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implement durable options tape history

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dirtydishes 2026-05-16 17:27:02 -04:00
parent e3940eb0a6
commit bd60d0d5d5
9 changed files with 423 additions and 56 deletions
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27
packages/storage/tests/option-prints.test.ts
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@ -48,6 +48,25 @@ describe("option-prints storage helpers", () => {
queries.push(query);
return {
async json<T>() {
if (query.includes("trace-ctx")) {
return [
{
...basePrint,
trace_id: "trace-ctx",
conditions: [],
execution_nbbo_bid: "1.20",
execution_nbbo_ask: "1.30",
execution_nbbo_mid: "1.25",
execution_nbbo_side: "A",
execution_underlying_spot: "450.05",
execution_underlying_source: "equity_quote_mid",
execution_iv: "0.42",
execution_iv_source: "synthetic_pressure_model",
signal_reasons: ["large_notional"],
signal_pass: 1
}
] as T;
}
return [] as T;
}
};
@ -63,8 +82,9 @@ describe("option-prints storage helpers", () => {
optionContractId: "AAPL-2025-01-17-200-C",
sinceTs: 123
});
await fetchOptionPrintsBefore(client, 100, 5, 20, "alpaca");
await fetchOptionPrintsBefore(client, 100, 5, 20, "alpaca", { view: "raw" });
await fetchOptionPrintsByTraceIds(client, ["trace-1", "trace-2"]);
const rows = await fetchRecentOptionPrints(client, 1, "trace-ctx", { view: "signal" });
expect(queries[0]).toContain("signal_pass = 1");
expect(queries[0]).toContain("(is_etf = 0 OR is_etf IS NULL)");
@ -76,7 +96,12 @@ describe("option-prints storage helpers", () => {
expect(queries[0]).toContain("ts >= 123");
expect(queries[1]).toContain("(ts, seq) < (100, 5)");
expect(queries[1]).toContain("startsWith(trace_id, 'alpaca')");
expect(queries[1]).not.toContain("signal_pass = 1");
expect(queries[1]).toContain("ORDER BY ts DESC, seq DESC LIMIT 20");
expect(queries[2]).toContain("trace_id IN ('trace-1', 'trace-2')");
expect(rows[0].execution_nbbo_side).toBe("A");
expect(rows[0].execution_underlying_spot).toBe(450.05);
expect(rows[0].execution_iv).toBe(0.42);
expect(rows[0].signal_reasons).toEqual(["large_notional"]);
});
});