Real-Time Options Flow & Off-Exchange Analysis

Pre-alpha warning This project is in an early pre-alpha state. It will not perform consistently or as expected, and APIs, behavior, and data contracts may change without notice.

This repository contains a Bun + TypeScript monorepo for a personal-use, event-sourced market microstructure research platform focused on:

• options prints + NBBO,
• off-exchange equity prints,
• explainable rule-based flow classification,
• deterministic replay,
• evidence-linked UI inspection.

Current Implementation Status

Implemented now:

• Bun workspaces with shared packages for schemas, bus, config, observability, and ClickHouse access.
• Infra orchestration via Docker Compose (NATS JetStream, ClickHouse, Redis).
• Options ingest service with adapters:
  • synthetic stream,
  • Alpaca options (dev-focused, bounded contracts),
  • IBKR bridge (Python sidecar),
  • Databento historical replay adapter (Python sidecar).
• Equities ingest service with adapters:
  • synthetic stream,
  • Alpaca equities trades/quotes.
• Compute service:
  • deterministic option print clustering into FlowPackets,
  • NBBO join quality features and aggressor-mix metrics,
  • rolling baselines in Redis,
  • structure summarization and structure packet emission,
  • rule-based classifiers + confidence-scored alert events,
  • dark-style inferred events from equity prints/quotes,
  • equity print-to-quote join events.
• Candles service:
  • server-side equity candle aggregation,
  • ClickHouse persistence,
  • optional Redis hot cache,
  • NATS publication.
• Replay service:
  • deterministic republishing from ClickHouse to NATS,
  • multi-stream merge with stable tie-break ordering,
  • speed/start/end controls.
• API service:
  • REST endpoints for recent + cursor pagination,
  • REST range endpoints for chart windows,
  • REST replay-oriented endpoints,
  • WebSocket channels for options, NBBO, equities, quotes, joins, flow, classifier hits, alerts, inferred dark, and candles.
• Next.js web app:
  • live tape/workspace views,
  • replay controls and status,
  • signals and chart-focused routes,
  • evidence-centric terminal UI.
• Refdata + EOD enricher service entrypoints are present but currently scaffolds (lifecycle/logging only).

Planned / not yet complete:

• production-grade licensed feed integrations and entitlement workflow,
• richer refdata/corp-action enrichment,
• secure deployment/auth hardening,
• deeper structure + calibration workflows from PLAN.md.

Core Principles

• Explainability first — inferred outputs are evidence-backed and human-readable.
• Event sourcing — raw and derived events persist to support replay.
• Determinism — replay behavior tracks live pipeline logic.
• Microstructure awareness — bounded joins, confidence scoring, and explicit uncertainty.
• Bun-first tooling — runtime/package/scripts all use Bun.

Monorepo Layout

• apps/web — Next.js UI shell/routes.
• apps/desktop — Electron desktop shell that loads the hosted Islandflow app.
• services/ingest-options — options print/NBBO ingest adapters.
• services/ingest-equities — equity print/quote ingest adapters.
• services/compute — clustering, structures, classifiers, alerts, inferred dark.
• services/candles — server-side candle aggregation + cache.
• services/replay — ClickHouse → NATS replay streamer.
• services/api — REST + WebSocket gateway.
• services/refdata — scaffold service.
• services/eod-enricher — scaffold service.
• packages/types — shared event schemas/types.
• packages/storage — ClickHouse tables/queries.
• packages/bus — NATS/JetStream helpers.
• packages/config — env parsing.
• packages/observability — logger + metrics facade.

Build and Run

Install dependencies:

• bun install

Start infrastructure only:

• docker compose up -d

Create env file:

• copy .env.example to .env and set provider credentials as needed.

Start infra + all services + web:

• bun run dev

Start services only (assumes infra is already running):

• bun run dev:services

Start web only:

• bun run dev:web

Desktop Shell

Islandflow also includes a thin Electron desktop shell in apps/desktop.

What it is:

• a macOS-first wrapper around the hosted app at https://flow.deltaisland.io,
• a native app window plus packaging/distribution shell,
• a way to run the existing web UI inside Electron without local backend services.

What it is not:

• a bundled backend runtime,
• a packaged local Next.js frontend in v1,
• a desktop feature layer with notifications, preferences, or auto-updates yet.

Run the desktop shell against a local web UI:

• bun run dev:desktop

This starts the local Next.js app, defaults NEXT_PUBLIC_API_URL to https://flow.deltaisland.io unless you already set it, waits for port 3000, and then launches Electron against http://127.0.0.1:3000.

Run the desktop shell directly against the hosted app:

• bun run dev:desktop:remote

Package the desktop shell:

• bun run package:desktop
• bun run make:desktop

Desktop-specific environment:

• ISLANDFLOW_DESKTOP_START_URL is only used by the Electron shell and is restricted to trusted Islandflow app origins.
• NEXT_PUBLIC_API_URL remains the web app's API/WebSocket origin control and should usually point at https://flow.deltaisland.io when developing the local UI inside Electron.

Current desktop limitations:

• v1 builds are unsigned internal macOS artifacts only,
• Forge currently makes a simple zip distributable for the current host architecture,
• signing, notarization, auto-updates, remembered window state, and richer native integrations are intentionally deferred.

Environment Configuration

All runtime configuration comes from .env.

Core infrastructure

Variable	Default	What it controls
NATS_URL	nats://127.0.0.1:4222	JetStream broker address used by all services.
CLICKHOUSE_URL	http://127.0.0.1:8123	ClickHouse HTTP endpoint for reads/writes.
CLICKHOUSE_DATABASE	default	ClickHouse database/schema name.
REDIS_URL	redis://127.0.0.1:6379	Redis endpoint for rolling stats, live caches, and candle cache.

Ingest selection and synthetic behavior

Variable	Default	What it controls
OPTIONS_INGEST_ADAPTER	synthetic	Options ingest source: synthetic, alpaca, ibkr, or databento.
EQUITIES_INGEST_ADAPTER	synthetic	Equities ingest source: synthetic or alpaca.
EMIT_INTERVAL_MS	1000	Emit cadence for synthetic ingest adapters.
SYNTHETIC_MARKET_MODE	realistic	Shared synthetic profile (realistic, active, firehose) used when per-service override is unset.
SYNTHETIC_OPTIONS_MODE	empty	Options-only synthetic profile override; falls back to SYNTHETIC_MARKET_MODE.
SYNTHETIC_EQUITIES_MODE	empty	Equities-only synthetic profile override; falls back to SYNTHETIC_MARKET_MODE.

Synthetic profile intent:

• realistic: default local mode with lower synthetic burstiness/noise.
• active: busier demo flow while still readable.
• firehose: stress mode for throughput/backpressure/hot-window behavior.

Options ingest adapter configuration

Variable	Default	What it controls
ALPACA_API_KEY	empty	Single-token Alpaca API auth for options/equities adapters. Use this when your account provides one API key value.
ALPACA_REST_URL	https://data.alpaca.markets	Alpaca REST base URL for contract discovery/reference calls.
ALPACA_WS_BASE_URL	wss://stream.data.alpaca.markets/v1beta1 (options), wss://stream.data.alpaca.markets (equities)	Alpaca websocket base URL.
ALPACA_FEED	indicative	Options feed tier for Alpaca options (indicative or opra).
ALPACA_UNDERLYINGS	SPY,NVDA,AAPL	Comma-separated symbols targeted by Alpaca ingest.
ALPACA_STRIKES_PER_SIDE	8	Contracts selected per side of spot for Alpaca options chain sampling.
ALPACA_MAX_DTE_DAYS	30	Max days-to-expiry included for Alpaca options contract selection.
ALPACA_MONEYNESS_PCT	0.06	Primary moneyness filter for Alpaca options contract selection.
ALPACA_MONEYNESS_FALLBACK_PCT	0.1	Wider fallback moneyness filter if candidate set is too sparse.
ALPACA_MAX_QUOTES	200	Upper bound on selected Alpaca options contracts/quotes per cycle.
ALPACA_EQUITIES_FEED	iex	Alpaca equities feed (iex free tier, sip paid consolidated feed).

For Alpaca adapters, configure ALPACA_API_KEY.

Databento replay adapter configuration

Variable	Default	What it controls
DATABENTO_API_KEY	empty	Databento API key. Required when OPTIONS_INGEST_ADAPTER=databento.
DATABENTO_DATASET	OPRA.PILLAR	Databento dataset name.
DATABENTO_SCHEMA	trades	Databento schema for options trade records.
DATABENTO_NBBO_SCHEMA	tbbo	Databento schema for options NBBO records.
DATABENTO_START	empty	Required replay start timestamp/string passed to sidecar.
DATABENTO_END	empty	Optional replay end timestamp/string.
DATABENTO_SYMBOLS	ALL	Symbol selection forwarded to Databento sidecar query.
DATABENTO_STYPE_IN	raw_symbol	Databento input symbology type.
DATABENTO_STYPE_OUT	raw_symbol	Databento output symbology type.
DATABENTO_LIMIT	0	Max Databento records (0 means no explicit limit).
DATABENTO_PRICE_SCALE	1	Multiplier applied to decoded prices from sidecar output.
DATABENTO_PYTHON_BIN	python3	Python executable used to run Databento sidecar script.

IBKR options adapter configuration

Variable	Default	What it controls
IBKR_HOST	127.0.0.1	TWS/Gateway host for IBKR bridge.
IBKR_PORT	7497	TWS/Gateway port for IBKR bridge.
IBKR_CLIENT_ID	0	IBKR client id used by the bridge connection.
IBKR_SYMBOL	SPY	Underlying symbol requested from IBKR.
IBKR_EXPIRY	20250117	Option expiry (YYYYMMDD) requested from IBKR.
IBKR_STRIKE	450	Strike requested from IBKR.
IBKR_RIGHT	C	Option side (C or P).
IBKR_EXCHANGE	SMART	IBKR exchange routing code.
IBKR_CURRENCY	USD	Contract currency.
IBKR_PYTHON_BIN	python3	Python executable used for IBKR sidecar.

Options signal filtering

Variable	Default	What it controls
OPTIONS_SIGNAL_MODE	smart-money	Signal pass policy (smart-money, balanced, all) for options prints.
OPTIONS_SIGNAL_MIN_NOTIONAL	10000	Base minimum notional for most signal candidates.
OPTIONS_SIGNAL_ETF_MIN_NOTIONAL	50000	ETF-specific minimum notional for signal inclusion.
OPTIONS_SIGNAL_BID_SIDE_MIN_NOTIONAL	25000	Minimum notional for bid-side (B/BB) or sweep/ISO thresholds.
OPTIONS_SIGNAL_MID_MIN_NOTIONAL	20000	Minimum notional for non-sweep/non-ISO MID prints.
OPTIONS_SIGNAL_NBBO_MAX_AGE_MS	1500	NBBO freshness threshold used during signal classification.
OPTIONS_SIGNAL_ETF_UNDERLYINGS	SPY,QQQ,IWM,DIA,TLT,GLD,SLV,XLF,XLE,XLV,XLI,XLP,XLU,XLY,SMH,ARKK	Comma-separated underlyings treated as ETFs by signal filters.

Default smart-money policy rejects lower-information prints and keeps high-confidence/high-notional/sweep-style flow; balanced lowers thresholds; all bypasses filtering.

Compute/classifier/dark-inference configuration

Variable	Default	What it controls
CLUSTER_WINDOW_MS	500	Time window used to cluster nearby option prints into a packet candidate.
COMPUTE_DELIVER_POLICY	new	Consumer start policy for compute stream subscriptions (new, all, last, last_per_subject).
COMPUTE_CONSUMER_RESET	false	If true, resets durable consumer position for compute on startup.
NBBO_MAX_AGE_MS	1000	Max NBBO age accepted when enriching option prints in compute.
ROLLING_WINDOW_SIZE	50	Number of observations retained per rolling metric key.
ROLLING_TTL_SEC	86400	Redis TTL for rolling metric keys.
EQUITY_QUOTE_MAX_AGE_MS	1000	Max quote staleness when joining equity prints for inference.
DARK_INFER_WINDOW_MS	60000	Sliding window length for dark-style inference accumulation.
DARK_INFER_COOLDOWN_MS	30000	Cooldown before emitting repeated dark inferences for same symbol/pattern.
DARK_INFER_MIN_BLOCK_SIZE	2000	Minimum single-print size for block-style dark inference evidence.
DARK_INFER_MIN_ACCUM_SIZE	3000	Minimum aggregate size for accumulation-style dark inference evidence.
DARK_INFER_MIN_ACCUM_COUNT	4	Minimum print count for accumulation-style dark inference.
DARK_INFER_MIN_PRINT_SIZE	200	Minimum print size considered as dark inference evidence.
DARK_INFER_MAX_EVIDENCE	20	Max evidence items attached to one inferred dark event.
DARK_INFER_MAX_SPREAD_PCT	0.005	Maximum spread percentage allowed for dark inference confidence.
CLASSIFIER_SWEEP_MIN_PREMIUM	40000	Minimum premium to trigger sweep classifier logic.
CLASSIFIER_SWEEP_MIN_COUNT	3	Minimum child prints in cluster for sweep classifier hit.
CLASSIFIER_SWEEP_MIN_PREMIUM_Z	2	Min premium z-score for sweep classifier confirmation.
CLASSIFIER_SPIKE_MIN_PREMIUM	20000	Minimum premium for spike classifier logic.
CLASSIFIER_SPIKE_MIN_SIZE	400	Minimum total size for spike classifier logic.
CLASSIFIER_SPIKE_MIN_PREMIUM_Z	2.5	Min premium z-score for spike classifier confirmation.
CLASSIFIER_SPIKE_MIN_SIZE_Z	2	Min size z-score for spike classifier confirmation.
CLASSIFIER_Z_MIN_SAMPLES	12	Minimum rolling sample count before z-score gating applies.
CLASSIFIER_MIN_NBBO_COVERAGE	0.5	Required fraction of prints in cluster with valid NBBO context.
CLASSIFIER_MIN_AGGRESSOR_RATIO	0.55	Minimum aggressor-side ratio for classifier confidence.
CLASSIFIER_0DTE_MAX_ATM_PCT	0.01	Max distance-from-ATM to qualify as near-ATM 0DTE event.
CLASSIFIER_0DTE_MIN_PREMIUM	20000	Minimum premium for 0DTE classifier events.
CLASSIFIER_0DTE_MIN_SIZE	400	Minimum size for 0DTE classifier events.
SMART_MONEY_EVENT_CALENDAR_PATH	empty	Optional JSON event-calendar file used by compute to enrich event-driven smart-money profile features.
REFDATA_EVENT_CALENDAR_PATH	empty	Optional JSON event-calendar file for refdata service startup validation; falls back to SMART_MONEY_EVENT_CALENDAR_PATH when unset.
REFDATA_EVENT_CALENDAR_PROVIDER	empty	Set to alpha_vantage to have refdata refresh the calendar cache from Alpha Vantage.
ALPHA_VANTAGE_API_KEY	empty	Alpha Vantage key used when REFDATA_EVENT_CALENDAR_PROVIDER=alpha_vantage.
ALPHA_VANTAGE_EARNINGS_HORIZON	3month	Alpha Vantage earnings horizon: 3month, 6month, or 12month.
ALPHA_VANTAGE_EARNINGS_SYMBOL	empty	Optional single-symbol Alpha Vantage earnings query; empty fetches the full scheduled earnings list.
REFDATA_EVENT_CALENDAR_REFRESH_MS	86400000	Refdata refresh cadence for provider-backed event-calendar cache writes.

Event-calendar rows may use symbol, underlying, or underlying_id; event_date, event_time, or event_ts; and announced_ts, available_ts, as_of_ts, or created_ts. Compute only uses events already available at the packet timestamp, so missing or unavailable rows leave event-alignment features as neutral null values.

Candle service configuration

Variable	Default	What it controls
CANDLE_INTERVALS_MS	60000,300000	Comma-separated candle intervals generated from equity prints.
CANDLE_MAX_LATE_MS	0	Allowed lateness for out-of-order prints before candle rejection/roll policy applies.
CANDLE_CACHE_LIMIT	2000	Max cached candles per (underlying, interval) in Redis (0 disables cache).
CANDLE_DELIVER_POLICY	new	Consumer start policy for candle service (new, all, last, last_per_subject).
CANDLE_CONSUMER_RESET	false	If true, resets candle durable consumer position on startup.

API + live cache configuration

Variable	Default	What it controls
API_PORT	4000	API service listen port.
REST_DEFAULT_LIMIT	200	Default record count when a REST endpoint omits limit.
API_DELIVER_POLICY	new	JetStream consumer start policy used by API live subscribers (new, all, last, last_per_subject).
API_CONSUMER_RESET	false	If true, API resets/recreates its live durable consumers on startup.
LIVE_LIMIT_OPTIONS	10000	In-memory/Redis live cache depth for options channel (clamped 1..100000).
LIVE_LIMIT_NBBO	10000	Live cache depth for options NBBO channel (clamped 1..100000).
LIVE_LIMIT_EQUITIES	10000	Live cache depth for equities channel (clamped 1..100000).
LIVE_LIMIT_EQUITY_QUOTES	10000	Live cache depth for equity quotes channel (clamped 1..100000).
LIVE_LIMIT_EQUITY_JOINS	10000	Live cache depth for equity join channel (clamped 1..100000).
LIVE_LIMIT_FLOW	10000	Live cache depth for flow packet channel (clamped 1..100000).
LIVE_LIMIT_CLASSIFIER_HITS	10000	Live cache depth for classifier hits channel (clamped 1..100000).
LIVE_LIMIT_ALERTS	10000	Live cache depth for alerts channel (clamped 1..100000).
LIVE_LIMIT_INFERRED_DARK	10000	Live cache depth for inferred dark channel (clamped 1..100000).

Web client configuration (NEXT_PUBLIC_*)

Variable	Default	What it controls
NEXT_PUBLIC_API_URL	auto-detected (window.location.origin in browser; http://127.0.0.1:4000 fallback)	Explicit base URL for API/WS calls from the web app.
NEXT_PUBLIC_LIVE_HOT_WINDOW	2000	Max hot-window items retained for non-options live streams in UI state (100..100000).
NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS	25000	Dedicated max hot-window items retained for options prints (100..100000).
NEXT_PUBLIC_NBBO_MAX_AGE_MS	1000	Frontend NBBO staleness threshold used for UI status/placement logic.
NEXT_PUBLIC_LIVE_EQUITIES_SILENT_WARNING_MS	25000	Delay before warning when equities stream is quiet (5000..300000).
NEXT_PUBLIC_PINNED_EVIDENCE_TTL_MS	1200000	TTL for pinned evidence objects in UI (60000..7200000).
NEXT_PUBLIC_PINNED_EVIDENCE_MAX_ITEMS	4000	Maximum pinned evidence cache size in UI (100..50000).
NEXT_PUBLIC_FLOW_FILTER_PRESET	smart-money	Default flow filter preset applied on page load (smart-money, balanced, all).

Replay and testing controls

Variable	Default	What it controls
REPLAY_ENABLED	false	Dev-script toggle: starts replay service in bun run dev when truthy.
REPLAY_STREAMS	options,nbbo,equities,equity-quotes	Replay stream selection (all or comma list of supported aliases).
REPLAY_START_TS	0	Replay lower-bound timestamp; 0 means from earliest stored data.
REPLAY_END_TS	0	Replay upper-bound timestamp; 0 means no explicit end bound.
REPLAY_SPEED	1	Replay speed multiplier relative to original event timing.
REPLAY_BATCH_SIZE	200	Batch fetch size per replay stream pull.
REPLAY_LOG_EVERY	1000	Progress log interval (emitted event count).
TESTING_MODE	false	Enables ingest publish throttling for deterministic/lower-volume test runs.
TESTING_THROTTLE_MS	200	Minimum delay between emitted events while TESTING_MODE=true.

Quick Notes

• Python dependencies are required only for IBKR/Databento sidecars (services/ingest-options/py/requirements.txt).
• Candle construction is server-side; the client consumes prebuilt OHLC events.
• Option prints now persist as enriched raw rows and can be queried as either:
  • view=signal — default live/UI path and compute input.
  • view=raw — audit/debug path that preserves every stored print.
• The default Tape page options/packets posture is now stock-only, hides B / BB, keeps calls and puts visible, and applies in-memory min-notional controls immediately.
• Live retention uses a two-tier model:
  • ClickHouse is durable server history; Redis is a bounded hot cache per live generic channel.
  • LIVE_LIMIT_* controls initial snapshot/hot-cache depth, not total persisted history.
  • Browser state is only a rendering window and UI preferences, not a market-data database.
  • Devices connected to the same API hydrate from the same server-seen history.
  • UI keeps a bounded hot window for rendering performance around the signal view rather than raw noise.
  • Options prints can use a deeper dedicated cap via NEXT_PUBLIC_LIVE_HOT_WINDOW_OPTIONS without raising every other feed.
  • Alert/drawer evidence is pinned and hydrated by id/trace so details remain inspectable after hot-window eviction.
• Firehose-readiness strategy:
  • preserve raw ingest for storage/replay,
  • feed compute and default live UI from the filtered signal path,
  • add filterable live subscription contracts now so selective delivery can move server-side without reshaping the protocol later.
• This repository is for personal, non-redistributed usage.

Useful Examples

Realistic local demo:

SYNTHETIC_MARKET_MODE=realistic \
OPTIONS_SIGNAL_MODE=smart-money \
bun run dev

Active demo:

SYNTHETIC_MARKET_MODE=active bun run dev

Firehose stress test:

SYNTHETIC_MARKET_MODE=firehose \
NEXT_PUBLIC_LIVE_HOT_WINDOW=2000 \
bun run dev

Show raw options flow for debugging:

/prints/options?view=raw&security=all
/history/options?view=raw&security=all&before_ts=<ts>&before_seq=<seq>
/replay/options?view=raw&security=all&after_ts=<ts>&after_seq=<seq>