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Trade Plan Calculation - Data Flow & Sources

Overview

The trade plan is automatically generated for every options flow signal with a rocket score >= 3. It calculates entry prices, stop losses, profit targets, and risk/reward ratios based on real-time price data.

Entry Point

File: backend/src/routes/optionsFlow.js (line 228-233)

if (rocketScore >= 3) {
  const tradePlan = generateTradePlan(enrichedRow);
  enrichedRow.tradePlan = tradePlan;
  enrichedRow.tradePlanDisplay = formatTradePlanDisplay(tradePlan);
}

Data Sources

1. Current Price (Primary Reference)

Sources (in priority order):

flow.yahooPriceData.currentPrice - REAL-TIME from Yahoo Finance API ⭐ (PRIMARY)
flow.spot_num - Spot price from flow data (fallback)
flow.u_close - Close price at signal time (from database, may be stale)
flow.last_px - Last price (fallback)
flow.Price - Fallback price field

Yahoo Finance API: https://query1.finance.yahoo.com/v8/finance/chart/{symbol}?interval=1d&range=5d

Returns real-time regularMarketPrice or previousClose
This is the PRIMARY source for current price (not database)

2. VWAP (Volume Weighted Average Price)

Sources:

flow.vwap_at_signal - VWAP calculated at signal time (from Python service)
flow.vwap_lb - VWAP from SQL query
flow.vwap - Fallback

Calculation:

Sum of (price × volume) from RTH open to signal time / Sum of volume
Note: VWAP may still come from database/Python service, but entry prices use Yahoo Finance current price

3. RTH Open (Regular Trading Hours Open)

Sources (in priority order):

flow.yahooPriceData.open - REAL-TIME from Yahoo Finance API ⭐ (PRIMARY)
flow.rth_open - From database (fallback, may be stale)
Falls back to current price if unavailable

Yahoo Finance API: Returns regularMarketOpen for today

4. Opening Range (OR High/Low)

Sources (in priority order):

flow.yahooPriceData.high / flow.yahooPriceData.low - REAL-TIME from Yahoo Finance API ⭐ (PRIMARY)
- Uses today's high/low as OR levels (more accurate than stale database data)
flow.or_high / flow.or_low - From database (fallback, may be stale)
Calculated fallback: currentPrice * 1.01 (high) or currentPrice * 0.99 (low)

Yahoo Finance API: Returns regularMarketDayHigh and regularMarketDayLow for today

Validation: Only used if within 10% of current price (to avoid stale data)

5. Prior High

Sources (in priority order):

flow.yahooPriceData.volumeHistory[1].high - REAL-TIME from Yahoo Finance API ⭐ (PRIMARY)
- Gets yesterday's high from volumeHistory (last 5 days data)
flow.prior_high - From database (fallback, may be stale)
flow.priorHigh - Alternative field name
Fallback: currentPrice * 1.02 (2% above current)

Yahoo Finance API: Returns volumeHistory with last 5 days including high/low/close

Validation: Only used if above current price and within 10% above

6. Prior Close

Sources (in priority order):

flow.yahooPriceData.previousClose - REAL-TIME from Yahoo Finance API ⭐ (PRIMARY)
flow.prior_close or flow.priorClose - From database (fallback, may be stale)

Yahoo Finance API: Returns previousClose for previous trading day

7. Strike Price

Sources:

flow.strike_num - Strike price from options flow
flow.Strike - Alternative field name
Validation: Only used for T3 target if within 20% of current price

Calculation Flow

Step 1: Determine Signal (BUY/SELL/WAIT)

Function: determineSignal(flowData)

Based on badges (🟢/🔴, 💎, ⭐, 💰, ⚡)
Checks tape alignment
Checks rocket score

Step 2: Generate Entry Strategy

Function: generateEntryStrategy(flowData, signal)

For BUY Signals:

Primary Entry: VWAP (if available) OR current price
Aggressive Entry: OR high (if reasonable) OR current price * 1.005
Conditional Triggers:
- VWAP reclaim (if price < VWAP)
- Prior high break (if price < prior high)
- OR breakout (if price < OR high)

For SELL Signals:

Primary Entry: VWAP (if available) OR current price
Aggressive Entry: OR low (if reasonable) OR current price * 0.995
Conditional Triggers:
- VWAP rejection (if price > VWAP)
- OR breakdown (if price > OR low)

For WAIT Signals:

Primary Entry: null (no entry yet)
Conditional Triggers:
- Price breaks prior high (if within 10% above current)
- OR breakout (if within 5% above current)
- VWAP reclaim (if within 5% of current)
- Tape alignment turns positive
- Flow resumes (if flow is dead/stale)

Step 3: Calculate Stop Loss

Function: calculateStopLoss(flow, entryPrice)

Reference Price:

Uses entryPrice if available (for BUY/SELL)
Uses currentPrice if no entry (for WAIT signals)

For BULL/BUY Signals:

Tight Stop: referencePrice * 0.985 (-1.5%)
Wide Stop:
- OR low (if within 5% of reference price) OR
- referencePrice * 0.975 (-2.5%)

For BEAR/SELL Signals:

Tight Stop: referencePrice * 1.015 (+1.5%)
Wide Stop:
- OR high (if within 5% of reference price) OR
- referencePrice * 1.025 (+2.5%)

Step 4: Calculate Profit Targets

Function: calculateTargets(flow, entryPrice, signal)

Reference Price:

Uses entryPrice if available
Uses currentPrice if no entry (for WAIT signals)

For BUY/BULL Signals:

T1: referencePrice * 1.015 (+1.5%) - Take 50%
T2: referencePrice * 1.025 (+2.5%) - Take 30%
T3:
- Strike price (if within 20% above reference) OR
- referencePrice * 1.04 (+4%) - Runner 20%

For SELL/BEAR Signals:

T1: referencePrice * 0.985 (-1.5%) - Take 50%
T2: referencePrice * 0.975 (-2.5%) - Take 30%
T3:
- Strike price (if within 20% below reference) OR
- referencePrice * 0.96 (-4%) - Runner 20%

Step 5: Calculate Risk/Reward

Function: calculateRiskReward(entry, stop, target)

Formula:

Risk = |stop - entry| / entry * 100
Reward = |target - entry| / entry * 100
Ratio = reward / risk

Step 6: Calculate Readiness (WAIT signals only)

Function: calculateReadiness(plan)

Scoring:

Confidence * 0.6 (60% weight)
Entry strategy exists: +15 points
Stop loss exists: +10 points
Targets exist: +10 points
Reasoning exists: +5 points
Max: 100%

Key Validations

Price Level Validation

All price levels are validated against current price to avoid stale data:

OR High/Low: Only used if within 10% of current price
Prior High: Only used if above current and within 10% above
VWAP: Only used if within 5% of current price
Strike Price: Only used for T3 if within 20% of current price

Fallback Logic

If any price data is missing or stale:

Uses current price as base
Calculates percentage-based levels (e.g., +1.5%, -2.5%)
Never uses unreasonable/stale data

Example Calculation

Given:

Current Price: $131.81
VWAP: $130.50
OR High: $132.00
OR Low: $130.00
Strike: $155.00 (too far, ignored)
Signal: WAIT (BULL direction)

Entry Strategy:

Primary: null (WAIT signal)
Conditional Triggers:
- VWAP reclaim at $130.50 (if price < VWAP)
- OR breakout at $132.00 (if price < OR high)

Stop Loss (using current price $131.81):

Tight: $131.81 * 0.985 = $129.83 (-1.5%)
Wide: $130.00 (OR low, within 5%)

Targets (using current price $131.81):

T1: $131.81 * 1.015 = $133.79 (+1.5%)
T2: $131.81 * 1.025 = $135.11 (+2.5%)
T3: $131.81 * 1.04 = $137.08 (+4%) - Strike $155 ignored (too far)

Data Fetching

Yahoo Finance API (PRIMARY SOURCE) ⭐

Service: backend/src/services/yahooFinanceService.js Function: batchFetchYahooFinanceData(symbols)

API Endpoint:

https://query1.finance.yahoo.com/v8/finance/chart/{symbol}?interval=1d&range=5d

Returns:

currentPrice - Real-time market price
previousClose - Previous day's close
open - Today's open
high - Today's high
low - Today's low
volume - Today's volume
volumeHistory - Last 5 days with high/low/close/volume

When Fetched:

Fetched in optionsFlow.js route before trade plan generation
Passed to trade plan generator as yahooPriceData or stockPriceData
This is the PRIMARY source - database is only used as fallback

Database Queries (FALLBACK ONLY)

Note: Database queries are only used if Yahoo Finance data is unavailable

Price at Signal Time (Fallback)

SELECT close, high, low, volume, ts
FROM prices_intraday_1m
WHERE UPPER(symbol) = UPPER($1)
  AND ts <= $2  -- signal time
ORDER BY ts DESC
LIMIT 1

RTH Open (Fallback)

SELECT open, ts
FROM prices_intraday_1m
WHERE UPPER(symbol) = UPPER($1)
  AND (timezone('America/Chicago', ts))::date = $2  -- flow date
  AND (timezone('America/Chicago', ts))::time >= time '09:30:00'
ORDER BY ts ASC
LIMIT 1

Prior Close (Fallback)

SELECT close
FROM prices_daily
WHERE UPPER(symbol) = UPPER($1)
  AND "Date" = $2 - INTERVAL '1 day'  -- prior day
ORDER BY "Date" DESC
LIMIT 1

Summary

Entry Prices: Derived from VWAP, OR levels, or current price (from Yahoo Finance) Stop Loss: Percentage-based (-1.5% tight, -2.5% wide) with OR level fallback (from Yahoo Finance) Targets: Percentage-based (+1.5%, +2.5%, +4%) with strike price option All calculations:

PRIMARY: Use Yahoo Finance real-time data (currentPrice, open, high, low, previousClose, volumeHistory)
FALLBACK: Use database data only if Yahoo Finance unavailable
Validate all levels against current price to avoid stale data

Key Change: Trade plans now use Yahoo Finance API as the primary data source for all price calculations, ensuring real-time accuracy instead of stale database data.

9.7 KiB Raw Permalink Blame History Unescape Escape

Trade Plan Calculation - Data Flow & Sources

Overview

Entry Point

Data Sources

1. Current Price (Primary Reference)

2. VWAP (Volume Weighted Average Price)

3. RTH Open (Regular Trading Hours Open)

4. Opening Range (OR High/Low)

5. Prior High

6. Prior Close

7. Strike Price

Calculation Flow

Step 1: Determine Signal (BUY/SELL/WAIT)

Step 2: Generate Entry Strategy

For BUY Signals:

For SELL Signals:

For WAIT Signals:

Step 3: Calculate Stop Loss

For BULL/BUY Signals:

For BEAR/SELL Signals:

Step 4: Calculate Profit Targets

For BUY/BULL Signals:

For SELL/BEAR Signals:

Step 5: Calculate Risk/Reward

Step 6: Calculate Readiness (WAIT signals only)

Key Validations

Price Level Validation

Fallback Logic

Example Calculation

Data Fetching

Yahoo Finance API (PRIMARY SOURCE) ⭐

Database Queries (FALLBACK ONLY)

Price at Signal Time (Fallback)

RTH Open (Fallback)

Prior Close (Fallback)

Summary

9.7 KiB

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