Detect option rolls and emit roll classifier

services/compute/tests/classifiers.test.ts

@@ -194,6 +194,32 @@ describe("classifier structure and positioning signals", () => {
     expect(hits.some((hit) => hit.classifier_id === "ladder_accumulation")).toBe(true);
   });
 
+  test("roll classifier triggers on cross-expiry structure packets", () => {
+    const packet = buildPacket({
+      packet_kind: "structure",
+      structure_type: "roll",
+      structure_legs: 2,
+      structure_strikes: 2,
+      structure_rights: "C",
+      structure_strike_span: 5,
+      total_premium: 70_000,
+      total_size: 800,
+      nbbo_coverage_ratio: 0.85,
+      nbbo_aggressive_buy_ratio: 0.7,
+      nbbo_aggressive_sell_ratio: 0.3,
+      roll_from_expiry: "2025-01-17",
+      roll_to_expiry: "2025-02-21",
+      roll_from_strike: 450,
+      roll_to_strike: 455,
+      roll_strike_delta: 5,
+      roll_expiry_days_delta: 35
+    });
+    const hits = evaluateClassifiers(packet, baseConfig);
+    const hit = hits.find((candidate) => candidate.classifier_id === "roll_up_down_out");
+    expect(hit).toBeTruthy();
+    expect(hit?.direction).toBe("bullish");
+  });
+
   test("far-dated conviction triggers on 60DTE threshold", () => {
     const packet = buildPacket({
       option_contract_id: "SPY-2024-04-19-450-C",

services/compute/tests/structure-packets.test.ts

@@ -22,7 +22,7 @@ const leg = (input: Partial<LegEvidence> & Pick<LegEvidence, "contractId" | "rig
   return {
     contractId: input.contractId,
     root: "SPY",
-    expiry: "2025-01-17",
+    expiry: input.expiry ?? "2025-01-17",
     right: input.right,
     strike: input.strike,
     startTs: input.startTs ?? 1000,
@@ -134,4 +134,43 @@ describe("structure packet planning", () => {
     // 2 aggressive (AA + BB) out of 3 classified (AA + BB + MID)
     expect(packet.features.nbbo_aggressive_ratio).toBeCloseTo(2 / 3, 4);
   });
+
+  test("includes roll metadata when structure type is roll", () => {
+    const near = leg({
+      contractId: "SPY-2025-01-17-450-C",
+      right: "C",
+      strike: 450,
+      expiry: "2025-01-17",
+      members: ["p1"],
+      totalSize: 10,
+      totalPremium: 2000,
+      placements: placements({ aa: 1 })
+    });
+    const far = leg({
+      contractId: "SPY-2025-02-21-455-C",
+      right: "C",
+      strike: 455,
+      expiry: "2025-02-21",
+      startTs: 1010,
+      endTs: 1120,
+      members: ["p2"],
+      totalSize: 12,
+      totalPremium: 2500,
+      placements: placements({ bb: 1 })
+    });
+
+    const legs = [near, far];
+    const summary = summarizeStructure(legs);
+    expect(summary?.type).toBe("roll");
+
+    const plan = planStructurePacket(legs, summary!, 500);
+    const packet = buildStructureFlowPacket(plan!, summary!);
+
+    expect(packet.features.structure_expiries_count).toBe(2);
+    expect(packet.features.roll_from_expiry).toBe("2025-01-17");
+    expect(packet.features.roll_to_expiry).toBe("2025-02-21");
+    expect(packet.features.roll_from_strike).toBe(450);
+    expect(packet.features.roll_to_strike).toBe(455);
+    expect(packet.features.roll_strike_delta).toBe(5);
+  });
 });

services/compute/tests/structures.test.ts

@@ -40,4 +40,20 @@ describe("structure summaries", () => {
     expect(summary?.type).toBe("strangle");
     expect(summary?.strikes).toBe(2);
   });
+
+  test("detects rolls across expiries", () => {
+    const summary = summarizeStructure([
+      {
+        ...leg("c1", "C", 450),
+        expiry: "2025-01-17"
+      },
+      {
+        ...leg("c2", "C", 455),
+        expiry: "2025-02-21"
+      }
+    ]);
+    expect(summary?.type).toBe("roll");
+    expect(summary?.rights).toBe("C");
+    expect(summary?.strikes).toBe(2);
+  });
 });