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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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23
services/compute/src/structures.ts
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@ -22,17 +22,24 @@ export const summarizeStructure = (legs: ContractLeg[]): StructureSummary | null
const strikes = Array.from(new Set(legs.map((leg) => leg.strike))).sort((a, b) => a - b);
const rights = new Set(legs.map((leg) => leg.right));
const expiries = new Set(legs.map((leg) => leg.expiry));
const strikeSpan = strikes.length >= 2 ? strikes[strikes.length - 1] - strikes[0] : 0;
let type = "multi_leg";
if (rights.size === 2 && strikes.length === 1) {
type = "straddle";
} else if (rights.size === 2 && strikes.length >= 2) {
type = "strangle";
} else if (rights.size === 1 && strikes.length === 2) {
type = "vertical";
} else if (rights.size === 1 && strikes.length >= 3) {
type = "ladder";
if (expiries.size === 1) {
if (rights.size === 2 && strikes.length === 1) {
type = "straddle";
} else if (rights.size === 2 && strikes.length >= 2) {
type = "strangle";
} else if (rights.size === 1 && strikes.length === 2) {
type = "vertical";
} else if (rights.size === 1 && strikes.length >= 3) {
type = "ladder";
}
} else if (rights.size === 1 && expiries.size === 2) {
// Conservative roll heuristic: same right, exactly two expiries within the burst window.
// We do not attempt to infer the exact strategy beyond roll-style behavior.
type = "roll";
}
return {