112 lines
3.7 KiB
TypeScript
112 lines
3.7 KiB
TypeScript
import { describe, expect, it } from "bun:test";
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import {
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buildSmartMoneyEventFromPacket,
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deriveClassifierHitsFromSmartMoneyEvent
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} from "../src/parent-events";
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import { buildFlowPacket } from "./helpers";
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describe("smart money parent events", () => {
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it("scores institutional directional parent events and derives legacy hits", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:institutional",
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source_ts: Date.parse("2025-01-15T15:00:00Z"),
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features: {
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option_contract_id: "SPY-2025-02-21-450-C",
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underlying_id: "SPY",
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count: 8,
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window_ms: 450,
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total_size: 2200,
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total_premium: 180_000,
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total_notional: 18_000_000,
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nbbo_coverage_ratio: 0.92,
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nbbo_aggressive_ratio: 0.82,
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nbbo_aggressive_buy_ratio: 0.78,
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nbbo_aggressive_sell_ratio: 0.04,
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nbbo_inside_ratio: 0.08,
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underlying_mid: 448
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}
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});
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const event = buildSmartMoneyEventFromPacket(packet);
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expect(event.event_kind).toBe("single_leg_event");
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expect(event.primary_profile_id).toBe("institutional_directional");
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expect(event.primary_direction).toBe("bullish");
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const hits = deriveClassifierHitsFromSmartMoneyEvent(event);
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expect(hits[0]?.classifier_id).toBe("smart_money_institutional_directional");
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});
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it("abstains when quote context is stale or missing", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:stale",
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features: {
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option_contract_id: "SPY-2025-02-21-450-C",
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count: 8,
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window_ms: 450,
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total_size: 2200,
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total_premium: 180_000,
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nbbo_coverage_ratio: 0.1,
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nbbo_missing_count: 8
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}
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});
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const event = buildSmartMoneyEventFromPacket(packet);
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expect(event.abstained).toBe(true);
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expect(event.primary_profile_id).toBeNull();
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expect(event.suppressed_reasons).toContain("stale_or_missing_quote_context");
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});
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it("uses timestamp-available event calendar matches for event-driven scoring", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:event-driven",
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source_ts: Date.parse("2025-01-15T15:00:00Z"),
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features: {
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option_contract_id: "AAPL-2025-02-07-225-C",
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underlying_id: "AAPL",
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count: 1,
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window_ms: 450,
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total_size: 1800,
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total_premium: 160_000,
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total_notional: 16_000_000,
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nbbo_coverage_ratio: 0.5,
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nbbo_aggressive_ratio: 0.4,
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nbbo_aggressive_buy_ratio: 0.4,
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nbbo_aggressive_sell_ratio: 0.1,
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nbbo_inside_ratio: 0.08,
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underlying_mid: 224
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}
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});
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const event = buildSmartMoneyEventFromPacket(packet, {
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eventCalendarMatch: {
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underlying_id: "AAPL",
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event_ts: Date.parse("2025-01-31T21:00:00Z"),
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event_kind: "earnings",
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announced_ts: Date.parse("2024-12-20T21:00:00Z"),
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days_to_event: 16.25
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}
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});
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expect(event.features.days_to_event).toBeCloseTo(16.25);
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expect(event.features.expiry_after_event).toBe(true);
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expect(event.primary_profile_id).toBe("event_driven");
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});
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it("keeps event-calendar features neutral when no match is available", () => {
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const packet = buildFlowPacket({
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id: "flowpacket:no-calendar",
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source_ts: Date.parse("2025-01-15T15:00:00Z"),
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features: {
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option_contract_id: "AAPL-2025-02-07-225-C",
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underlying_id: "AAPL",
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total_premium: 160_000,
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nbbo_coverage_ratio: 0.92
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}
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});
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const event = buildSmartMoneyEventFromPacket(packet);
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expect(event.features.days_to_event).toBeNull();
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expect(event.features.expiry_after_event).toBeNull();
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expect(event.features.pre_event_concentration).toBeNull();
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});
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});
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