Add inferred dark evidence drawer and synthetic bursts
This commit is contained in:
dirtydishes
parent
ea61c3b013
commit
8fc8361390
4 changed files with 517 additions and 28 deletions
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@ -186,7 +186,8 @@ h1 {
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.card-flow,
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.card-alerts,
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.card-classifiers {
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.card-classifiers,
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.card-dark {
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grid-column: span 2;
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}
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@ -857,7 +858,8 @@ h1 {
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.card-equities,
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.card-flow,
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.card-alerts,
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.card-classifiers {
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.card-classifiers,
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.card-dark {
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grid-column: span 2;
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}
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}
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@ -871,31 +873,36 @@ h1 {
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.card-equities,
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.card-flow,
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.card-alerts,
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.card-classifiers {
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.card-classifiers,
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.card-dark {
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grid-column: span 1;
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}
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}
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.card-flow .row,
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.card-alerts .row,
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.card-classifiers .row {
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.card-classifiers .row,
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.card-dark .row {
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padding: 12px 14px;
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}
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.card-flow .meta,
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.card-alerts .meta,
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.card-classifiers .meta {
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.card-classifiers .meta,
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.card-dark .meta {
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font-size: 0.78rem;
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}
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.card-flow .note,
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.card-alerts .note,
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.card-classifiers .note {
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.card-classifiers .note,
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.card-dark .note {
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font-size: 0.72rem;
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}
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.card-flow,
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.card-alerts,
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.card-classifiers {
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.card-classifiers,
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.card-dark {
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display: flex;
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flex-direction: column;
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height: 960px;
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@ -919,7 +926,8 @@ h1 {
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@media (max-width: 720px) {
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.card-flow,
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.card-alerts,
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.card-classifiers {
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.card-classifiers,
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.card-dark {
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height: 780px;
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}
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}
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@ -5,7 +5,9 @@ import type {
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AlertEvent,
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ClassifierHitEvent,
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EquityPrint,
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EquityPrintJoin,
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FlowPacket,
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InferredDarkEvent,
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OptionNBBO,
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OptionPrint
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} from "@islandflow/types";
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@ -24,7 +26,9 @@ type MessageType =
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| "option-print"
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| "option-nbbo"
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| "equity-print"
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| "equity-join"
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| "flow-packet"
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| "inferred-dark"
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| "classifier-hit"
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| "alert";
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@ -223,6 +227,46 @@ const extractUnderlying = (contractId: string): string => {
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return contractId.split("-")[0]?.toUpperCase() ?? contractId.toUpperCase();
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};
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const extractEquityTraceFromJoin = (joinId: string): string | null => {
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const match = joinId.match(/^equityjoin:(.+)$/);
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return match?.[1] ?? null;
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};
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const inferDarkUnderlying = (
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event: InferredDarkEvent,
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equityPrints: Map<string, EquityPrint>,
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equityJoins: Map<string, EquityPrintJoin>
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): string | null => {
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for (const ref of event.evidence_refs) {
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const join = equityJoins.get(ref);
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if (!join) {
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continue;
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}
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const underlying = join.features.underlying_id;
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if (typeof underlying === "string" && underlying.length > 0) {
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return underlying.toUpperCase();
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}
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}
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const match = event.trace_id.match(/^dark:(?:stealth_accumulation|distribution):([^:]+):/);
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if (match?.[1]) {
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return match[1].toUpperCase();
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}
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for (const ref of event.evidence_refs) {
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const traceId = extractEquityTraceFromJoin(ref);
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if (!traceId) {
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continue;
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}
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const print = equityPrints.get(traceId);
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if (print) {
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return print.underlying_id.toUpperCase();
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}
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}
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return null;
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};
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const parseNumber = (value: unknown, fallback: number): number => {
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if (typeof value === "number" && Number.isFinite(value)) {
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return value;
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@ -238,6 +282,38 @@ const parseNumber = (value: unknown, fallback: number): number => {
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return fallback;
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};
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const parseBoolean = (value: unknown, fallback = false): boolean => {
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if (typeof value === "boolean") {
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return value;
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}
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if (typeof value === "number") {
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return value !== 0;
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}
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if (typeof value === "string") {
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const normalized = value.trim().toLowerCase();
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if (["true", "1", "yes", "on"].includes(normalized)) {
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return true;
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}
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if (["false", "0", "no", "off"].includes(normalized)) {
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return false;
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}
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}
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return fallback;
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};
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const getJoinString = (join: EquityPrintJoin, key: string): string | null => {
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const value = join.features[key];
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return typeof value === "string" ? value : null;
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};
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const getJoinNumber = (join: EquityPrintJoin, key: string, fallback = Number.NaN): number => {
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return parseNumber(join.features[key], fallback);
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};
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const getJoinBoolean = (join: EquityPrintJoin, key: string): boolean => {
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return parseBoolean(join.features[key], false);
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};
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type NbboSide = "AA" | "A" | "B" | "BB";
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const classifyNbboSide = (price: number, quote: OptionNBBO | null | undefined): NbboSide | null => {
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@ -445,14 +521,18 @@ type TapeConfig<T> = {
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pollMs?: number;
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captureScroll?: () => void;
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onNewItems?: (count: number) => void;
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getItemTs?: (item: T) => number;
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getReplayKey?: (item: T) => string | null;
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};
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const useTape = <T extends { ts: number; seq: number }>(
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const useTape = <T extends SortableItem & { seq: number }>(
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config: TapeConfig<T>
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): TapeState<T> => {
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const { mode, wsPath, replayPath, expectedType, latestPath, onNewItems, captureScroll } = config;
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const batchSize = config.batchSize ?? 40;
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const pollMs = config.pollMs ?? 1000;
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const getItemTs = config.getItemTs ?? extractSortTs;
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const getReplayKey = config.getReplayKey ?? extractTracePrefix;
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const [status, setStatus] = useState<WsStatus>("connecting");
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const [items, setItems] = useState<T[]>([]);
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const [lastUpdate, setLastUpdate] = useState<number | null>(null);
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@ -561,7 +641,7 @@ const useTape = <T extends { ts: number; seq: number }>(
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const payload = (await response.json()) as { data?: T[] };
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const latest = payload.data?.[0];
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if (active && latest) {
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replayEndRef.current = latest.ts;
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replayEndRef.current = getItemTs(latest);
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}
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} catch (error) {
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console.warn("Failed to load replay end cursor", error);
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@ -573,7 +653,7 @@ const useTape = <T extends { ts: number; seq: number }>(
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return () => {
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active = false;
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};
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}, [mode, latestPath]);
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}, [mode, latestPath, getItemTs]);
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useEffect(() => {
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if (mode !== "live") {
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@ -703,21 +783,21 @@ const useTape = <T extends { ts: number; seq: number }>(
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let sourcePrefix = replaySourceRef.current;
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if (!sourcePrefix) {
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const firstWithTrace = payload.data.find((item) => extractTracePrefix(item));
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const firstWithTrace = payload.data.find((item) => getReplayKey(item));
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if (firstWithTrace) {
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sourcePrefix = extractTracePrefix(firstWithTrace);
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sourcePrefix = getReplayKey(firstWithTrace);
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replaySourceRef.current = sourcePrefix ?? null;
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}
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}
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const filtered = sourcePrefix
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? payload.data.filter((item) => extractTracePrefix(item) === sourcePrefix)
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? payload.data.filter((item) => getReplayKey(item) === sourcePrefix)
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: payload.data;
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const hasForeign =
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sourcePrefix &&
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payload.data.some((item) => {
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const prefix = extractTracePrefix(item);
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const prefix = getReplayKey(item);
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return prefix !== null && prefix !== sourcePrefix;
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});
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@ -728,9 +808,10 @@ const useTape = <T extends { ts: number; seq: number }>(
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scheduleFlush();
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const last = filtered.at(-1);
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if (last) {
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setReplayTime(last.ts);
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if (replayEnd !== null && last.ts >= replayEnd) {
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cursorRef.current = { ts: last.ts, seq: last.seq };
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const lastTs = getItemTs(last);
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setReplayTime(lastTs);
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if (replayEnd !== null && lastTs >= replayEnd) {
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cursorRef.current = { ts: lastTs, seq: last.seq };
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replayCompleteRef.current = true;
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setReplayComplete(true);
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setStatus("disconnected");
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@ -781,7 +862,7 @@ const useTape = <T extends { ts: number; seq: number }>(
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window.clearInterval(interval);
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cancelFlush();
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};
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}, [mode, replayPath, batchSize, pollMs, scheduleFlush, cancelFlush]);
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}, [mode, replayPath, batchSize, pollMs, scheduleFlush, cancelFlush, getItemTs, getReplayKey]);
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return {
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status,
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@ -1179,6 +1260,10 @@ type EvidenceItem =
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| { kind: "print"; id: string; print: OptionPrint }
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| { kind: "unknown"; id: string };
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type DarkEvidenceItem =
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| { kind: "join"; id: string; join: EquityPrintJoin }
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| { kind: "unknown"; id: string };
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type AlertDrawerProps = {
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alert: AlertEvent;
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flowPacket: FlowPacket | null;
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@ -1293,6 +1378,118 @@ const AlertDrawer = ({ alert, flowPacket, evidence, onClose }: AlertDrawerProps)
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);
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};
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type DarkDrawerProps = {
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event: InferredDarkEvent;
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evidence: DarkEvidenceItem[];
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underlying: string | null;
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onClose: () => void;
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};
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const DarkDrawer = ({ event, evidence, underlying, onClose }: DarkDrawerProps) => {
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const joinEvidence = evidence.filter(
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(item): item is { kind: "join"; id: string; join: EquityPrintJoin } => item.kind === "join"
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);
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const unknownCount = evidence.filter((item) => item.kind === "unknown").length;
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const traceRefs = event.evidence_refs.slice(0, 6);
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const extraRefs = Math.max(0, event.evidence_refs.length - traceRefs.length);
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return (
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<aside className="drawer">
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<div className="drawer-header">
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<div>
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<p className="drawer-eyebrow">Inferred dark</p>
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<h3>{humanizeClassifierId(event.type)}</h3>
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<p className="drawer-subtitle">{formatDateTime(event.source_ts)}</p>
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</div>
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<button className="drawer-close" type="button" onClick={onClose}>
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Close
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</button>
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</div>
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<div className="drawer-meta">
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<span className="drawer-chip">Confidence {formatConfidence(event.confidence)}</span>
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{underlying ? <span className="drawer-chip">{underlying}</span> : null}
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<span className="drawer-chip">Evidence {event.evidence_refs.length}</span>
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</div>
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<div className="drawer-section">
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<h4>Trace path</h4>
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<div className="drawer-row">
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<div className="drawer-row-title">Event trace</div>
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<p className="drawer-note">{event.trace_id}</p>
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</div>
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{traceRefs.length === 0 ? (
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<p className="drawer-empty">No evidence references attached.</p>
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) : (
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<div className="drawer-list">
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{traceRefs.map((ref) => (
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<div className="drawer-row" key={ref}>
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<div className="drawer-row-title">Evidence ref</div>
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<p className="drawer-note">{ref}</p>
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</div>
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))}
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</div>
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)}
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{extraRefs > 0 ? <p className="drawer-empty">+{extraRefs} more evidence refs.</p> : null}
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</div>
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<div className="drawer-section">
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<h4>Evidence joins</h4>
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{joinEvidence.length === 0 ? (
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<p className="drawer-empty">No evidence joins in the current cache.</p>
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) : (
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<div className="drawer-list">
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{joinEvidence.slice(0, 6).map((item) => {
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const joinUnderlying = getJoinString(item.join, "underlying_id") ?? "Unknown";
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const price = getJoinNumber(item.join, "price");
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const size = getJoinNumber(item.join, "size");
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const placement = getJoinString(item.join, "quote_placement") ?? "MISSING";
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const offExchange = getJoinBoolean(item.join, "off_exchange_flag");
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const bid = getJoinNumber(item.join, "quote_bid");
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const ask = getJoinNumber(item.join, "quote_ask");
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const mid = getJoinNumber(item.join, "quote_mid");
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const spread = getJoinNumber(item.join, "quote_spread");
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const quoteAge = parseNumber(item.join.join_quality.quote_age_ms, Number.NaN);
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const quoteStale = parseNumber(item.join.join_quality.quote_stale, 0) > 0;
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const quoteMissing = parseNumber(item.join.join_quality.quote_missing, 0) > 0;
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return (
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<div className="drawer-row" key={item.id}>
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<div className="drawer-row-title">{joinUnderlying}</div>
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<div className="drawer-row-meta">
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{Number.isFinite(price) ? <span>${formatPrice(price)}</span> : null}
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{Number.isFinite(size) ? <span>{formatSize(size)}x</span> : null}
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<span className="pill">{placement}</span>
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{offExchange ? (
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<span className="flag">Off-Ex</span>
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) : (
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<span className="flag flag-muted">Lit</span>
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)}
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{Number.isFinite(quoteAge) ? <span>{Math.round(quoteAge)}ms</span> : null}
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{quoteStale ? <span className="pill nbbo-stale">Quote stale</span> : null}
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{quoteMissing ? <span className="pill nbbo-missing">Quote missing</span> : null}
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</div>
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<p className="drawer-note">{item.join.trace_id}</p>
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{Number.isFinite(bid) && Number.isFinite(ask) ? (
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<p className="drawer-note">
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Quote ${formatPrice(bid)} x ${formatPrice(ask)}
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{Number.isFinite(mid) ? ` · Mid ${formatPrice(mid)}` : ""}
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{Number.isFinite(spread) ? ` · Spr ${formatPrice(spread)}` : ""}
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</p>
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) : null}
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</div>
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);
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})}
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</div>
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)}
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{unknownCount > 0 ? (
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<p className="drawer-empty">+{unknownCount} evidence refs not in cache.</p>
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) : null}
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</div>
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</aside>
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);
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};
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const formatFlowMetric = (value: number, suffix?: string): string => {
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if (suffix) {
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return `${value}${suffix}`;
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@ -1304,21 +1501,25 @@ const formatFlowMetric = (value: number, suffix?: string): string => {
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export default function HomePage() {
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const [mode, setMode] = useState<TapeMode>("live");
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const [selectedAlert, setSelectedAlert] = useState<AlertEvent | null>(null);
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const [selectedDarkEvent, setSelectedDarkEvent] = useState<InferredDarkEvent | null>(null);
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const [filterInput, setFilterInput] = useState<string>("");
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const optionsScroll = useListScroll();
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const equitiesScroll = useListScroll();
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const flowScroll = useListScroll();
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const darkScroll = useListScroll();
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const alertsScroll = useListScroll();
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const classifierScroll = useListScroll();
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const optionsAnchor = useScrollAnchor(optionsScroll.listRef, optionsScroll.isAtTopRef);
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const equitiesAnchor = useScrollAnchor(equitiesScroll.listRef, equitiesScroll.isAtTopRef);
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const flowAnchor = useScrollAnchor(flowScroll.listRef, flowScroll.isAtTopRef);
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const darkAnchor = useScrollAnchor(darkScroll.listRef, darkScroll.isAtTopRef);
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const alertsAnchor = useScrollAnchor(alertsScroll.listRef, alertsScroll.isAtTopRef);
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const classifierAnchor = useScrollAnchor(
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classifierScroll.listRef,
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classifierScroll.isAtTopRef
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);
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const disableReplayGrouping = useCallback(() => null, []);
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const options = useTape<OptionPrint>({
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mode,
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@ -1344,6 +1545,17 @@ export default function HomePage() {
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onNewItems: equitiesScroll.onNewItems
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});
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const equityJoins = useTape<EquityPrintJoin>({
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mode,
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wsPath: "/ws/equity-joins",
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replayPath: "/replay/equity-joins",
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latestPath: "/joins/equities",
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expectedType: "equity-join",
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batchSize: mode === "replay" ? 120 : undefined,
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pollMs: mode === "replay" ? 200 : undefined,
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getReplayKey: disableReplayGrouping
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});
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const nbbo = useTape<OptionNBBO>({
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mode,
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wsPath: "/ws/options-nbbo",
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@ -1354,6 +1566,19 @@ export default function HomePage() {
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pollMs: mode === "replay" ? 200 : undefined
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});
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const inferredDark = useTape<InferredDarkEvent>({
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mode,
|
||||
wsPath: "/ws/inferred-dark",
|
||||
replayPath: "/replay/inferred-dark",
|
||||
latestPath: "/dark/inferred",
|
||||
expectedType: "inferred-dark",
|
||||
batchSize: mode === "replay" ? 120 : undefined,
|
||||
pollMs: mode === "replay" ? 200 : undefined,
|
||||
captureScroll: darkAnchor.capture,
|
||||
onNewItems: darkScroll.onNewItems,
|
||||
getReplayKey: disableReplayGrouping
|
||||
});
|
||||
|
||||
const flowHold = useCallback(() => !flowScroll.isAtTopRef.current, [flowScroll.isAtTopRef]);
|
||||
const flow = useFlowStream(
|
||||
mode === "live",
|
||||
|
|
@ -1389,6 +1614,10 @@ export default function HomePage() {
|
|||
flowAnchor.apply();
|
||||
}, [flow.items, flowAnchor.apply]);
|
||||
|
||||
useLayoutEffect(() => {
|
||||
darkAnchor.apply();
|
||||
}, [inferredDark.items, darkAnchor.apply]);
|
||||
|
||||
useLayoutEffect(() => {
|
||||
alertsAnchor.apply();
|
||||
}, [alerts.items, alertsAnchor.apply]);
|
||||
|
|
@ -1432,6 +1661,24 @@ export default function HomePage() {
|
|||
return map;
|
||||
}, [options.items]);
|
||||
|
||||
const equityPrintMap = useMemo(() => {
|
||||
const map = new Map<string, EquityPrint>();
|
||||
for (const print of equities.items) {
|
||||
if (print.trace_id) {
|
||||
map.set(print.trace_id, print);
|
||||
}
|
||||
}
|
||||
return map;
|
||||
}, [equities.items]);
|
||||
|
||||
const equityJoinMap = useMemo(() => {
|
||||
const map = new Map<string, EquityPrintJoin>();
|
||||
for (const join of equityJoins.items) {
|
||||
map.set(join.id, join);
|
||||
}
|
||||
return map;
|
||||
}, [equityJoins.items]);
|
||||
|
||||
const flowPacketMap = useMemo(() => {
|
||||
const map = new Map<string, FlowPacket>();
|
||||
for (const packet of flow.items) {
|
||||
|
|
@ -1466,10 +1713,32 @@ export default function HomePage() {
|
|||
return packetId ? flowPacketMap.get(packetId) ?? null : null;
|
||||
}, [selectedAlert, flowPacketMap]);
|
||||
|
||||
const selectedDarkEvidence = useMemo((): DarkEvidenceItem[] => {
|
||||
if (!selectedDarkEvent) {
|
||||
return [];
|
||||
}
|
||||
|
||||
return selectedDarkEvent.evidence_refs.map((id) => {
|
||||
const join = equityJoinMap.get(id);
|
||||
if (join) {
|
||||
return { kind: "join", id, join };
|
||||
}
|
||||
return { kind: "unknown", id };
|
||||
});
|
||||
}, [selectedDarkEvent, equityJoinMap]);
|
||||
|
||||
const selectedDarkUnderlying = useMemo(() => {
|
||||
if (!selectedDarkEvent) {
|
||||
return null;
|
||||
}
|
||||
return inferDarkUnderlying(selectedDarkEvent, equityPrintMap, equityJoinMap);
|
||||
}, [selectedDarkEvent, equityJoinMap, equityPrintMap]);
|
||||
|
||||
useEffect(() => {
|
||||
if (mode !== "live") {
|
||||
setSelectedAlert(null);
|
||||
}
|
||||
setSelectedDarkEvent(null);
|
||||
}, [mode]);
|
||||
|
||||
const extractPacketContract = useCallback((packet: FlowPacket): string => {
|
||||
|
|
@ -1545,6 +1814,16 @@ export default function HomePage() {
|
|||
return equities.items.filter((print) => matchesTicker(print.underlying_id));
|
||||
}, [equities.items, matchesTicker, tickerSet]);
|
||||
|
||||
const filteredInferredDark = useMemo(() => {
|
||||
if (tickerSet.size === 0) {
|
||||
return inferredDark.items;
|
||||
}
|
||||
return inferredDark.items.filter((event) => {
|
||||
const underlying = inferDarkUnderlying(event, equityPrintMap, equityJoinMap);
|
||||
return matchesTicker(underlying);
|
||||
});
|
||||
}, [equityJoinMap, equityPrintMap, inferredDark.items, matchesTicker, tickerSet]);
|
||||
|
||||
const filteredFlow = useMemo(() => {
|
||||
if (tickerSet.size === 0) {
|
||||
return flow.items;
|
||||
|
|
@ -1575,6 +1854,7 @@ export default function HomePage() {
|
|||
return [
|
||||
options.lastUpdate,
|
||||
equities.lastUpdate,
|
||||
inferredDark.lastUpdate,
|
||||
flow.lastUpdate,
|
||||
alerts.lastUpdate,
|
||||
classifierHits.lastUpdate
|
||||
|
|
@ -1584,6 +1864,7 @@ export default function HomePage() {
|
|||
}, [
|
||||
options.lastUpdate,
|
||||
equities.lastUpdate,
|
||||
inferredDark.lastUpdate,
|
||||
flow.lastUpdate,
|
||||
alerts.lastUpdate,
|
||||
classifierHits.lastUpdate
|
||||
|
|
@ -1975,7 +2256,10 @@ export default function HomePage() {
|
|||
className="row row-button"
|
||||
key={`${alert.trace_id}-${alert.seq}`}
|
||||
type="button"
|
||||
onClick={() => setSelectedAlert(alert)}
|
||||
onClick={() => {
|
||||
setSelectedDarkEvent(null);
|
||||
setSelectedAlert(alert);
|
||||
}}
|
||||
>
|
||||
<div>
|
||||
<div className="contract">
|
||||
|
|
@ -2060,6 +2344,75 @@ export default function HomePage() {
|
|||
</div>
|
||||
</div>
|
||||
</section>
|
||||
|
||||
<section className="card card-dark">
|
||||
<div className="card-header">
|
||||
<div>
|
||||
<h2>Inferred Dark</h2>
|
||||
<p className="card-subtitle">Off-exchange patterns inferred from equity joins.</p>
|
||||
</div>
|
||||
</div>
|
||||
<div className="card-controls">
|
||||
<TapeStatus
|
||||
status={inferredDark.status}
|
||||
lastUpdate={inferredDark.lastUpdate}
|
||||
replayTime={inferredDark.replayTime}
|
||||
replayComplete={inferredDark.replayComplete}
|
||||
paused={inferredDark.paused}
|
||||
dropped={inferredDark.dropped}
|
||||
mode={mode}
|
||||
onTogglePause={inferredDark.togglePause}
|
||||
/>
|
||||
<TapeControls
|
||||
isAtTop={darkScroll.isAtTop}
|
||||
missed={darkScroll.missed}
|
||||
onJump={darkScroll.jumpToTop}
|
||||
/>
|
||||
</div>
|
||||
|
||||
<div className="card-body">
|
||||
<div className="list" ref={darkScroll.listRef}>
|
||||
{filteredInferredDark.length === 0 ? (
|
||||
<div className="empty">
|
||||
{tickerSet.size > 0
|
||||
? "No inferred dark events match the current filter."
|
||||
: mode === "live"
|
||||
? "No inferred dark events yet. Start compute."
|
||||
: "Replay queue empty. Ensure ClickHouse has data."}
|
||||
</div>
|
||||
) : (
|
||||
filteredInferredDark.map((event) => {
|
||||
const underlying = inferDarkUnderlying(event, equityPrintMap, equityJoinMap);
|
||||
const evidenceCount = event.evidence_refs.length;
|
||||
return (
|
||||
<button
|
||||
className="row row-button"
|
||||
key={`${event.trace_id}-${event.seq}`}
|
||||
type="button"
|
||||
onClick={() => {
|
||||
setSelectedAlert(null);
|
||||
setSelectedDarkEvent(event);
|
||||
}}
|
||||
>
|
||||
<div>
|
||||
<div className="contract">{humanizeClassifierId(event.type)}</div>
|
||||
<div className="meta">
|
||||
{underlying ? <span>{underlying}</span> : <span className="pill">Unknown</span>}
|
||||
<span>Confidence {formatConfidence(event.confidence)}</span>
|
||||
<span>Evidence {evidenceCount}</span>
|
||||
</div>
|
||||
{underlying ? null : (
|
||||
<div className="note">Underlying not in current equity cache.</div>
|
||||
)}
|
||||
</div>
|
||||
<div className="time">{formatTime(event.source_ts)}</div>
|
||||
</button>
|
||||
);
|
||||
})
|
||||
)}
|
||||
</div>
|
||||
</div>
|
||||
</section>
|
||||
</div>
|
||||
|
||||
{selectedAlert ? (
|
||||
|
|
@ -2070,6 +2423,15 @@ export default function HomePage() {
|
|||
onClose={() => setSelectedAlert(null)}
|
||||
/>
|
||||
) : null}
|
||||
|
||||
{selectedDarkEvent ? (
|
||||
<DarkDrawer
|
||||
event={selectedDarkEvent}
|
||||
evidence={selectedDarkEvidence}
|
||||
underlying={selectedDarkUnderlying}
|
||||
onClose={() => setSelectedDarkEvent(null)}
|
||||
/>
|
||||
) : null}
|
||||
</main>
|
||||
);
|
||||
}
|
||||
|
|
|
|||
|
|
@ -30,6 +30,11 @@ const spawnChild = ({ name, cmd, cwd }: ChildSpec): void => {
|
|||
const exitCode = code ?? 0;
|
||||
const statusLabel = exitCode === 0 ? "exited" : "failed";
|
||||
console.error(`[dev] ${name} ${statusLabel} (${exitCode})`);
|
||||
if (name === "infra" && exitCode !== 0) {
|
||||
console.error(
|
||||
"[dev] Infra failed. Ensure Docker is installed and the daemon is running (OrbStack or Docker Desktop), then retry."
|
||||
);
|
||||
}
|
||||
shutdown(exitCode);
|
||||
});
|
||||
};
|
||||
|
|
|
|||
|
|
@ -6,6 +6,22 @@ type SyntheticEquitiesAdapterConfig = {
|
|||
};
|
||||
|
||||
const EXCHANGES = ["NYSE", "NASDAQ", "ARCA", "BATS", "IEX", "TEST"];
|
||||
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 hashSymbol = (value: string): number => {
|
||||
let hash = 0;
|
||||
|
|
@ -57,6 +73,50 @@ const buildSyntheticQuote = (
|
|||
};
|
||||
};
|
||||
|
||||
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 priceForPlacement = (
|
||||
mid: number,
|
||||
quote: { bid: number; ask: number; epsilon: number },
|
||||
placement: PricePlacement
|
||||
): number => {
|
||||
const { bid, ask, epsilon } = quote;
|
||||
|
||||
let price = mid;
|
||||
switch (placement) {
|
||||
case "AA":
|
||||
price = ask + epsilon * 1.5;
|
||||
break;
|
||||
case "A":
|
||||
price = ask;
|
||||
break;
|
||||
case "BB":
|
||||
price = bid - epsilon * 1.5;
|
||||
break;
|
||||
case "B":
|
||||
price = bid;
|
||||
break;
|
||||
case "MID":
|
||||
default:
|
||||
price = mid;
|
||||
break;
|
||||
}
|
||||
|
||||
return formatPrice(Math.max(0.01, price));
|
||||
};
|
||||
|
||||
export const createSyntheticEquitiesAdapter = (
|
||||
config: SyntheticEquitiesAdapterConfig
|
||||
): EquityIngestAdapter => {
|
||||
|
|
@ -65,6 +125,8 @@ export const createSyntheticEquitiesAdapter = (
|
|||
start: (handlers: EquityIngestHandlers) => {
|
||||
let seq = 0;
|
||||
let quoteSeq = 0;
|
||||
let darkStep = 0;
|
||||
let darkSymbolIndex = 0;
|
||||
let timer: ReturnType<typeof setInterval> | null = null;
|
||||
let stopped = false;
|
||||
|
||||
|
|
@ -76,27 +138,79 @@ export const createSyntheticEquitiesAdapter = (
|
|||
const now = Date.now();
|
||||
const batchSize = 3;
|
||||
|
||||
const darkSymbol = SP500_SYMBOLS[darkSymbolIndex % SP500_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 (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 = 2600;
|
||||
if (scenario === "buy") {
|
||||
darkPlacement = darkStep % 2 === 0 ? "A" : "AA";
|
||||
darkSize = 800;
|
||||
} else if (scenario === "sell") {
|
||||
darkPlacement = darkStep % 2 === 0 ? "B" : "BB";
|
||||
darkSize = 800;
|
||||
}
|
||||
const darkPrice = priceForPlacement(darkMid, darkQuote, darkPlacement);
|
||||
const darkPrint = buildSyntheticPrint(
|
||||
seq,
|
||||
darkTs,
|
||||
darkSymbol,
|
||||
darkPrice,
|
||||
darkSize,
|
||||
DARK_EXCHANGE,
|
||||
true
|
||||
);
|
||||
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 = SP500_SYMBOLS[(seq + i) % SP500_SYMBOLS.length];
|
||||
const symbolHash = hashSymbol(symbol);
|
||||
const basePrice = 25 + (symbolHash % 475);
|
||||
const price = Number((basePrice + ((seq % 40) - 20) * 0.05).toFixed(2));
|
||||
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 = 10 + (seq % 600);
|
||||
const exchange = EXCHANGES[(seq + symbolHash) % EXCHANGES.length];
|
||||
const offExchangeFlag = (seq + i) % 6 === 0;
|
||||
const eventTs = now + i * 4;
|
||||
const print = buildSyntheticPrint(seq, eventTs, symbol, price, size, exchange, offExchangeFlag);
|
||||
void handlers.onTrade(print);
|
||||
|
||||
if (handlers.onQuote) {
|
||||
quoteSeq += 1;
|
||||
const spread = Math.max(0.02, Number((price * 0.002).toFixed(2)));
|
||||
const bid = Math.max(0.01, Number((price - spread / 2).toFixed(2)));
|
||||
const ask = Math.max(bid + 0.01, Number((price + spread / 2).toFixed(2)));
|
||||
const quote = buildSyntheticQuote(quoteSeq, eventTs, symbol, bid, ask);
|
||||
void handlers.onQuote(quote);
|
||||
const quoteEventTs = eventTs - 2;
|
||||
const quoteEvent = buildSyntheticQuote(quoteSeq, quoteEventTs, symbol, quote.bid, quote.ask);
|
||||
void handlers.onQuote(quoteEvent);
|
||||
}
|
||||
|
||||
const print = buildSyntheticPrint(seq, eventTs, symbol, price, size, exchange, offExchangeFlag);
|
||||
void handlers.onTrade(print);
|
||||
}
|
||||
};
|
||||
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue