology type.
- `DATABENTO_LIMIT` (default `0`) — record cap (0 means no cap).
- `DATABENTO_PRICE_SCALE` (default `1`) — divide raw price by this value.
- `DATABENTO_PYTHON_BIN` (default `py/.venv/bin/python`) — Python executable for replay sidecar.
### Candles
### IBKR options adapter (Python sidecar)
- `CANDLE_INTERVALS_MS`, `CANDLE_MAX_LATE_MS`, `CANDLE_CACHE_LIMIT`, `CANDLE_DELIVER_POLICY`, `CANDLE_CONSUMER_RESET`
Provider links: [Interactive Brokers](https://www.interactivebrokers.com/), [IBKR API docs](https://interactivebrokers.github.io/).
### API
- `IBKR_HOST` (default `127.0.0.1`) — TWS/Gateway host.
- `IBKR_PORT` (default `7497`) — TWS/Gateway port.
- `IBKR_CLIENT_ID` (default `0`) — API client ID.
- `IBKR_SYMBOL` (default `SPY`) — underlying symbol.
- `IBKR_EXPIRY` (default `20250117`) — expiry in `YYYYMMDD`.
- `IBKR_STRIKE` (default `450`) — strike price.
- `IBKR_RIGHT` (default `C`) — option right (`C` or `P`).
- `IBKR_EXCHANGE` (default `SMART`) — exchange route.
- `IBKR_CURRENCY` (default `USD`) — currency.
- `IBKR_PYTHON_BIN` (default `python3`) — Python executable for sidecar.
### Compute + market-structure tuning
- `COMPUTE_DELIVER_POLICY` (default `new`) — consumer start behavior (`new` or `all`).
- `COMPUTE_CONSUMER_RESET` (default `false`) — force consumer reset (skip backlog).
- `NBBO_MAX_AGE_MS` (default `1000`) — max allowed NBBO age for joins.
- `NEXT_PUBLIC_NBBO_MAX_AGE_MS` (default `1000`) — UI-visible NBBO age for display gating.
- `ROLLING_WINDOW_SIZE` (default `50`) — rolling stats window length.
- `ROLLING_TTL_SEC` (default `86400`) — rolling stats TTL in seconds.
### Classifier thresholds
- `CLASSIFIER_SWEEP_MIN_PREMIUM` (default `40000`) — absolute sweep premium floor.
- `CLASSIFIER_SWEEP_MIN_COUNT` (default `3`) — minimum leg count for sweeps.
- `CLASSIFIER_SWEEP_MIN_PREMIUM_Z` (default `2`) — sweep premium z-score threshold.
- `CLASSIFIER_SPIKE_MIN_PREMIUM` (default `20000`) — absolute spike premium floor.
- `CLASSIFIER_SPIKE_MIN_SIZE` (default `400`) — absolute spike size floor.
- `CLASSIFIER_SPIKE_MIN_PREMIUM_Z` (default `2.5`) — spike premium z-score threshold.
- `CLASSIFIER_SPIKE_MIN_SIZE_Z` (default `2`) — spike size z-score threshold.
- `CLASSIFIER_Z_MIN_SAMPLES` (default `12`) — minimum samples before z-scores apply.
- `CLASSIFIER_MIN_NBBO_COVERAGE` (default `0.5`) — NBBO coverage ratio gate.
- `CLASSIFIER_MIN_AGGRESSOR_RATIO` (default `0.55`) — aggressor ratio gate.
- `CLASSIFIER_0DTE_MAX_ATM_PCT` (default `0.01`) — max ATM distance as pct of underlying for 0DTE gamma punch.
- `CLASSIFIER_0DTE_MIN_PREMIUM` (default `20000`) — 0DTE gamma punch premium floor.
- `CLASSIFIER_0DTE_MIN_SIZE` (default `400`) — 0DTE gamma punch size floor.
- `API_PORT`, `REST_DEFAULT_LIMIT`
### Replay service
- `REPLAY_ENABLED` (default `false`) — start the replay streamer when running `bun run dev`.
- `REPLAY_STREAMS` (default `options,nbbo,equities,equity-quotes`) — comma list of streams to re-publish.
- `REPLAY_START_TS` (default `0`) — start timestamp in ms since epoch (0 means beginning).
- `REPLAY_END_TS` (default `0`) — end timestamp in ms since epoch (0 means no end).
- `REPLAY_SPEED` (default `1`) — playback speed (1 = real-time, 2 = 2x, 0 = as fast as possible).
- `REPLAY_BATCH_SIZE` (default `200`) — batch size per ClickHouse fetch.
- `REPLAY_LOG_EVERY` (default `1000`) — log progress every N events.
- `REPLAY_ENABLED`, `REPLAY_STREAMS`, `REPLAY_START_TS`, `REPLAY_END_TS`, `REPLAY_SPEED`, `REPLAY_BATCH_SIZE`, `REPLAY_LOG_EVERY`
### Testing + throttling
### Testing-mode throttling
- `TESTING_MODE` (default `false`) — enable ingest throttling for local dev.
- `TESTING_THROTTLE_MS` (default `200`) — minimum spacing between emitted prints.
- `TESTING_MODE`
- `TESTING_THROTTLE_MS`
Testing mode (throttles ingest to reduce CPU):
- `TESTING_MODE=true` enables throttling
- `TESTING_THROTTLE_MS=200` minimum spacing between emitted prints (per ingest service)
## Quick Notes
IBKR adapter (options, via Python `ib_insync`):
- Install Python deps: `python3 -m pip install -r services/ingest-options/py/requirements.txt`
- Set `OPTIONS_INGEST_ADAPTER=ibkr` and configure:
- `IBKR_HOST`, `IBKR_PORT`, `IBKR_CLIENT_ID`
- `IBKR_SYMBOL`, `IBKR_EXPIRY` (YYYYMMDD), `IBKR_STRIKE`, `IBKR_RIGHT`
- Optional: `IBKR_EXCHANGE` (default `SMART`), `IBKR_CURRENCY` (default `USD`), `IBKR_PYTHON_BIN`
Alpaca adapter (options, dev-only bridge):
- Set `OPTIONS_INGEST_ADAPTER=alpaca` and configure:
- `ALPACA_KEY_ID`, `ALPACA_SECRET_KEY`
- `ALPACA_UNDERLYINGS` (comma-separated, default `SPY,NVDA,AAPL`)
- Optional: `ALPACA_FEED` (`indicative` default, `opra` with subscription)
- Optional: `ALPACA_MAX_QUOTES` (default `200`), `ALPACA_REST_URL`, `ALPACA_WS_BASE_URL`
- Optional selection tuning: `ALPACA_STRIKES_PER_SIDE` (default `8`), `ALPACA_MAX_DTE_DAYS` (default `30`),
`ALPACA_MONEYNESS_PCT` (default `0.06`), `ALPACA_MONEYNESS_FALLBACK_PCT` (default `0.10`)
Alpaca selection policy (dev-only, deterministic):
- Pick nearest weekly and nearest monthly expiries within 30 DTE (fallback to earliest expiries if missing)
- For each expiry, select 8 strikes per side closest to ATM within ±6% (fallback to ±10% if needed)
- Subscriptions are built once at startup to keep the stream bounded and repeatable
Databento historical replay adapter (options, via Python `databento`):
- Install Python deps: `python3 -m pip install -r services/ingest-options/py/requirements.txt`
- Set `OPTIONS_INGEST_ADAPTER=databento` and configure:
- `DATABENTO_API_KEY`, `DATABENTO_START` (ISO date/time)
- Optional: `DATABENTO_END`, `DATABENTO_DATASET` (default `OPRA.PILLAR`), `DATABENTO_SCHEMA` (default `trades`)
- Optional: `DATABENTO_SYMBOLS` (`ALL` or comma list), `DATABENTO_STYPE_IN`/`DATABENTO_STYPE_OUT` (default `raw_symbol`)
- Optional: `DATABENTO_LIMIT` (record cap), `DATABENTO_PRICE_SCALE` (divide raw price), `DATABENTO_PYTHON_BIN`
- This adapter replays historical data only; live capture will be added later.
Run tests:
- `bun test`
## Status
Active build for personal, non-delayed analytical use. Multi-user access and redistribution are intentionally out of scope.
## Non-Goals
- No black-box AI predictions
- No profit guarantees
- No real-time data redistribution
- No guessing at intent without evidence
## License / Usage
For research and personal analytical use.
Market data usage is subject to the terms of the data providers.
- Python dependencies are required only for IBKR/Databento sidecars (`services/ingest-options/py/requirements.txt`).
- Candle construction is server-side; the client consumes prebuilt OHLC events.
- This repository is for personal, non-redistributed usage.