@engineering-tf/shared 1.0.0

package/dist/utils/common/record-function.js

@@ -0,0 +1,308 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.extractExpirationDateFromOptionSymbol = exports.extractStrikePriceFromOptionSymbol = exports.extractOptionTypeFromOptionSymbol = exports.extractSymbolFromOptionSymbol = exports.calculateRecordOptionSymbolUtil = exports.calculateRecordOptionSymbol = exports.calculateTtl = exports.calRecordId = exports.calculateMinMaxFromTableFiltersItem = exports.calculateRecordSentimentUtil = exports.calculateRecordSentiment = exports.compareTwoNullableValue = exports.calculateDeltaImpact = exports.calculateDeltaExposureUtil = exports.calculateDeltaExposure = exports.calculateRecordMoneynessUtil = exports.calculateRecordMoneyness = exports.calculateRecordSideUtil = exports.calculateRecordSide = exports.calculateRecordExpiryDaysUtil = exports.calculateRecordExpiryDays = exports.passOpeningFilterFull = exports.passOpeningFilter = void 0;
+var shared_1 = require("../../types/shared");
+var date_functions_1 = require("./date-functions");
+var math_functions_1 = require("./math-functions");
+/**
+ * opening的定义是size 是今天最大一个订单以保证不是当日内的换仓, 因为他的size比当日所有的剩余的oi+volume都大, 导致无法被换仓, 这样能保证肯定是开仓
+ * 如果只是size > oi, 但今天至今交易的volume可能可以跟这个order进行交换, 同时也要大于今日volume
+ * @param record
+ * @returns
+ */
+function passOpeningFilter(record) {
+    /**if the volume contains size */
+    if (record.volume && record.size > record.volume - record.size + record.open_interest)
+        return 1;
+    return -1;
+}
+exports.passOpeningFilter = passOpeningFilter;
+function passOpeningFilterFull(record) {
+    /**if the volume contains size */
+    if (record.daily_volume && record.size > record.daily_volume - record.size + record.oi)
+        return true;
+    return false;
+}
+exports.passOpeningFilterFull = passOpeningFilterFull;
+/**
+ * @deprecated potential bugs when the we don't get the data in time, please use calculateRecordExpiryDaysUtil instead
+ * @param date_expiration
+ * @returns
+ */
+function calculateRecordExpiryDays(date_expiration) {
+    return (0, date_functions_1.getDiffDaysBetweenFutureAndToday)(date_expiration);
+}
+exports.calculateRecordExpiryDays = calculateRecordExpiryDays;
+function calculateRecordExpiryDaysUtil(date_expiration, date) {
+    return (0, date_functions_1.getDiffDaysBetweenFutureAndPast)(date_expiration, date);
+}
+exports.calculateRecordExpiryDaysUtil = calculateRecordExpiryDaysUtil;
+/**
+ * @description
+ * Decide the price side by the price
+ */
+function calculateRecordSide(record) {
+    return calculateRecordSideUtil(record.ask, record.bid, record.price);
+}
+exports.calculateRecordSide = calculateRecordSide;
+function calculateRecordSideUtil(ask, bid, price) {
+    var UPPER_CAP = 0.75, LOWER_CAP = 0.25;
+    var side;
+    if (bid === 0) {
+        side = shared_1.SIDE_LABEL.ASK;
+    }
+    else if (ask === bid) {
+        side = shared_1.SIDE_LABEL.MID;
+    }
+    else {
+        var aggressor_ind = (price - bid) / (ask - bid);
+        if (aggressor_ind > 1)
+            side = shared_1.SIDE_LABEL.ABOVE_ASK;
+        else if (aggressor_ind <= 1 && aggressor_ind > UPPER_CAP)
+            side = shared_1.SIDE_LABEL.ASK;
+        else if (aggressor_ind < 0)
+            side = shared_1.SIDE_LABEL.BELOW_BID;
+        else if (aggressor_ind >= 0 && aggressor_ind < LOWER_CAP)
+            side = shared_1.SIDE_LABEL.BID;
+        else
+            side = shared_1.SIDE_LABEL.MID;
+    }
+    return side;
+}
+exports.calculateRecordSideUtil = calculateRecordSideUtil;
+function calculateRecordMoneyness(record) {
+    return calculateRecordMoneynessUtil(record.strike_price, record.ref, record.put_call);
+}
+exports.calculateRecordMoneyness = calculateRecordMoneyness;
+function calculateRecordMoneynessUtil(strike_price, ref, put_call) {
+    if (ref === strike_price)
+        return shared_1.MONEYNESS_LABEL.ATM;
+    return put_call === shared_1.CALL_PUT_TAG.CALL
+        ? ref >= strike_price
+            ? shared_1.MONEYNESS_LABEL.ITM
+            : shared_1.MONEYNESS_LABEL.OTM
+        : ref <= strike_price
+            ? shared_1.MONEYNESS_LABEL.ITM
+            : shared_1.MONEYNESS_LABEL.OTM;
+}
+exports.calculateRecordMoneynessUtil = calculateRecordMoneynessUtil;
+/**
+ * delta exposure => delta impact in shares
+ * calculate the equivalent shares the dealer has to hedge,
+ * always positive, because put delta always negative, but it doesn't mean this put trade is a bearish one.
+ * TODO: it is going to be replaced by cron function
+ * @param record
+ * @returns
+ */
+function calculateDeltaExposure(record) {
+    return calculateDeltaExposureUtil(record.delta, record.size);
+}
+exports.calculateDeltaExposure = calculateDeltaExposure;
+function calculateDeltaExposureUtil(delta, size) {
+    if (delta) {
+        return Math.abs((0, math_functions_1.fixFloatPrecisionToNumber)(size * 100 * delta, 0));
+    }
+    return 0; // Return 0 instead of null
+}
+exports.calculateDeltaExposureUtil = calculateDeltaExposureUtil;
+/**
+ * calculate the impact on the stock from the delta exposure,
+ * always positive
+ * @param record
+ * @returns
+ */
+function calculateDeltaImpact(deltaExposure, avgDailyStockVol) {
+    return avgDailyStockVol || avgDailyStockVol === 0 ? (0, math_functions_1.fixFloatPrecisionToNumber)(Math.abs(deltaExposure) / avgDailyStockVol * 100, 5) : 0; // Return 0 instead of null
+}
+exports.calculateDeltaImpact = calculateDeltaImpact;
+function compareTwoNullableValue(a, b) {
+    if (!a && !b)
+        return -1; // a before b
+    if (a && b)
+        return a - b;
+    if (!a)
+        return -1;
+    else
+        return 1;
+}
+exports.compareTwoNullableValue = compareTwoNullableValue;
+function calculateRecordSentiment(record) {
+    return calculateRecordSentimentUtil(record.side, record.put_call);
+}
+exports.calculateRecordSentiment = calculateRecordSentiment;
+function calculateRecordSentimentUtil(side, put_call) {
+    if (((side === shared_1.SIDE_LABEL.ASK || side === shared_1.SIDE_LABEL.ABOVE_ASK) && put_call === shared_1.CALL_PUT_TAG.CALL)
+        || ((side === shared_1.SIDE_LABEL.BID || side === shared_1.SIDE_LABEL.BELOW_BID) && put_call === shared_1.CALL_PUT_TAG.PUT))
+        return shared_1.SENTIMENT_TAG.BULLISH;
+    if (((side === shared_1.SIDE_LABEL.ASK || side === shared_1.SIDE_LABEL.ABOVE_ASK) && put_call === shared_1.CALL_PUT_TAG.PUT)
+        || ((side === shared_1.SIDE_LABEL.BID || side === shared_1.SIDE_LABEL.BELOW_BID) && put_call === shared_1.CALL_PUT_TAG.CALL))
+        return shared_1.SENTIMENT_TAG.BEARISH;
+    return shared_1.SENTIMENT_TAG.NEUTRAL;
+}
+exports.calculateRecordSentimentUtil = calculateRecordSentimentUtil;
+/**
+ *
+ * @param ["32~76"]
+ * special case: ["-2.2~-1.1"]
+ * @returns [32,76] or [-2.2,-1.1]
+ */
+function calculateMinMaxFromTableFiltersItem(value) {
+    if (!value) {
+        return [null, null];
+    }
+    var input = value[0];
+    if (!input.includes('-') && !input.includes('~')) {
+        throw new Error("Invalid value format: ".concat(JSON.stringify(input), " does not contain a valid separator"));
+    }
+    var separator = input.includes('~') ? '~' : '-'; //check '-' is for backfilled consideration
+    var _a = input.split(separator), min = _a[0], max = _a[1];
+    return [
+        min === 'null' ? null : parseFloat(min),
+        max === 'null' ? null : parseFloat(max)
+    ];
+}
+exports.calculateMinMaxFromTableFiltersItem = calculateMinMaxFromTableFiltersItem;
+/**
+ * @description used to calculate custom id, we need to custom id to combine smart flow with full flow into ddb.
+ * @usage CronService ProcessingService
+ * @param record
+ * @returns STT-20250117-65-PUT-20230501-10:14-250-6.80
+ */
+function calRecordId(record) {
+    var date = record.date, ticker = record.ticker, date_expiration = record.date_expiration, put_call = record.put_call, strike_price = record.strike_price, size = record.size, time = record.time, price = record.price;
+    var new_date_expiration = (0, date_functions_1.convertDateFormatToYYYYMMDD)(date_expiration);
+    var new_date = (0, date_functions_1.convertDateFormatToYYYYMMDD)(date);
+    var newTime = "".concat(time.split(":")[0], ":").concat(time.split(":")[1]); // remove seconds
+    var newStrike = processStrikePrice(record.strike_price); //24.00 or 24.50
+    var newPrice = (0, math_functions_1.fixFloatPrecisionToString)(record.price, 2); // 6.80 or 3.00
+    return "".concat(ticker, "-").concat(new_date_expiration, "-").concat(newStrike, "-").concat(put_call, "-").concat(new_date, "-").concat(newTime, "-").concat(size, "-").concat(newPrice);
+}
+exports.calRecordId = calRecordId;
+/**
+ * @usage cron-service process-service
+ * @default 365 days
+ * @returns
+ */
+function calculateTtl(days) {
+    if (days === void 0) { days = 365; }
+    return Math.round(Date.now() / 1000) + 86400 * days; //ttl is set to oen year later
+}
+exports.calculateTtl = calculateTtl;
+/**
+ * calculate the record option symbol
+ * @usage api-service cron-service process-service
+ * @param record
+ * @ex:  CVS230818C00077500 => CVS  Oct 23 2020 $77.50  Call
+ *      PANW250117C00173330 => PANW Jan 17 2025 $173.33 Call
+ */
+function calculateRecordOptionSymbol(record) {
+    return calculateRecordOptionSymbolUtil(record.ticker, record.date_expiration, record.put_call, record.strike_price);
+}
+exports.calculateRecordOptionSymbol = calculateRecordOptionSymbol;
+function calculateRecordOptionSymbolUtil(ticker, date_expiration, put_call, strike_price) {
+    var expiryDate = (0, date_functions_1.convertDateFormatToYYYYMMDD)(date_expiration).substring(2);
+    var strNum = processStrikePrice(strike_price); // 将数字转为字符串，并保留两位小数
+    /* 77.55 => 00077550, credits to chatgpt */
+    var parts = strNum.split('.'); // 拆分整数部分和小数部分
+    var intPart = parts[0];
+    var decimalPart = parts[1] || '0'; // 如果没有小数部分，默认为0
+    var paddedIntPart = intPart.padStart(5, '0'); // 将整数部分用0填充到5位
+    var paddedDecimalPart = decimalPart.padEnd(3, '0'); // 将小数部分用0填充到2位
+    var strike_price_string = paddedIntPart + paddedDecimalPart;
+    return "".concat(ticker).concat(expiryDate).concat(put_call === shared_1.CALL_PUT_TAG.CALL ? "C" : "P").concat(strike_price_string);
+}
+exports.calculateRecordOptionSymbolUtil = calculateRecordOptionSymbolUtil;
+function processStrikePrice(strike_price) {
+    return Number(strike_price).toFixed(2);
+}
+/**
+ """
+  Extracts the underlying stock symbol from a standard option symbol.
+
+  Args:
+    optionSymbol: The option symbol string, e.g., "AAPL240412C00175000".
+
+  Returns:
+    The underlying stock symbol, e.g., "AAPL".
+  @usage api-service websocket-service
+
+ */
+function extractSymbolFromOptionSymbol(optionSymbol) {
+    // Standard option symbols have the symbol before the expiration date.
+    // Find the first occurrence of a digit, which usually marks the start of the date. 
+    var index = optionSymbol.search(/\d/);
+    // If a digit is found, return the substring before it.
+    if (index !== -1) {
+        return optionSymbol.substring(0, index);
+    }
+    else {
+        throw new Error("Error in extracting symbol from optionSymbol: ".concat(optionSymbol));
+    }
+}
+exports.extractSymbolFromOptionSymbol = extractSymbolFromOptionSymbol;
+/**
+ *   """
+  Extracts the option type (CALL or PUT) from the option symbol string.
+
+  Args:
+    optionSymbol: The option symbol string, e.g., "AAPL240412C00175000", "QTTB1241018C00005000"
+
+  Returns:
+    "CALL", "PUT", or null if not found.
+  """
+ */
+function extractOptionTypeFromOptionSymbol(optionSymbol) {
+    // Find the index of 'C' or 'P' after the date portion
+    var optionTypeIndex = optionSymbol.search(/\d{6}[CP]/);
+    if (optionTypeIndex !== -1) {
+        var optionType = optionSymbol.charAt(optionTypeIndex + 6); // +6 to get the character after the date
+        if (optionType === "C") {
+            return shared_1.CALL_PUT_TAG.CALL;
+        }
+        else if (optionType === "P") {
+            return shared_1.CALL_PUT_TAG.PUT;
+        }
+    }
+    throw new Error("Failed to extract option type from: ".concat(optionSymbol));
+}
+exports.extractOptionTypeFromOptionSymbol = extractOptionTypeFromOptionSymbol;
+/**
+ *   """
+  Extracts the strike price from a standard option symbol.
+
+  Args:
+    optionSymbol: The option symbol string, e.g., "AAPL240412C00175000".
+
+  Returns:
+    The strike price as a number (e.g., 175), or null if not found or invalid.
+  """ GLYC241115C00000500 =>    0.5
+       SPY241030C00582000 =>  582
+        ZK241220P00022500 =>   22.5
+ * @param optionSymbol
+ * @returns
+ */
+function extractStrikePriceFromOptionSymbol(optionSymbol) {
+    var strikePriceCents = parseInt(optionSymbol.slice(-3), 0) / 1000;
+    var strikePriceDollars = parseInt(optionSymbol.slice(-8, -3), 0);
+    if (!isNaN(strikePriceDollars) && !isNaN(strikePriceCents)) {
+        return strikePriceDollars + strikePriceCents;
+    }
+    return null;
+}
+exports.extractStrikePriceFromOptionSymbol = extractStrikePriceFromOptionSymbol;
+function extractExpirationDateFromOptionSymbol(optionSymbol) {
+    // The expiration date is at positions 5 to 12 in the format "YYMMDD"
+    // So, we start extraction from index 4 (0-based index) and end at index 11
+    var rawDate = optionSymbol.slice(-15);
+    // The extracted date is in "YYMMDD" format
+    // We need to convert it into "YYYY-MM-DD"
+    // First, add "20" at the beginning to convert "YY" into "YYYY"
+    var year = "20" + rawDate.substring(0, 2);
+    // Next, extract the month and day
+    var month = rawDate.substring(2, 4);
+    var day = rawDate.substring(4, 6);
+    // Combine them together into the desired format
+    var formattedDate = "".concat(year, "-").concat(month, "-").concat(day);
+    return formattedDate;
+}
+exports.extractExpirationDateFromOptionSymbol = extractExpirationDateFromOptionSymbol;

package/dist/utils/common/util-functions.d.ts

@@ -0,0 +1,4 @@
+export declare const encryptPassword: (password: string) => Promise<any>;
+export declare const decryptPassword: (password: string) => Promise<any>;
+export declare const localLogging: (msg: string) => void;
+export declare function waitForRandomSecs(maxSec?: number): Promise<void>;

package/dist/utils/common/util-functions.js

@@ -0,0 +1,94 @@
+"use strict";
+var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
+    function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
+    return new (P || (P = Promise))(function (resolve, reject) {
+        function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
+        function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
+        function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
+        step((generator = generator.apply(thisArg, _arguments || [])).next());
+    });
+};
+var __generator = (this && this.__generator) || function (thisArg, body) {
+    var _ = { label: 0, sent: function() { if (t[0] & 1) throw t[1]; return t[1]; }, trys: [], ops: [] }, f, y, t, g;
+    return g = { next: verb(0), "throw": verb(1), "return": verb(2) }, typeof Symbol === "function" && (g[Symbol.iterator] = function() { return this; }), g;
+    function verb(n) { return function (v) { return step([n, v]); }; }
+    function step(op) {
+        if (f) throw new TypeError("Generator is already executing.");
+        while (g && (g = 0, op[0] && (_ = 0)), _) try {
+            if (f = 1, y && (t = op[0] & 2 ? y["return"] : op[0] ? y["throw"] || ((t = y["return"]) && t.call(y), 0) : y.next) && !(t = t.call(y, op[1])).done) return t;
+            if (y = 0, t) op = [op[0] & 2, t.value];
+            switch (op[0]) {
+                case 0: case 1: t = op; break;
+                case 4: _.label++; return { value: op[1], done: false };
+                case 5: _.label++; y = op[1]; op = [0]; continue;
+                case 7: op = _.ops.pop(); _.trys.pop(); continue;
+                default:
+                    if (!(t = _.trys, t = t.length > 0 && t[t.length - 1]) && (op[0] === 6 || op[0] === 2)) { _ = 0; continue; }
+                    if (op[0] === 3 && (!t || (op[1] > t[0] && op[1] < t[3]))) { _.label = op[1]; break; }
+                    if (op[0] === 6 && _.label < t[1]) { _.label = t[1]; t = op; break; }
+                    if (t && _.label < t[2]) { _.label = t[2]; _.ops.push(op); break; }
+                    if (t[2]) _.ops.pop();
+                    _.trys.pop(); continue;
+            }
+            op = body.call(thisArg, _);
+        } catch (e) { op = [6, e]; y = 0; } finally { f = t = 0; }
+        if (op[0] & 5) throw op[1]; return { value: op[0] ? op[1] : void 0, done: true };
+    }
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.waitForRandomSecs = exports.localLogging = exports.decryptPassword = exports.encryptPassword = void 0;
+var CryptoJS = require("crypto-js");
+var SECRET = "tradingflow_isidjfiw";
+var encryptPassword = function (password) { return __awaiter(void 0, void 0, void 0, function () {
+    var ciphertext;
+    return __generator(this, function (_a) {
+        ciphertext = CryptoJS.AES.encrypt(password, SECRET).toString();
+        return [2 /*return*/, ciphertext];
+    });
+}); };
+exports.encryptPassword = encryptPassword;
+var decryptPassword = function (password) { return __awaiter(void 0, void 0, void 0, function () {
+    var bytes, originalText;
+    return __generator(this, function (_a) {
+        bytes = CryptoJS.AES.decrypt(password, SECRET);
+        originalText = bytes.toString(CryptoJS.enc.Utf8);
+        return [2 /*return*/, originalText];
+    });
+}); };
+exports.decryptPassword = decryptPassword;
+var localLogging = function (msg) {
+    if (process.env.NODE_ENV !== 'production' && process.env.CUSTOM_NODE_ENV !== 'production') {
+        console.log("[LOCAL ONLY LOG] ".concat(msg));
+    }
+};
+exports.localLogging = localLogging;
+function waitForRandomSecs(maxSec) {
+    if (maxSec === void 0) { maxSec = 10; }
+    return __awaiter(this, void 0, void 0, function () {
+        return __generator(this, function (_a) {
+            switch (_a.label) {
+                case 0: return [4 /*yield*/, randomSleep(maxSec)];
+                case 1:
+                    _a.sent();
+                    return [2 /*return*/];
+            }
+        });
+    });
+}
+exports.waitForRandomSecs = waitForRandomSecs;
+function randomSleep(maxSec) {
+    return __awaiter(this, void 0, void 0, function () {
+        var sleepTime;
+        return __generator(this, function (_a) {
+            switch (_a.label) {
+                case 0:
+                    sleepTime = Math.floor(Math.random() * maxSec) + 1;
+                    console.log("Sleeping for ".concat(sleepTime, " seconds..."));
+                    return [4 /*yield*/, new Promise(function (resolve) { return setTimeout(resolve, sleepTime * 1000); })];
+                case 1:
+                    _a.sent();
+                    return [2 /*return*/];
+            }
+        });
+    });
+}

package/dist/utils/strategy/calculateScoreAndStrategy.d.ts

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+import { OptionFlowItem } from '../../types/shared';
+import { OptionFlowItemFull, OptionFlowItemFullWebApp } from '../../types/optionTrades';
+/**
+ * weight components
+ * 1. deltaExposure and deltaImpact
+ * 2. whether is a opening open interest
+ * 3. Combination:
+ * SELL CALL + BEARISH + OPENING + High IV +  => Institute SELL CALL
+ * BUY PUT + BEARISH + OPENING + Low IV => Institute BUY PUT
+ * TODO: add score, remove existing strategy3
+ * FAR OTM + WITH 30DAYS
+ */
+export declare function calculateScoreAndStrategy(record: OptionFlowItem): void;
+export declare function calculateScoreAndStrategyOptionTradeFull(record: OptionFlowItemFull): OptionFlowItemFullWebApp;

package/dist/utils/strategy/calculateScoreAndStrategy.js

@@ -0,0 +1,133 @@
+"use strict";
+var __assign = (this && this.__assign) || function () {
+    __assign = Object.assign || function(t) {
+        for (var s, i = 1, n = arguments.length; i < n; i++) {
+            s = arguments[i];
+            for (var p in s) if (Object.prototype.hasOwnProperty.call(s, p))
+                t[p] = s[p];
+        }
+        return t;
+    };
+    return __assign.apply(this, arguments);
+};
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.calculateScoreAndStrategyOptionTradeFull = exports.calculateScoreAndStrategy = void 0;
+var sigmoid = require('sigmoid');
+var shared_1 = require("../../types/shared");
+var math_functions_1 = require("../common/math-functions");
+var record_function_1 = require("../common/record-function");
+/**
+ * weight components
+ * 1. deltaExposure and deltaImpact
+ * 2. whether is a opening open interest
+ * 3. Combination:
+ * SELL CALL + BEARISH + OPENING + High IV +  => Institute SELL CALL
+ * BUY PUT + BEARISH + OPENING + Low IV => Institute BUY PUT
+ * TODO: add score, remove existing strategy3
+ * FAR OTM + WITH 30DAYS
+ */
+function calculateScoreAndStrategy(record) {
+    var _a, _b;
+    var HIGH_IV = 0.8;
+    var LOW_IV = 0.3;
+    /**
+     * The initial value is the impact value which represent the percentage
+     * 2.3 means 2.3% of the ratio for delta exposure and average stock volume.
+     * deltaImpact 0 =>   0.5 * 100
+     * deltaImpact 50 =>  0.9 * 100
+     * deltaImpact 100 => 1.0 * 100
+     */
+    var score = calculateSigmoid(record.deltaImpact) * 100;
+    /**
+     * if it is opening, reward multiplier is 1.3
+     */
+    var isOpening = (0, record_function_1.passOpeningFilter)(record) >= 0;
+    if (!isOpening) {
+        score *= 0.8;
+    }
+    /**
+     * check whether the order is potential institutional sell or institutional buy.
+     */
+    if (record.put_call === shared_1.CALL_PUT_TAG.CALL &&
+        (record.side === shared_1.SIDE_LABEL.BID || record.side === shared_1.SIDE_LABEL.BELOW_BID) &&
+        record.sentiment === shared_1.SENTIMENT_TAG.BEARISH &&
+        isOpening &&
+        record.option_activity_type === shared_1.OPTION_ACTIVITY_TYPE.BLOCK &&
+        record.iv >= HIGH_IV) {
+        (_a = record.strategy_label) === null || _a === void 0 ? void 0 : _a.push(shared_1.STRATEGY_LABEL.INSTITUTE_SELL_CALL);
+    }
+    else if (record.put_call === shared_1.CALL_PUT_TAG.PUT &&
+        (record.side === shared_1.SIDE_LABEL.ASK || record.side === shared_1.SIDE_LABEL.ABOVE_ASK) &&
+        record.sentiment === shared_1.SENTIMENT_TAG.BEARISH &&
+        isOpening &&
+        record.option_activity_type === shared_1.OPTION_ACTIVITY_TYPE.BLOCK &&
+        record.iv <= LOW_IV) {
+        (_b = record.strategy_label) === null || _b === void 0 ? void 0 : _b.push(shared_1.STRATEGY_LABEL.INSTITUTE_BUY_PUT);
+    }
+    if (record.side === shared_1.SIDE_LABEL.MID || record.sentiment === shared_1.SENTIMENT_TAG.NEUTRAL) {
+        score *= 0.5;
+    }
+    if (record.underlying_type === shared_1.UNDERLYING_TYPE_TAG.ETF) {
+        score *= 0.8;
+    }
+    score = (0, math_functions_1.fixFloatPrecisionToNumber)(score, 0);
+    record.score = score;
+}
+exports.calculateScoreAndStrategy = calculateScoreAndStrategy;
+function calculateScoreAndStrategyOptionTradeFull(record) {
+    var HIGH_IV = 0.8;
+    var LOW_IV = 0.3;
+    /**
+     * The initial value is the impact value which represent the percentage
+     * 2.3 means 2.3% of the ratio for delta exposure and average stock volume.
+     * deltaImpact 0 =>   0.5 * 100
+     * deltaImpact 50 =>  0.9 * 100
+     * deltaImpact 100 => 1.0 * 100
+     */
+    var score = calculateSigmoid(record.dei) * 100;
+    var strategy_label = [];
+    /**
+     * if it is opening, reward multiplier is 1.3
+     */
+    var isOpening = (0, record_function_1.passOpeningFilterFull)(record);
+    if (!isOpening) {
+        score *= 0.8;
+    }
+    /**
+     * check whether the order is potential institutional sell or institutional buy.
+     */
+    if (record.put_call === shared_1.CALL_PUT_TAG.CALL &&
+        (record.side === shared_1.SIDE_LABEL.BID || record.side === shared_1.SIDE_LABEL.BELOW_BID) &&
+        record.sentiment === shared_1.SENTIMENT_TAG.BEARISH &&
+        isOpening &&
+        record.option_activity_type === shared_1.OPTION_ACTIVITY_TYPE.BLOCK &&
+        record.iv >= HIGH_IV) {
+        strategy_label === null || strategy_label === void 0 ? void 0 : strategy_label.push(shared_1.STRATEGY_LABEL.INSTITUTE_SELL_CALL);
+    }
+    else if (record.put_call === shared_1.CALL_PUT_TAG.PUT &&
+        (record.side === shared_1.SIDE_LABEL.ASK || record.side === shared_1.SIDE_LABEL.ABOVE_ASK) &&
+        record.sentiment === shared_1.SENTIMENT_TAG.BEARISH &&
+        isOpening &&
+        record.option_activity_type === shared_1.OPTION_ACTIVITY_TYPE.BLOCK &&
+        record.iv <= LOW_IV) {
+        strategy_label === null || strategy_label === void 0 ? void 0 : strategy_label.push(shared_1.STRATEGY_LABEL.INSTITUTE_BUY_PUT);
+    }
+    if (record.side === shared_1.SIDE_LABEL.MID || record.sentiment === shared_1.SENTIMENT_TAG.NEUTRAL) {
+        score *= 0.5;
+    }
+    if (record.underlying_type === shared_1.UNDERLYING_TYPE_TAG.ETF) {
+        score *= 0.8;
+    }
+    score = (0, math_functions_1.fixFloatPrecisionToNumber)(score, 0);
+    var result = __assign(__assign({}, record), { score: score, strategy_label: strategy_label, itemOptionChainInfo: null });
+    return result;
+}
+exports.calculateScoreAndStrategyOptionTradeFull = calculateScoreAndStrategyOptionTradeFull;
+function calculateSigmoid(value) {
+    return sigmoid(value);
+    // return makeSigmoid({
+    //   center: 0,
+    //   deviation: 10,
+    //   deviation_output: 0.9,
+    // })(value);
+}

package/package.json

@@ -0,0 +1,29 @@
+{
+  "name": "@engineering-tf/shared",
+  "version": "1.0.0",
+  "publishConfig": {
+    "access": "public"
+  },
+  "main": "dist/index.js",
+  "types": "dist/index.d.ts",
+  "files": [
+    "dist"
+  ],
+  "scripts": {
+    "build": "tsc",
+    "watch": "tsc -w"
+  },
+  "dependencies": {
+    "crypto-js": "^4.2.0",
+    "discord-webhook-node": "^1.1.8",
+    "moment": "^2.30.1",
+    "moment-timezone": "^0.5.31",
+    "sigmoid": "^0.0.1",
+    "uuid": "^11.0.2"
+  },
+  "devDependencies": {
+    "@types/crypto-js": "^4.2.2",
+    "@types/node": "^25.0.3",
+    "typescript": "^4.9.5"
+  }
+}