Implement options snapshot tape table

services/ingest-options/tests/enrichment.test.ts

@@ -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);
+  });
+});

services/ingest-options/tests/synthetic.test.ts

@@ -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);
+  });
+});