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Implement options snapshot tape table

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dirtydishes 2026-05-04 01:14:52 -04:00
parent 6abfff30d3
commit e78387130a
15 changed files with 904 additions and 128 deletions
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18
packages/storage/src/clickhouse.ts
View file

@ -512,7 +512,23 @@ const normalizeOptionRow = (row: unknown): unknown => {
"ts",
"price",
"size",
"notional"
"notional",
"execution_nbbo_bid",
"execution_nbbo_ask",
"execution_nbbo_mid",
"execution_nbbo_spread",
"execution_nbbo_bid_size",
"execution_nbbo_ask_size",
"execution_nbbo_ts",
"execution_nbbo_age_ms",
"execution_underlying_spot",
"execution_underlying_bid",
"execution_underlying_ask",
"execution_underlying_mid",
"execution_underlying_spread",
"execution_underlying_ts",
"execution_underlying_age_ms",
"execution_iv"
]);
if ("is_etf" in record) {

38
packages/storage/src/option-prints.ts
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@ -19,6 +19,25 @@ CREATE TABLE IF NOT EXISTS ${OPTION_PRINTS_TABLE} (
option_type Nullable(String),
notional Nullable(Float64),
nbbo_side Nullable(String),
execution_nbbo_bid Nullable(Float64),
execution_nbbo_ask Nullable(Float64),
execution_nbbo_mid Nullable(Float64),
execution_nbbo_spread Nullable(Float64),
execution_nbbo_bid_size Nullable(UInt32),
execution_nbbo_ask_size Nullable(UInt32),
execution_nbbo_ts Nullable(UInt64),
execution_nbbo_age_ms Nullable(Float64),
execution_nbbo_side Nullable(String),
execution_underlying_spot Nullable(Float64),
execution_underlying_bid Nullable(Float64),
execution_underlying_ask Nullable(Float64),
execution_underlying_mid Nullable(Float64),
execution_underlying_spread Nullable(Float64),
execution_underlying_ts Nullable(UInt64),
execution_underlying_age_ms Nullable(Float64),
execution_underlying_source Nullable(String),
execution_iv Nullable(Float64),
execution_iv_source Nullable(String),
is_etf Nullable(Bool),
signal_pass Nullable(Bool),
signal_reasons Array(String) DEFAULT [],
@ -35,6 +54,25 @@ export const optionPrintsTableMigrations = (): string[] => {
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS option_type Nullable(String)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS notional Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS nbbo_side Nullable(String)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_bid Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_ask Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_mid Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_spread Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_bid_size Nullable(UInt32)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_ask_size Nullable(UInt32)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_ts Nullable(UInt64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_age_ms Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_nbbo_side Nullable(String)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_spot Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_bid Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_ask Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_mid Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_spread Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_ts Nullable(UInt64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_age_ms Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_underlying_source Nullable(String)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_iv Nullable(Float64)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS execution_iv_source Nullable(String)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS is_etf Nullable(Bool)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS signal_pass Nullable(Bool)`,
`ALTER TABLE ${OPTION_PRINTS_TABLE} ADD COLUMN IF NOT EXISTS signal_reasons Array(String) DEFAULT []`,

10
packages/storage/tests/option-prints.test.ts
View file

@ -25,10 +25,20 @@ describe("option-prints storage helpers", () => {
expect(normalized.conditions).toEqual([]);
});
it("normalizes legacy rows with missing execution context", () => {
const normalized = normalizeOptionPrint(basePrint);
expect(normalized.execution_nbbo_bid).toBeUndefined();
expect(normalized.execution_underlying_spot).toBeUndefined();
expect(normalized.execution_iv).toBeUndefined();
});
it("includes the correct table name in the DDL", () => {
const ddl = optionPrintsTableDDL();
expect(ddl).toContain(OPTION_PRINTS_TABLE);
expect(ddl).toContain("CREATE TABLE IF NOT EXISTS");
expect(ddl).toContain("execution_nbbo_bid Nullable(Float64)");
expect(ddl).toContain("execution_underlying_spot Nullable(Float64)");
expect(ddl).toContain("execution_iv Nullable(Float64)");
});
it("builds before/history and trace lookup queries", async () => {

25
packages/types/src/events.ts
View file

@ -22,6 +22,31 @@ export const OptionPrintSchema = EventMetaSchema.merge(
option_type: z.preprocess((value) => (value === null ? undefined : value), OptionTypeSchema.optional()),
notional: z.preprocess((value) => (value === null ? undefined : value), z.number().nonnegative().optional()),
nbbo_side: z.preprocess((value) => (value === null ? undefined : value), OptionNbboSideSchema.optional()),
execution_nbbo_bid: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_nbbo_ask: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_nbbo_mid: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_nbbo_spread: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_nbbo_bid_size: z.preprocess((value) => (value === null ? undefined : value), z.number().int().nonnegative().optional()),
execution_nbbo_ask_size: z.preprocess((value) => (value === null ? undefined : value), z.number().int().nonnegative().optional()),
execution_nbbo_ts: z.preprocess((value) => (value === null ? undefined : value), z.number().int().nonnegative().optional()),
execution_nbbo_age_ms: z.preprocess((value) => (value === null ? undefined : value), z.number().nonnegative().optional()),
execution_nbbo_side: z.preprocess((value) => (value === null ? undefined : value), OptionNbboSideSchema.optional()),
execution_underlying_spot: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_underlying_bid: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_underlying_ask: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_underlying_mid: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_underlying_spread: z.preprocess((value) => (value === null ? undefined : value), z.number().optional()),
execution_underlying_ts: z.preprocess((value) => (value === null ? undefined : value), z.number().int().nonnegative().optional()),
execution_underlying_age_ms: z.preprocess((value) => (value === null ? undefined : value), z.number().nonnegative().optional()),
execution_underlying_source: z.preprocess(
(value) => (value === null ? undefined : value),
z.literal("equity_quote_mid").optional()
),
execution_iv: z.preprocess((value) => (value === null ? undefined : value), z.number().nonnegative().optional()),
execution_iv_source: z.preprocess(
(value) => (value === null ? undefined : value),
z.enum(["provider", "synthetic_pressure_model"]).optional()
),
is_etf: z.preprocess((value) => (value === null ? undefined : value), z.boolean().optional()),
signal_pass: z.preprocess((value) => (value === null ? undefined : value), z.boolean().optional()),
signal_reasons: z.array(z.string().min(1)).optional(),

41
packages/types/tests/events.test.ts Normal file
View file

@ -0,0 +1,41 @@
import { describe, expect, it } from "bun:test";
import { OptionPrintSchema } from "../src/events";
describe("event schemas", () => {
it("accepts option print execution context fields", () => {
const parsed = OptionPrintSchema.parse({
source_ts: 100,
ingest_ts: 101,
seq: 1,
trace_id: "trace-1",
ts: 100,
option_contract_id: "SPY-2025-01-17-450-C",
price: 1.25,
size: 10,
exchange: "TEST",
execution_nbbo_bid: 1.2,
execution_nbbo_ask: 1.3,
execution_nbbo_mid: 1.25,
execution_nbbo_spread: 0.1,
execution_nbbo_bid_size: 20,
execution_nbbo_ask_size: 30,
execution_nbbo_ts: 99,
execution_nbbo_age_ms: 1,
execution_nbbo_side: "MID",
execution_underlying_spot: 450.05,
execution_underlying_bid: 450,
execution_underlying_ask: 450.1,
execution_underlying_mid: 450.05,
execution_underlying_spread: 0.1,
execution_underlying_ts: 98,
execution_underlying_age_ms: 2,
execution_underlying_source: "equity_quote_mid",
execution_iv: 0.42,
execution_iv_source: "synthetic_pressure_model"
});
expect(parsed.execution_nbbo_side).toBe("MID");
expect(parsed.execution_underlying_spot).toBe(450.05);
expect(parsed.execution_iv_source).toBe("synthetic_pressure_model");
});
});