Emit structure flow packets with full evidence

services/compute/tests/structure-packets.test.ts

@@ -0,0 +1,137 @@
+import { describe, expect, test } from "bun:test";
+import { summarizeStructure } from "../src/structures";
+import {
+  buildStructureFlowPacket,
+  planStructurePacket,
+  shouldEmitStructurePacket,
+  type LegEvidence
+} from "../src/structure-packets";
+
+const placements = (overrides?: Partial<LegEvidence["placements"]>): LegEvidence["placements"] => ({
+  aa: 0,
+  a: 0,
+  b: 0,
+  bb: 0,
+  mid: 0,
+  missing: 0,
+  stale: 0,
+  ...overrides
+});
+
+const leg = (input: Partial<LegEvidence> & Pick<LegEvidence, "contractId" | "right" | "strike">): LegEvidence => {
+  return {
+    contractId: input.contractId,
+    root: "SPY",
+    expiry: "2025-01-17",
+    right: input.right,
+    strike: input.strike,
+    startTs: input.startTs ?? 1000,
+    endTs: input.endTs ?? 1100,
+    members: input.members ?? [input.contractId],
+    totalSize: input.totalSize ?? 100,
+    totalPremium: input.totalPremium ?? 1000,
+    placements: input.placements ?? placements(),
+    source_ts: input.source_ts ?? 1000,
+    ingest_ts: input.ingest_ts ?? 1200,
+    seq: input.seq ?? 1
+  };
+};
+
+describe("structure packet planning", () => {
+  test("emits only on latest leg endTs", () => {
+    const call = leg({
+      contractId: "SPY-2025-01-17-450-C",
+      right: "C",
+      strike: 450,
+      endTs: 1100
+    });
+    const put = leg({
+      contractId: "SPY-2025-01-17-450-P",
+      right: "P",
+      strike: 450,
+      endTs: 1125
+    });
+    const legs: LegEvidence[] = [call, put];
+
+    expect(shouldEmitStructurePacket(legs, call.contractId)).toBe(false);
+    expect(shouldEmitStructurePacket(legs, put.contractId)).toBe(true);
+  });
+
+  test("plans deterministic id + members across legs", () => {
+    const call = leg({
+      contractId: "SPY-2025-01-17-450-C",
+      right: "C",
+      strike: 450,
+      members: ["p2", "p1"],
+      totalSize: 20,
+      totalPremium: 4000,
+      placements: placements({ aa: 1, mid: 1 })
+    });
+    const put = leg({
+      contractId: "SPY-2025-01-17-450-P",
+      right: "P",
+      strike: 450,
+      startTs: 1005,
+      endTs: 1120,
+      members: ["p3"],
+      totalSize: 10,
+      totalPremium: 1500,
+      placements: placements({ bb: 1 })
+    });
+
+    const legs = [call, put];
+    const summary = summarizeStructure(legs);
+    expect(summary?.type).toBe("straddle");
+
+    const plan = planStructurePacket(legs, summary!, 500);
+    expect(plan).not.toBeNull();
+
+    expect(plan!.pseudoContractId).toBe("SPY-2025-01-17-STRUCT-straddle");
+    expect(plan!.id.startsWith("flowpacket:SPY-2025-01-17-STRUCT-straddle:")).toBe(true);
+    expect(plan!.members).toEqual(["p1", "p2", "p3"]);
+    expect(plan!.totalSize).toBe(30);
+    expect(plan!.totalPremium).toBe(5500);
+    expect(plan!.count).toBe(3);
+
+    const swappedPlan = planStructurePacket([put, call], summary!, 500);
+    expect(swappedPlan).not.toBeNull();
+    expect(swappedPlan!.id).toBe(plan!.id);
+    expect(swappedPlan!.members).toEqual(plan!.members);
+  });
+
+  test("builds structure FlowPacket with aggregate aggressor ratios", () => {
+    const call = leg({
+      contractId: "SPY-2025-01-17-450-C",
+      right: "C",
+      strike: 450,
+      members: ["p1", "p2"],
+      totalSize: 20,
+      totalPremium: 4000,
+      placements: placements({ aa: 1, mid: 1 })
+    });
+    const put = leg({
+      contractId: "SPY-2025-01-17-450-P",
+      right: "P",
+      strike: 450,
+      members: ["p3"],
+      totalSize: 10,
+      totalPremium: 1500,
+      placements: placements({ bb: 1 })
+    });
+
+    const legs = [call, put];
+    const summary = summarizeStructure(legs);
+    const plan = planStructurePacket(legs, summary!, 500);
+    const packet = buildStructureFlowPacket(plan!, summary!);
+
+    expect(packet.features.packet_kind).toBe("structure");
+    expect(packet.features.underlying_id).toBe("SPY");
+    expect(packet.features.nbbo_aa_count).toBe(1);
+    expect(packet.features.nbbo_bb_count).toBe(1);
+    expect(packet.features.nbbo_mid_count).toBe(1);
+    expect(packet.features.nbbo_coverage_ratio).toBeCloseTo(1, 6);
+
+    // 2 aggressive (AA + BB) out of 3 classified (AA + BB + MID)
+    expect(packet.features.nbbo_aggressive_ratio).toBeCloseTo(2 / 3, 4);
+  });
+});