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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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95
services/ingest-options/src/adapters/synthetic.ts
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@ -13,6 +13,9 @@ type SyntheticOptionsAdapterConfig = {
type Burst = {
contractId: string;
underlying: number;
expiryOffsetDays: number;
strike: number;
basePrice: number;
baseSize: number;
exchange: string;
@ -23,7 +26,16 @@ type Burst = {
seed: number;
};
export type SyntheticContractIvState = {
iv: number;
pressure: number;
lastTs: number;
};
const OPTION_CONTRACT_MULTIPLIER = 100;
const IV_MIN = 0.05;
const IV_MAX = 2.5;
const IV_DECAY_HALF_LIFE_MS = 60_000;
const SYNTHETIC_SYMBOLS = ["SPY", ...(SP500_SYMBOLS as readonly string[])];
const MS_PER_DAY = 24 * 60 * 60 * 1000;
@ -36,7 +48,7 @@ type SyntheticOptionsProfile = {
pricePlacements: Record<string, WeightedValue<PricePlacement>[]>;
};
type PricePlacement = "AA" | "A" | "MID" | "B" | "BB";
export type PricePlacement = "AA" | "A" | "MID" | "B" | "BB";
type WeightedValue<T> = {
value: T;
@ -347,6 +359,55 @@ const formatExpiry = (now: number, offsetDays: number): string => {
return expiryDate.toISOString().slice(0, 10);
};
const clampValue = (value: number, min: number, max: number): number => {
if (!Number.isFinite(value)) {
return min;
}
return Math.max(min, Math.min(max, value));
};
const initializeSyntheticIv = (dteDays: number, moneyness: number): number => {
const dteBoost = dteDays <= 0 ? 0.22 : dteDays <= 7 ? 0.14 : dteDays <= 30 ? 0.06 : 0;
const moneynessBoost = clampValue(Math.abs(moneyness - 1) * 0.8, 0, 0.2);
return clampValue(0.24 + dteBoost + moneynessBoost, 0.18, 0.65);
};
export const updateSyntheticIvForTest = (
state: SyntheticContractIvState | undefined,
input: {
ts: number;
placement: PricePlacement;
size: number;
notional: number;
dteDays: number;
moneyness: number;
}
): SyntheticContractIvState => {
const previous = state ?? {
iv: initializeSyntheticIv(input.dteDays, input.moneyness),
pressure: 0,
lastTs: input.ts
};
const elapsed = Math.max(0, input.ts - previous.lastTs);
const decay = Math.pow(0.5, elapsed / IV_DECAY_HALF_LIFE_MS);
let pressure = previous.pressure * decay;
if (input.placement === "AA" || input.placement === "A") {
const sizeImpact = Math.log10(Math.max(10, input.size)) * 0.012;
const notionalImpact = Math.log10(Math.max(1_000, input.notional)) * 0.01;
pressure += input.placement === "AA" ? sizeImpact + notionalImpact : (sizeImpact + notionalImpact) * 0.65;
} else if (input.placement === "MID") {
pressure += 0.001;
} else {
pressure -= input.placement === "BB" ? 0.018 : 0.01;
}
pressure = clampValue(pressure, -0.25, 1.85);
const baseline = initializeSyntheticIv(input.dteDays, input.moneyness);
const iv = clampValue(baseline + pressure * 0.42, IV_MIN, IV_MAX);
return { iv: Number(iv.toFixed(4)), pressure, lastTs: input.ts };
};
const buildBurst = (burstIndex: number, now: number, profile: SyntheticOptionsProfile): Burst => {
const symbol = SYNTHETIC_SYMBOLS[burstIndex % SYNTHETIC_SYMBOLS.length];
const symbolHash = hashSymbol(symbol);
@ -392,6 +453,9 @@ const buildBurst = (burstIndex: number, now: number, profile: SyntheticOptionsPr
return {
contractId,
underlying: baseUnderlying,
expiryOffsetDays: expiryOffset,
strike,
basePrice: basePricePer,
baseSize,
exchange,
@ -420,6 +484,7 @@ export const createSyntheticOptionsAdapter = (
let nbboSeq = 0;
let burstIndex = 0;
let currentBurst: Burst | null = null;
const ivByContract = new Map<string, SyntheticContractIvState>();
let remainingRuns = 0;
let timer: ReturnType<typeof setInterval> | null = null;
let stopped = false;
@ -448,12 +513,28 @@ export const createSyntheticOptionsAdapter = (
const priceJitter = ((i % 3) - 1) * 0.004;
const sizeJitter = ((i % 3) - 1) * 0.08;
const priceMultiplier = 1 + burst.priceStep * i + priceJitter;
const mid = Math.max(0.05, Number((burst.basePrice * priceMultiplier).toFixed(2)));
const spread = Math.max(0.02, Number((mid * 0.02).toFixed(2)));
const placement = pickPlacement(burst, i, profile);
const size = Math.max(1, Math.round(burst.baseSize * (1 + sizeJitter)));
const previousIv = ivByContract.get(burst.contractId);
const provisionalNotional = burst.basePrice * size * OPTION_CONTRACT_MULTIPLIER;
const ivState = updateSyntheticIvForTest(previousIv, {
ts: now + i * 5,
placement,
size,
notional: provisionalNotional,
dteDays: burst.expiryOffsetDays,
moneyness: burst.strike / burst.underlying
});
ivByContract.set(burst.contractId, ivState);
const ivDrift = Math.max(0, ivState.iv - initializeSyntheticIv(burst.expiryOffsetDays, burst.strike / burst.underlying));
const mid = Math.max(
0.05,
Number((burst.basePrice * priceMultiplier * (1 + ivDrift * 1.15)).toFixed(2))
);
const spread = Math.max(0.02, Number((mid * (0.02 + Math.min(0.035, ivState.iv * 0.01))).toFixed(2)));
const bid = Math.max(0.01, Number((mid - spread / 2).toFixed(2)));
const ask = Math.max(bid + 0.01, Number((mid + spread / 2).toFixed(2)));
const tick = Math.max(0.01, Number((spread * 0.25).toFixed(2)));
const placement = pickPlacement(burst, i, profile);
let tradePrice = mid;
if (placement === "AA") {
@ -476,9 +557,11 @@ export const createSyntheticOptionsAdapter = (
ts: now + i * 5,
option_contract_id: burst.contractId,
price: tradePrice,
size: Math.max(1, Math.round(burst.baseSize * (1 + sizeJitter))),
size,
exchange: burst.exchange,
conditions: burst.conditions
conditions: burst.conditions,
execution_iv: ivState.iv,
execution_iv_source: "synthetic_pressure_model"
};
if (handlers.onNBBO) {