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

Fix live tape freshness and filter UX

Browse source
This commit is contained in:
dirtydishes 2026-04-28 17:13:46 -04:00
parent 27b0a399e6
commit 75fc6f9373
8 changed files with 1087 additions and 159 deletions
Download patch file Download diff file Expand all files Collapse all files

53
services/ingest-options/src/adapters/synthetic.ts
View file

@ -23,6 +23,8 @@ type Burst = {
seed: number;
};
const OPTION_CONTRACT_MULTIPLIER = 100;
const SYNTHETIC_SYMBOLS = ["SPY", ...(SP500_SYMBOLS as readonly string[])];
const MS_PER_DAY = 24 * 60 * 60 * 1000;
const EXPIRY_OFFSETS = [0, 1, 7, 14, 28, 45, 60, 90];
@ -47,7 +49,7 @@ type Scenario = {
right: "C" | "P" | "either";
countRange: [number, number];
sizeRange: [number, number];
premiumRange: [number, number];
targetNotionalRange: [number, number];
priceTrend: "up" | "down" | "flat";
conditions?: string[];
};
@ -59,7 +61,7 @@ const REALISTIC_SCENARIOS: Scenario[] = [
right: "either",
countRange: [1, 2],
sizeRange: [30, 180],
premiumRange: [9_000, 35_000],
targetNotionalRange: [9_000, 35_000],
priceTrend: "flat",
conditions: ["FILL"]
},
@ -69,7 +71,7 @@ const REALISTIC_SCENARIOS: Scenario[] = [
right: "either",
countRange: [1, 2],
sizeRange: [120, 480],
premiumRange: [12_000, 45_000],
targetNotionalRange: [12_000, 45_000],
priceTrend: "flat",
conditions: ["FILL"]
},
@ -79,7 +81,7 @@ const REALISTIC_SCENARIOS: Scenario[] = [
right: "C",
countRange: [2, 3],
sizeRange: [180, 520],
premiumRange: [25_000, 90_000],
targetNotionalRange: [25_000, 90_000],
priceTrend: "up",
conditions: ["SWEEP"]
},
@ -89,7 +91,7 @@ const REALISTIC_SCENARIOS: Scenario[] = [
right: "P",
countRange: [2, 3],
sizeRange: [180, 520],
premiumRange: [25_000, 90_000],
targetNotionalRange: [25_000, 90_000],
priceTrend: "up",
conditions: ["SWEEP"]
},
@ -99,7 +101,7 @@ const REALISTIC_SCENARIOS: Scenario[] = [
right: "either",
countRange: [2, 3],
sizeRange: [500, 900],
premiumRange: [18_000, 70_000],
targetNotionalRange: [18_000, 70_000],
priceTrend: "flat",
conditions: ["ISO"]
},
@ -109,7 +111,7 @@ const REALISTIC_SCENARIOS: Scenario[] = [
right: "either",
countRange: [1, 2],
sizeRange: [5, 60],
premiumRange: [500, 6_000],
targetNotionalRange: [500, 6_000],
priceTrend: "flat",
conditions: ["FILL"]
}
@ -122,7 +124,7 @@ const ACTIVE_SCENARIOS: Scenario[] = [
right: "C",
countRange: [7, 10],
sizeRange: [600, 1800],
premiumRange: [120_000, 240_000],
targetNotionalRange: [120_000, 240_000],
priceTrend: "up",
conditions: ["SWEEP"]
},
@ -132,7 +134,7 @@ const ACTIVE_SCENARIOS: Scenario[] = [
right: "P",
countRange: [7, 10],
sizeRange: [600, 1800],
premiumRange: [120_000, 240_000],
targetNotionalRange: [120_000, 240_000],
priceTrend: "up",
conditions: ["SWEEP"]
},
@ -142,7 +144,7 @@ const ACTIVE_SCENARIOS: Scenario[] = [
right: "either",
countRange: [5, 8],
sizeRange: [1200, 3200],
premiumRange: [60_000, 140_000],
targetNotionalRange: [60_000, 140_000],
priceTrend: "flat",
conditions: ["ISO"]
},
@ -152,7 +154,7 @@ const ACTIVE_SCENARIOS: Scenario[] = [
right: "either",
countRange: [2, 4],
sizeRange: [10, 200],
premiumRange: [500, 5000],
targetNotionalRange: [500, 5000],
priceTrend: "flat",
conditions: ["FILL"]
}
@ -261,14 +263,17 @@ const SYNTHETIC_PROFILES: Record<SyntheticMarketMode, SyntheticOptionsProfile> =
weight: 20,
countRange: [5, 8],
sizeRange: [20, 300],
premiumRange: [800, 12_000]
targetNotionalRange: [800, 12_000]
}
: {
...scenario,
weight: scenario.weight + 10,
countRange: [scenario.countRange[0] + 2, scenario.countRange[1] + 3],
sizeRange: [scenario.sizeRange[0], scenario.sizeRange[1] * 2],
premiumRange: [scenario.premiumRange[0], scenario.premiumRange[1] * 1.5]
targetNotionalRange: [
scenario.targetNotionalRange[0],
scenario.targetNotionalRange[1] * 1.5
]
}
),
pricePlacements: FIREHOSE_PRICE_PLACEMENTS
@ -367,12 +372,20 @@ const buildBurst = (burstIndex: number, now: number, profile: SyntheticOptionsPr
const exchange = pick(EXCHANGES, burstIndex + symbolHash);
const printCount = pickInt(scenario.countRange[0], scenario.countRange[1], symbolHash + burstIndex * 13);
const baseSize = pickInt(scenario.sizeRange[0], scenario.sizeRange[1], symbolHash + burstIndex * 17);
const premiumTarget = pickFloat(
scenario.premiumRange[0],
scenario.premiumRange[1],
const targetNotional = pickFloat(
scenario.targetNotionalRange[0],
scenario.targetNotionalRange[1],
symbolHash + burstIndex * 19
);
const basePricePer = Math.max(0.05, Number((premiumTarget / (baseSize * printCount)).toFixed(2)));
const basePricePer = Math.max(
0.05,
Number(
(
targetNotional /
(baseSize * printCount * OPTION_CONTRACT_MULTIPLIER)
).toFixed(2)
)
);
const conditions = scenario.conditions?.length ? scenario.conditions : [pick(CONDITIONS, burstIndex)];
const priceStep =
scenario.priceTrend === "up" ? 0.01 : scenario.priceTrend === "down" ? -0.01 : 0;
@ -390,6 +403,12 @@ const buildBurst = (burstIndex: number, now: number, profile: SyntheticOptionsPr
};
};
export const buildSyntheticBurstForTest = (
burstIndex: number,
now: number,
mode: SyntheticMarketMode
): Burst => buildBurst(burstIndex, now, SYNTHETIC_PROFILES[mode]);
export const createSyntheticOptionsAdapter = (
config: SyntheticOptionsAdapterConfig
): OptionIngestAdapter => {

26
services/ingest-options/tests/synthetic.test.ts Normal file
View file

@ -0,0 +1,26 @@
import { describe, expect, it } from "bun:test";
import { buildSyntheticBurstForTest } from "../src/adapters/synthetic";
const totalBurstNotional = (burst: {
basePrice: number;
baseSize: number;
printCount: number;
}): number => burst.basePrice * burst.baseSize * burst.printCount * 100;
describe("synthetic options burst sizing", () => {
it("keeps realistic-mode ask lifts inside the configured notional band", () => {
const burst = buildSyntheticBurstForTest(2, Date.UTC(2026, 0, 2), "realistic");
expect(burst.scenarioId).toBe("ask_lift");
expect(totalBurstNotional(burst)).toBeGreaterThanOrEqual(9_000);
expect(totalBurstNotional(burst)).toBeLessThanOrEqual(35_000);
});
it("keeps active-mode sweeps inside the configured notional band", () => {
const burst = buildSyntheticBurstForTest(1, Date.UTC(2026, 0, 2), "active");
expect(burst.scenarioId).toBe("bearish_sweep");
expect(totalBurstNotional(burst)).toBeGreaterThanOrEqual(120_000);
expect(totalBurstNotional(burst)).toBeLessThanOrEqual(240_000);
});
});