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Detect option rolls and emit roll classifier

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dirtydishes 2026-01-28 21:04:24 -05:00
parent fe6aef5fbc
commit a82db56ab6
7 changed files with 378 additions and 16 deletions
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61
services/compute/src/index.ts
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@ -223,6 +223,7 @@ const nbboCache = new Map<string, OptionNBBO>();
const equityQuoteCache = new Map<string, EquityQuote>();
const darkInferenceState = createDarkInferenceState();
const recentLegsByKey = new Map<string, LegEvidence[]>();
const recentLegsByRoot = new Map<string, LegEvidence[]>();
const recentStructureEmits = new Map<string, number>();
const MAX_RECENT_LEGS = 20;
@ -301,6 +302,10 @@ const buildLegKey = (leg: ContractLeg): string => {
return `${leg.root}:${leg.expiry}`;
};
const buildRootKey = (leg: ContractLeg): string => {
return leg.root;
};
const isWithinStructureWindow = (anchorTs: number, candidateTs: number): boolean => {
return Math.abs(anchorTs - candidateTs) <= env.CLUSTER_WINDOW_MS;
};
@ -321,6 +326,22 @@ const storeRecentLeg = (leg: LegEvidence, anchorTs: number): void => {
recentLegsByKey.set(key, next);
};
const collectRecentRootLegs = (key: string, anchorTs: number, excludeId: string): LegEvidence[] => {
const recent = recentLegsByRoot.get(key) ?? [];
const filtered = recent.filter(
(leg) => leg.contractId !== excludeId && isWithinStructureWindow(anchorTs, leg.endTs)
);
recentLegsByRoot.set(key, filtered);
return filtered;
};
const storeRecentRootLeg = (leg: LegEvidence, anchorTs: number): void => {
const key = buildRootKey(leg);
const recent = collectRecentRootLegs(key, anchorTs, "");
const next = [leg, ...recent].slice(0, MAX_RECENT_LEGS);
recentLegsByRoot.set(key, next);
};
const collectActiveLegs = (
key: string,
anchorTs: number,
@ -346,7 +367,32 @@ const collectActiveLegs = (
return legs;
};
const STRUCTURE_TYPES = new Set(["straddle", "strangle", "vertical", "ladder"]);
const collectActiveRootLegs = (
key: string,
anchorTs: number,
excludeId: string
): LegEvidence[] => {
const legs: LegEvidence[] = [];
for (const [contractId, cluster] of clusters) {
if (contractId === excludeId) {
continue;
}
const leg = buildLegFromCluster(cluster);
if (!leg) {
continue;
}
if (buildRootKey(leg) !== key) {
continue;
}
if (!isWithinStructureWindow(anchorTs, leg.endTs)) {
continue;
}
legs.push(leg);
}
return legs;
};
const STRUCTURE_TYPES = new Set(["straddle", "strangle", "vertical", "ladder", "roll"]);
const MAX_RECENT_STRUCTURE_EMITS = 2000;
const pruneRecentStructureEmits = (anchorTs: number): void => {
@ -691,7 +737,20 @@ const flushCluster = async (
}
await emitStructurePacketIfNeeded(clickhouse, js, legs, summary, currentLeg.contractId);
const rootKey = buildRootKey(currentLeg);
const rootCandidates = [
...collectRecentRootLegs(rootKey, anchorTs, currentLeg.contractId),
...collectActiveRootLegs(rootKey, anchorTs, currentLeg.contractId)
];
const rollLegs = [currentLeg, ...rootCandidates];
const rollSummary = summarizeStructure(rollLegs);
if (rollSummary?.type === "roll") {
await emitStructurePacketIfNeeded(clickhouse, js, rollLegs, rollSummary, currentLeg.contractId);
}
storeRecentLeg(currentLeg, anchorTs);
storeRecentRootLeg(currentLeg, anchorTs);
}
if (!nbboJoin.nbbo) {