Add NBBO persistence, API/WS streaming, and UI context
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dirtydishes
parent
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12 changed files with 768 additions and 46 deletions
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@ -1,4 +1,4 @@
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import { SP500_SYMBOLS, type OptionPrint } from "@islandflow/types";
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import { SP500_SYMBOLS, type OptionNBBO, type OptionPrint } from "@islandflow/types";
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import type { OptionIngestAdapter, OptionIngestHandlers } from "./types";
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type SyntheticOptionsAdapterConfig = {
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@ -13,6 +13,8 @@ type Burst = {
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conditions?: string[];
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printCount: number;
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priceStep: number;
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scenarioId: string;
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seed: number;
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};
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const MS_PER_DAY = 24 * 60 * 60 * 1000;
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@ -21,6 +23,13 @@ const EXCHANGES = ["CBOE", "PHLX", "ISE", "ARCA", "BOX", "MIAX"];
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const CONDITIONS = ["SWEEP", "ISO", "FILL", "TEST"];
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const BURST_RUN_RANGE: [number, number] = [2, 4];
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type PricePlacement = "AA" | "A" | "B" | "BB";
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type WeightedValue<T> = {
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value: T;
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weight: number;
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};
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type Scenario = {
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id: string;
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weight: number;
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@ -75,6 +84,35 @@ const SCENARIOS: Scenario[] = [
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}
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];
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const PRICE_PLACEMENTS: Record<string, WeightedValue<PricePlacement>[]> = {
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bullish_sweep: [
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{ value: "AA", weight: 25 },
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{ value: "A", weight: 40 },
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{ value: "B", weight: 20 },
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{ value: "BB", weight: 15 }
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],
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bearish_sweep: [
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{ value: "AA", weight: 15 },
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{ value: "A", weight: 20 },
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{ value: "B", weight: 40 },
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{ value: "BB", weight: 25 }
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],
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contract_spike: [
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{ value: "AA", weight: 25 },
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{ value: "A", weight: 25 },
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{ value: "B", weight: 25 },
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{ value: "BB", weight: 25 }
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],
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noise: [
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{ value: "AA", weight: 25 },
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{ value: "A", weight: 25 },
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{ value: "B", weight: 25 },
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{ value: "BB", weight: 25 }
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]
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};
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const PLACEMENT_PATTERN: PricePlacement[] = ["A", "AA", "B", "BB"];
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const pick = <T,>(items: T[], seed: number): T => {
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return items[Math.abs(seed) % items.length];
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};
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@ -107,6 +145,19 @@ const pickWeighted = <T extends { weight: number }>(items: T[], seed: number): T
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return items[0];
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};
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const pickWeightedValue = <T>(items: WeightedValue<T>[], seed: number): T => {
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return pickWeighted(items, seed).value;
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};
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const pickPlacement = (burst: Burst, index: number): PricePlacement => {
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const placementOptions = PRICE_PLACEMENTS[burst.scenarioId] ?? PRICE_PLACEMENTS.noise;
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const offset = Math.abs(burst.seed) % PLACEMENT_PATTERN.length;
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if (index < PLACEMENT_PATTERN.length) {
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return PLACEMENT_PATTERN[(offset + index) % PLACEMENT_PATTERN.length];
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}
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return pickWeightedValue(placementOptions, burst.seed + index * 11);
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};
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const hashSymbol = (value: string): number => {
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let hash = 0;
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for (let i = 0; i < value.length; i += 1) {
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@ -128,7 +179,8 @@ const formatExpiry = (now: number, offsetDays: number): string => {
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const buildBurst = (burstIndex: number, now: number): Burst => {
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const symbol = SP500_SYMBOLS[burstIndex % SP500_SYMBOLS.length];
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const symbolHash = hashSymbol(symbol);
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const scenario = pickWeighted(SCENARIOS, symbolHash + burstIndex * 7);
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const seed = symbolHash + burstIndex * 7;
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const scenario = pickWeighted(SCENARIOS, seed);
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const baseUnderlying = 30 + (symbolHash % 470);
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const expiryOffset = pick(EXPIRY_OFFSETS, symbolHash + burstIndex);
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const expiry = formatExpiry(now, expiryOffset);
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@ -166,7 +218,9 @@ const buildBurst = (burstIndex: number, now: number): Burst => {
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exchange,
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conditions,
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printCount,
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priceStep
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priceStep,
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scenarioId: scenario.id,
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seed
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};
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};
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@ -177,6 +231,7 @@ export const createSyntheticOptionsAdapter = (
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name: "synthetic",
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start: (handlers: OptionIngestHandlers) => {
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let seq = 0;
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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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let remainingRuns = 0;
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@ -203,6 +258,24 @@ 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 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);
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let tradePrice = mid;
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if (placement === "AA") {
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tradePrice = ask + tick;
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} else if (placement === "A") {
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tradePrice = ask;
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} else if (placement === "BB") {
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tradePrice = Math.max(0.01, bid - tick);
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} else {
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tradePrice = bid;
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}
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const print: OptionPrint = {
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source_ts: now + i * 5,
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ingest_ts: now + i * 5,
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@ -210,13 +283,34 @@ export const createSyntheticOptionsAdapter = (
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trace_id: `synthetic-options-${seq}`,
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ts: now + i * 5,
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option_contract_id: burst.contractId,
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price: Math.max(0.05, Number((burst.basePrice * priceMultiplier).toFixed(2))),
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price: tradePrice,
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size: Math.max(1, Math.round(burst.baseSize * (1 + sizeJitter))),
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exchange: burst.exchange,
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conditions: burst.conditions
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};
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void handlers.onTrade(print);
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if (handlers.onNBBO) {
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nbboSeq += 1;
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const sizeBase = Math.max(1, Math.round(burst.baseSize * 0.4));
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const bidSize = Math.max(1, Math.round(sizeBase * (1 + sizeJitter)));
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const askSize = Math.max(1, Math.round(sizeBase * (1 - sizeJitter)));
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const nbbo: OptionNBBO = {
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source_ts: print.ts,
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ingest_ts: print.ingest_ts,
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seq: nbboSeq,
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trace_id: `synthetic-nbbo-${nbboSeq}`,
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ts: print.ts,
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option_contract_id: burst.contractId,
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bid,
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ask,
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bidSize,
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askSize
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};
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void handlers.onNBBO(nbbo);
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}
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}
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remainingRuns -= 1;
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@ -1,7 +1,9 @@
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import { readEnv } from "@islandflow/config";
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import { createLogger } from "@islandflow/observability";
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import {
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SUBJECT_OPTION_NBBO,
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SUBJECT_OPTION_PRINTS,
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STREAM_OPTION_NBBO,
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STREAM_OPTION_PRINTS,
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connectJetStreamWithRetry,
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ensureStream,
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@ -9,10 +11,12 @@ import {
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} from "@islandflow/bus";
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import {
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createClickHouseClient,
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ensureOptionNBBOTable,
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ensureOptionPrintsTable,
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insertOptionNBBO,
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insertOptionPrint
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} from "@islandflow/storage";
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import { OptionPrintSchema, type OptionPrint } from "@islandflow/types";
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import { OptionNBBOSchema, OptionPrintSchema, type OptionNBBO, type OptionPrint } from "@islandflow/types";
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import { createAlpacaOptionsAdapter } from "./adapters/alpaca";
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import { createDatabentoOptionsAdapter } from "./adapters/databento";
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import { createIbkrOptionsAdapter } from "./adapters/ibkr";
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@ -237,6 +241,19 @@ 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_OPTION_NBBO,
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subjects: [SUBJECT_OPTION_NBBO],
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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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@ -244,11 +261,13 @@ const run = async () => {
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await retry("clickhouse table init", 20, 500, async () => {
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await ensureOptionPrintsTable(clickhouse);
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await ensureOptionNBBOTable(clickhouse);
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});
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const adapter = selectAdapter(env.OPTIONS_INGEST_ADAPTER);
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logger.info("ingest adapter selected", { adapter: adapter.name });
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const allowPublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
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const allowNbboPublish = buildThrottle(env.TESTING_MODE, env.TESTING_THROTTLE_MS);
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const stopAdapter: StopHandler = await adapter.start({
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onTrade: async (candidate: OptionPrint) => {
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@ -277,6 +296,28 @@ const run = async () => {
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trace_id: print.trace_id
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});
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}
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},
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onNBBO: async (candidate: OptionNBBO) => {
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if (state.shuttingDown) {
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return;
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}
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const now = Date.now();
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if (!allowNbboPublish(now)) {
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return;
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}
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const nbbo = OptionNBBOSchema.parse(candidate);
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try {
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await insertOptionNBBO(clickhouse, nbbo);
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await publishJson(js, SUBJECT_OPTION_NBBO, nbbo);
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} catch (error) {
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logger.error("failed to publish option nbbo", {
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error: error instanceof Error ? error.message : String(error),
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trace_id: nbbo.trace_id
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});
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}
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}
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});
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