Real-Time Options Flow & Off-Exchange Analysis

This repository contains a real-time market-flow analysis platform focused on options flow, off-exchange equity trades, and inferred institutional behavior, built for low-latency, explainable analysis rather than black-box signals.

The system ingests real-time options trades/quotes and equity prints, clusters raw activity into higher-level flow events (sweeps, spreads, rolls, ladders), applies rule-first classifiers, and visualizes the results through a high-performance, TradingView-smooth interface with full replay and backtesting support.

CURRENT STATE (Plan Progress)

Plan progress (rough): [####------]

Done now (in repo):

• Bun monorepo + infra docker compose (ClickHouse, Redis, NATS JetStream)
• Shared event schemas + logging + config helpers
• Synthetic options/equity prints published to NATS and persisted to ClickHouse
• Deterministic option FlowPacket clustering (time window) + persistence
• API: REST for prints/flow packets, WS for live options/equities/flow, replay endpoints
• UI: live tapes for options/equities/flow + replay toggle + pause controls + replay time/completion
• Databento historical replay adapter (options) with symbol mapping
• Alpaca options adapter (dev-only, bounded contract list)

In progress / blocked:

• Live data adapters beyond dev-only feeds (requires licensed data source)
• Rolling stats and advanced clustering

Not started:

• Classifiers + alert scoring
• Dark pool inference
• Candle service and chart overlays
• Auth / secure deployment

Core Principles

• Explainability first — every alert and signal is backed by observable data and explicit logic.
• Event-sourced architecture — all raw and derived events are persisted and replayable.
• Market microstructure correctness — conservative handling of aggressor inference, OI, and off-exchange prints.
• Low-latency, tangible UX — smooth real-time interaction that feels like an instrument panel, not a spreadsheet.

Current Capabilities

• Synthetic options/equity prints with deterministic sequencing
• Ingest adapter seam (env-selected; options default alpaca, equities default synthetic)
• Raw event persistence in ClickHouse + streaming via NATS JetStream
• Deterministic option FlowPacket clustering (time-window)
• API gateway with REST, WS, and replay endpoints
• UI tapes for options/equities/flow packets with live/replay toggle and pause controls
• Alpaca options adapter (dev-only) with bounded contract selection
• Databento historical replay adapter (options, Python sidecar)

Planned Capabilities (from PLAN.md)

• Real-time licensed market data ingestors (options + equities)
• Rule-first classifiers and alert scoring
• Dark pool inference and evidence linking
• Candle aggregation + chart overlays
• Replay/backtesting metrics and calibration

Tech Stack

• Runtime & tooling: Bun
• Language: TypeScript
• Frontend: Next.js + React
• Realtime: WebSockets
• Event streaming: NATS JetStream or Redpanda
• Storage: ClickHouse, Redis
• Charting: TradingView Lightweight Charts + custom canvas/WebGL overlays

Repository Structure

apps/ web/ services/ ingest-options/ ingest-equities/ compute/ api/ packages/ types/ ui/ chart/

Build and Run

Install dependencies:

• bun install

Start infra:

• docker compose up -d

Create env file:

• Copy .env.example to .env and fill in the API keys you plan to use.

Start everything (infra + services + web):

• bun run dev

Run just the web app (auto-picks a free port in 3001-3005):

• bun --cwd apps/web run dev

Run just the API:

• bun --cwd services/api run dev

Adapter selection (env):

• Options: OPTIONS_INGEST_ADAPTER (defaults to alpaca)
• Equities: EQUITIES_INGEST_ADAPTER (defaults to synthetic)
• Compute: COMPUTE_DELIVER_POLICY (new default), COMPUTE_CONSUMER_RESET (force skip backlog)

IBKR adapter (options, via Python ib_insync):

• Install Python deps: python3 -m pip install -r services/ingest-options/py/requirements.txt
• Set OPTIONS_INGEST_ADAPTER=ibkr and configure:
  • IBKR_HOST, IBKR_PORT, IBKR_CLIENT_ID
  • IBKR_SYMBOL, IBKR_EXPIRY (YYYYMMDD), IBKR_STRIKE, IBKR_RIGHT
  • Optional: IBKR_EXCHANGE (default SMART), IBKR_CURRENCY (default USD), IBKR_PYTHON_BIN

Alpaca adapter (options, dev-only bridge):

• Set OPTIONS_INGEST_ADAPTER=alpaca and configure:
  • ALPACA_KEY_ID, ALPACA_SECRET_KEY
  • ALPACA_UNDERLYINGS (comma-separated, default SPY,NVDA,AAPL)
  • Optional: ALPACA_FEED (indicative default, opra with subscription)
  • Optional: ALPACA_MAX_QUOTES (default 200), ALPACA_REST_URL, ALPACA_WS_BASE_URL
  • Optional selection tuning: ALPACA_STRIKES_PER_SIDE (default 8), ALPACA_MAX_DTE_DAYS (default 30), ALPACA_MONEYNESS_PCT (default 0.06), ALPACA_MONEYNESS_FALLBACK_PCT (default 0.10)

Alpaca selection policy (dev-only, deterministic):

• Pick nearest weekly and nearest monthly expiries within 30 DTE (fallback to earliest expiries if missing)
• For each expiry, select 8 strikes per side closest to ATM within ±6% (fallback to ±10% if needed)
• Subscriptions are built once at startup to keep the stream bounded and repeatable

Databento historical replay adapter (options, via Python databento):

• Install Python deps: python3 -m pip install -r services/ingest-options/py/requirements.txt
• Set OPTIONS_INGEST_ADAPTER=databento and configure:
  • DATABENTO_API_KEY, DATABENTO_START (ISO date/time)
  • Optional: DATABENTO_END, DATABENTO_DATASET (default OPRA.PILLAR), DATABENTO_SCHEMA (default trades)
  • Optional: DATABENTO_SYMBOLS (ALL or comma list), DATABENTO_STYPE_IN/DATABENTO_STYPE_OUT (default raw_symbol)
  • Optional: DATABENTO_LIMIT (record cap), DATABENTO_PRICE_SCALE (divide raw price), DATABENTO_PYTHON_BIN
• This adapter replays historical data only; live capture will be added later.

Run tests:

• bun test

Status

Active build for personal, non-delayed analytical use. Multi-user access and redistribution are intentionally out of scope.

Non-Goals

• No black-box AI predictions
• No profit guarantees
• No real-time data redistribution
• No guessing at intent without evidence

License / Usage

For research and personal analytical use.
Market data usage is subject to the terms of the data providers.