Codex changes
Co-authored-by: Codex
This commit is contained in:
dirtydishes
parent
a82db56ab6
commit
aa0e651130
5 changed files with 431 additions and 243 deletions
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@ -1,249 +1,296 @@
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import { describe, expect, test } from "bun:test";
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import type { FlowPacket } from "@islandflow/types";
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import { evaluateClassifiers, type ClassifierConfig } from "../src/classifiers";
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import { describe, expect, it } from "bun:test";
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import { evaluateClassifiers } from "../src/classifiers";
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import { buildFlowPacket, getHit, TEST_CLASSIFIER_CONFIG } from "./helpers";
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const baseConfig: ClassifierConfig = {
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sweepMinPremium: 40_000,
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sweepMinCount: 3,
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sweepMinPremiumZ: 2,
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spikeMinPremium: 20_000,
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spikeMinSize: 400,
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spikeMinPremiumZ: 2.5,
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spikeMinSizeZ: 2,
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zMinSamples: 12,
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minNbboCoverage: 0.5,
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minAggressorRatio: 0.55,
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zeroDteMaxAtmPct: 0.01,
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zeroDteMinPremium: 20_000,
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zeroDteMinSize: 400
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const expectExplainable = (hit: NonNullable<ReturnType<typeof getHit>>) => {
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expect(hit.confidence).toBeGreaterThanOrEqual(0);
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expect(hit.confidence).toBeLessThanOrEqual(1);
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expect(hit.direction.length).toBeGreaterThan(0);
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expect(hit.explanations.length).toBeGreaterThan(0);
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expect(hit.explanations.join(" ")).toMatch(/Likely|Consistent with|Unusual/i);
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};
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const DEFAULT_TS = Date.UTC(2024, 0, 2);
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const buildPacket = (
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overrides: Record<string, string | number | boolean>
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): FlowPacket => {
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return {
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source_ts: DEFAULT_TS,
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ingest_ts: DEFAULT_TS,
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seq: 1,
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trace_id: "trace",
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id: "packet",
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members: ["m1"],
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features: {
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option_contract_id: "SPY-2025-01-17-450-C",
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count: 3,
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total_premium: 1000,
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total_size: 20,
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first_price: 1,
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last_price: 1.01,
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start_ts: DEFAULT_TS - 500,
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end_ts: DEFAULT_TS,
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window_ms: 500,
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...overrides
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},
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join_quality: {}
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};
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};
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describe("classifier z-score behavior", () => {
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test("spike hit triggers on z-score even when absolute thresholds fail", () => {
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const packet = buildPacket({
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total_premium_z: 3.2,
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total_premium_baseline_n: 20,
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total_size_z: 0.4,
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total_size_baseline_n: 20
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describe("compute classifiers", () => {
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it("detects large bullish call sweep", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:sweep-call",
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features: {
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option_contract_id: "SPY-2025-02-01-450-C",
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count: 5,
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window_ms: 500,
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total_size: 1200,
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total_premium: 85_000,
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first_price: 1.0,
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last_price: 1.05,
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nbbo_coverage_ratio: 0.9,
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nbbo_aggressive_buy_ratio: 0.65,
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nbbo_aggressive_sell_ratio: 0.15
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}
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});
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const hits = evaluateClassifiers(packet, baseConfig);
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expect(hits.some((hit) => hit.classifier_id === "unusual_contract_spike")).toBe(true);
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "large_bullish_call_sweep");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bullish");
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expectExplainable(hit!);
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});
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test("sweep hit triggers on premium z-score when baseline is ready", () => {
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const packet = buildPacket({
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total_premium_z: 2.4,
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total_premium_baseline_n: 20
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it("detects large bearish put sweep", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:sweep-put",
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features: {
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option_contract_id: "SPY-2025-02-01-450-P",
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count: 4,
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window_ms: 420,
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total_size: 900,
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total_premium: 60_000,
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first_price: 2.0,
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last_price: 2.15,
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nbbo_coverage_ratio: 0.85,
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nbbo_aggressive_buy_ratio: 0.2,
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nbbo_aggressive_sell_ratio: 0.7
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}
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});
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const hits = evaluateClassifiers(packet, baseConfig);
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expect(hits.some((hit) => hit.classifier_id === "large_bullish_call_sweep")).toBe(true);
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "large_bearish_put_sweep");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bearish");
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expectExplainable(hit!);
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});
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test("sweep hit does not trigger when baseline is insufficient", () => {
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const packet = buildPacket({
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total_premium_z: 3,
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total_premium_baseline_n: 4
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it("detects unusual contract spike", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:spike",
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features: {
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option_contract_id: "NVDA-2025-02-21-600-C",
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count: 2,
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window_ms: 200,
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total_size: 520,
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total_premium: 30_000,
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nbbo_coverage_ratio: 0.6,
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nbbo_aggressive_buy_ratio: 0.6,
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nbbo_aggressive_sell_ratio: 0.1
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}
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});
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const hits = evaluateClassifiers(packet, baseConfig);
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expect(hits.some((hit) => hit.classifier_id === "large_bullish_call_sweep")).toBe(false);
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "unusual_contract_spike");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("neutral");
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expectExplainable(hit!);
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});
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test("aggressor mix adjusts sweep confidence", () => {
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const basePacket = {
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total_premium: 120_000,
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total_size: 900,
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count: 4,
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nbbo_coverage_ratio: 0.8
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};
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const lowAgg = buildPacket({
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...basePacket,
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nbbo_aggressive_buy_ratio: 0.2,
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nbbo_aggressive_sell_ratio: 0.2
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});
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const highAgg = buildPacket({
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...basePacket,
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nbbo_aggressive_buy_ratio: 0.7,
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nbbo_aggressive_sell_ratio: 0.3
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it("detects large call sell overwrite (sell-side skew)", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:overwrite",
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features: {
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option_contract_id: "AAPL-2025-02-21-200-C",
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count: 3,
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window_ms: 300,
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total_size: 900,
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total_premium: 35_000,
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nbbo_coverage_ratio: 0.75,
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nbbo_aggressive_buy_ratio: 0.1,
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nbbo_aggressive_sell_ratio: 0.75
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}
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});
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const lowHit = evaluateClassifiers(lowAgg, baseConfig).find(
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(hit) => hit.classifier_id === "large_bullish_call_sweep"
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);
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const highHit = evaluateClassifiers(highAgg, baseConfig).find(
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(hit) => hit.classifier_id === "large_bullish_call_sweep"
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);
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "large_call_sell_overwrite");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bearish");
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expectExplainable(hit!);
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});
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expect(lowHit).toBeTruthy();
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expect(highHit).toBeTruthy();
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expect((highHit?.confidence ?? 0)).toBeGreaterThan(lowHit?.confidence ?? 0);
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it("detects large put sell write (sell-side skew)", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:put-write",
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features: {
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option_contract_id: "AAPL-2025-02-21-200-P",
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count: 3,
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window_ms: 300,
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total_size: 850,
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total_premium: 32_000,
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nbbo_coverage_ratio: 0.75,
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nbbo_aggressive_buy_ratio: 0.1,
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nbbo_aggressive_sell_ratio: 0.72
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}
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});
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "large_put_sell_write");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bullish");
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expectExplainable(hit!);
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});
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it("detects far-dated conviction (>=60 DTE)", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:far-dated",
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source_ts: Date.parse("2025-01-01T14:30:00Z"),
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features: {
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option_contract_id: "SPY-2025-04-10-450-C",
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count: 2,
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window_ms: 250,
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total_size: 650,
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total_premium: 28_000,
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nbbo_coverage_ratio: 0.7,
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nbbo_aggressive_buy_ratio: 0.6,
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nbbo_aggressive_sell_ratio: 0.2
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}
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});
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "far_dated_conviction");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bullish");
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expectExplainable(hit!);
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});
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it("detects 0DTE gamma punch when expiry matches packet day and near ATM", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:zero-dte",
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source_ts: Date.parse("2025-01-17T15:30:00Z"),
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features: {
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option_contract_id: "SPY-2025-01-17-450-C",
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count: 3,
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window_ms: 350,
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total_size: 800,
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total_premium: 50_000,
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underlying_mid: 450.5,
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nbbo_coverage_ratio: 0.8,
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nbbo_aggressive_buy_ratio: 0.65,
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nbbo_aggressive_sell_ratio: 0.15
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}
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});
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "zero_dte_gamma_punch");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bullish");
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expectExplainable(hit!);
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});
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it("detects structure straddle and strangle packets", () => {
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const base = {
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packet_kind: "structure",
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structure_legs: 4,
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structure_strikes: 2,
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structure_strike_span: 5,
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total_size: 600,
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total_premium: 30_000,
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nbbo_coverage_ratio: 0.7,
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nbbo_aggressive_buy_ratio: 0.55,
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nbbo_aggressive_sell_ratio: 0.35
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} as const;
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const straddlePacket = buildFlowPacket({
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id: "flowpacket:straddle",
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features: {
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...base,
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structure_type: "straddle"
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}
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});
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const stranglePacket = buildFlowPacket({
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id: "flowpacket:strangle",
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features: {
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...base,
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structure_type: "strangle",
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structure_strike_span: 12
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}
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});
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const straddleHits = evaluateClassifiers(straddlePacket, TEST_CLASSIFIER_CONFIG);
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const strangleHits = evaluateClassifiers(stranglePacket, TEST_CLASSIFIER_CONFIG);
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const straddleHit = getHit(straddleHits, "straddle");
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const strangleHit = getHit(strangleHits, "strangle");
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expect(straddleHit).not.toBeNull();
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expect(strangleHit).not.toBeNull();
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expectExplainable(straddleHit!);
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expectExplainable(strangleHit!);
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});
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it("detects vertical spread structure packets and infers direction from aggressor skew", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:vertical",
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features: {
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packet_kind: "structure",
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structure_type: "vertical",
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structure_rights: "C",
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structure_legs: 4,
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structure_strikes: 2,
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structure_strike_span: 10,
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total_size: 900,
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total_premium: 45_000,
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nbbo_coverage_ratio: 0.8,
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nbbo_aggressive_buy_ratio: 0.7,
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nbbo_aggressive_sell_ratio: 0.2
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}
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});
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "vertical_spread");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bullish");
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expectExplainable(hit!);
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});
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it("detects ladder accumulation packets", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:ladder",
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features: {
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packet_kind: "structure",
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structure_type: "ladder",
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structure_rights: "C",
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structure_legs: 6,
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structure_strikes: 4,
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structure_strike_span: 15,
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total_size: 1200,
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total_premium: 55_000,
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nbbo_coverage_ratio: 0.65,
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nbbo_aggressive_buy_ratio: 0.6,
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nbbo_aggressive_sell_ratio: 0.2
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}
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});
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "ladder_accumulation");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bullish");
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expectExplainable(hit!);
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});
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it("detects roll up/down/out structure packets", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:roll",
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features: {
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packet_kind: "structure",
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structure_type: "roll",
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structure_rights: "C",
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underlying_id: "SPY",
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roll_from_expiry: "2025-02-21",
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roll_to_expiry: "2025-03-21",
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roll_from_strike: 440,
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roll_to_strike: 450,
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roll_strike_delta: 10,
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roll_expiry_days_delta: 28,
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total_size: 700,
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total_premium: 38_000,
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nbbo_coverage_ratio: 0.7,
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nbbo_aggressive_buy_ratio: 0.6,
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nbbo_aggressive_sell_ratio: 0.3
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}
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});
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const hits = evaluateClassifiers(packet, TEST_CLASSIFIER_CONFIG);
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const hit = getHit(hits, "roll_up_down_out");
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expect(hit).not.toBeNull();
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expect(hit?.direction).toBe("bullish");
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expectExplainable(hit!);
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expect(hit!.explanations[0]).toMatch(/Consistent with/i);
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});
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});
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describe("classifier structure and positioning signals", () => {
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test("call overwrite triggers on sell-side aggressor mix", () => {
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const packet = buildPacket({
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option_contract_id: "SPY-2024-03-15-450-C",
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total_premium: 80_000,
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total_size: 800,
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nbbo_coverage_ratio: 0.9,
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nbbo_aggressive_sell_ratio: 0.7,
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nbbo_aggressive_buy_ratio: 0.3
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});
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const hits = evaluateClassifiers(packet, baseConfig);
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expect(hits.some((hit) => hit.classifier_id === "large_call_sell_overwrite")).toBe(true);
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});
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test("put write triggers on sell-side aggressor mix", () => {
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const packet = buildPacket({
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option_contract_id: "SPY-2024-03-15-450-P",
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total_premium: 75_000,
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total_size: 700,
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nbbo_coverage_ratio: 0.85,
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nbbo_aggressive_sell_ratio: 0.68,
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nbbo_aggressive_buy_ratio: 0.32
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});
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const hits = evaluateClassifiers(packet, baseConfig);
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expect(hits.some((hit) => hit.classifier_id === "large_put_sell_write")).toBe(true);
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});
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test("straddle classifier triggers on structure tag", () => {
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const packet = buildPacket({
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packet_kind: "structure",
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structure_type: "straddle",
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structure_legs: 2,
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structure_strikes: 1,
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structure_rights: "C/P",
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structure_strike_span: 0
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});
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const hits = evaluateClassifiers(packet, baseConfig);
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expect(hits.some((hit) => hit.classifier_id === "straddle")).toBe(true);
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});
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test("structure classifiers are suppressed on per-contract packets", () => {
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const packet = buildPacket({
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structure_type: "straddle",
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structure_legs: 2,
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structure_strikes: 1,
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structure_rights: "C/P",
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structure_strike_span: 0
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});
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const hits = evaluateClassifiers(packet, baseConfig);
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expect(hits.some((hit) => hit.classifier_id === "straddle")).toBe(false);
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});
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test("vertical spread infers direction from aggressor skew", () => {
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const packet = buildPacket({
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packet_kind: "structure",
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structure_type: "vertical",
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structure_legs: 2,
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structure_strikes: 2,
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structure_rights: "C",
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structure_strike_span: 5,
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total_premium: 55_000,
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total_size: 600,
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nbbo_coverage_ratio: 0.85,
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nbbo_aggressive_buy_ratio: 0.7,
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nbbo_aggressive_sell_ratio: 0.3
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});
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const hits = evaluateClassifiers(packet, baseConfig);
|
||||
const hit = hits.find((candidate) => candidate.classifier_id === "vertical_spread");
|
||||
expect(hit?.direction).toBe("bullish");
|
||||
});
|
||||
|
||||
test("ladder accumulation triggers on multi-strike structures", () => {
|
||||
const packet = buildPacket({
|
||||
packet_kind: "structure",
|
||||
structure_type: "ladder",
|
||||
structure_legs: 3,
|
||||
structure_strikes: 3,
|
||||
structure_rights: "C",
|
||||
structure_strike_span: 10,
|
||||
total_premium: 60_000,
|
||||
total_size: 650
|
||||
});
|
||||
const hits = evaluateClassifiers(packet, baseConfig);
|
||||
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",
|
||||
end_ts: DEFAULT_TS,
|
||||
total_premium: 70_000,
|
||||
total_size: 800
|
||||
});
|
||||
const hits = evaluateClassifiers(packet, baseConfig);
|
||||
const hit = hits.find((candidate) => candidate.classifier_id === "far_dated_conviction");
|
||||
expect(hit?.direction).toBe("bullish");
|
||||
});
|
||||
|
||||
test("zero dte gamma punch triggers when ATM and large", () => {
|
||||
const packet = buildPacket({
|
||||
option_contract_id: "SPY-2024-01-02-450-C",
|
||||
total_premium: 35_000,
|
||||
total_size: 600,
|
||||
underlying_mid: 450,
|
||||
nbbo_coverage_ratio: 0.8,
|
||||
nbbo_aggressive_buy_ratio: 0.7,
|
||||
nbbo_aggressive_sell_ratio: 0.3
|
||||
});
|
||||
const hits = evaluateClassifiers(packet, baseConfig);
|
||||
const hit = hits.find((candidate) => candidate.classifier_id === "zero_dte_gamma_punch");
|
||||
expect(hit?.direction).toBe("bullish");
|
||||
});
|
||||
});
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue