Implement options snapshot tape table
This commit is contained in:
parent
6abfff30d3
commit
e78387130a
15 changed files with 904 additions and 128 deletions
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@ -13,6 +13,9 @@ type SyntheticOptionsAdapterConfig = {
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type Burst = {
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contractId: string;
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underlying: number;
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expiryOffsetDays: number;
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strike: number;
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basePrice: number;
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baseSize: number;
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exchange: string;
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@ -23,7 +26,16 @@ type Burst = {
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seed: number;
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};
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export type SyntheticContractIvState = {
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iv: number;
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pressure: number;
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lastTs: number;
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};
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const OPTION_CONTRACT_MULTIPLIER = 100;
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const IV_MIN = 0.05;
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const IV_MAX = 2.5;
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const IV_DECAY_HALF_LIFE_MS = 60_000;
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const SYNTHETIC_SYMBOLS = ["SPY", ...(SP500_SYMBOLS as readonly string[])];
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const MS_PER_DAY = 24 * 60 * 60 * 1000;
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@ -36,7 +48,7 @@ type SyntheticOptionsProfile = {
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pricePlacements: Record<string, WeightedValue<PricePlacement>[]>;
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};
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type PricePlacement = "AA" | "A" | "MID" | "B" | "BB";
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export type PricePlacement = "AA" | "A" | "MID" | "B" | "BB";
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type WeightedValue<T> = {
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value: T;
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@ -347,6 +359,55 @@ const formatExpiry = (now: number, offsetDays: number): string => {
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return expiryDate.toISOString().slice(0, 10);
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};
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const clampValue = (value: number, min: number, max: number): number => {
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if (!Number.isFinite(value)) {
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return min;
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}
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return Math.max(min, Math.min(max, value));
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};
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const initializeSyntheticIv = (dteDays: number, moneyness: number): number => {
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const dteBoost = dteDays <= 0 ? 0.22 : dteDays <= 7 ? 0.14 : dteDays <= 30 ? 0.06 : 0;
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const moneynessBoost = clampValue(Math.abs(moneyness - 1) * 0.8, 0, 0.2);
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return clampValue(0.24 + dteBoost + moneynessBoost, 0.18, 0.65);
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};
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export const updateSyntheticIvForTest = (
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state: SyntheticContractIvState | undefined,
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input: {
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ts: number;
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placement: PricePlacement;
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size: number;
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notional: number;
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dteDays: number;
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moneyness: number;
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}
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): SyntheticContractIvState => {
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const previous = state ?? {
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iv: initializeSyntheticIv(input.dteDays, input.moneyness),
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pressure: 0,
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lastTs: input.ts
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};
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const elapsed = Math.max(0, input.ts - previous.lastTs);
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const decay = Math.pow(0.5, elapsed / IV_DECAY_HALF_LIFE_MS);
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let pressure = previous.pressure * decay;
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if (input.placement === "AA" || input.placement === "A") {
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const sizeImpact = Math.log10(Math.max(10, input.size)) * 0.012;
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const notionalImpact = Math.log10(Math.max(1_000, input.notional)) * 0.01;
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pressure += input.placement === "AA" ? sizeImpact + notionalImpact : (sizeImpact + notionalImpact) * 0.65;
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} else if (input.placement === "MID") {
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pressure += 0.001;
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} else {
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pressure -= input.placement === "BB" ? 0.018 : 0.01;
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}
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pressure = clampValue(pressure, -0.25, 1.85);
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const baseline = initializeSyntheticIv(input.dteDays, input.moneyness);
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const iv = clampValue(baseline + pressure * 0.42, IV_MIN, IV_MAX);
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return { iv: Number(iv.toFixed(4)), pressure, lastTs: input.ts };
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};
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const buildBurst = (burstIndex: number, now: number, profile: SyntheticOptionsProfile): Burst => {
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const symbol = SYNTHETIC_SYMBOLS[burstIndex % SYNTHETIC_SYMBOLS.length];
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const symbolHash = hashSymbol(symbol);
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@ -392,6 +453,9 @@ const buildBurst = (burstIndex: number, now: number, profile: SyntheticOptionsPr
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return {
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contractId,
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underlying: baseUnderlying,
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expiryOffsetDays: expiryOffset,
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strike,
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basePrice: basePricePer,
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baseSize,
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exchange,
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@ -420,6 +484,7 @@ export const createSyntheticOptionsAdapter = (
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let nbboSeq = 0;
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let burstIndex = 0;
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let currentBurst: Burst | null = null;
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const ivByContract = new Map<string, SyntheticContractIvState>();
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let remainingRuns = 0;
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let timer: ReturnType<typeof setInterval> | null = null;
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let stopped = false;
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@ -448,12 +513,28 @@ export const createSyntheticOptionsAdapter = (
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const priceJitter = ((i % 3) - 1) * 0.004;
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const sizeJitter = ((i % 3) - 1) * 0.08;
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const priceMultiplier = 1 + burst.priceStep * i + priceJitter;
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const mid = Math.max(0.05, Number((burst.basePrice * priceMultiplier).toFixed(2)));
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const spread = Math.max(0.02, Number((mid * 0.02).toFixed(2)));
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const placement = pickPlacement(burst, i, profile);
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const size = Math.max(1, Math.round(burst.baseSize * (1 + sizeJitter)));
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const previousIv = ivByContract.get(burst.contractId);
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const provisionalNotional = burst.basePrice * size * OPTION_CONTRACT_MULTIPLIER;
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const ivState = updateSyntheticIvForTest(previousIv, {
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ts: now + i * 5,
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placement,
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size,
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notional: provisionalNotional,
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dteDays: burst.expiryOffsetDays,
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moneyness: burst.strike / burst.underlying
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});
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ivByContract.set(burst.contractId, ivState);
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const ivDrift = Math.max(0, ivState.iv - initializeSyntheticIv(burst.expiryOffsetDays, burst.strike / burst.underlying));
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const mid = Math.max(
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0.05,
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Number((burst.basePrice * priceMultiplier * (1 + ivDrift * 1.15)).toFixed(2))
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);
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const spread = Math.max(0.02, Number((mid * (0.02 + Math.min(0.035, ivState.iv * 0.01))).toFixed(2)));
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const bid = Math.max(0.01, Number((mid - spread / 2).toFixed(2)));
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const ask = Math.max(bid + 0.01, Number((mid + spread / 2).toFixed(2)));
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const tick = Math.max(0.01, Number((spread * 0.25).toFixed(2)));
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const placement = pickPlacement(burst, i, profile);
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let tradePrice = mid;
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if (placement === "AA") {
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@ -476,9 +557,11 @@ export const createSyntheticOptionsAdapter = (
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ts: now + i * 5,
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option_contract_id: burst.contractId,
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price: tradePrice,
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size: Math.max(1, Math.round(burst.baseSize * (1 + sizeJitter))),
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size,
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exchange: burst.exchange,
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conditions: burst.conditions
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conditions: burst.conditions,
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execution_iv: ivState.iv,
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execution_iv_source: "synthetic_pressure_model"
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};
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if (handlers.onNBBO) {
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125
services/ingest-options/src/enrichment.ts
Normal file
125
services/ingest-options/src/enrichment.ts
Normal file
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@ -0,0 +1,125 @@
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import {
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OptionPrintSchema,
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classifyOptionNbboSide,
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deriveOptionPrintMetadata,
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evaluateOptionSignal,
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type EquityQuote,
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type OptionNBBO,
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type OptionPrint,
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type OptionsSignalConfig
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} from "@islandflow/types";
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export const MAX_CONTEXT_HISTORY = 64;
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export type ContextHistory<T extends { ts: number; seq: number }> = Map<string, T[]>;
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export const rememberContext = <T extends { ts: number; seq: number }>(
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history: ContextHistory<T>,
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key: string,
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value: T
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): void => {
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const bucket = history.get(key) ?? [];
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const existingIndex = bucket.findIndex((item) => item.ts === value.ts && item.seq === value.seq);
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if (existingIndex >= 0) {
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bucket[existingIndex] = value;
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} else {
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bucket.push(value);
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}
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bucket.sort((a, b) => {
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const delta = a.ts - b.ts;
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return delta !== 0 ? delta : a.seq - b.seq;
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});
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if (bucket.length > MAX_CONTEXT_HISTORY) {
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bucket.splice(0, bucket.length - MAX_CONTEXT_HISTORY);
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}
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history.set(key, bucket);
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};
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export const selectAtOrBefore = <T extends { ts: number; seq: number }>(
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items: readonly T[] | undefined,
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ts: number
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): T | null => {
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if (!items?.length) {
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return null;
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}
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let selected: T | null = null;
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for (const item of items) {
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if (item.ts > ts) {
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continue;
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}
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if (!selected || item.ts > selected.ts || (item.ts === selected.ts && item.seq >= selected.seq)) {
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selected = item;
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}
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}
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return selected;
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};
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export const enrichOptionPrint = (
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rawPrint: OptionPrint,
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optionQuote: OptionNBBO | null | undefined,
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equityQuote: EquityQuote | null | undefined,
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config: OptionsSignalConfig
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): OptionPrint => {
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const derived = deriveOptionPrintMetadata(rawPrint, optionQuote, config);
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const executionNbboSide = optionQuote
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? classifyOptionNbboSide(rawPrint.price, optionQuote, rawPrint.ts, config.nbboMaxAgeMs)
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: undefined;
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const nbboMid =
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optionQuote && Number.isFinite(optionQuote.bid) && Number.isFinite(optionQuote.ask)
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? Number(((optionQuote.bid + optionQuote.ask) / 2).toFixed(4))
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: undefined;
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const nbboSpread =
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optionQuote && Number.isFinite(optionQuote.bid) && Number.isFinite(optionQuote.ask)
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? Number(Math.max(0, optionQuote.ask - optionQuote.bid).toFixed(4))
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: undefined;
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const underlyingMid =
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equityQuote && Number.isFinite(equityQuote.bid) && Number.isFinite(equityQuote.ask)
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? Number(((equityQuote.bid + equityQuote.ask) / 2).toFixed(4))
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: undefined;
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const underlyingSpread =
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equityQuote && Number.isFinite(equityQuote.bid) && Number.isFinite(equityQuote.ask)
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? Number(Math.max(0, equityQuote.ask - equityQuote.bid).toFixed(4))
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: undefined;
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const enrichedForSignal: OptionPrint = {
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...rawPrint,
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...derived,
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nbbo_side: executionNbboSide ?? derived.nbbo_side,
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...(optionQuote
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? {
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execution_nbbo_bid: optionQuote.bid,
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execution_nbbo_ask: optionQuote.ask,
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execution_nbbo_mid: nbboMid,
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execution_nbbo_spread: nbboSpread,
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execution_nbbo_bid_size: optionQuote.bidSize,
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execution_nbbo_ask_size: optionQuote.askSize,
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execution_nbbo_ts: optionQuote.ts,
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execution_nbbo_age_ms: rawPrint.ts - optionQuote.ts,
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execution_nbbo_side: executionNbboSide,
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nbbo_side: executionNbboSide
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}
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: {}),
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...(equityQuote && underlyingMid !== undefined
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? {
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execution_underlying_spot: underlyingMid,
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execution_underlying_bid: equityQuote.bid,
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execution_underlying_ask: equityQuote.ask,
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execution_underlying_mid: underlyingMid,
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execution_underlying_spread: underlyingSpread,
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execution_underlying_ts: equityQuote.ts,
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execution_underlying_age_ms: rawPrint.ts - equityQuote.ts,
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execution_underlying_source: "equity_quote_mid" as const
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}
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: {}),
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signal_profile: config.mode
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};
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const signalDecision = evaluateOptionSignal(enrichedForSignal, config);
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return OptionPrintSchema.parse({
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...enrichedForSignal,
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signal_pass: signalDecision.signalPass,
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signal_reasons: signalDecision.signalReasons,
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signal_profile: signalDecision.signalProfile
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});
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};
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@ -4,12 +4,16 @@ import {
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SUBJECT_OPTION_NBBO,
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SUBJECT_OPTION_PRINTS,
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SUBJECT_OPTION_SIGNAL_PRINTS,
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SUBJECT_EQUITY_QUOTES,
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STREAM_EQUITY_QUOTES,
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STREAM_OPTION_NBBO,
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STREAM_OPTION_PRINTS,
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STREAM_OPTION_SIGNAL_PRINTS,
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buildDurableConsumer,
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connectJetStreamWithRetry,
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ensureStream,
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publishJson
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publishJson,
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subscribeJson
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} from "@islandflow/bus";
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import {
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createClickHouseClient,
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@ -21,9 +25,10 @@ import {
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import {
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OptionNBBOSchema,
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OptionPrintSchema,
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evaluateOptionSignal,
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EquityQuoteSchema,
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deriveOptionPrintMetadata,
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resolveSyntheticMarketModes,
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type EquityQuote,
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type OptionNBBO,
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type OptionPrint,
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type OptionsSignalConfig
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@ -33,6 +38,7 @@ import { createDatabentoOptionsAdapter } from "./adapters/databento";
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import { createIbkrOptionsAdapter } from "./adapters/ibkr";
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import { createSyntheticOptionsAdapter } from "./adapters/synthetic";
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import type { OptionIngestAdapter, StopHandler } from "./adapters/types";
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import { enrichOptionPrint, rememberContext, selectAtOrBefore, type ContextHistory } from "./enrichment";
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import { z } from "zod";
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const service = "ingest-options";
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@ -135,7 +141,9 @@ const state = {
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shuttingDown: false,
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shutdownPromise: null as Promise<void> | null
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};
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const latestNbboByContract = new Map<string, OptionNBBO>();
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const nbboHistoryByContract: ContextHistory<OptionNBBO> = new Map();
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const equityQuoteHistoryByUnderlying: ContextHistory<EquityQuote> = new Map();
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const getErrorMessage = (error: unknown): string => {
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return error instanceof Error ? error.message : String(error);
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@ -338,6 +346,19 @@ const run = async () => {
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num_replicas: 1
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});
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await ensureStream(jsm, {
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name: STREAM_EQUITY_QUOTES,
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subjects: [SUBJECT_EQUITY_QUOTES],
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retention: "limits",
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storage: "file",
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discard: "old",
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max_msgs_per_subject: -1,
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max_msgs: -1,
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max_bytes: -1,
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max_age: 0,
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num_replicas: 1
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});
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const clickhouse = createClickHouseClient({
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url: env.CLICKHOUSE_URL,
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database: env.CLICKHOUSE_DATABASE
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@ -365,26 +386,15 @@ const run = async () => {
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}
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const rawPrint = OptionPrintSchema.parse(candidate);
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const derived = deriveOptionPrintMetadata(
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rawPrint,
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latestNbboByContract.get(rawPrint.option_contract_id),
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optionsSignalConfig
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const parsedMetadata = deriveOptionPrintMetadata(rawPrint, null, optionsSignalConfig);
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const optionQuote = selectAtOrBefore(
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nbboHistoryByContract.get(rawPrint.option_contract_id),
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rawPrint.ts
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);
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const signalDecision = evaluateOptionSignal(
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{
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...rawPrint,
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...derived,
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signal_profile: optionsSignalConfig.mode
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},
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optionsSignalConfig
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);
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const print = OptionPrintSchema.parse({
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...rawPrint,
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...derived,
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signal_pass: signalDecision.signalPass,
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signal_reasons: signalDecision.signalReasons,
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signal_profile: signalDecision.signalProfile
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});
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const equityQuote = parsedMetadata.underlying_id
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? selectAtOrBefore(equityQuoteHistoryByUnderlying.get(parsedMetadata.underlying_id), rawPrint.ts)
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: null;
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const print = enrichOptionPrint(rawPrint, optionQuote, equityQuote, optionsSignalConfig);
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try {
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await insertOptionPrint(clickhouse, print);
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@ -422,14 +432,7 @@ const run = async () => {
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}
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const nbbo = OptionNBBOSchema.parse(candidate);
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const existing = latestNbboByContract.get(nbbo.option_contract_id);
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if (
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!existing ||
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nbbo.ts > existing.ts ||
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(nbbo.ts === existing.ts && nbbo.seq >= existing.seq)
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) {
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latestNbboByContract.set(nbbo.option_contract_id, nbbo);
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}
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rememberContext(nbboHistoryByContract, nbbo.option_contract_id, nbbo);
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try {
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await insertOptionNBBO(clickhouse, nbbo);
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@ -447,6 +450,33 @@ const run = async () => {
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}
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});
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const equityQuoteConsumer = buildDurableConsumer("ingest-options-equity-quotes");
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equityQuoteConsumer.deliverAll();
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const equityQuoteSubscription = await subscribeJson<EquityQuote>(
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js,
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SUBJECT_EQUITY_QUOTES,
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equityQuoteConsumer
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);
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void (async () => {
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for await (const msg of equityQuoteSubscription.messages) {
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if (state.shuttingDown) {
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msg.ack();
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continue;
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}
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try {
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const quote = EquityQuoteSchema.parse(equityQuoteSubscription.decode(msg));
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rememberContext(equityQuoteHistoryByUnderlying, quote.underlying_id.toUpperCase(), quote);
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msg.ack();
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} catch (error) {
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logger.error("failed to process equity quote context", {
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error: getErrorMessage(error)
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});
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msg.ack();
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}
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}
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})();
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const shutdown = async (signal: string) => {
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if (state.shutdownPromise) {
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return state.shutdownPromise;
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88
services/ingest-options/tests/enrichment.test.ts
Normal file
88
services/ingest-options/tests/enrichment.test.ts
Normal file
|
|
@ -0,0 +1,88 @@
|
|||
import { describe, expect, it } from "bun:test";
|
||||
import type { EquityQuote, OptionNBBO, OptionPrint, OptionsSignalConfig } from "@islandflow/types";
|
||||
import { enrichOptionPrint, selectAtOrBefore } from "../src/enrichment";
|
||||
|
||||
const config: OptionsSignalConfig = {
|
||||
mode: "all",
|
||||
minNotional: 0,
|
||||
etfMinNotional: 0,
|
||||
bidSideMinNotional: 0,
|
||||
midMinNotional: 0,
|
||||
missingNbboMinNotional: 0,
|
||||
largePrintMinSize: 1,
|
||||
largePrintMinNotional: 0,
|
||||
sweepMinNotional: 0,
|
||||
autoKeepMinNotional: 100_000,
|
||||
nbboMaxAgeMs: 1_500,
|
||||
etfUnderlyings: new Set(["SPY"])
|
||||
};
|
||||
|
||||
const print: OptionPrint = {
|
||||
source_ts: 1_000,
|
||||
ingest_ts: 1_000,
|
||||
seq: 1,
|
||||
trace_id: "print-1",
|
||||
ts: 1_000,
|
||||
option_contract_id: "SPY-2025-01-17-450-C",
|
||||
price: 1.3,
|
||||
size: 10,
|
||||
exchange: "TEST"
|
||||
};
|
||||
|
||||
const nbbo = (overrides: Partial<OptionNBBO> = {}): OptionNBBO => ({
|
||||
source_ts: 990,
|
||||
ingest_ts: 990,
|
||||
seq: 1,
|
||||
trace_id: "nbbo-1",
|
||||
ts: 990,
|
||||
option_contract_id: "SPY-2025-01-17-450-C",
|
||||
bid: 1.2,
|
||||
ask: 1.3,
|
||||
bidSize: 20,
|
||||
askSize: 30,
|
||||
...overrides
|
||||
});
|
||||
|
||||
const equityQuote = (overrides: Partial<EquityQuote> = {}): EquityQuote => ({
|
||||
source_ts: 980,
|
||||
ingest_ts: 980,
|
||||
seq: 1,
|
||||
trace_id: "eq-1",
|
||||
ts: 980,
|
||||
underlying_id: "SPY",
|
||||
bid: 450,
|
||||
ask: 450.1,
|
||||
...overrides
|
||||
});
|
||||
|
||||
describe("option print enrichment", () => {
|
||||
it("attaches preserved NBBO context and mirrors nbbo_side", () => {
|
||||
const enriched = enrichOptionPrint(print, nbbo(), null, config);
|
||||
|
||||
expect(enriched.execution_nbbo_bid).toBe(1.2);
|
||||
expect(enriched.execution_nbbo_ask).toBe(1.3);
|
||||
expect(enriched.execution_nbbo_mid).toBe(1.25);
|
||||
expect(enriched.execution_nbbo_age_ms).toBe(10);
|
||||
expect(enriched.execution_nbbo_side).toBe("A");
|
||||
expect(enriched.nbbo_side).toBe(enriched.execution_nbbo_side);
|
||||
});
|
||||
|
||||
it("attaches preserved underlying quote mid as spot", () => {
|
||||
const enriched = enrichOptionPrint(print, null, equityQuote(), config);
|
||||
|
||||
expect(enriched.execution_underlying_spot).toBe(450.05);
|
||||
expect(enriched.execution_underlying_mid).toBe(450.05);
|
||||
expect(enriched.execution_underlying_source).toBe("equity_quote_mid");
|
||||
expect(enriched.execution_underlying_age_ms).toBe(20);
|
||||
});
|
||||
|
||||
it("selects context at or before the print timestamp only", () => {
|
||||
const selected = selectAtOrBefore(
|
||||
[nbbo({ ts: 900, seq: 1, bid: 1 }), nbbo({ ts: 1_001, seq: 2, bid: 2 })],
|
||||
print.ts
|
||||
);
|
||||
|
||||
expect(selected?.ts).toBe(900);
|
||||
expect(selected?.bid).toBe(1);
|
||||
});
|
||||
});
|
||||
|
|
@ -1,5 +1,5 @@
|
|||
import { describe, expect, it } from "bun:test";
|
||||
import { buildSyntheticBurstForTest } from "../src/adapters/synthetic";
|
||||
import { buildSyntheticBurstForTest, updateSyntheticIvForTest } from "../src/adapters/synthetic";
|
||||
|
||||
const totalBurstNotional = (burst: {
|
||||
basePrice: number;
|
||||
|
|
@ -24,3 +24,66 @@ describe("synthetic options burst sizing", () => {
|
|||
expect(totalBurstNotional(burst)).toBeLessThanOrEqual(240_000);
|
||||
});
|
||||
});
|
||||
|
||||
describe("synthetic options IV model", () => {
|
||||
it("increases under repeated same-contract ask buying", () => {
|
||||
let state = updateSyntheticIvForTest(undefined, {
|
||||
ts: 1_000,
|
||||
placement: "A",
|
||||
size: 100,
|
||||
notional: 20_000,
|
||||
dteDays: 1,
|
||||
moneyness: 1.02
|
||||
});
|
||||
const firstIv = state.iv;
|
||||
|
||||
state = updateSyntheticIvForTest(state, {
|
||||
ts: 1_100,
|
||||
placement: "AA",
|
||||
size: 300,
|
||||
notional: 80_000,
|
||||
dteDays: 1,
|
||||
moneyness: 1.02
|
||||
});
|
||||
|
||||
expect(state.iv).toBeGreaterThan(firstIv);
|
||||
});
|
||||
|
||||
it("decays after inactivity", () => {
|
||||
const active = updateSyntheticIvForTest(undefined, {
|
||||
ts: 1_000,
|
||||
placement: "AA",
|
||||
size: 500,
|
||||
notional: 120_000,
|
||||
dteDays: 7,
|
||||
moneyness: 1.1
|
||||
});
|
||||
const decayed = updateSyntheticIvForTest(active, {
|
||||
ts: 181_000,
|
||||
placement: "MID",
|
||||
size: 10,
|
||||
notional: 1_000,
|
||||
dteDays: 7,
|
||||
moneyness: 1.1
|
||||
});
|
||||
|
||||
expect(decayed.iv).toBeLessThan(active.iv);
|
||||
});
|
||||
|
||||
it("keeps IV within clamps", () => {
|
||||
let state = undefined;
|
||||
for (let i = 0; i < 80; i += 1) {
|
||||
state = updateSyntheticIvForTest(state, {
|
||||
ts: 1_000 + i * 10,
|
||||
placement: "AA",
|
||||
size: 10_000,
|
||||
notional: 5_000_000,
|
||||
dteDays: 0,
|
||||
moneyness: 1.8
|
||||
});
|
||||
}
|
||||
|
||||
expect(state.iv).toBeGreaterThanOrEqual(0.05);
|
||||
expect(state.iv).toBeLessThanOrEqual(2.5);
|
||||
});
|
||||
});
|
||||
|
|
|
|||
Loading…
Add table
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Reference in a new issue