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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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25
packages/types/src/events.ts
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@ -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(),