110 lines
3.5 KiB
Markdown
110 lines
3.5 KiB
Markdown
# 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
|
|
|
|
In progress / blocked:
|
|
- Real data adapters (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
|
|
- 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
|
|
|
|
## 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`
|
|
|
|
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`
|
|
|
|
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.
|