Add hosted synthetic control plane
This commit is contained in:
parent
af04875107
commit
8dcbcd2201
21 changed files with 3695 additions and 772 deletions
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@ -1,3 +1,5 @@
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{"_type":"issue","id":"islandflow-9nd","title":"Hosted synthetic tape redesign with internal control surface","description":"Implement hosted synthetic market redesign with shared deterministic regime engine, internal JetStream KV control plane, ingest coupling across options and equities, and an internal bottom-right synthetic-control drawer with Next proxy routes. Preserve the six public smart-money categories while adding hidden subtype families, soft coverage accounting, and backend-only admin endpoints.\n","status":"closed","priority":1,"issue_type":"feature","assignee":"dirtydishes","owner":"dishes@dpdrm.com","created_at":"2026-05-14T01:25:02Z","created_by":"dirtydishes","updated_at":"2026-05-14T02:10:03Z","started_at":"2026-05-14T01:25:09Z","closed_at":"2026-05-14T02:10:03Z","close_reason":"Completed","dependency_count":0,"dependent_count":0,"comment_count":0}
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{"_type":"issue","id":"islandflow-9dz","title":"Tune synthetic smart-money scenario coverage","description":"Redesign synthetic smart-money option prints so the emitted scenarios trigger each classifier category more consistently while staying directionally plausible. Focus on scenario mix, DTE/moneyness, price placement, and event/structure context so the Electron demo reliably shows institutional directional, retail whale, event-driven, vol seller, arbitrage, and hedge reactive hits.\n","status":"in_progress","priority":1,"issue_type":"task","assignee":"dirtydishes","owner":"dishes@dpdrm.com","created_at":"2026-05-13T21:36:37Z","created_by":"dirtydishes","updated_at":"2026-05-13T21:36:41Z","started_at":"2026-05-13T21:36:41Z","dependency_count":0,"dependent_count":0,"comment_count":0}
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{"_type":"issue","id":"islandflow-zuf","title":"Fix Home to Tape tab navigation freeze","description":"Home-to-Tape navigation becomes unresponsive because TerminalAppShell enters a live-mode rerender loop. The pinned-evidence prune effect writes new Map instances even when contents are unchanged, which can retrigger state updates indefinitely on the Home route where alert evidence prefetch is active. Make pruning idempotent and add regression coverage.\n","status":"closed","priority":1,"issue_type":"bug","assignee":"dirtydishes","owner":"dishes@dpdrm.com","created_at":"2026-05-13T15:05:56Z","created_by":"dirtydishes","updated_at":"2026-05-13T15:08:01Z","started_at":"2026-05-13T15:06:06Z","closed_at":"2026-05-13T15:08:01Z","close_reason":"Completed","dependency_count":0,"dependent_count":0,"comment_count":0}
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{"_type":"issue","id":"islandflow-9ug","title":"Electron desktop shell for hosted Islandflow","description":"Build a macOS-first Electron desktop shell workspace that loads hosted Islandflow in a locked-down BrowserWindow, adds Bun-first dev/package scripts, documents the workflow, and preserves the existing remote API/WS contract.\n","status":"closed","priority":1,"issue_type":"feature","assignee":"dirtydishes","owner":"dishes@dpdrm.com","created_at":"2026-05-13T13:11:40Z","created_by":"dirtydishes","updated_at":"2026-05-13T13:20:57Z","started_at":"2026-05-13T13:12:03Z","closed_at":"2026-05-13T13:20:57Z","close_reason":"Completed","dependency_count":0,"dependent_count":0,"comment_count":0}
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{"_type":"issue","id":"islandflow-sh1","title":"Fix live websocket stale lag and reconnect loop","description":"Investigate and fix API live consumer lag causing stale timestamps, feed-behind status, and reconnect loops. Optimize live cache persistence path, add lag telemetry/alerts, and validate in runtime.","status":"closed","priority":1,"issue_type":"bug","assignee":"dirtydishes","owner":"dishes@dpdrm.com","created_at":"2026-05-04T17:04:34Z","created_by":"dirtydishes","updated_at":"2026-05-04T17:09:44Z","started_at":"2026-05-04T17:04:38Z","closed_at":"2026-05-04T17:09:44Z","close_reason":"Completed: optimized live cache persistence path, added lag telemetry, deployed api via docker compose on di, verified ws freshness and low hotFeedLagMs","dependency_count":0,"dependent_count":0,"comment_count":0}
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19
apps/web/app/api/admin/synthetic/control/route.ts
Normal file
19
apps/web/app/api/admin/synthetic/control/route.ts
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@ -0,0 +1,19 @@
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import { proxySyntheticAdminRequest } from "../shared";
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export const dynamic = "force-dynamic";
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export async function GET(): Promise<Response> {
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return proxySyntheticAdminRequest("/admin/synthetic/control", {
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method: "GET"
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});
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}
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export async function PUT(req: Request): Promise<Response> {
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return proxySyntheticAdminRequest(
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"/admin/synthetic/control",
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{
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method: "PUT",
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body: await req.text()
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}
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);
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}
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61
apps/web/app/api/admin/synthetic/routes.test.ts
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61
apps/web/app/api/admin/synthetic/routes.test.ts
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import { afterEach, beforeEach, describe, expect, it, mock } from "bun:test";
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import {
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getSyntheticAdminProxyConfig,
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isSyntheticAdminFeatureEnabled
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} from "./shared";
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const originalFetch = globalThis.fetch;
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describe("synthetic admin proxy helpers", () => {
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beforeEach(() => {
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process.env.NEXT_PUBLIC_SYNTHETIC_ADMIN = "1";
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process.env.NEXT_PUBLIC_API_URL = "http://127.0.0.1:4000";
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process.env.SYNTHETIC_ADMIN_TOKEN = "secret-token";
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});
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afterEach(() => {
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globalThis.fetch = originalFetch;
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});
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it("gates visibility on the public env flag", () => {
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expect(isSyntheticAdminFeatureEnabled("1")).toBe(true);
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expect(isSyntheticAdminFeatureEnabled("0")).toBe(false);
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});
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it("reads the proxy config from server env only", () => {
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expect(getSyntheticAdminProxyConfig()).toEqual({
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apiBaseUrl: "http://127.0.0.1:4000",
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token: "secret-token"
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});
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});
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it("proxies status requests with the backend admin token", async () => {
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const fetchMock = mock(async (input: string | URL, init?: RequestInit) => {
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expect(String(input)).toBe("http://127.0.0.1:4000/admin/synthetic/status");
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expect(new Headers(init?.headers).get("authorization")).toBe("Bearer secret-token");
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return new Response(JSON.stringify({ enabled: true }), {
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status: 200,
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headers: {
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"content-type": "application/json"
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}
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});
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});
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globalThis.fetch = fetchMock as typeof fetch;
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const route = await import("./status/route");
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const response = await route.GET();
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expect(response.status).toBe(200);
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expect(await response.json()).toEqual({ enabled: true });
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expect(fetchMock).toHaveBeenCalledTimes(1);
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});
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it("returns 404 from proxy routes when the internal UI flag is off", async () => {
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process.env.NEXT_PUBLIC_SYNTHETIC_ADMIN = "0";
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const route = await import("./control/route");
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const response = await route.GET();
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expect(response.status).toBe(404);
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});
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});
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63
apps/web/app/api/admin/synthetic/shared.ts
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63
apps/web/app/api/admin/synthetic/shared.ts
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const jsonResponse = (body: unknown, status = 200): Response => {
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return new Response(JSON.stringify(body), {
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status,
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headers: {
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"content-type": "application/json"
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}
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});
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};
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export const isSyntheticAdminFeatureEnabled = (
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value = process.env.NEXT_PUBLIC_SYNTHETIC_ADMIN
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): boolean => value === "1";
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export const getSyntheticAdminProxyConfig = (
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env: Record<string, string | undefined> = process.env
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): { apiBaseUrl: string; token: string } | null => {
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const apiBaseUrl = env.NEXT_PUBLIC_API_URL?.trim();
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const token = env.SYNTHETIC_ADMIN_TOKEN?.trim();
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if (!apiBaseUrl || !token) {
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return null;
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}
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return { apiBaseUrl, token };
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};
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export const proxySyntheticAdminRequest = async (
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path: string,
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init: RequestInit = {},
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env: Record<string, string | undefined> = process.env
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): Promise<Response> => {
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if (!isSyntheticAdminFeatureEnabled(env.NEXT_PUBLIC_SYNTHETIC_ADMIN)) {
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return jsonResponse({ error: "not found" }, 404);
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}
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const config = getSyntheticAdminProxyConfig(env);
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if (!config) {
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return jsonResponse(
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{
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error: "synthetic admin proxy misconfigured"
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},
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500
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);
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}
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const url = new URL(path, config.apiBaseUrl);
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const headers = new Headers(init.headers);
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headers.set("authorization", `Bearer ${config.token}`);
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if (!headers.has("content-type") && init.body) {
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headers.set("content-type", "application/json");
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}
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const response = await fetch(url.toString(), {
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...init,
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cache: "no-store",
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headers
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});
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return new Response(response.body, {
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status: response.status,
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headers: {
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"content-type": response.headers.get("content-type") ?? "application/json"
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}
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});
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};
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9
apps/web/app/api/admin/synthetic/status/route.ts
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9
apps/web/app/api/admin/synthetic/status/route.ts
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import { proxySyntheticAdminRequest } from "../shared";
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export const dynamic = "force-dynamic";
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export async function GET(): Promise<Response> {
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return proxySyntheticAdminRequest("/admin/synthetic/status", {
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method: "GET"
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});
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}
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@ -1507,6 +1507,196 @@ h3 {
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z-index: 40;
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}
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.synthetic-control-gear {
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position: fixed;
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right: 22px;
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bottom: 22px;
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width: 42px;
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height: 42px;
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display: inline-flex;
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align-items: center;
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justify-content: center;
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border: 1px solid rgba(245, 166, 35, 0.24);
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border-radius: 12px;
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background: rgba(9, 13, 18, 0.96);
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color: var(--accent);
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box-shadow: 0 12px 36px rgba(0, 0, 0, 0.38);
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z-index: 45;
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transition: transform 0.16s ease, border-color 0.16s ease, background 0.16s ease;
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}
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.synthetic-control-gear:hover,
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.synthetic-control-gear.is-open {
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transform: translateY(-1px);
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border-color: rgba(245, 166, 35, 0.4);
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background: rgba(12, 18, 24, 0.98);
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}
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.synthetic-control-gear-mark {
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display: inline-flex;
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font-size: 1.05rem;
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line-height: 1;
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transform: rotate(45deg);
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}
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.synthetic-control-drawer {
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position: fixed;
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top: 84px;
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right: 0;
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bottom: 0;
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width: min(388px, calc(100vw - 20px));
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padding: 18px 18px 24px;
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display: grid;
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align-content: start;
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gap: 16px;
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overflow: auto;
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border-left: 1px solid rgba(245, 166, 35, 0.18);
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background:
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linear-gradient(180deg, rgba(245, 166, 35, 0.04), transparent 18%),
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rgba(6, 9, 13, 0.98);
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box-shadow: -18px 0 50px rgba(0, 0, 0, 0.34);
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z-index: 42;
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}
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.synthetic-control-header {
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display: flex;
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align-items: flex-start;
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justify-content: space-between;
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gap: 16px;
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}
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.synthetic-control-header h3 {
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margin: 0;
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font-size: 1rem;
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letter-spacing: 0.04em;
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}
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.synthetic-control-kicker {
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margin: 0 0 6px;
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color: var(--accent);
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text-transform: uppercase;
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letter-spacing: 0.16em;
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font-size: 0.64rem;
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}
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.synthetic-control-section {
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display: grid;
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gap: 10px;
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padding: 14px 14px 0;
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border-top: 1px solid var(--border);
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}
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.synthetic-control-section-head {
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display: flex;
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justify-content: space-between;
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gap: 12px;
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color: var(--text-faint);
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text-transform: uppercase;
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letter-spacing: 0.14em;
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font-size: 0.68rem;
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}
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.synthetic-control-select select,
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.synthetic-segment,
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.synthetic-control-toggle {
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font: inherit;
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}
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.synthetic-control-select select {
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width: 100%;
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padding: 10px 12px;
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border: 1px solid var(--border);
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border-radius: 10px;
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background: rgba(255, 255, 255, 0.03);
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color: var(--text);
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}
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.synthetic-control-toggle {
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display: inline-flex;
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align-items: center;
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gap: 10px;
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color: var(--text-dim);
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}
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.synthetic-control-toggle input {
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accent-color: var(--accent);
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}
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.synthetic-segment-row {
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display: flex;
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flex-wrap: wrap;
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gap: 8px;
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}
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.synthetic-segment {
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padding: 8px 10px;
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border: 1px solid var(--border);
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border-radius: 999px;
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background: rgba(255, 255, 255, 0.02);
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color: var(--text-dim);
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}
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.synthetic-segment.is-active {
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border-color: rgba(245, 166, 35, 0.44);
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background: rgba(245, 166, 35, 0.12);
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color: var(--text);
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}
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.synthetic-profile-grid,
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.synthetic-hit-list {
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display: grid;
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gap: 12px;
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}
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.synthetic-profile-row,
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.synthetic-hit-row {
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display: flex;
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align-items: center;
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justify-content: space-between;
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gap: 12px;
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}
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.synthetic-profile-row > span,
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.synthetic-hit-row > span,
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.synthetic-status-grid span {
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color: var(--text-dim);
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font-size: 0.84rem;
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}
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.synthetic-status-grid {
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display: grid;
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gap: 10px;
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}
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.synthetic-status-grid strong,
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.synthetic-hit-row strong {
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font-family: var(--font-mono), monospace;
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font-size: 0.86rem;
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}
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.synthetic-control-disabled {
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display: grid;
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gap: 8px;
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padding: 14px 14px 0;
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border-top: 1px solid var(--border);
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}
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.synthetic-control-disabled p,
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.synthetic-control-disabled span {
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margin: 0;
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}
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.synthetic-control-disabled-label {
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color: var(--accent);
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text-transform: uppercase;
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letter-spacing: 0.14em;
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font-size: 0.68rem;
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}
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.synthetic-control-error {
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color: var(--red);
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}
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.drawer-header {
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display: flex;
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align-items: flex-start;
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max-height: none;
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margin-top: 14px;
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}
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.synthetic-control-gear {
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right: 14px;
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bottom: 14px;
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}
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.synthetic-control-drawer {
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top: auto;
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left: 14px;
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right: 14px;
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bottom: 68px;
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width: auto;
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border: 1px solid rgba(245, 166, 35, 0.16);
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border-radius: 14px;
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}
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}
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@ -28,6 +28,7 @@ import {
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mergeNewestWithOverflow,
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normalizeAlertSeverity,
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nextFlowFilterPopoverState,
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isSyntheticAdminVisible,
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prunePinnedEntries,
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projectPausableTapeState,
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reducePausableTapeData,
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@ -407,6 +408,13 @@ describe("terminal navigation", () => {
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});
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});
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describe("synthetic admin visibility", () => {
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it("shows the internal control rail only when the public admin flag is enabled", () => {
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expect(isSyntheticAdminVisible("1")).toBe(true);
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expect(isSyntheticAdminVisible("0")).toBe(false);
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});
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});
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describe("live tape pausable helpers", () => {
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it("queues new items while paused and flushes them on resume", () => {
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let state = reducePausableTapeData(
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|
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@ -39,7 +39,11 @@ import type {
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OptionNBBO,
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OptionPrint,
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SmartMoneyEvent,
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SmartMoneyProfileId
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SmartMoneyProfileId,
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SyntheticControlState,
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SyntheticCoverageWindowMinutes,
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SyntheticDerivedStatus,
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SyntheticProfileWeightValue
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} from "@islandflow/types";
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import {
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getSubscriptionKey as getLiveSubscriptionKey,
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|
|
@ -988,6 +992,96 @@ const buildApiUrl = (path: string): string => {
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return `${httpProtocol}://${host}${path}`;
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};
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export const isSyntheticAdminVisible = (
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value = process.env.NEXT_PUBLIC_SYNTHETIC_ADMIN
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): boolean => value === "1";
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type SyntheticAdminStatusResponse = {
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enabled: boolean;
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backend_mode: "synthetic" | "mixed" | "live";
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adapters: {
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options: string;
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equities: string;
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};
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control: SyntheticControlState | null;
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derived: SyntheticDerivedStatus | null;
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disabled_reason?: string;
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};
|
||||
|
||||
type SyntheticAdminControlResponse = {
|
||||
control: SyntheticControlState;
|
||||
derived?: SyntheticDerivedStatus | null;
|
||||
};
|
||||
|
||||
const SYNTHETIC_ADMIN_PROXY_PATHS = {
|
||||
status: "/api/admin/synthetic/status",
|
||||
control: "/api/admin/synthetic/control"
|
||||
} as const;
|
||||
|
||||
const SYNTHETIC_PROFILE_ORDER: Array<keyof SyntheticControlState["profile_weights"]> = [
|
||||
"institutional_directional",
|
||||
"retail_whale",
|
||||
"event_driven",
|
||||
"vol_seller",
|
||||
"arbitrage",
|
||||
"hedge_reactive"
|
||||
];
|
||||
|
||||
const SYNTHETIC_PROFILE_LABELS: Record<
|
||||
keyof SyntheticControlState["profile_weights"],
|
||||
string
|
||||
> = {
|
||||
institutional_directional: "Institutional Directional",
|
||||
retail_whale: "Retail Whale",
|
||||
event_driven: "Event Driven",
|
||||
vol_seller: "Vol Seller",
|
||||
arbitrage: "Arbitrage",
|
||||
hedge_reactive: "Hedge Reactive"
|
||||
};
|
||||
|
||||
const SYNTHETIC_PRESET_LABELS: Record<SyntheticControlState["preset_id"], string> = {
|
||||
balanced_demo: "Balanced Demo",
|
||||
event_day: "Event Day",
|
||||
dealer_day: "Dealer Day",
|
||||
retail_chase: "Retail Chase",
|
||||
quiet_range: "Quiet Range"
|
||||
};
|
||||
|
||||
const buildDefaultSyntheticControl = (): SyntheticControlState => ({
|
||||
preset_id: "balanced_demo",
|
||||
coverage_assist: true,
|
||||
coverage_window_minutes: 20,
|
||||
shared_seed: 11,
|
||||
profile_weights: {
|
||||
institutional_directional: 1.0,
|
||||
retail_whale: 1.0,
|
||||
event_driven: 1.0,
|
||||
vol_seller: 1.0,
|
||||
arbitrage: 1.0,
|
||||
hedge_reactive: 1.0
|
||||
},
|
||||
updated_at: 0,
|
||||
updated_by: "internal-ui"
|
||||
});
|
||||
|
||||
type SyntheticControlPatch = Omit<Partial<SyntheticControlState>, "profile_weights"> & {
|
||||
profile_weights?: Partial<SyntheticControlState["profile_weights"]>;
|
||||
};
|
||||
|
||||
const createSyntheticControlDraft = (
|
||||
current: SyntheticControlState,
|
||||
patch: SyntheticControlPatch
|
||||
): SyntheticControlState => ({
|
||||
...current,
|
||||
...patch,
|
||||
profile_weights: {
|
||||
...current.profile_weights,
|
||||
...(patch.profile_weights ?? {})
|
||||
},
|
||||
updated_at: Date.now(),
|
||||
updated_by: "internal-ui"
|
||||
});
|
||||
|
||||
const formatPrice = (price: number): string => {
|
||||
if (!Number.isFinite(price)) {
|
||||
return "0.00";
|
||||
|
|
@ -7926,6 +8020,331 @@ const ReplayConsole = memo(({ state }: { state: TerminalState }) => {
|
|||
);
|
||||
});
|
||||
|
||||
function SyntheticControlDock() {
|
||||
const visible = isSyntheticAdminVisible();
|
||||
const [open, setOpen] = useState(false);
|
||||
const [status, setStatus] = useState<SyntheticAdminStatusResponse | null>(null);
|
||||
const [draft, setDraft] = useState<SyntheticControlState | null>(null);
|
||||
const [saved, setSaved] = useState<SyntheticControlState | null>(null);
|
||||
const [loading, setLoading] = useState(true);
|
||||
const [saving, setSaving] = useState(false);
|
||||
const [error, setError] = useState<string | null>(null);
|
||||
const dirtyRef = useRef(false);
|
||||
const savedRef = useRef<SyntheticControlState | null>(null);
|
||||
|
||||
useEffect(() => {
|
||||
if (!visible) {
|
||||
return;
|
||||
}
|
||||
|
||||
let cancelled = false;
|
||||
const load = async () => {
|
||||
try {
|
||||
const response = await fetch(SYNTHETIC_ADMIN_PROXY_PATHS.status, {
|
||||
cache: "no-store"
|
||||
});
|
||||
if (cancelled) {
|
||||
return;
|
||||
}
|
||||
if (response.status === 404) {
|
||||
setStatus({
|
||||
enabled: false,
|
||||
backend_mode: "live",
|
||||
adapters: { options: "unknown", equities: "unknown" },
|
||||
control: null,
|
||||
derived: null,
|
||||
disabled_reason: "Synthetic admin backend is disabled."
|
||||
});
|
||||
setLoading(false);
|
||||
return;
|
||||
}
|
||||
const nextStatus = (await response.json()) as SyntheticAdminStatusResponse;
|
||||
setStatus(nextStatus);
|
||||
if (!dirtyRef.current) {
|
||||
const nextControl = nextStatus.control ?? buildDefaultSyntheticControl();
|
||||
setDraft(nextControl);
|
||||
setSaved(nextControl);
|
||||
savedRef.current = nextControl;
|
||||
}
|
||||
} catch (loadError) {
|
||||
if (!cancelled) {
|
||||
setError(loadError instanceof Error ? loadError.message : String(loadError));
|
||||
}
|
||||
} finally {
|
||||
if (!cancelled) {
|
||||
setLoading(false);
|
||||
}
|
||||
}
|
||||
};
|
||||
|
||||
void load();
|
||||
const timer = setInterval(() => {
|
||||
void load();
|
||||
}, 5_000);
|
||||
|
||||
return () => {
|
||||
cancelled = true;
|
||||
clearInterval(timer);
|
||||
};
|
||||
}, [visible]);
|
||||
|
||||
useEffect(() => {
|
||||
if (!visible || !status?.enabled || !draft || !dirtyRef.current) {
|
||||
return;
|
||||
}
|
||||
|
||||
const timeout = setTimeout(() => {
|
||||
const nextDraft = draft;
|
||||
setSaving(true);
|
||||
setError(null);
|
||||
void fetch(SYNTHETIC_ADMIN_PROXY_PATHS.control, {
|
||||
method: "PUT",
|
||||
headers: {
|
||||
"content-type": "application/json"
|
||||
},
|
||||
body: JSON.stringify(nextDraft)
|
||||
})
|
||||
.then(async (response) => {
|
||||
if (!response.ok) {
|
||||
const body = await response.json().catch(() => null);
|
||||
throw new Error(body?.detail ?? body?.error ?? "Synthetic control update failed");
|
||||
}
|
||||
return (await response.json()) as SyntheticAdminControlResponse;
|
||||
})
|
||||
.then((payload) => {
|
||||
dirtyRef.current = false;
|
||||
savedRef.current = payload.control;
|
||||
setSaved(payload.control);
|
||||
setDraft(payload.control);
|
||||
setStatus((current) =>
|
||||
current
|
||||
? {
|
||||
...current,
|
||||
control: payload.control,
|
||||
derived: payload.derived ?? current.derived
|
||||
}
|
||||
: current
|
||||
);
|
||||
})
|
||||
.catch((updateError) => {
|
||||
dirtyRef.current = false;
|
||||
setError(updateError instanceof Error ? updateError.message : String(updateError));
|
||||
setDraft(savedRef.current);
|
||||
})
|
||||
.finally(() => {
|
||||
setSaving(false);
|
||||
});
|
||||
}, 250);
|
||||
|
||||
return () => {
|
||||
clearTimeout(timeout);
|
||||
};
|
||||
}, [draft, status?.enabled, visible]);
|
||||
|
||||
if (!visible) {
|
||||
return null;
|
||||
}
|
||||
|
||||
const currentControl = draft ?? saved ?? buildDefaultSyntheticControl();
|
||||
const disabled = !status?.enabled;
|
||||
const derived = status?.derived;
|
||||
|
||||
const updateControl = (
|
||||
patch: SyntheticControlPatch
|
||||
) => {
|
||||
dirtyRef.current = true;
|
||||
setDraft((current) =>
|
||||
createSyntheticControlDraft(current ?? buildDefaultSyntheticControl(), patch)
|
||||
);
|
||||
};
|
||||
|
||||
const updateProfileWeight = (
|
||||
profileId: keyof SyntheticControlState["profile_weights"],
|
||||
value: SyntheticProfileWeightValue
|
||||
) => {
|
||||
updateControl({
|
||||
profile_weights: {
|
||||
[profileId]: value
|
||||
} as Partial<SyntheticControlState["profile_weights"]>
|
||||
});
|
||||
};
|
||||
|
||||
return (
|
||||
<>
|
||||
<button
|
||||
aria-expanded={open}
|
||||
aria-label="Synthetic control"
|
||||
className={`synthetic-control-gear${open ? " is-open" : ""}`}
|
||||
onClick={() => setOpen((current) => !current)}
|
||||
type="button"
|
||||
>
|
||||
<span className="synthetic-control-gear-mark">+</span>
|
||||
</button>
|
||||
|
||||
{open ? (
|
||||
<aside className="synthetic-control-drawer" aria-label="Synthetic control drawer">
|
||||
<div className="synthetic-control-header">
|
||||
<div>
|
||||
<p className="synthetic-control-kicker">Synthetic Control</p>
|
||||
<h3>Hosted tape operator rail</h3>
|
||||
</div>
|
||||
<button className="drawer-close" onClick={() => setOpen(false)} type="button">
|
||||
Close
|
||||
</button>
|
||||
</div>
|
||||
|
||||
{loading ? (
|
||||
<p className="drawer-note">Loading hosted synthetic status…</p>
|
||||
) : disabled ? (
|
||||
<div className="synthetic-control-disabled">
|
||||
<p className="synthetic-control-disabled-label">Unavailable</p>
|
||||
<p>{status?.disabled_reason ?? "Synthetic control is currently unavailable."}</p>
|
||||
<span>
|
||||
Backend: {status?.backend_mode ?? "unknown"} · Options:{" "}
|
||||
{status?.adapters.options ?? "unknown"} · Equities:{" "}
|
||||
{status?.adapters.equities ?? "unknown"}
|
||||
</span>
|
||||
</div>
|
||||
) : (
|
||||
<>
|
||||
<section className="synthetic-control-section">
|
||||
<div className="synthetic-control-section-head">
|
||||
<span>Preset</span>
|
||||
<span>{saving ? "Saving…" : "Live"}</span>
|
||||
</div>
|
||||
<label className="synthetic-control-select">
|
||||
<select
|
||||
onChange={(event) =>
|
||||
updateControl({
|
||||
preset_id: event.target.value as SyntheticControlState["preset_id"]
|
||||
})
|
||||
}
|
||||
value={currentControl.preset_id}
|
||||
>
|
||||
{Object.entries(SYNTHETIC_PRESET_LABELS).map(([value, label]) => (
|
||||
<option key={value} value={value}>
|
||||
{label}
|
||||
</option>
|
||||
))}
|
||||
</select>
|
||||
</label>
|
||||
</section>
|
||||
|
||||
<section className="synthetic-control-section">
|
||||
<div className="synthetic-control-section-head">
|
||||
<span>Coverage</span>
|
||||
<span>{currentControl.coverage_window_minutes}m window</span>
|
||||
</div>
|
||||
<label className="synthetic-control-toggle">
|
||||
<input
|
||||
checked={currentControl.coverage_assist}
|
||||
onChange={(event) =>
|
||||
updateControl({ coverage_assist: event.target.checked })
|
||||
}
|
||||
type="checkbox"
|
||||
/>
|
||||
<span>Coverage assist</span>
|
||||
</label>
|
||||
<div className="synthetic-segment-row">
|
||||
{[10, 20, 30].map((minutes) => (
|
||||
<button
|
||||
className={`synthetic-segment${currentControl.coverage_window_minutes === minutes ? " is-active" : ""}`}
|
||||
key={minutes}
|
||||
onClick={() =>
|
||||
updateControl({
|
||||
coverage_window_minutes:
|
||||
minutes as SyntheticCoverageWindowMinutes
|
||||
})
|
||||
}
|
||||
type="button"
|
||||
>
|
||||
{minutes}m
|
||||
</button>
|
||||
))}
|
||||
</div>
|
||||
</section>
|
||||
|
||||
<section className="synthetic-control-section">
|
||||
<div className="synthetic-control-section-head">
|
||||
<span>Profile Bias</span>
|
||||
<span>Low · Normal · High</span>
|
||||
</div>
|
||||
<div className="synthetic-profile-grid">
|
||||
{SYNTHETIC_PROFILE_ORDER.map((profileId) => (
|
||||
<div className="synthetic-profile-row" key={profileId}>
|
||||
<span>{SYNTHETIC_PROFILE_LABELS[profileId]}</span>
|
||||
<div className="synthetic-segment-row">
|
||||
{[
|
||||
{ label: "Low", value: 0.6 },
|
||||
{ label: "Normal", value: 1.0 },
|
||||
{ label: "High", value: 1.6 }
|
||||
].map((option) => (
|
||||
<button
|
||||
className={`synthetic-segment${currentControl.profile_weights[profileId] === option.value ? " is-active" : ""}`}
|
||||
key={option.label}
|
||||
onClick={() =>
|
||||
updateProfileWeight(
|
||||
profileId,
|
||||
option.value as SyntheticProfileWeightValue
|
||||
)
|
||||
}
|
||||
type="button"
|
||||
>
|
||||
{option.label}
|
||||
</button>
|
||||
))}
|
||||
</div>
|
||||
</div>
|
||||
))}
|
||||
</div>
|
||||
</section>
|
||||
|
||||
<section className="synthetic-control-section">
|
||||
<div className="synthetic-control-section-head">
|
||||
<span>Live Status</span>
|
||||
<span>{status?.backend_mode ?? "unknown"}</span>
|
||||
</div>
|
||||
<div className="synthetic-status-grid">
|
||||
<div>
|
||||
<span>Regime</span>
|
||||
<strong>{derived?.regime ?? "—"}</strong>
|
||||
</div>
|
||||
<div>
|
||||
<span>Session</span>
|
||||
<strong>{derived?.session_phase ?? "—"}</strong>
|
||||
</div>
|
||||
<div>
|
||||
<span>Focus</span>
|
||||
<strong>
|
||||
{derived?.focus_symbols?.length
|
||||
? derived.focus_symbols.join(", ")
|
||||
: "—"}
|
||||
</strong>
|
||||
</div>
|
||||
<div>
|
||||
<span>Backend</span>
|
||||
<strong>{status?.enabled ? "Enabled" : "Disabled"}</strong>
|
||||
</div>
|
||||
</div>
|
||||
<div className="synthetic-hit-list">
|
||||
{SYNTHETIC_PROFILE_ORDER.map((profileId) => (
|
||||
<div className="synthetic-hit-row" key={profileId}>
|
||||
<span>{SYNTHETIC_PROFILE_LABELS[profileId]}</span>
|
||||
<strong>{derived?.profile_hit_counts?.[profileId] ?? 0}</strong>
|
||||
</div>
|
||||
))}
|
||||
</div>
|
||||
</section>
|
||||
|
||||
{error ? <p className="drawer-note synthetic-control-error">{error}</p> : null}
|
||||
</>
|
||||
)}
|
||||
</aside>
|
||||
) : null}
|
||||
</>
|
||||
);
|
||||
}
|
||||
|
||||
export function TerminalAppShell({ children }: { children: ReactNode }) {
|
||||
const state = useTerminalState();
|
||||
const pathname = usePathname();
|
||||
|
|
@ -8003,6 +8422,8 @@ export function TerminalAppShell({ children }: { children: ReactNode }) {
|
|||
<main className="terminal-content">{children}</main>
|
||||
</div>
|
||||
|
||||
<SyntheticControlDock />
|
||||
|
||||
{state.selectedAlert ? (
|
||||
<AlertDrawer
|
||||
alert={state.selectedAlert}
|
||||
|
|
|
|||
|
|
@ -6,6 +6,7 @@
|
|||
".": "./src/index.ts"
|
||||
},
|
||||
"dependencies": {
|
||||
"@islandflow/types": "workspace:*",
|
||||
"nats": "^2.24.0"
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1,3 +1,4 @@
|
|||
export * from "./jetstream";
|
||||
export * from "./streams";
|
||||
export * from "./subjects";
|
||||
export * from "./synthetic-control";
|
||||
|
|
|
|||
100
packages/bus/src/synthetic-control.ts
Normal file
100
packages/bus/src/synthetic-control.ts
Normal file
|
|
@ -0,0 +1,100 @@
|
|||
import {
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
SyntheticControlStateSchema,
|
||||
normalizeSyntheticControlState,
|
||||
type SyntheticControlState
|
||||
} from "@islandflow/types";
|
||||
import { JSONCodec, type JetStreamClient, type KV, type KvEntry } from "nats";
|
||||
|
||||
export const SYNTHETIC_CONTROL_BUCKET = "synthetic_control";
|
||||
export const SYNTHETIC_CONTROL_GLOBAL_KEY = "global";
|
||||
|
||||
const codec = JSONCodec<SyntheticControlState>();
|
||||
|
||||
const decodeSyntheticControlEntry = (
|
||||
entry: KvEntry | null | undefined
|
||||
): SyntheticControlState => {
|
||||
if (!entry || entry.operation !== "PUT") {
|
||||
return DEFAULT_SYNTHETIC_CONTROL_STATE;
|
||||
}
|
||||
return SyntheticControlStateSchema.parse(entry.json());
|
||||
};
|
||||
|
||||
export const openSyntheticControlKv = async (
|
||||
js: JetStreamClient
|
||||
): Promise<KV> => {
|
||||
return js.views.kv(SYNTHETIC_CONTROL_BUCKET, {
|
||||
description: "Hosted synthetic market internal control state",
|
||||
history: 8
|
||||
});
|
||||
};
|
||||
|
||||
export const readSyntheticControlState = async (
|
||||
kv: KV
|
||||
): Promise<SyntheticControlState> => {
|
||||
return decodeSyntheticControlEntry(
|
||||
await kv.get(SYNTHETIC_CONTROL_GLOBAL_KEY)
|
||||
);
|
||||
};
|
||||
|
||||
export const ensureSyntheticControlState = async (
|
||||
kv: KV
|
||||
): Promise<SyntheticControlState> => {
|
||||
const current = await kv.get(SYNTHETIC_CONTROL_GLOBAL_KEY);
|
||||
if (current && current.operation === "PUT") {
|
||||
return SyntheticControlStateSchema.parse(current.json());
|
||||
}
|
||||
|
||||
await kv.put(
|
||||
SYNTHETIC_CONTROL_GLOBAL_KEY,
|
||||
codec.encode(DEFAULT_SYNTHETIC_CONTROL_STATE)
|
||||
);
|
||||
return DEFAULT_SYNTHETIC_CONTROL_STATE;
|
||||
};
|
||||
|
||||
export const writeSyntheticControlState = async (
|
||||
kv: KV,
|
||||
control: Partial<SyntheticControlState>
|
||||
): Promise<SyntheticControlState> => {
|
||||
const normalized = normalizeSyntheticControlState(control);
|
||||
await kv.put(
|
||||
SYNTHETIC_CONTROL_GLOBAL_KEY,
|
||||
codec.encode(normalized)
|
||||
);
|
||||
return normalized;
|
||||
};
|
||||
|
||||
export const watchSyntheticControlState = async (
|
||||
kv: KV,
|
||||
onUpdate: (control: SyntheticControlState) => void,
|
||||
onError?: (error: unknown) => void
|
||||
): Promise<() => Promise<void>> => {
|
||||
const iterator = await kv.watch({
|
||||
key: SYNTHETIC_CONTROL_GLOBAL_KEY,
|
||||
ignoreDeletes: true
|
||||
});
|
||||
let stopped = false;
|
||||
const task = (async () => {
|
||||
try {
|
||||
for await (const entry of iterator) {
|
||||
if (stopped || entry.operation !== "PUT") {
|
||||
continue;
|
||||
}
|
||||
onUpdate(SyntheticControlStateSchema.parse(entry.json()));
|
||||
}
|
||||
} catch (error) {
|
||||
if (!stopped) {
|
||||
onError?.(error);
|
||||
}
|
||||
}
|
||||
})();
|
||||
|
||||
return async () => {
|
||||
if (stopped) {
|
||||
return;
|
||||
}
|
||||
stopped = true;
|
||||
iterator.stop();
|
||||
await task;
|
||||
};
|
||||
};
|
||||
834
packages/types/src/synthetic-market.ts
Normal file
834
packages/types/src/synthetic-market.ts
Normal file
|
|
@ -0,0 +1,834 @@
|
|||
import { z } from "zod";
|
||||
import type { SmartMoneyProfileId } from "./events";
|
||||
import type { SyntheticMarketMode } from "./options-flow";
|
||||
import { SP500_SYMBOLS } from "./sp500";
|
||||
|
||||
const SYNTHETIC_PROFILE_WEIGHT_VALUES = [0.6, 1.0, 1.6] as const;
|
||||
const SYNTHETIC_COVERAGE_WINDOW_VALUES = [10, 20, 30] as const;
|
||||
const SYNTHETIC_SYMBOLS = ["SPY", ...(SP500_SYMBOLS as readonly string[])];
|
||||
const EVENT_SYMBOL_POOL = [
|
||||
"AAPL",
|
||||
"MSFT",
|
||||
"NVDA",
|
||||
"META",
|
||||
"AMZN",
|
||||
"TSLA",
|
||||
"GOOGL",
|
||||
"NFLX",
|
||||
"AMD",
|
||||
"AVGO"
|
||||
] as const;
|
||||
const SMART_MONEY_PROFILE_IDS = [
|
||||
"institutional_directional",
|
||||
"retail_whale",
|
||||
"event_driven",
|
||||
"vol_seller",
|
||||
"arbitrage",
|
||||
"hedge_reactive"
|
||||
] as const satisfies readonly SmartMoneyProfileId[];
|
||||
const SYNTHETIC_SCENARIO_FAMILY_IDS = [
|
||||
...SMART_MONEY_PROFILE_IDS,
|
||||
"neutral_noise"
|
||||
] as const;
|
||||
const REGIME_IDS = [
|
||||
"trend_up",
|
||||
"trend_down",
|
||||
"mean_revert",
|
||||
"retail_chase",
|
||||
"event_ramp",
|
||||
"dealer_gamma",
|
||||
"arb_calm"
|
||||
] as const;
|
||||
|
||||
export const SyntheticControlPresetIdSchema = z.enum([
|
||||
"balanced_demo",
|
||||
"event_day",
|
||||
"dealer_day",
|
||||
"retail_chase",
|
||||
"quiet_range"
|
||||
]);
|
||||
export type SyntheticControlPresetId = z.infer<typeof SyntheticControlPresetIdSchema>;
|
||||
|
||||
export const SyntheticCoverageWindowMinutesSchema = z.union([
|
||||
z.literal(10),
|
||||
z.literal(20),
|
||||
z.literal(30)
|
||||
]);
|
||||
export type SyntheticCoverageWindowMinutes = z.infer<
|
||||
typeof SyntheticCoverageWindowMinutesSchema
|
||||
>;
|
||||
|
||||
export const SyntheticProfileWeightValueSchema = z.union([
|
||||
z.literal(0.6),
|
||||
z.literal(1.0),
|
||||
z.literal(1.6)
|
||||
]);
|
||||
export type SyntheticProfileWeightValue = z.infer<
|
||||
typeof SyntheticProfileWeightValueSchema
|
||||
>;
|
||||
|
||||
export const SyntheticProfileWeightMapSchema = z
|
||||
.object({
|
||||
institutional_directional: SyntheticProfileWeightValueSchema,
|
||||
retail_whale: SyntheticProfileWeightValueSchema,
|
||||
event_driven: SyntheticProfileWeightValueSchema,
|
||||
vol_seller: SyntheticProfileWeightValueSchema,
|
||||
arbitrage: SyntheticProfileWeightValueSchema,
|
||||
hedge_reactive: SyntheticProfileWeightValueSchema
|
||||
})
|
||||
.strict();
|
||||
export type SyntheticProfileWeightMap = z.infer<
|
||||
typeof SyntheticProfileWeightMapSchema
|
||||
>;
|
||||
|
||||
export const SyntheticControlStateSchema = z
|
||||
.object({
|
||||
preset_id: SyntheticControlPresetIdSchema,
|
||||
coverage_assist: z.boolean(),
|
||||
coverage_window_minutes: SyntheticCoverageWindowMinutesSchema,
|
||||
shared_seed: z.number().int(),
|
||||
profile_weights: SyntheticProfileWeightMapSchema,
|
||||
updated_at: z.number().int().nonnegative(),
|
||||
updated_by: z.string().trim().min(1)
|
||||
})
|
||||
.strict();
|
||||
export type SyntheticControlState = z.infer<typeof SyntheticControlStateSchema>;
|
||||
|
||||
export const SyntheticSessionPhaseSchema = z.enum([
|
||||
"open",
|
||||
"midday",
|
||||
"power_hour",
|
||||
"after_event"
|
||||
]);
|
||||
export type SyntheticSessionPhase = z.infer<typeof SyntheticSessionPhaseSchema>;
|
||||
|
||||
export const SyntheticRegimeSchema = z.enum(REGIME_IDS);
|
||||
export type SyntheticRegime = z.infer<typeof SyntheticRegimeSchema>;
|
||||
|
||||
export const SyntheticScenarioFamilyIdSchema = z.enum(
|
||||
SYNTHETIC_SCENARIO_FAMILY_IDS
|
||||
);
|
||||
export type SyntheticScenarioFamilyId = z.infer<
|
||||
typeof SyntheticScenarioFamilyIdSchema
|
||||
>;
|
||||
|
||||
export const SyntheticCoverageConfigSchema = z
|
||||
.object({
|
||||
coverage_assist: z.boolean(),
|
||||
coverage_window_minutes: SyntheticCoverageWindowMinutesSchema
|
||||
})
|
||||
.strict();
|
||||
export type SyntheticCoverageConfig = z.infer<
|
||||
typeof SyntheticCoverageConfigSchema
|
||||
>;
|
||||
|
||||
export const SyntheticDerivedStatusSchema = z
|
||||
.object({
|
||||
session_phase: SyntheticSessionPhaseSchema,
|
||||
regime: SyntheticRegimeSchema,
|
||||
focus_symbols: z.array(z.string()),
|
||||
profile_hit_counts: z.record(z.number().int().nonnegative()),
|
||||
coverage_window_minutes: SyntheticCoverageWindowMinutesSchema
|
||||
})
|
||||
.strict();
|
||||
export type SyntheticDerivedStatus = z.infer<
|
||||
typeof SyntheticDerivedStatusSchema
|
||||
>;
|
||||
|
||||
export type SyntheticSessionState = {
|
||||
session_phase: SyntheticSessionPhase;
|
||||
regime: SyntheticRegime;
|
||||
volatility_level: number;
|
||||
liquidity_level: number;
|
||||
quote_cleanliness: number;
|
||||
focus_symbols: string[];
|
||||
event_symbols: string[];
|
||||
seed_bucket: number;
|
||||
};
|
||||
|
||||
export type SyntheticUnderlyingState = {
|
||||
mid: number;
|
||||
bid: number;
|
||||
ask: number;
|
||||
spread: number;
|
||||
driftBps: number;
|
||||
shockBps: number;
|
||||
sessionVolatility: number;
|
||||
liquiditySkew: number;
|
||||
quoteCleanliness: number;
|
||||
clusteringScore: number;
|
||||
offExchangeBias: number;
|
||||
};
|
||||
|
||||
export type SyntheticScenarioWeightMap = Record<
|
||||
SyntheticScenarioFamilyId,
|
||||
number
|
||||
>;
|
||||
|
||||
export type SyntheticCoverageState = {
|
||||
profile_hit_counts: Record<SmartMoneyProfileId, number>;
|
||||
};
|
||||
|
||||
export type SyntheticBurstPulse = {
|
||||
active: boolean;
|
||||
intensity: number;
|
||||
focusSymbols: string[];
|
||||
bucket: number;
|
||||
};
|
||||
|
||||
const DEFAULT_PROFILE_WEIGHTS: SyntheticProfileWeightMap = {
|
||||
institutional_directional: 1.0,
|
||||
retail_whale: 1.0,
|
||||
event_driven: 1.0,
|
||||
vol_seller: 1.0,
|
||||
arbitrage: 1.0,
|
||||
hedge_reactive: 1.0
|
||||
};
|
||||
|
||||
export const DEFAULT_SYNTHETIC_CONTROL_STATE: SyntheticControlState = {
|
||||
preset_id: "balanced_demo",
|
||||
coverage_assist: true,
|
||||
coverage_window_minutes: 20,
|
||||
shared_seed: 11,
|
||||
profile_weights: DEFAULT_PROFILE_WEIGHTS,
|
||||
updated_at: 0,
|
||||
updated_by: "system"
|
||||
};
|
||||
|
||||
const PRESET_REGIME_BIAS: Record<
|
||||
SyntheticControlPresetId,
|
||||
Record<SyntheticRegime, number>
|
||||
> = {
|
||||
balanced_demo: {
|
||||
trend_up: 1.0,
|
||||
trend_down: 0.95,
|
||||
mean_revert: 1.05,
|
||||
retail_chase: 0.95,
|
||||
event_ramp: 0.85,
|
||||
dealer_gamma: 0.95,
|
||||
arb_calm: 0.95
|
||||
},
|
||||
event_day: {
|
||||
trend_up: 0.9,
|
||||
trend_down: 0.9,
|
||||
mean_revert: 0.75,
|
||||
retail_chase: 0.95,
|
||||
event_ramp: 1.9,
|
||||
dealer_gamma: 1.0,
|
||||
arb_calm: 0.55
|
||||
},
|
||||
dealer_day: {
|
||||
trend_up: 0.85,
|
||||
trend_down: 0.85,
|
||||
mean_revert: 0.9,
|
||||
retail_chase: 0.85,
|
||||
event_ramp: 0.7,
|
||||
dealer_gamma: 1.95,
|
||||
arb_calm: 0.8
|
||||
},
|
||||
retail_chase: {
|
||||
trend_up: 1.1,
|
||||
trend_down: 0.7,
|
||||
mean_revert: 0.6,
|
||||
retail_chase: 2.0,
|
||||
event_ramp: 0.95,
|
||||
dealer_gamma: 0.95,
|
||||
arb_calm: 0.45
|
||||
},
|
||||
quiet_range: {
|
||||
trend_up: 0.7,
|
||||
trend_down: 0.7,
|
||||
mean_revert: 1.35,
|
||||
retail_chase: 0.45,
|
||||
event_ramp: 0.5,
|
||||
dealer_gamma: 0.75,
|
||||
arb_calm: 1.8
|
||||
}
|
||||
};
|
||||
|
||||
const PRESET_ACTIVITY_BIAS: Record<
|
||||
SyntheticControlPresetId,
|
||||
{ focusCount: number; eventCount: number; amplitude: number }
|
||||
> = {
|
||||
balanced_demo: { focusCount: 3, eventCount: 2, amplitude: 1.0 },
|
||||
event_day: { focusCount: 4, eventCount: 3, amplitude: 1.28 },
|
||||
dealer_day: { focusCount: 3, eventCount: 1, amplitude: 1.12 },
|
||||
retail_chase: { focusCount: 4, eventCount: 1, amplitude: 1.25 },
|
||||
quiet_range: { focusCount: 2, eventCount: 1, amplitude: 0.72 }
|
||||
};
|
||||
|
||||
const REGIME_PROFILE_BIAS: Record<
|
||||
SyntheticRegime,
|
||||
SyntheticScenarioWeightMap
|
||||
> = {
|
||||
trend_up: {
|
||||
institutional_directional: 1.35,
|
||||
retail_whale: 1.05,
|
||||
event_driven: 0.9,
|
||||
vol_seller: 0.78,
|
||||
arbitrage: 0.72,
|
||||
hedge_reactive: 0.82,
|
||||
neutral_noise: 0.82
|
||||
},
|
||||
trend_down: {
|
||||
institutional_directional: 1.2,
|
||||
retail_whale: 0.82,
|
||||
event_driven: 0.88,
|
||||
vol_seller: 0.8,
|
||||
arbitrage: 0.78,
|
||||
hedge_reactive: 1.22,
|
||||
neutral_noise: 0.85
|
||||
},
|
||||
mean_revert: {
|
||||
institutional_directional: 0.92,
|
||||
retail_whale: 0.78,
|
||||
event_driven: 0.8,
|
||||
vol_seller: 1.18,
|
||||
arbitrage: 1.28,
|
||||
hedge_reactive: 0.92,
|
||||
neutral_noise: 1.2
|
||||
},
|
||||
retail_chase: {
|
||||
institutional_directional: 1.04,
|
||||
retail_whale: 1.72,
|
||||
event_driven: 0.9,
|
||||
vol_seller: 0.7,
|
||||
arbitrage: 0.58,
|
||||
hedge_reactive: 0.98,
|
||||
neutral_noise: 0.72
|
||||
},
|
||||
event_ramp: {
|
||||
institutional_directional: 1.08,
|
||||
retail_whale: 0.96,
|
||||
event_driven: 1.95,
|
||||
vol_seller: 0.74,
|
||||
arbitrage: 0.62,
|
||||
hedge_reactive: 1.04,
|
||||
neutral_noise: 0.58
|
||||
},
|
||||
dealer_gamma: {
|
||||
institutional_directional: 0.94,
|
||||
retail_whale: 1.02,
|
||||
event_driven: 0.78,
|
||||
vol_seller: 0.84,
|
||||
arbitrage: 0.92,
|
||||
hedge_reactive: 1.74,
|
||||
neutral_noise: 0.76
|
||||
},
|
||||
arb_calm: {
|
||||
institutional_directional: 0.68,
|
||||
retail_whale: 0.58,
|
||||
event_driven: 0.62,
|
||||
vol_seller: 1.28,
|
||||
arbitrage: 1.78,
|
||||
hedge_reactive: 0.72,
|
||||
neutral_noise: 1.34
|
||||
}
|
||||
};
|
||||
|
||||
const REGIME_STATE_BASE: Record<
|
||||
SyntheticRegime,
|
||||
{
|
||||
volatility: number;
|
||||
liquidity: number;
|
||||
quoteCleanliness: number;
|
||||
offExchangeBias: number;
|
||||
}
|
||||
> = {
|
||||
trend_up: {
|
||||
volatility: 0.72,
|
||||
liquidity: 0.72,
|
||||
quoteCleanliness: 0.64,
|
||||
offExchangeBias: 0.46
|
||||
},
|
||||
trend_down: {
|
||||
volatility: 0.78,
|
||||
liquidity: 0.66,
|
||||
quoteCleanliness: 0.58,
|
||||
offExchangeBias: 0.52
|
||||
},
|
||||
mean_revert: {
|
||||
volatility: 0.5,
|
||||
liquidity: 0.84,
|
||||
quoteCleanliness: 0.8,
|
||||
offExchangeBias: 0.34
|
||||
},
|
||||
retail_chase: {
|
||||
volatility: 0.88,
|
||||
liquidity: 0.62,
|
||||
quoteCleanliness: 0.5,
|
||||
offExchangeBias: 0.58
|
||||
},
|
||||
event_ramp: {
|
||||
volatility: 0.92,
|
||||
liquidity: 0.56,
|
||||
quoteCleanliness: 0.42,
|
||||
offExchangeBias: 0.54
|
||||
},
|
||||
dealer_gamma: {
|
||||
volatility: 0.82,
|
||||
liquidity: 0.66,
|
||||
quoteCleanliness: 0.48,
|
||||
offExchangeBias: 0.5
|
||||
},
|
||||
arb_calm: {
|
||||
volatility: 0.34,
|
||||
liquidity: 0.9,
|
||||
quoteCleanliness: 0.88,
|
||||
offExchangeBias: 0.3
|
||||
}
|
||||
};
|
||||
|
||||
const clamp = (value: number, min: number, max: number): number => {
|
||||
if (!Number.isFinite(value)) {
|
||||
return min;
|
||||
}
|
||||
return Math.max(min, Math.min(max, value));
|
||||
};
|
||||
|
||||
const roundTo = (value: number, digits = 4): number => {
|
||||
if (!Number.isFinite(value)) {
|
||||
return 0;
|
||||
}
|
||||
return Number(value.toFixed(digits));
|
||||
};
|
||||
|
||||
const signedNoise = (seed: number): number => {
|
||||
const raw = Math.sin(seed * 12.9898) * 43_758.5453;
|
||||
return (raw - Math.floor(raw)) * 2 - 1;
|
||||
};
|
||||
|
||||
const positiveNoise = (seed: number): number => {
|
||||
return (signedNoise(seed) + 1) / 2;
|
||||
};
|
||||
|
||||
const mixSeed = (...parts: number[]): number => {
|
||||
let seed = 0x811c9dc5;
|
||||
for (const part of parts) {
|
||||
seed ^= Math.floor(part) >>> 0;
|
||||
seed = Math.imul(seed, 0x01000193) >>> 0;
|
||||
}
|
||||
return seed >>> 0;
|
||||
};
|
||||
|
||||
const pick = <T,>(items: readonly T[], seed: number): T => {
|
||||
const index = Math.abs(seed) % items.length;
|
||||
return items[index]!;
|
||||
};
|
||||
|
||||
const pickManyUnique = <T,>(
|
||||
items: readonly T[],
|
||||
count: number,
|
||||
seed: number
|
||||
): T[] => {
|
||||
const pool = [...items];
|
||||
const output: T[] = [];
|
||||
let cursor = seed;
|
||||
while (pool.length > 0 && output.length < count) {
|
||||
const index = Math.abs(cursor) % pool.length;
|
||||
output.push(pool.splice(index, 1)[0]!);
|
||||
cursor = mixSeed(cursor, output.length * 17 + 3);
|
||||
}
|
||||
return output;
|
||||
};
|
||||
|
||||
const weightedPick = <T extends string>(
|
||||
weights: Record<T, number>,
|
||||
seed: number
|
||||
): T => {
|
||||
const entries = Object.entries(weights) as Array<[T, number]>;
|
||||
const total = entries.reduce((sum, [, weight]) => sum + Math.max(0.0001, weight), 0);
|
||||
let target = positiveNoise(seed) * total;
|
||||
for (const [value, weight] of entries) {
|
||||
target -= Math.max(0.0001, weight);
|
||||
if (target <= 0) {
|
||||
return value;
|
||||
}
|
||||
}
|
||||
return entries[entries.length - 1]![0];
|
||||
};
|
||||
|
||||
const getSessionMinute = (ts: number): number => {
|
||||
const minute = Math.floor(ts / 60_000);
|
||||
return ((minute % 390) + 390) % 390;
|
||||
};
|
||||
|
||||
export const hashSyntheticSymbol = (value: string): number => {
|
||||
let hash = 0;
|
||||
for (let i = 0; i < value.length; i += 1) {
|
||||
hash = (hash * 31 + value.charCodeAt(i)) >>> 0;
|
||||
}
|
||||
return hash;
|
||||
};
|
||||
|
||||
export const buildEmptySyntheticProfileHitCounts = (): Record<
|
||||
SmartMoneyProfileId,
|
||||
number
|
||||
> => ({
|
||||
institutional_directional: 0,
|
||||
retail_whale: 0,
|
||||
event_driven: 0,
|
||||
vol_seller: 0,
|
||||
arbitrage: 0,
|
||||
hedge_reactive: 0
|
||||
});
|
||||
|
||||
export const normalizeSyntheticControlState = (
|
||||
control: Partial<SyntheticControlState> | null | undefined
|
||||
): SyntheticControlState => {
|
||||
const merged: SyntheticControlState = {
|
||||
...DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
...control,
|
||||
profile_weights: {
|
||||
...DEFAULT_SYNTHETIC_CONTROL_STATE.profile_weights,
|
||||
...(control?.profile_weights ?? {})
|
||||
}
|
||||
};
|
||||
return SyntheticControlStateSchema.parse(merged);
|
||||
};
|
||||
|
||||
const resolvePhaseBias = (
|
||||
phase: SyntheticSessionPhase,
|
||||
regime: SyntheticRegime
|
||||
): number => {
|
||||
if (phase === "open") {
|
||||
return regime === "event_ramp" ? 1.08 : 1.02;
|
||||
}
|
||||
if (phase === "power_hour") {
|
||||
return regime === "retail_chase" || regime === "dealer_gamma" ? 1.08 : 1.03;
|
||||
}
|
||||
if (phase === "after_event") {
|
||||
return regime === "event_ramp" ? 1.24 : 1.0;
|
||||
}
|
||||
return 1.0;
|
||||
};
|
||||
|
||||
const resolveSessionPhase = (
|
||||
minuteOfSession: number,
|
||||
eventActive: boolean,
|
||||
eventOffset: number
|
||||
): SyntheticSessionPhase => {
|
||||
if (eventActive && eventOffset > 0.58) {
|
||||
return "after_event";
|
||||
}
|
||||
if (minuteOfSession < 60) {
|
||||
return "open";
|
||||
}
|
||||
if (minuteOfSession >= 300) {
|
||||
return "power_hour";
|
||||
}
|
||||
return "midday";
|
||||
};
|
||||
|
||||
export const getSyntheticSessionState = (
|
||||
ts: number,
|
||||
control: Partial<SyntheticControlState> | null | undefined = DEFAULT_SYNTHETIC_CONTROL_STATE
|
||||
): SyntheticSessionState => {
|
||||
const normalized = normalizeSyntheticControlState(control);
|
||||
const minuteOfSession = getSessionMinute(ts);
|
||||
const bucketMs = 5 * 60_000;
|
||||
const seedBucket = Math.floor(ts / bucketMs);
|
||||
const presetBias = PRESET_REGIME_BIAS[normalized.preset_id];
|
||||
const eventSeed = mixSeed(normalized.shared_seed, seedBucket, normalized.updated_at);
|
||||
const eventBucketOffset = positiveNoise(eventSeed + 41);
|
||||
const eventActive =
|
||||
normalized.preset_id === "event_day" ||
|
||||
eventBucketOffset > (normalized.preset_id === "balanced_demo" ? 0.72 : 0.6);
|
||||
const prePhase = resolveSessionPhase(minuteOfSession, eventActive, eventBucketOffset);
|
||||
const regimeWeights = REGIME_IDS.reduce(
|
||||
(acc, regime) => {
|
||||
const drift = 0.82 + positiveNoise(mixSeed(eventSeed, regime.length * 29)) * 0.38;
|
||||
acc[regime] = presetBias[regime] * drift * resolvePhaseBias(prePhase, regime);
|
||||
return acc;
|
||||
},
|
||||
{} as Record<SyntheticRegime, number>
|
||||
);
|
||||
const regime = weightedPick(regimeWeights, mixSeed(eventSeed, 97));
|
||||
const phase = resolveSessionPhase(
|
||||
minuteOfSession,
|
||||
eventActive || regime === "event_ramp",
|
||||
eventBucketOffset
|
||||
);
|
||||
const presetActivity = PRESET_ACTIVITY_BIAS[normalized.preset_id];
|
||||
const stateBase = REGIME_STATE_BASE[regime];
|
||||
const activitySeed = mixSeed(eventSeed, minuteOfSession, regime.length * 13);
|
||||
const eventCount =
|
||||
regime === "event_ramp" || phase === "after_event"
|
||||
? Math.max(2, presetActivity.eventCount)
|
||||
: presetActivity.eventCount;
|
||||
const focusCount =
|
||||
regime === "retail_chase" || regime === "event_ramp"
|
||||
? presetActivity.focusCount + 1
|
||||
: presetActivity.focusCount;
|
||||
const event_symbols: string[] = pickManyUnique(
|
||||
EVENT_SYMBOL_POOL,
|
||||
eventCount,
|
||||
mixSeed(activitySeed, 211)
|
||||
);
|
||||
const focus_symbols: string[] = pickManyUnique(
|
||||
[
|
||||
...event_symbols,
|
||||
...SYNTHETIC_SYMBOLS.filter((symbol) => !event_symbols.includes(symbol))
|
||||
],
|
||||
focusCount,
|
||||
mixSeed(activitySeed, 389)
|
||||
);
|
||||
const amplitude = presetActivity.amplitude;
|
||||
|
||||
return {
|
||||
session_phase: phase,
|
||||
regime,
|
||||
volatility_level: roundTo(
|
||||
clamp(
|
||||
stateBase.volatility * amplitude + signedNoise(activitySeed + 3) * 0.08,
|
||||
0.18,
|
||||
1.2
|
||||
)
|
||||
),
|
||||
liquidity_level: roundTo(
|
||||
clamp(
|
||||
stateBase.liquidity - (amplitude - 1) * 0.08 + signedNoise(activitySeed + 5) * 0.06,
|
||||
0.2,
|
||||
1.1
|
||||
)
|
||||
),
|
||||
quote_cleanliness: roundTo(
|
||||
clamp(
|
||||
stateBase.quoteCleanliness - (amplitude - 1) * 0.1 + signedNoise(activitySeed + 7) * 0.06,
|
||||
0.18,
|
||||
0.96
|
||||
)
|
||||
),
|
||||
focus_symbols,
|
||||
event_symbols,
|
||||
seed_bucket: seedBucket
|
||||
};
|
||||
};
|
||||
|
||||
const isModeString = (
|
||||
value: Partial<SyntheticControlState> | SyntheticMarketMode | null | undefined
|
||||
): value is SyntheticMarketMode => {
|
||||
return value === "realistic" || value === "active" || value === "firehose";
|
||||
};
|
||||
|
||||
export const getSyntheticUnderlyingState = (
|
||||
symbol: string,
|
||||
ts: number,
|
||||
controlOrMode:
|
||||
| Partial<SyntheticControlState>
|
||||
| SyntheticMarketMode
|
||||
| null
|
||||
| undefined = DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
sessionState?: SyntheticSessionState
|
||||
): SyntheticUnderlyingState => {
|
||||
const control = isModeString(controlOrMode)
|
||||
? DEFAULT_SYNTHETIC_CONTROL_STATE
|
||||
: normalizeSyntheticControlState(controlOrMode);
|
||||
const session = sessionState ?? getSyntheticSessionState(ts, control);
|
||||
const hash = hashSyntheticSymbol(symbol);
|
||||
const minuteOfSession = getSessionMinute(ts);
|
||||
const base = 25 + (hash % 475);
|
||||
const isFocus = session.focus_symbols.includes(symbol);
|
||||
const isEvent = session.event_symbols.includes(symbol);
|
||||
const regimeDirection =
|
||||
session.regime === "trend_up" || session.regime === "retail_chase"
|
||||
? 1
|
||||
: session.regime === "trend_down"
|
||||
? -1
|
||||
: 0;
|
||||
const trendWave =
|
||||
Math.sin((minuteOfSession + (hash % 71) + session.seed_bucket) / 29) * 0.55 +
|
||||
Math.cos((minuteOfSession + (hash % 37) + session.seed_bucket) / 17) * 0.28;
|
||||
const meanRevertWave =
|
||||
Math.sin((minuteOfSession + (hash % 19)) / 6) * 0.42 -
|
||||
Math.sin((minuteOfSession + (hash % 13)) / 19) * 0.24;
|
||||
const eventDrift =
|
||||
isEvent && (session.regime === "event_ramp" || session.session_phase === "after_event")
|
||||
? 1.25
|
||||
: 0;
|
||||
const focusBoost = isFocus ? 1.18 : 0.92;
|
||||
const directionBps =
|
||||
regimeDirection * (14 + session.volatility_level * 36) * focusBoost +
|
||||
trendWave * 22 * focusBoost +
|
||||
eventDrift * 18;
|
||||
const reversionBps =
|
||||
session.regime === "mean_revert" || session.regime === "arb_calm"
|
||||
? -meanRevertWave * (12 + session.liquidity_level * 10)
|
||||
: meanRevertWave * 6;
|
||||
const gammaChop =
|
||||
session.regime === "dealer_gamma"
|
||||
? Math.sin((minuteOfSession + (hash % 11)) / 2.8) * 16
|
||||
: 0;
|
||||
const noiseBps =
|
||||
signedNoise(mixSeed(hash, session.seed_bucket, control.shared_seed)) *
|
||||
(6 + session.volatility_level * 18);
|
||||
const driftBps = directionBps + reversionBps + gammaChop;
|
||||
const shockBps = noiseBps + (isFocus ? signedNoise(hash + minuteOfSession) * 6 : 0);
|
||||
const totalBps = driftBps + shockBps;
|
||||
const mid = Math.max(0.01, Number((base * (1 + totalBps / 10_000)).toFixed(2)));
|
||||
const spreadBps =
|
||||
4 +
|
||||
session.volatility_level * 14 +
|
||||
(1 - session.liquidity_level) * 10 +
|
||||
(1 - session.quote_cleanliness) * 12 +
|
||||
(session.session_phase === "open" ? 3 : 0) +
|
||||
(session.session_phase === "power_hour" ? 2 : 0);
|
||||
const spread = Math.max(0.01, Number((mid * (spreadBps / 10_000)).toFixed(2)));
|
||||
const halfSpread = spread / 2;
|
||||
const bid = Number(Math.max(0.01, mid - halfSpread).toFixed(2));
|
||||
const ask = Number(Math.max(bid + 0.01, mid + halfSpread).toFixed(2));
|
||||
const clusteringScore = clamp(
|
||||
(isFocus ? 0.34 : 0.12) +
|
||||
(session.regime === "dealer_gamma" ? 0.28 : 0) +
|
||||
(session.regime === "retail_chase" ? 0.16 : 0),
|
||||
0,
|
||||
1
|
||||
);
|
||||
|
||||
return {
|
||||
mid,
|
||||
bid,
|
||||
ask,
|
||||
spread: Number((ask - bid).toFixed(2)),
|
||||
driftBps: roundTo(driftBps),
|
||||
shockBps: roundTo(shockBps),
|
||||
sessionVolatility: roundTo(session.volatility_level),
|
||||
liquiditySkew: roundTo(session.liquidity_level),
|
||||
quoteCleanliness: roundTo(session.quote_cleanliness),
|
||||
clusteringScore: roundTo(clusteringScore),
|
||||
offExchangeBias: roundTo(
|
||||
clamp(
|
||||
REGIME_STATE_BASE[session.regime].offExchangeBias +
|
||||
(isFocus ? 0.08 : 0) +
|
||||
(isEvent ? 0.05 : 0),
|
||||
0.08,
|
||||
0.92
|
||||
)
|
||||
)
|
||||
};
|
||||
};
|
||||
|
||||
export const getSyntheticScenarioWeights = (
|
||||
symbol: string,
|
||||
ts: number,
|
||||
control: Partial<SyntheticControlState> | null | undefined = DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
sessionState?: SyntheticSessionState
|
||||
): SyntheticScenarioWeightMap => {
|
||||
const normalized = normalizeSyntheticControlState(control);
|
||||
const session = sessionState ?? getSyntheticSessionState(ts, normalized);
|
||||
const base = REGIME_PROFILE_BIAS[session.regime];
|
||||
const isFocus = session.focus_symbols.includes(symbol);
|
||||
const isEvent = session.event_symbols.includes(symbol);
|
||||
const isPower = session.session_phase === "open" || session.session_phase === "power_hour";
|
||||
const weights: SyntheticScenarioWeightMap = {
|
||||
institutional_directional: base.institutional_directional,
|
||||
retail_whale: base.retail_whale,
|
||||
event_driven: base.event_driven,
|
||||
vol_seller: base.vol_seller,
|
||||
arbitrage: base.arbitrage,
|
||||
hedge_reactive: base.hedge_reactive,
|
||||
neutral_noise: base.neutral_noise
|
||||
};
|
||||
|
||||
for (const profileId of SMART_MONEY_PROFILE_IDS) {
|
||||
weights[profileId] = roundTo(
|
||||
weights[profileId] * normalized.profile_weights[profileId],
|
||||
4
|
||||
);
|
||||
}
|
||||
|
||||
if (isFocus) {
|
||||
weights.institutional_directional = roundTo(weights.institutional_directional * 1.08, 4);
|
||||
weights.retail_whale = roundTo(weights.retail_whale * 1.14, 4);
|
||||
weights.hedge_reactive = roundTo(weights.hedge_reactive * 1.08, 4);
|
||||
weights.neutral_noise = roundTo(weights.neutral_noise * 0.92, 4);
|
||||
}
|
||||
if (isEvent) {
|
||||
weights.event_driven = roundTo(weights.event_driven * 1.36, 4);
|
||||
weights.institutional_directional = roundTo(
|
||||
weights.institutional_directional * 1.04,
|
||||
4
|
||||
);
|
||||
weights.neutral_noise = roundTo(weights.neutral_noise * 0.8, 4);
|
||||
}
|
||||
if (isPower) {
|
||||
weights.retail_whale = roundTo(weights.retail_whale * 1.08, 4);
|
||||
weights.hedge_reactive = roundTo(weights.hedge_reactive * 1.06, 4);
|
||||
}
|
||||
if (normalized.preset_id === "quiet_range") {
|
||||
weights.neutral_noise = roundTo(weights.neutral_noise * 1.18, 4);
|
||||
}
|
||||
|
||||
return weights;
|
||||
};
|
||||
|
||||
export const getSyntheticCoverageBoost = (
|
||||
profileId: SmartMoneyProfileId,
|
||||
coverageState: SyntheticCoverageState,
|
||||
control: Pick<
|
||||
SyntheticControlState,
|
||||
"coverage_assist" | "coverage_window_minutes"
|
||||
>
|
||||
): number => {
|
||||
if (!control.coverage_assist) {
|
||||
return 1;
|
||||
}
|
||||
|
||||
const counts = SMART_MONEY_PROFILE_IDS.map(
|
||||
(candidate) => coverageState.profile_hit_counts[candidate] ?? 0
|
||||
);
|
||||
const targetCount = coverageState.profile_hit_counts[profileId] ?? 0;
|
||||
const maxCount = Math.max(...counts);
|
||||
const averageCount =
|
||||
counts.reduce((sum, value) => sum + value, 0) / SMART_MONEY_PROFILE_IDS.length;
|
||||
if (maxCount <= 0) {
|
||||
return 1;
|
||||
}
|
||||
|
||||
const imbalance = clamp((maxCount - targetCount) / Math.max(1, maxCount), 0, 1);
|
||||
const averageDebt = clamp(averageCount - targetCount, 0, 3);
|
||||
const zeroBoost = targetCount === 0 ? 0.22 : 0;
|
||||
const windowFactor =
|
||||
control.coverage_window_minutes === 10
|
||||
? 1.12
|
||||
: control.coverage_window_minutes === 30
|
||||
? 0.94
|
||||
: 1.0;
|
||||
return roundTo(
|
||||
clamp(1 + (imbalance * 0.56 + averageDebt * 0.14 + zeroBoost) * windowFactor, 1, 1.86)
|
||||
);
|
||||
};
|
||||
|
||||
export const getSyntheticBurstPulse = (
|
||||
ts: number,
|
||||
controlOrMode:
|
||||
| Partial<SyntheticControlState>
|
||||
| SyntheticMarketMode
|
||||
| null
|
||||
| undefined = DEFAULT_SYNTHETIC_CONTROL_STATE
|
||||
): SyntheticBurstPulse => {
|
||||
const control = isModeString(controlOrMode)
|
||||
? DEFAULT_SYNTHETIC_CONTROL_STATE
|
||||
: normalizeSyntheticControlState(controlOrMode);
|
||||
const session = getSyntheticSessionState(ts, control);
|
||||
return {
|
||||
active: session.regime !== "arb_calm" || session.focus_symbols.length > 1,
|
||||
intensity: roundTo(
|
||||
clamp(
|
||||
session.volatility_level * 0.72 +
|
||||
session.focus_symbols.length * 0.06 -
|
||||
session.quote_cleanliness * 0.08,
|
||||
0.12,
|
||||
1
|
||||
)
|
||||
),
|
||||
focusSymbols: [...session.focus_symbols],
|
||||
bucket: session.seed_bucket
|
||||
};
|
||||
};
|
||||
|
||||
export const SYNTHETIC_CONTROL_METADATA = {
|
||||
profileWeightValues: SYNTHETIC_PROFILE_WEIGHT_VALUES,
|
||||
coverageWindowValues: SYNTHETIC_COVERAGE_WINDOW_VALUES,
|
||||
smartMoneyProfileIds: SMART_MONEY_PROFILE_IDS
|
||||
} as const;
|
||||
104
packages/types/tests/synthetic-market.test.ts
Normal file
104
packages/types/tests/synthetic-market.test.ts
Normal file
|
|
@ -0,0 +1,104 @@
|
|||
import { describe, expect, it } from "bun:test";
|
||||
import {
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
buildEmptySyntheticProfileHitCounts,
|
||||
getSyntheticCoverageBoost,
|
||||
getSyntheticScenarioWeights,
|
||||
getSyntheticSessionState,
|
||||
getSyntheticUnderlyingState
|
||||
} from "../src/synthetic-market";
|
||||
|
||||
describe("synthetic market regime engine", () => {
|
||||
it("is deterministic for the same timestamp, control, and seed", () => {
|
||||
const ts = Date.parse("2026-01-14T15:25:00Z");
|
||||
const sessionA = getSyntheticSessionState(ts, DEFAULT_SYNTHETIC_CONTROL_STATE);
|
||||
const sessionB = getSyntheticSessionState(ts, DEFAULT_SYNTHETIC_CONTROL_STATE);
|
||||
const underlyingA = getSyntheticUnderlyingState(
|
||||
"NVDA",
|
||||
ts,
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
sessionA
|
||||
);
|
||||
const underlyingB = getSyntheticUnderlyingState(
|
||||
"NVDA",
|
||||
ts,
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
sessionB
|
||||
);
|
||||
|
||||
expect(sessionA).toEqual(sessionB);
|
||||
expect(underlyingA).toEqual(underlyingB);
|
||||
});
|
||||
|
||||
it("makes quiet range calmer than retail chase", () => {
|
||||
const ts = Date.parse("2026-01-14T17:10:00Z");
|
||||
const quietControl = {
|
||||
...DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
preset_id: "quiet_range" as const
|
||||
};
|
||||
const chaseControl = {
|
||||
...DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
preset_id: "retail_chase" as const
|
||||
};
|
||||
const quietSession = getSyntheticSessionState(ts, quietControl);
|
||||
const chaseSession = getSyntheticSessionState(ts, chaseControl);
|
||||
const quietState = getSyntheticUnderlyingState("AAPL", ts, quietControl, quietSession);
|
||||
const chaseState = getSyntheticUnderlyingState("AAPL", ts, chaseControl, chaseSession);
|
||||
|
||||
expect(quietSession.volatility_level).toBeLessThan(chaseSession.volatility_level);
|
||||
expect(quietState.spread).toBeLessThanOrEqual(chaseState.spread);
|
||||
expect(quietState.sessionVolatility).toBeLessThan(chaseState.sessionVolatility);
|
||||
});
|
||||
|
||||
it("materially tilts family weights by preset and regime", () => {
|
||||
const ts = Date.parse("2026-01-14T19:40:00Z");
|
||||
const eventControl = {
|
||||
...DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
preset_id: "event_day" as const
|
||||
};
|
||||
const quietControl = {
|
||||
...DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
preset_id: "quiet_range" as const
|
||||
};
|
||||
const eventSession = getSyntheticSessionState(ts, eventControl);
|
||||
const quietSession = getSyntheticSessionState(ts, quietControl);
|
||||
const eventWeights = getSyntheticScenarioWeights("AAPL", ts, eventControl, eventSession);
|
||||
const quietWeights = getSyntheticScenarioWeights("AAPL", ts, quietControl, quietSession);
|
||||
|
||||
expect(eventWeights.event_driven).toBeGreaterThan(quietWeights.event_driven);
|
||||
expect(quietWeights.neutral_noise).toBeGreaterThan(eventWeights.neutral_noise);
|
||||
});
|
||||
});
|
||||
|
||||
describe("synthetic coverage assist", () => {
|
||||
it("boosts under-hit profiles without forcing when enabled", () => {
|
||||
const counts = buildEmptySyntheticProfileHitCounts();
|
||||
counts.institutional_directional = 3;
|
||||
counts.arbitrage = 2;
|
||||
|
||||
const boost = getSyntheticCoverageBoost(
|
||||
"event_driven",
|
||||
{ profile_hit_counts: counts },
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE
|
||||
);
|
||||
|
||||
expect(boost).toBeGreaterThan(1);
|
||||
expect(boost).toBeLessThanOrEqual(1.86);
|
||||
});
|
||||
|
||||
it("returns neutral boost when coverage assist is disabled", () => {
|
||||
const counts = buildEmptySyntheticProfileHitCounts();
|
||||
counts.institutional_directional = 4;
|
||||
|
||||
expect(
|
||||
getSyntheticCoverageBoost(
|
||||
"event_driven",
|
||||
{ profile_hit_counts: counts },
|
||||
{
|
||||
coverage_assist: false,
|
||||
coverage_window_minutes: 20
|
||||
}
|
||||
)
|
||||
).toBe(1);
|
||||
});
|
||||
});
|
||||
|
|
@ -25,8 +25,12 @@ import {
|
|||
STREAM_OPTION_SIGNAL_PRINTS,
|
||||
buildDurableConsumer,
|
||||
connectJetStreamWithRetry,
|
||||
ensureSyntheticControlState,
|
||||
ensureKnownStreams,
|
||||
subscribeJson
|
||||
openSyntheticControlKv,
|
||||
subscribeJson,
|
||||
watchSyntheticControlState,
|
||||
writeSyntheticControlState
|
||||
} from "@islandflow/bus";
|
||||
import {
|
||||
createClickHouseClient,
|
||||
|
|
@ -100,6 +104,7 @@ import {
|
|||
matchesFlowPacketFilters,
|
||||
matchesOptionPrintFilters,
|
||||
FlowPacketSchema,
|
||||
SyntheticControlStateSchema,
|
||||
SmartMoneyEventSchema,
|
||||
OptionNBBOSchema,
|
||||
OptionPrintSchema,
|
||||
|
|
@ -114,6 +119,13 @@ import {
|
|||
shouldFanoutLiveEvent
|
||||
} from "./live";
|
||||
import { parseOptionPrintQuery } from "./option-queries";
|
||||
import {
|
||||
buildSyntheticDerivedStatus,
|
||||
createRollingSyntheticProfileHits,
|
||||
getSyntheticBackendDisabledReason,
|
||||
recordSyntheticProfileHit,
|
||||
resolveSyntheticBackendMode
|
||||
} from "./synthetic-control";
|
||||
|
||||
const service = "api";
|
||||
const logger = createLogger({ service });
|
||||
|
|
@ -127,10 +139,27 @@ const envSchema = z.object({
|
|||
CLICKHOUSE_URL: z.string().default("http://127.0.0.1:8123"),
|
||||
CLICKHOUSE_DATABASE: z.string().default("default"),
|
||||
REDIS_URL: z.string().default("redis://127.0.0.1:6379"),
|
||||
OPTIONS_INGEST_ADAPTER: z.string().min(1).default("synthetic"),
|
||||
EQUITIES_INGEST_ADAPTER: z.string().min(1).default("synthetic"),
|
||||
REST_DEFAULT_LIMIT: z.coerce.number().int().positive().default(200),
|
||||
API_DELIVER_POLICY: DeliverPolicySchema.default("new"),
|
||||
API_CONSUMER_RESET: z.coerce.boolean().default(false),
|
||||
LIVE_LAG_WARN_MS: z.coerce.number().int().positive().default(120_000)
|
||||
LIVE_LAG_WARN_MS: z.coerce.number().int().positive().default(120_000),
|
||||
SYNTHETIC_CONTROL_ENABLED: z
|
||||
.preprocess((value) => {
|
||||
if (typeof value === "string") {
|
||||
const normalized = value.trim().toLowerCase();
|
||||
if (["1", "true", "yes", "on"].includes(normalized)) {
|
||||
return true;
|
||||
}
|
||||
if (["0", "false", "no", "off"].includes(normalized)) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
return value;
|
||||
}, z.boolean())
|
||||
.default(false),
|
||||
SYNTHETIC_ADMIN_TOKEN: z.string().default("")
|
||||
});
|
||||
|
||||
const env = readEnv(envSchema);
|
||||
|
|
@ -283,6 +312,14 @@ const readJsonBody = async (req: Request): Promise<unknown> => {
|
|||
return JSON.parse(text);
|
||||
};
|
||||
|
||||
const getBearerToken = (req: Request): string => {
|
||||
const authorization = req.headers.get("authorization") ?? "";
|
||||
if (authorization.toLowerCase().startsWith("bearer ")) {
|
||||
return authorization.slice(7).trim();
|
||||
}
|
||||
return req.headers.get("x-synthetic-admin-token")?.trim() ?? "";
|
||||
};
|
||||
|
||||
const optionsSupportLookupSchema = z.object({
|
||||
trace_ids: z.array(z.string().min(1)).default([]),
|
||||
nbbo_context: z
|
||||
|
|
@ -641,6 +678,27 @@ const run = async () => {
|
|||
{ logger }
|
||||
);
|
||||
|
||||
const syntheticBackendMode = resolveSyntheticBackendMode(
|
||||
env.OPTIONS_INGEST_ADAPTER,
|
||||
env.EQUITIES_INGEST_ADAPTER
|
||||
);
|
||||
const syntheticBackendDisabledReason =
|
||||
getSyntheticBackendDisabledReason(syntheticBackendMode);
|
||||
const syntheticControlKv = await openSyntheticControlKv(js);
|
||||
let syntheticControl = await ensureSyntheticControlState(syntheticControlKv);
|
||||
const syntheticProfileHits = createRollingSyntheticProfileHits();
|
||||
const stopSyntheticControlWatch = await watchSyntheticControlState(
|
||||
syntheticControlKv,
|
||||
(nextControl) => {
|
||||
syntheticControl = nextControl;
|
||||
},
|
||||
(error) => {
|
||||
logger.warn("synthetic control watch failed", {
|
||||
error: getErrorMessage(error)
|
||||
});
|
||||
}
|
||||
);
|
||||
|
||||
const clickhouse = createClickHouseClient({
|
||||
url: env.CLICKHOUSE_URL,
|
||||
database: env.CLICKHOUSE_DATABASE
|
||||
|
|
@ -1146,6 +1204,7 @@ const run = async () => {
|
|||
for await (const msg of smartMoneySubscription.messages) {
|
||||
try {
|
||||
const payload = SmartMoneyEventSchema.parse(smartMoneySubscription.decode(msg));
|
||||
recordSyntheticProfileHit(syntheticProfileHits, payload);
|
||||
broadcast(smartMoneySockets, { type: "smart-money", payload });
|
||||
await fanoutLive({ channel: "smart-money" }, payload, "smart-money");
|
||||
msg.ack();
|
||||
|
|
@ -1202,6 +1261,54 @@ const run = async () => {
|
|||
void pumpClassifierHits();
|
||||
void pumpAlerts();
|
||||
|
||||
const buildSyntheticStatusBody = () => {
|
||||
const derived =
|
||||
syntheticBackendMode === "synthetic"
|
||||
? buildSyntheticDerivedStatus(Date.now(), syntheticControl, syntheticProfileHits)
|
||||
: null;
|
||||
return {
|
||||
enabled: env.SYNTHETIC_CONTROL_ENABLED && syntheticBackendMode === "synthetic",
|
||||
backend_mode: syntheticBackendMode,
|
||||
adapters: {
|
||||
options: env.OPTIONS_INGEST_ADAPTER,
|
||||
equities: env.EQUITIES_INGEST_ADAPTER
|
||||
},
|
||||
control: syntheticBackendMode === "synthetic" ? syntheticControl : null,
|
||||
derived,
|
||||
...(syntheticBackendDisabledReason
|
||||
? { disabled_reason: syntheticBackendDisabledReason }
|
||||
: {})
|
||||
};
|
||||
};
|
||||
|
||||
const authenticateSyntheticAdminRequest = (req: Request): Response | null => {
|
||||
if (!env.SYNTHETIC_CONTROL_ENABLED) {
|
||||
return jsonResponse({ error: "not found" }, 404);
|
||||
}
|
||||
if (!env.SYNTHETIC_ADMIN_TOKEN) {
|
||||
return jsonResponse(
|
||||
{
|
||||
error: "synthetic admin misconfigured",
|
||||
detail: "SYNTHETIC_ADMIN_TOKEN is required when synthetic control is enabled."
|
||||
},
|
||||
500
|
||||
);
|
||||
}
|
||||
if (getBearerToken(req) !== env.SYNTHETIC_ADMIN_TOKEN) {
|
||||
return jsonResponse({ error: "unauthorized" }, 401);
|
||||
}
|
||||
if (syntheticBackendMode !== "synthetic") {
|
||||
return jsonResponse(
|
||||
{
|
||||
error: "synthetic backend unavailable",
|
||||
...buildSyntheticStatusBody()
|
||||
},
|
||||
409
|
||||
);
|
||||
}
|
||||
return null;
|
||||
};
|
||||
|
||||
const server = Bun.serve<WsData | LiveWsData>({
|
||||
port: env.API_PORT,
|
||||
fetch: async (req: Request, serverRef: any) => {
|
||||
|
|
@ -1211,6 +1318,49 @@ const run = async () => {
|
|||
return jsonResponse({ status: "ok" });
|
||||
}
|
||||
|
||||
if (req.method === "GET" && url.pathname === "/admin/synthetic/status") {
|
||||
const authError = authenticateSyntheticAdminRequest(req);
|
||||
if (authError) {
|
||||
return authError;
|
||||
}
|
||||
return jsonResponse(buildSyntheticStatusBody());
|
||||
}
|
||||
|
||||
if (req.method === "GET" && url.pathname === "/admin/synthetic/control") {
|
||||
const authError = authenticateSyntheticAdminRequest(req);
|
||||
if (authError) {
|
||||
return authError;
|
||||
}
|
||||
return jsonResponse({ control: syntheticControl });
|
||||
}
|
||||
|
||||
if (req.method === "PUT" && url.pathname === "/admin/synthetic/control") {
|
||||
const authError = authenticateSyntheticAdminRequest(req);
|
||||
if (authError) {
|
||||
return authError;
|
||||
}
|
||||
try {
|
||||
const payload = SyntheticControlStateSchema.parse(await readJsonBody(req));
|
||||
syntheticControl = await writeSyntheticControlState(syntheticControlKv, payload);
|
||||
return jsonResponse({
|
||||
control: syntheticControl,
|
||||
derived: buildSyntheticDerivedStatus(
|
||||
Date.now(),
|
||||
syntheticControl,
|
||||
syntheticProfileHits
|
||||
)
|
||||
});
|
||||
} catch (error) {
|
||||
return jsonResponse(
|
||||
{
|
||||
error: "invalid synthetic control payload",
|
||||
detail: getErrorMessage(error)
|
||||
},
|
||||
400
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
if (req.method === "GET" && url.pathname === "/prints/options") {
|
||||
try {
|
||||
const limit = parseLimit(url.searchParams.get("limit"));
|
||||
|
|
@ -1824,6 +1974,7 @@ const run = async () => {
|
|||
logger.info("service stopping", { signal });
|
||||
server.stop();
|
||||
clearInterval(liveStateMetricsTimer);
|
||||
await stopSyntheticControlWatch();
|
||||
await liveState.close();
|
||||
|
||||
if (redis && redis.isOpen) {
|
||||
|
|
|
|||
93
services/api/src/synthetic-control.ts
Normal file
93
services/api/src/synthetic-control.ts
Normal file
|
|
@ -0,0 +1,93 @@
|
|||
import {
|
||||
SyntheticDerivedStatusSchema,
|
||||
buildEmptySyntheticProfileHitCounts,
|
||||
getSyntheticSessionState,
|
||||
type SmartMoneyEvent,
|
||||
type SmartMoneyProfileId,
|
||||
type SyntheticControlState,
|
||||
type SyntheticDerivedStatus
|
||||
} from "@islandflow/types";
|
||||
|
||||
export type SyntheticBackendMode = "synthetic" | "mixed" | "live";
|
||||
|
||||
export type RollingSyntheticProfileHits = Record<SmartMoneyProfileId, number[]>;
|
||||
|
||||
export const createRollingSyntheticProfileHits = (): RollingSyntheticProfileHits => ({
|
||||
institutional_directional: [],
|
||||
retail_whale: [],
|
||||
event_driven: [],
|
||||
vol_seller: [],
|
||||
arbitrage: [],
|
||||
hedge_reactive: []
|
||||
});
|
||||
|
||||
export const resolveSyntheticBackendMode = (
|
||||
optionsAdapter: string,
|
||||
equitiesAdapter: string
|
||||
): SyntheticBackendMode => {
|
||||
const optionsSynthetic = optionsAdapter === "synthetic";
|
||||
const equitiesSynthetic = equitiesAdapter === "synthetic";
|
||||
if (optionsSynthetic && equitiesSynthetic) {
|
||||
return "synthetic";
|
||||
}
|
||||
if (optionsSynthetic || equitiesSynthetic) {
|
||||
return "mixed";
|
||||
}
|
||||
return "live";
|
||||
};
|
||||
|
||||
export const getSyntheticBackendDisabledReason = (
|
||||
mode: SyntheticBackendMode
|
||||
): string | undefined => {
|
||||
if (mode === "synthetic") {
|
||||
return undefined;
|
||||
}
|
||||
if (mode === "mixed") {
|
||||
return "Synthetic control requires both hosted ingest adapters to run in synthetic mode.";
|
||||
}
|
||||
return "Hosted ingest adapters are not synthetic, so the internal synthetic control surface is unavailable.";
|
||||
};
|
||||
|
||||
export const recordSyntheticProfileHit = (
|
||||
state: RollingSyntheticProfileHits,
|
||||
event: Pick<SmartMoneyEvent, "primary_profile_id" | "source_ts">
|
||||
): void => {
|
||||
if (!event.primary_profile_id) {
|
||||
return;
|
||||
}
|
||||
state[event.primary_profile_id].push(event.source_ts);
|
||||
};
|
||||
|
||||
export const getSyntheticProfileHitCounts = (
|
||||
state: RollingSyntheticProfileHits,
|
||||
now: number,
|
||||
coverageWindowMinutes: number
|
||||
): Record<SmartMoneyProfileId, number> => {
|
||||
const floorTs = now - coverageWindowMinutes * 60_000;
|
||||
const counts = buildEmptySyntheticProfileHitCounts();
|
||||
for (const profileId of Object.keys(state) as SmartMoneyProfileId[]) {
|
||||
const retained = state[profileId].filter((ts) => ts >= floorTs);
|
||||
state[profileId] = retained;
|
||||
counts[profileId] = retained.length;
|
||||
}
|
||||
return counts;
|
||||
};
|
||||
|
||||
export const buildSyntheticDerivedStatus = (
|
||||
now: number,
|
||||
control: SyntheticControlState,
|
||||
state: RollingSyntheticProfileHits
|
||||
): SyntheticDerivedStatus => {
|
||||
const session = getSyntheticSessionState(now, control);
|
||||
return SyntheticDerivedStatusSchema.parse({
|
||||
session_phase: session.session_phase,
|
||||
regime: session.regime,
|
||||
focus_symbols: session.focus_symbols,
|
||||
profile_hit_counts: getSyntheticProfileHitCounts(
|
||||
state,
|
||||
now,
|
||||
control.coverage_window_minutes
|
||||
),
|
||||
coverage_window_minutes: control.coverage_window_minutes
|
||||
});
|
||||
};
|
||||
69
services/api/tests/synthetic-control.test.ts
Normal file
69
services/api/tests/synthetic-control.test.ts
Normal file
|
|
@ -0,0 +1,69 @@
|
|||
import { describe, expect, it } from "bun:test";
|
||||
import { DEFAULT_SYNTHETIC_CONTROL_STATE } from "@islandflow/types";
|
||||
import {
|
||||
buildSyntheticDerivedStatus,
|
||||
createRollingSyntheticProfileHits,
|
||||
getSyntheticBackendDisabledReason,
|
||||
getSyntheticProfileHitCounts,
|
||||
recordSyntheticProfileHit,
|
||||
resolveSyntheticBackendMode
|
||||
} from "../src/synthetic-control";
|
||||
|
||||
describe("synthetic control backend mode", () => {
|
||||
it("detects synthetic, mixed, and live hosted modes", () => {
|
||||
expect(resolveSyntheticBackendMode("synthetic", "synthetic")).toBe("synthetic");
|
||||
expect(resolveSyntheticBackendMode("synthetic", "alpaca")).toBe("mixed");
|
||||
expect(resolveSyntheticBackendMode("alpaca", "alpaca")).toBe("live");
|
||||
});
|
||||
|
||||
it("provides a useful disabled reason for non-synthetic modes", () => {
|
||||
expect(getSyntheticBackendDisabledReason("mixed")).toContain("both hosted ingest adapters");
|
||||
expect(getSyntheticBackendDisabledReason("live")).toContain("not synthetic");
|
||||
});
|
||||
});
|
||||
|
||||
describe("synthetic control rolling status", () => {
|
||||
it("tracks public-profile hits inside the rolling coverage window", () => {
|
||||
const hits = createRollingSyntheticProfileHits();
|
||||
|
||||
recordSyntheticProfileHit(hits, {
|
||||
primary_profile_id: "event_driven",
|
||||
source_ts: 1_000
|
||||
});
|
||||
recordSyntheticProfileHit(hits, {
|
||||
primary_profile_id: "event_driven",
|
||||
source_ts: 60_000
|
||||
});
|
||||
recordSyntheticProfileHit(hits, {
|
||||
primary_profile_id: "arbitrage",
|
||||
source_ts: 70_000
|
||||
});
|
||||
|
||||
expect(getSyntheticProfileHitCounts(hits, 11 * 60_000, 10)).toEqual({
|
||||
institutional_directional: 0,
|
||||
retail_whale: 0,
|
||||
event_driven: 1,
|
||||
vol_seller: 0,
|
||||
arbitrage: 1,
|
||||
hedge_reactive: 0
|
||||
});
|
||||
});
|
||||
|
||||
it("builds derived status from the shared session engine", () => {
|
||||
const hits = createRollingSyntheticProfileHits();
|
||||
recordSyntheticProfileHit(hits, {
|
||||
primary_profile_id: "hedge_reactive",
|
||||
source_ts: Date.parse("2026-01-14T18:00:00Z")
|
||||
});
|
||||
|
||||
const derived = buildSyntheticDerivedStatus(
|
||||
Date.parse("2026-01-14T18:05:00Z"),
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
hits
|
||||
);
|
||||
|
||||
expect(derived.coverage_window_minutes).toBe(20);
|
||||
expect(derived.focus_symbols.length).toBeGreaterThan(0);
|
||||
expect(derived.profile_hit_counts.hedge_reactive).toBe(1);
|
||||
});
|
||||
});
|
||||
|
|
@ -1,7 +1,10 @@
|
|||
import {
|
||||
SP500_SYMBOLS,
|
||||
getSyntheticSessionState,
|
||||
getSyntheticUnderlyingState,
|
||||
type EquityPrint,
|
||||
type EquityQuote,
|
||||
type SyntheticControlState,
|
||||
type SyntheticMarketMode
|
||||
} from "@islandflow/types";
|
||||
import type { EquityIngestAdapter, EquityIngestHandlers } from "./types";
|
||||
|
|
@ -9,34 +12,14 @@ import type { EquityIngestAdapter, EquityIngestHandlers } from "./types";
|
|||
type SyntheticEquitiesAdapterConfig = {
|
||||
emitIntervalMs: number;
|
||||
mode: SyntheticMarketMode;
|
||||
getControl: () => SyntheticControlState;
|
||||
};
|
||||
|
||||
const EXCHANGES = ["NYSE", "NASDAQ", "ARCA", "BATS", "IEX", "TEST"];
|
||||
const EXCHANGES = ["NYSE", "NASDAQ", "ARCA", "BATS", "IEX", "MEMX"];
|
||||
const DARK_EXCHANGE = "OTC";
|
||||
|
||||
type PricePlacement = "MID" | "A" | "AA" | "B" | "BB";
|
||||
type DarkScenario = "block" | "buy" | "sell";
|
||||
|
||||
const DARK_SEQUENCE: DarkScenario[] = [
|
||||
"block",
|
||||
"buy",
|
||||
"buy",
|
||||
"buy",
|
||||
"buy",
|
||||
"sell",
|
||||
"sell",
|
||||
"sell",
|
||||
"sell"
|
||||
];
|
||||
const SYNTHETIC_SYMBOLS = ["SPY", ...(SP500_SYMBOLS as readonly string[])];
|
||||
|
||||
const hashSymbol = (value: string): number => {
|
||||
let hash = 0;
|
||||
for (let i = 0; i < value.length; i += 1) {
|
||||
hash = (hash * 31 + value.charCodeAt(i)) >>> 0;
|
||||
}
|
||||
return hash;
|
||||
};
|
||||
type PricePlacement = "MID" | "A" | "AA" | "B" | "BB";
|
||||
|
||||
const buildSyntheticPrint = (
|
||||
seq: number,
|
||||
|
|
@ -46,20 +29,18 @@ const buildSyntheticPrint = (
|
|||
size: number,
|
||||
exchange: string,
|
||||
offExchangeFlag: boolean
|
||||
): EquityPrint => {
|
||||
return {
|
||||
source_ts: now,
|
||||
ingest_ts: now,
|
||||
seq,
|
||||
trace_id: `synthetic-equities-${seq}`,
|
||||
ts: now,
|
||||
underlying_id: symbol,
|
||||
price,
|
||||
size,
|
||||
exchange,
|
||||
offExchangeFlag
|
||||
};
|
||||
};
|
||||
): EquityPrint => ({
|
||||
source_ts: now,
|
||||
ingest_ts: now,
|
||||
seq,
|
||||
trace_id: `synthetic-equities-${seq}`,
|
||||
ts: now,
|
||||
underlying_id: symbol,
|
||||
price,
|
||||
size,
|
||||
exchange,
|
||||
offExchangeFlag
|
||||
});
|
||||
|
||||
const buildSyntheticQuote = (
|
||||
seq: number,
|
||||
|
|
@ -67,32 +48,18 @@ const buildSyntheticQuote = (
|
|||
symbol: string,
|
||||
bid: number,
|
||||
ask: number
|
||||
): EquityQuote => {
|
||||
return {
|
||||
source_ts: now,
|
||||
ingest_ts: now,
|
||||
seq,
|
||||
trace_id: `synthetic-equity-quote-${seq}`,
|
||||
ts: now,
|
||||
underlying_id: symbol,
|
||||
bid,
|
||||
ask
|
||||
};
|
||||
};
|
||||
): EquityQuote => ({
|
||||
source_ts: now,
|
||||
ingest_ts: now,
|
||||
seq,
|
||||
trace_id: `synthetic-equity-quote-${seq}`,
|
||||
ts: now,
|
||||
underlying_id: symbol,
|
||||
bid,
|
||||
ask
|
||||
});
|
||||
|
||||
const formatPrice = (value: number): number => {
|
||||
return Number(value.toFixed(2));
|
||||
};
|
||||
|
||||
const buildQuoteFromMid = (mid: number) => {
|
||||
const spread = Math.max(0.05, Number((mid * 0.002).toFixed(2)));
|
||||
const half = spread / 2;
|
||||
const bid = formatPrice(Math.max(0.01, mid - half));
|
||||
const ask = formatPrice(Math.max(bid + 0.01, mid + half));
|
||||
const epsilon = Math.max(0.01, spread * 0.05);
|
||||
|
||||
return { bid, ask, spread, epsilon };
|
||||
};
|
||||
const formatPrice = (value: number): number => Number(value.toFixed(2));
|
||||
|
||||
const priceForPlacement = (
|
||||
mid: number,
|
||||
|
|
@ -100,7 +67,6 @@ const priceForPlacement = (
|
|||
placement: PricePlacement
|
||||
): number => {
|
||||
const { bid, ask, epsilon } = quote;
|
||||
|
||||
let price = mid;
|
||||
switch (placement) {
|
||||
case "AA":
|
||||
|
|
@ -120,44 +86,83 @@ const priceForPlacement = (
|
|||
price = mid;
|
||||
break;
|
||||
}
|
||||
|
||||
return formatPrice(Math.max(0.01, price));
|
||||
};
|
||||
|
||||
const buildQuoteContext = (
|
||||
symbol: string,
|
||||
now: number,
|
||||
control: SyntheticControlState
|
||||
) => {
|
||||
const session = getSyntheticSessionState(now, control);
|
||||
const state = getSyntheticUnderlyingState(symbol, now, control, session);
|
||||
return {
|
||||
session,
|
||||
state,
|
||||
mid: state.mid,
|
||||
bid: formatPrice(state.bid),
|
||||
ask: formatPrice(state.ask),
|
||||
spread: state.spread,
|
||||
epsilon: Math.max(0.01, state.spread * 0.08)
|
||||
};
|
||||
};
|
||||
|
||||
const pickPrimaryPlacement = (
|
||||
driftBps: number,
|
||||
regime: ReturnType<typeof getSyntheticSessionState>["regime"],
|
||||
seq: number
|
||||
): PricePlacement => {
|
||||
if (regime === "dealer_gamma") {
|
||||
return seq % 4 === 0 ? "A" : seq % 3 === 0 ? "B" : "MID";
|
||||
}
|
||||
if (regime === "arb_calm" || regime === "mean_revert") {
|
||||
return seq % 11 === 0 ? "A" : seq % 13 === 0 ? "B" : "MID";
|
||||
}
|
||||
if (regime === "event_ramp" || regime === "retail_chase") {
|
||||
if (driftBps >= 0) {
|
||||
return seq % 3 === 0 ? "AA" : "A";
|
||||
}
|
||||
return seq % 3 === 0 ? "BB" : "B";
|
||||
}
|
||||
if (driftBps >= 0) {
|
||||
return seq % 5 === 0 ? "A" : "MID";
|
||||
}
|
||||
return seq % 5 === 0 ? "B" : "MID";
|
||||
};
|
||||
|
||||
const pickDarkPlacement = (
|
||||
driftBps: number,
|
||||
regime: ReturnType<typeof getSyntheticSessionState>["regime"],
|
||||
seq: number
|
||||
): PricePlacement => {
|
||||
if (regime === "dealer_gamma") {
|
||||
return seq % 2 === 0 ? "A" : "B";
|
||||
}
|
||||
if (regime === "arb_calm" || regime === "mean_revert") {
|
||||
return "MID";
|
||||
}
|
||||
if (regime === "event_ramp" || regime === "retail_chase") {
|
||||
return driftBps >= 0 ? (seq % 2 === 0 ? "A" : "AA") : seq % 2 === 0 ? "B" : "BB";
|
||||
}
|
||||
return driftBps >= 0 ? "A" : "B";
|
||||
};
|
||||
|
||||
export const createSyntheticEquitiesAdapter = (
|
||||
config: SyntheticEquitiesAdapterConfig
|
||||
): EquityIngestAdapter => {
|
||||
const profile =
|
||||
const throughput =
|
||||
config.mode === "firehose"
|
||||
? {
|
||||
batchSize: 10,
|
||||
darkEvery: true,
|
||||
offExchangeMod: 2,
|
||||
litSizeBase: 40,
|
||||
litSizeRange: 1400
|
||||
}
|
||||
? { batchSize: 10, litSizeBase: 48, litSizeRange: 1800, darkSizeBase: 2800 }
|
||||
: config.mode === "active"
|
||||
? {
|
||||
batchSize: 5,
|
||||
darkEvery: true,
|
||||
offExchangeMod: 4,
|
||||
litSizeBase: 20,
|
||||
litSizeRange: 900
|
||||
}
|
||||
: {
|
||||
batchSize: 2,
|
||||
darkEvery: false,
|
||||
offExchangeMod: 8,
|
||||
litSizeBase: 10,
|
||||
litSizeRange: 300
|
||||
};
|
||||
? { batchSize: 5, litSizeBase: 22, litSizeRange: 980, darkSizeBase: 1800 }
|
||||
: { batchSize: 2, litSizeBase: 12, litSizeRange: 340, darkSizeBase: 900 };
|
||||
|
||||
return {
|
||||
name: "synthetic",
|
||||
start: (handlers: EquityIngestHandlers) => {
|
||||
let seq = 0;
|
||||
let quoteSeq = 0;
|
||||
let darkStep = 0;
|
||||
let darkSymbolIndex = 0;
|
||||
let symbolCursor = 0;
|
||||
let timer: ReturnType<typeof setInterval> | null = null;
|
||||
let stopped = false;
|
||||
|
||||
|
|
@ -167,84 +172,113 @@ export const createSyntheticEquitiesAdapter = (
|
|||
}
|
||||
|
||||
const now = Date.now();
|
||||
const batchSize = profile.batchSize;
|
||||
const control = config.getControl();
|
||||
const session = getSyntheticSessionState(now, control);
|
||||
const focusSymbols =
|
||||
session.focus_symbols.length > 0 ? session.focus_symbols : SYNTHETIC_SYMBOLS.slice(0, 3);
|
||||
const focusSet = new Set(focusSymbols);
|
||||
const allowDark =
|
||||
config.mode !== "realistic" ||
|
||||
session.regime === "event_ramp" ||
|
||||
session.regime === "dealer_gamma" ||
|
||||
session.regime === "retail_chase";
|
||||
|
||||
const darkSymbol = SYNTHETIC_SYMBOLS[darkSymbolIndex % SYNTHETIC_SYMBOLS.length];
|
||||
const darkHash = hashSymbol(darkSymbol);
|
||||
const darkBase = 25 + (darkHash % 475);
|
||||
const darkDrift = ((darkStep % 24) - 12) * 0.08;
|
||||
const darkMid = formatPrice(darkBase + darkDrift);
|
||||
const darkQuote = buildQuoteFromMid(darkMid);
|
||||
const scenario = DARK_SEQUENCE[darkStep % DARK_SEQUENCE.length];
|
||||
const darkTs = now;
|
||||
|
||||
if (profile.darkEvery) {
|
||||
if (handlers.onQuote) {
|
||||
quoteSeq += 1;
|
||||
const quoteEvent = buildSyntheticQuote(
|
||||
quoteSeq,
|
||||
darkTs - 2,
|
||||
darkSymbol,
|
||||
darkQuote.bid,
|
||||
darkQuote.ask
|
||||
);
|
||||
void handlers.onQuote(quoteEvent);
|
||||
}
|
||||
|
||||
seq += 1;
|
||||
let darkPlacement: PricePlacement = "MID";
|
||||
let darkSize = config.mode === "firehose" ? 4000 : 2600;
|
||||
if (scenario === "buy") {
|
||||
darkPlacement = darkStep % 2 === 0 ? "A" : "AA";
|
||||
darkSize = config.mode === "firehose" ? 1500 : 800;
|
||||
} else if (scenario === "sell") {
|
||||
darkPlacement = darkStep % 2 === 0 ? "B" : "BB";
|
||||
darkSize = config.mode === "firehose" ? 1500 : 800;
|
||||
}
|
||||
const darkPrice = priceForPlacement(darkMid, darkQuote, darkPlacement);
|
||||
const darkPrint = buildSyntheticPrint(
|
||||
seq,
|
||||
darkTs,
|
||||
darkSymbol,
|
||||
darkPrice,
|
||||
darkSize,
|
||||
DARK_EXCHANGE,
|
||||
true
|
||||
if (allowDark) {
|
||||
const darkSymbol = focusSymbols[seq % focusSymbols.length] ?? SYNTHETIC_SYMBOLS[symbolCursor % SYNTHETIC_SYMBOLS.length]!;
|
||||
const darkQuote = buildQuoteContext(darkSymbol, now, control);
|
||||
const darkPlacement = pickDarkPlacement(
|
||||
darkQuote.state.driftBps,
|
||||
session.regime,
|
||||
seq + 1
|
||||
);
|
||||
const darkBias = darkQuote.state.offExchangeBias;
|
||||
const darkSize = Math.max(
|
||||
250,
|
||||
Math.round(
|
||||
throughput.darkSizeBase *
|
||||
(0.65 + darkBias * 0.9 + darkQuote.state.sessionVolatility * 0.2)
|
||||
)
|
||||
);
|
||||
void handlers.onTrade(darkPrint);
|
||||
|
||||
darkStep += 1;
|
||||
if (darkStep >= DARK_SEQUENCE.length) {
|
||||
darkStep = 0;
|
||||
darkSymbolIndex += 1;
|
||||
}
|
||||
}
|
||||
|
||||
for (let i = 0; i < batchSize; i += 1) {
|
||||
seq += 1;
|
||||
const symbol = SYNTHETIC_SYMBOLS[(seq + i) % SYNTHETIC_SYMBOLS.length];
|
||||
const symbolHash = hashSymbol(symbol);
|
||||
const basePrice = 25 + (symbolHash % 475);
|
||||
const mid = formatPrice(basePrice + ((seq % 40) - 20) * 0.05);
|
||||
const quote = buildQuoteFromMid(mid);
|
||||
const placement: PricePlacement =
|
||||
seq % 11 === 0 ? "A" : seq % 13 === 0 ? "B" : "MID";
|
||||
const price = priceForPlacement(mid, quote, placement);
|
||||
const size = profile.litSizeBase + (seq % profile.litSizeRange);
|
||||
const exchange = EXCHANGES[(seq + symbolHash) % EXCHANGES.length];
|
||||
const offExchangeFlag = (seq + i) % profile.offExchangeMod === 0;
|
||||
const eventTs = now + i * 4;
|
||||
|
||||
if (handlers.onQuote) {
|
||||
quoteSeq += 1;
|
||||
const quoteEventTs = eventTs - 2;
|
||||
const quoteEvent = buildSyntheticQuote(quoteSeq, quoteEventTs, symbol, quote.bid, quote.ask);
|
||||
void handlers.onQuote(quoteEvent);
|
||||
void handlers.onQuote(
|
||||
buildSyntheticQuote(
|
||||
quoteSeq,
|
||||
now - 2,
|
||||
darkSymbol,
|
||||
darkQuote.bid,
|
||||
darkQuote.ask
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
const print = buildSyntheticPrint(seq, eventTs, symbol, price, size, exchange, offExchangeFlag);
|
||||
void handlers.onTrade(print);
|
||||
seq += 1;
|
||||
void handlers.onTrade(
|
||||
buildSyntheticPrint(
|
||||
seq,
|
||||
now,
|
||||
darkSymbol,
|
||||
priceForPlacement(darkQuote.mid, darkQuote, darkPlacement),
|
||||
darkSize,
|
||||
DARK_EXCHANGE,
|
||||
true
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
for (let i = 0; i < throughput.batchSize; i += 1) {
|
||||
seq += 1;
|
||||
const symbol =
|
||||
i < focusSymbols.length
|
||||
? focusSymbols[i]!
|
||||
: SYNTHETIC_SYMBOLS[(symbolCursor + i) % SYNTHETIC_SYMBOLS.length]!;
|
||||
const eventTs = now + i * 4;
|
||||
const quote = buildQuoteContext(symbol, eventTs, control);
|
||||
const clustered = focusSet.has(symbol);
|
||||
const placement = pickPrimaryPlacement(
|
||||
quote.state.driftBps,
|
||||
session.regime,
|
||||
seq + i
|
||||
);
|
||||
const exchange = EXCHANGES[(seq + symbol.charCodeAt(0) + i) % EXCHANGES.length]!;
|
||||
const baseSize =
|
||||
throughput.litSizeBase +
|
||||
((seq + i) % throughput.litSizeRange) +
|
||||
Math.round(quote.state.sessionVolatility * 140);
|
||||
const size = clustered
|
||||
? Math.round(baseSize * (1 + quote.state.clusteringScore * 0.35))
|
||||
: baseSize;
|
||||
const offExchangeFlag =
|
||||
((seq + i * 3) % 10) / 10 < quote.state.offExchangeBias * (clustered ? 1.12 : 0.86);
|
||||
|
||||
if (handlers.onQuote) {
|
||||
quoteSeq += 1;
|
||||
void handlers.onQuote(
|
||||
buildSyntheticQuote(
|
||||
quoteSeq,
|
||||
eventTs - 2,
|
||||
symbol,
|
||||
quote.bid,
|
||||
quote.ask
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
void handlers.onTrade(
|
||||
buildSyntheticPrint(
|
||||
seq,
|
||||
eventTs,
|
||||
symbol,
|
||||
priceForPlacement(quote.mid, quote, placement),
|
||||
size,
|
||||
exchange,
|
||||
offExchangeFlag
|
||||
)
|
||||
);
|
||||
}
|
||||
|
||||
symbolCursor = (symbolCursor + throughput.batchSize) % SYNTHETIC_SYMBOLS.length;
|
||||
};
|
||||
|
||||
timer = setInterval(emit, config.emitIntervalMs);
|
||||
|
|
|
|||
|
|
@ -6,7 +6,10 @@ import {
|
|||
STREAM_EQUITY_PRINTS,
|
||||
STREAM_EQUITY_QUOTES,
|
||||
connectJetStreamWithRetry,
|
||||
ensureSyntheticControlState,
|
||||
ensureKnownStreams,
|
||||
openSyntheticControlKv,
|
||||
watchSyntheticControlState,
|
||||
publishJson
|
||||
} from "@islandflow/bus";
|
||||
import {
|
||||
|
|
@ -19,9 +22,11 @@ import {
|
|||
import {
|
||||
EquityPrintSchema,
|
||||
EquityQuoteSchema,
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
resolveSyntheticMarketModes,
|
||||
type EquityPrint,
|
||||
type EquityQuote
|
||||
type EquityQuote,
|
||||
type SyntheticControlState
|
||||
} from "@islandflow/types";
|
||||
import { createAlpacaEquitiesAdapter } from "./adapters/alpaca";
|
||||
import { createSyntheticEquitiesAdapter } from "./adapters/synthetic";
|
||||
|
|
@ -157,11 +162,15 @@ const parseSymbolList = (value: string): string[] => {
|
|||
.filter(Boolean);
|
||||
};
|
||||
|
||||
const selectAdapter = (name: string): EquityIngestAdapter => {
|
||||
const selectAdapter = (
|
||||
name: string,
|
||||
getSyntheticControl: () => SyntheticControlState
|
||||
): EquityIngestAdapter => {
|
||||
if (name === "synthetic") {
|
||||
return createSyntheticEquitiesAdapter({
|
||||
emitIntervalMs: env.EMIT_INTERVAL_MS,
|
||||
mode: syntheticModes.equities
|
||||
mode: syntheticModes.equities,
|
||||
getControl: getSyntheticControl
|
||||
});
|
||||
}
|
||||
|
||||
|
|
@ -196,6 +205,24 @@ const run = async () => {
|
|||
|
||||
await ensureKnownStreams(jsm, [STREAM_EQUITY_PRINTS, STREAM_EQUITY_QUOTES], { logger });
|
||||
|
||||
let syntheticControl = DEFAULT_SYNTHETIC_CONTROL_STATE;
|
||||
let stopSyntheticControlWatch = async () => {};
|
||||
if (env.EQUITIES_INGEST_ADAPTER === "synthetic") {
|
||||
const syntheticControlKv = await openSyntheticControlKv(js);
|
||||
syntheticControl = await ensureSyntheticControlState(syntheticControlKv);
|
||||
stopSyntheticControlWatch = await watchSyntheticControlState(
|
||||
syntheticControlKv,
|
||||
(nextControl) => {
|
||||
syntheticControl = nextControl;
|
||||
},
|
||||
(error) => {
|
||||
logger.warn("synthetic control watch failed", {
|
||||
error: getErrorMessage(error)
|
||||
});
|
||||
}
|
||||
);
|
||||
}
|
||||
|
||||
const clickhouse = createClickHouseClient({
|
||||
url: env.CLICKHOUSE_URL,
|
||||
database: env.CLICKHOUSE_DATABASE
|
||||
|
|
@ -206,7 +233,10 @@ const run = async () => {
|
|||
await ensureEquityQuotesTable(clickhouse);
|
||||
});
|
||||
|
||||
const adapter = selectAdapter(env.EQUITIES_INGEST_ADAPTER);
|
||||
const adapter = selectAdapter(
|
||||
env.EQUITIES_INGEST_ADAPTER,
|
||||
() => syntheticControl
|
||||
);
|
||||
logger.info("ingest adapter selected", { adapter: adapter.name });
|
||||
const allowPublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
|
||||
const allowQuotePublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
|
||||
|
|
@ -274,6 +304,7 @@ const run = async () => {
|
|||
state.shuttingDown = true;
|
||||
state.shutdownPromise = (async () => {
|
||||
logger.info("service stopping", { signal });
|
||||
await stopSyntheticControlWatch();
|
||||
await stopAdapter();
|
||||
|
||||
try {
|
||||
|
|
|
|||
File diff suppressed because it is too large
Load diff
|
|
@ -11,9 +11,12 @@ import {
|
|||
STREAM_OPTION_SIGNAL_PRINTS,
|
||||
buildDurableConsumer,
|
||||
connectJetStreamWithRetry,
|
||||
ensureSyntheticControlState,
|
||||
ensureKnownStreams,
|
||||
openSyntheticControlKv,
|
||||
publishJson,
|
||||
subscribeJson
|
||||
subscribeJson,
|
||||
watchSyntheticControlState
|
||||
} from "@islandflow/bus";
|
||||
import {
|
||||
createClickHouseClient,
|
||||
|
|
@ -26,12 +29,14 @@ import {
|
|||
OptionNBBOSchema,
|
||||
OptionPrintSchema,
|
||||
EquityQuoteSchema,
|
||||
DEFAULT_SYNTHETIC_CONTROL_STATE,
|
||||
deriveOptionPrintMetadata,
|
||||
resolveSyntheticMarketModes,
|
||||
type EquityQuote,
|
||||
type OptionNBBO,
|
||||
type OptionPrint,
|
||||
type OptionsSignalConfig
|
||||
type OptionsSignalConfig,
|
||||
type SyntheticControlState
|
||||
} from "@islandflow/types";
|
||||
import { createAlpacaOptionsAdapter } from "./adapters/alpaca";
|
||||
import { createDatabentoOptionsAdapter } from "./adapters/databento";
|
||||
|
|
@ -259,11 +264,15 @@ const retry = async <T>(
|
|||
throw lastError ?? new Error(`${label} failed after retries`);
|
||||
};
|
||||
|
||||
const selectAdapter = (name: string): OptionIngestAdapter => {
|
||||
const selectAdapter = (
|
||||
name: string,
|
||||
getSyntheticControl: () => SyntheticControlState
|
||||
): OptionIngestAdapter => {
|
||||
if (name === "synthetic") {
|
||||
return createSyntheticOptionsAdapter({
|
||||
emitIntervalMs: env.EMIT_INTERVAL_MS,
|
||||
mode: syntheticModes.options
|
||||
mode: syntheticModes.options,
|
||||
getControl: getSyntheticControl
|
||||
});
|
||||
}
|
||||
|
||||
|
|
@ -351,6 +360,24 @@ const run = async () => {
|
|||
{ logger }
|
||||
);
|
||||
|
||||
let syntheticControl = DEFAULT_SYNTHETIC_CONTROL_STATE;
|
||||
let stopSyntheticControlWatch = async () => {};
|
||||
if (env.OPTIONS_INGEST_ADAPTER === "synthetic") {
|
||||
const syntheticControlKv = await openSyntheticControlKv(js);
|
||||
syntheticControl = await ensureSyntheticControlState(syntheticControlKv);
|
||||
stopSyntheticControlWatch = await watchSyntheticControlState(
|
||||
syntheticControlKv,
|
||||
(nextControl) => {
|
||||
syntheticControl = nextControl;
|
||||
},
|
||||
(error) => {
|
||||
logger.warn("synthetic control watch failed", {
|
||||
error: getErrorMessage(error)
|
||||
});
|
||||
}
|
||||
);
|
||||
}
|
||||
|
||||
const clickhouse = createClickHouseClient({
|
||||
url: env.CLICKHOUSE_URL,
|
||||
database: env.CLICKHOUSE_DATABASE
|
||||
|
|
@ -361,7 +388,10 @@ const run = async () => {
|
|||
await ensureOptionNBBOTable(clickhouse);
|
||||
});
|
||||
|
||||
const adapter = selectAdapter(env.OPTIONS_INGEST_ADAPTER);
|
||||
const adapter = selectAdapter(
|
||||
env.OPTIONS_INGEST_ADAPTER,
|
||||
() => syntheticControl
|
||||
);
|
||||
logger.info("ingest adapter selected", { adapter: adapter.name });
|
||||
const allowPublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
|
||||
const allowNbboPublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
|
||||
|
|
@ -482,6 +512,7 @@ const run = async () => {
|
|||
state.shutdownPromise = (async () => {
|
||||
logger.info("service stopping", { signal });
|
||||
clearInterval(pruneTimer);
|
||||
await stopSyntheticControlWatch();
|
||||
await stopAdapter();
|
||||
|
||||
try {
|
||||
|
|
|
|||
|
|
@ -10,26 +10,43 @@ import {
|
|||
} from "../src/adapters/synthetic";
|
||||
|
||||
const totalBurstNotional = (burst: {
|
||||
basePrice: number;
|
||||
baseSize: number;
|
||||
printCount: number;
|
||||
}): number => burst.basePrice * burst.baseSize * burst.printCount * 100;
|
||||
legs: Array<{
|
||||
basePrice: number;
|
||||
baseSize: number;
|
||||
}>;
|
||||
cycles: number;
|
||||
}): number =>
|
||||
burst.legs.reduce((sum, leg) => sum + leg.basePrice * leg.baseSize * burst.cycles * 100, 0);
|
||||
|
||||
const findBurst = (
|
||||
mode: "realistic" | "active",
|
||||
scenarioId: string,
|
||||
now = Date.UTC(2026, 0, 2)
|
||||
) => {
|
||||
for (let i = 1; i <= 360; i += 1) {
|
||||
const burst = buildSyntheticBurstForTest(i, now + i * 1_000, mode);
|
||||
if (burst.scenarioId === scenarioId) {
|
||||
return burst;
|
||||
}
|
||||
}
|
||||
throw new Error(`Unable to find synthetic scenario ${scenarioId} in mode ${mode}`);
|
||||
};
|
||||
|
||||
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");
|
||||
it("keeps realistic-mode ask-lift accumulation inside the configured notional band", () => {
|
||||
const burst = findBurst("realistic", "ask_lift_accumulation");
|
||||
|
||||
expect(burst.scenarioId).toBe("ask_lift");
|
||||
expect(totalBurstNotional(burst)).toBeGreaterThanOrEqual(9_000);
|
||||
expect(totalBurstNotional(burst)).toBeLessThanOrEqual(35_000);
|
||||
expect(burst.scenarioId).toBe("ask_lift_accumulation");
|
||||
expect(totalBurstNotional(burst)).toBeGreaterThanOrEqual(12_000);
|
||||
expect(totalBurstNotional(burst)).toBeLessThanOrEqual(90_000);
|
||||
});
|
||||
|
||||
it("keeps active-mode sweeps inside the configured notional band", () => {
|
||||
const burst = buildSyntheticBurstForTest(1, Date.UTC(2026, 0, 2), "active");
|
||||
it("keeps active-mode call sweeps inside the configured notional band", () => {
|
||||
const burst = findBurst("active", "call_sweep");
|
||||
|
||||
expect(burst.scenarioId).toBe("bearish_sweep");
|
||||
expect(totalBurstNotional(burst)).toBeGreaterThanOrEqual(120_000);
|
||||
expect(totalBurstNotional(burst)).toBeLessThanOrEqual(240_000);
|
||||
expect(burst.scenarioId).toBe("call_sweep");
|
||||
expect(totalBurstNotional(burst)).toBeGreaterThanOrEqual(70_000);
|
||||
expect(totalBurstNotional(burst)).toBeLessThanOrEqual(420_000);
|
||||
});
|
||||
});
|
||||
|
||||
|
|
@ -114,7 +131,7 @@ describe("synthetic smart-money scenarios", () => {
|
|||
it("scores each labeled scenario as its intended primary profile", () => {
|
||||
const now = Date.parse("2026-01-02T15:00:00Z");
|
||||
const scenarios = listSyntheticSmartMoneyScenariosForTest().filter(
|
||||
(scenario) => scenario.hiddenLabel !== "neutral_noise"
|
||||
(scenario) => scenario.label !== "neutral_noise"
|
||||
);
|
||||
|
||||
for (const scenario of scenarios) {
|
||||
|
|
@ -122,17 +139,62 @@ describe("synthetic smart-money scenarios", () => {
|
|||
const event = buildSmartMoneyEventFromPacket(packet);
|
||||
const winningScore = event.profile_scores[0];
|
||||
const nearbyWrongScores = event.profile_scores.filter(
|
||||
(score) => score.profile_id !== hiddenLabel && score.probability >= 0.5
|
||||
(score) => score.profile_id !== scenario.label && score.probability >= 0.5
|
||||
);
|
||||
|
||||
expect(event.abstained, scenario.id).toBe(false);
|
||||
expect(event.primary_profile_id, scenario.id).toBe(hiddenLabel);
|
||||
expect(winningScore?.profile_id, scenario.id).toBe(hiddenLabel);
|
||||
expect(event.primary_profile_id, scenario.id).toBe(scenario.label);
|
||||
expect(winningScore?.profile_id, scenario.id).toBe(scenario.label);
|
||||
expect(winningScore?.probability ?? 0, scenario.id).toBeGreaterThanOrEqual(0.5);
|
||||
expect(hiddenLabel.length, scenario.id).toBeGreaterThan(0);
|
||||
expect(nearbyWrongScores, scenario.id).toEqual([]);
|
||||
}
|
||||
});
|
||||
|
||||
it("covers every smart-money label in active runtime mode over a deterministic sample", () => {
|
||||
const seen = new Set<string>();
|
||||
const now = Date.parse("2026-01-02T15:00:00Z");
|
||||
|
||||
for (let i = 1; i <= 120; i += 1) {
|
||||
const burst = buildSyntheticBurstForTest(i, now + i * 1_000, "active");
|
||||
seen.add(burst.label);
|
||||
}
|
||||
|
||||
expect(seen).toEqual(
|
||||
new Set([
|
||||
"institutional_directional",
|
||||
"retail_whale",
|
||||
"event_driven",
|
||||
"vol_seller",
|
||||
"arbitrage",
|
||||
"hedge_reactive",
|
||||
"neutral_noise"
|
||||
])
|
||||
);
|
||||
});
|
||||
|
||||
it("covers every smart-money label in realistic mode within a default twenty-minute window", () => {
|
||||
const seen = new Set<string>();
|
||||
const now = Date.parse("2026-01-02T15:00:00Z");
|
||||
|
||||
for (let i = 1; i <= 120; i += 1) {
|
||||
const burst = buildSyntheticBurstForTest(i, now + i * 10_000, "realistic");
|
||||
seen.add(burst.label);
|
||||
}
|
||||
|
||||
expect(seen).toEqual(
|
||||
new Set([
|
||||
"institutional_directional",
|
||||
"retail_whale",
|
||||
"event_driven",
|
||||
"vol_seller",
|
||||
"arbitrage",
|
||||
"hedge_reactive",
|
||||
"neutral_noise"
|
||||
])
|
||||
);
|
||||
});
|
||||
|
||||
it("keeps neutral background noise below the emission threshold", () => {
|
||||
const { packet } = buildSyntheticFlowPacketForTest(
|
||||
"neutral_noise",
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue