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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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41
services/compute/tests/structure-packets.test.ts
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@ -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);
});
});