GEXFlowTrader

Paper forward test of three SPY options strategies, with a read-only session chart. The tester polls Schwab, writes a DuckDB journal, and publishes a JSON snapshot. A second process draws that snapshot. No broker orders are sent.

The live chart is http://129.146.241.140:8080/.

System

Two containers share one data volume. The tester is the only process that talks to Schwab and the only process that opens the database. The dashboard opens the JSON file the tester rewrites after each commit.

flowchart LR
  subgraph schwab [Schwab Market Data]
    quotes[Quotes and chains]
    history[1-minute bars]
  end

  subgraph host [Oracle VM]
    subgraph tester [spy-forward]
      poll[60-second poll]
      signals[Signal and paper fill]
      db[(DuckDB)]
      json[live_view.json]
    end
    subgraph dash [spy-dashboard]
      http[HTTP :8080]
      page[Lightweight Charts]
    end
  end

  discord[Discord webhook]

  quotes --> poll
  history --> poll
  poll --> signals
  signals --> db
  db --> json
  json --> http
  http --> page
  signals --> discord

Loading

A poll is one transaction. If the chain, the bars, or the write fails, that minute is discarded: no snapshot row, no paper fill, no balance change. The process then waits 15 seconds and doubles the wait up to 5 minutes. Auth failures also ping Discord with @everyone.

sequenceDiagram
  participant Clock
  participant Tester
  participant Schwab
  participant DuckDB
  participant JSON as live_view.json
  participant Chart

  Clock->>Tester: session open
  loop every 60 seconds
    Tester->>Schwab: spot, SPY and /ES 1-minute bars, 0DTE chain, 0-1 DTE GEX
    Tester->>Schwab: 30-90 DTE book, every 15 minutes
    Tester->>Tester: levels, bands, signals, paper marks
    Tester->>DuckDB: commit snapshot, trades, balances
    Tester->>JSON: atomic replace
  end
  Chart->>JSON: GET /api/session every minute

Loading

When the NYSE is closed the tester sleeps until the next 09:30 ET open and logs that time. CPI, NFP, and FOMC windows suppress new entries. The calendar covers the 2026 and 2027 NYSE holidays and early closes.

What each process owns

Process	Reads	Writes	Never does
live_forward.py	Schwab, .env, the token file	DuckDB, live_view.json, Discord	Send a broker order
live_dashboard.py	live_view.json	The HTTP response	Open DuckDB, call Schwab, hold a token

DuckDB allows one writer. A second connection to the live file fails, which is why the chart is a file reader.

Market data

Book	When	What it feeds
SPY spot and 1-minute bars	Every poll	VWAP, 5-minute and 15-minute bars, HMM, OU
/ES 1-minute bars	Every poll	Momentum price, session VWAP, and 15-minute slope. SPY closes stand in when /ES is empty
0DTE chain, 30 strikes	Every poll	Walls, zero gamma, CDF, ATM IV, intraday structures
0DTE and 1DTE chain	Every poll	gex_0_1 magnitude
30–90 DTE chain, 50 strikes	Every 15 minutes, or every poll while a macro position is open	Macro GEX, gamma flip, the macro put spread

Schwab implied vol arrives as a percent and is stored as a decimal. Volume on the chain is already the session total, so CDF is not a cumulative sum of snapshots.

The access token is minted again when it is older than 28 minutes, and only while the tester is polling. Schwab’s refresh token lasts 7 days from the browser login that created it. Saving the rotated string in SCHWAB_REFRESH_TOKEN_PATH (/data/schwab_refresh_token, mode 600) keeps the current string, and it does not start a new 7-day window. On expiry Schwab rejects the token request. The tester posts @everyone to Discord, backs off, and leaves the chart on the last good session. get_refresh_token.py is the browser login that mints the next refresh token. One app key has one live refresh token. A second client that refreshes the same token invalidates the server.

Measures

Two gamma books are kept on purpose. The regime sign uses the intraday dollar-gamma book. Wall strikes and the GEX magnitudes use open interest.

Intraday dollar gamma (regime, zero gamma), through 10:30 ET weighted by open interest, and after that by 0.4 × OI + 0.6 × volume:

Dollar Gamma = Gamma × weight × 100 × Spot² × 0.01

Put dollar gamma is signed negative. Net intraday GEX is the sum. Zero gamma is the interpolated cumulative-zero closest to spot. The gamma in that zero-gamma book is Black-Scholes, marked at the live spot and each strike's own implied vol (r = 0.04, q = 0.012), with the same weights as the regime book. The regime sign still uses Schwab's quoted gamma. Cascade reads this zero-gamma strike, so an IV change moves the breakout level.

Wall rank and GEX magnitude:

Dollar Gamma = Gamma × Open Interest × 100 × Spot

Series	Definition
Call wall 1 / put wall 1	Strike with the largest dollar gamma on that side
Call wall 2 / put wall 2	Next strike, kept only when its dollar gamma is at least 80% of the primary. Otherwise null
0–1 DTE GEX	Signed sum of that formula over expirations with 0 or 1 day to expiry
30–90 DTE GEX	(call OI × call gamma − put OI × put gamma) × 100 × spot, summed
Total net GEX	0–1 DTE GEX + 30–90 DTE GEX

A wall or zero-gamma print that jumps more than one SPY strike ($1.01) is held until the new level repeats for three polls. A one-strike step is accepted immediately. A secondary wall has to confirm for three polls before it appears, and it clears only after three polls of absence.

Expected move still left in the session, centered on VWAP. A full 390-minute day matches spot × ATM IV × sqrt(1/252). The upper width uses ATM call IV and the lower width uses ATM put IV. A missing side falls back to the combined ATM average.

width = Spot × side IV × sqrt(minutes left / (390 × 252))
upper 1σ = VWAP + call width
lower 1σ = VWAP − put width
2σ       = twice that width on the same side

Absorption and cascade use these bands, so a 1σ test and a 2σ target tighten as the close approaches.

Volume GEX is the same strike sum as the wall formula with session volume in place of open interest, on the 0DTE book only. It is drawn on the GEX chart. The regime sign stays on the dollar-gamma book.

1% hedge is total net GEX × 0.01 × spot: the dollars of underlying that hedge a 1% move.

Charm to close is the dollars of underlying the same signed book must trade by the cash close as delta decays. Charm is Black-Scholes dDelta per year of time passing, times the minutes still left, times 100, times spot. Calls minus puts. A positive figure means delta rises into the close, so the hedge sells shares. It is a published stat. The last-hour entry block is still the max-open-interest pin, not this greek.

ATM IV is the average of the call and put implied vol at the strike nearest spot. atm_call_iv and atm_put_iv are stored separately and drive the upper and lower bands.

Overnight PML is the 0DTE strike where long-option dealer liability is largest: call open interest × call gamma, plus put open interest × put gamma. At the 09:30 ET poll the tester freezes that strike with the primary call wall and primary put wall. The three values live in SESSION_STATE (static_open_call_wall_1, static_open_put_wall_1, static_open_pml, plus static_open_day) and stay fixed for the session. A restart reloads them. A poll after 09:30 does not invent them from a later chain.

IV peak center is the geometric center of the contiguous 0DTE strikes whose average call/put IV is at least 98% of the highest strike IV.

IV max fear is the first strike beyond the outer call wall, and beyond the outer put wall, where that side's dollar gamma is under 20% of the primary wall. The outer wall is the farther of the primary and the 80% secondary.

ES momentum is the last /ES price, /ES session VWAP, and the regression slope of the last 15 one-minute closes, in percent of the last price. When /ES bars are missing, the same three numbers are computed on SPY.

CDF is share-delta flow on the 0DTE book:

CDF = Σ(call volume × call delta) − Σ(put volume × |put delta|)

HMM is a two-state Gaussian model on 1-minute returns, refit at most every 30 minutes. State 0 is the lower-variance state.

OU theta is the AR(1) mean-reversion speed on those closes. Theta at or below 0.005 counts as faded mean reversion for the macro swing.

Strategies

Each strategy has its own cash account, one open position, and a 5-minute cooldown after a stop. Intraday entries fire on a completed 5-minute bar. New 0DTE entries stop 15 minutes before the close. Open 0DTE positions flatten in the last 5 minutes.

flowchart TD
  bar["Completed 5-minute bar"]
  bar --> guards{"Blackout, charm pin, or last 15 minutes?"}
  guards -->|yes| skip["No new entry"]
  guards -->|no| regime{"Intraday net GEX"}

  regime -->|"positive, macro GEX at least 0, HMM state 0"| absorb["Absorption"]
  regime -->|"negative, and macro GEX below 0 or spot under the flip"| cascade["Cascade"]

  absorb --> fade{"Failed test of a wall or sigma band, IV stable, CDF agrees"}
  fade -->|yes| credit["0DTE credit spread"]
  fade -->|no| skip

  cascade --> brk{"Close through the active wall, IV spike, CDF accelerating"}
  brk -->|yes| debit["0DTE debit spread"]
  brk -->|no| skip

  window["11:00 to 15:55 ET"] --> macro{"Two 15-minute closes under the flip, macro GEX negative, HMM state 1 or OU faded"}
  macro -->|yes| swing["30 to 60 DTE put debit"]

Loading

	Absorption	Cascade	Macro swing
Regime	Intraday GEX > 0, macro GEX ≥ 0, HMM state 0	Intraday GEX < 0, and macro GEX < 0 or spot below the flip	Macro GEX < 0, from 11:00 through 15:55 ET
Extra	ATM IV within 0.002 of the 15-minute reading. CDF moves with the fade, or is flat. A bullish fade is blocked when the 15-minute slope is below −0.05%. A bearish fade is blocked when it is above +0.05%	IV up 0.005 or 3% versus 15 minutes ago. 15-minute CDF change larger than the prior 15 minutes, and in the trade direction. /ES last price must be on the breakout side of /ES VWAP, and the slope must share that sign	Two completed 15-minute SPY closes below the macro flip. HMM state 1, or OU theta ≤ 0.005
Trigger	5-minute test of the put wall, call wall, 1σ, or 2σ that fails to close through. A wall wins when both a wall and a band qualify	5-minute close through call_wall_2 on the upside, or put_wall_2 on the downside, when that secondary wall exists. Otherwise the primary wall or zero gamma. Price must be on the correct side of SPY VWAP	The window, the two closes, and the regime above. A same-day exit does not re-enter
Structure	0DTE credit, short strike at the tested level, long strike one strike further out	0DTE debit, about $2 wide, long strike nearest spot	30–60 DTE put debit, about $5 wide, expiration nearest 45 DTE. Reason starts with ENTER_MACRO_PUT_DEBIT
Stop	5-minute close through the structural stop, with CDF confirming. An upper fade (call wall or upper 1σ) stops above iv_max_fear_upper. A lower fade (put wall or lower 1σ) stops below iv_max_fear_lower. When that fear strike is missing, a 1σ fade still uses the secondary wall	Close back through zero gamma	Next session: HMM back in state 0. Or, in the closing 5 minutes, spot back above the flip or macro GEX ≥ 0
Take profit	Half the credit, spot back to VWAP or zero gamma, or spot touching the IV peak center. Taken only when the close is green after fees	Spot reaches the 2σ band in the trade direction, or CDF stays flat for three polls. Taken only when the close is green after fees	The exit rules above
Flatten	Last 5 minutes	Last 5 minutes	Held overnight

A quote is skipped when the combined bid-ask width is more than SPREAD_BA_MAX_RATIO (default 5%) of the structure's mid value, when the premium is under $0.05, or when the credit or debit is wider than the strikes. The charm guard blocks new entries in the last hour when spot is within 0.15% of the 0DTE strike with the most open interest.

A take-profit event is written only when the marked close is positive after fees. A red absorption fade, a red 2σ touch, or a red CDF reading stays open for the stop or the session flatten. Cascade's CDF exit also waits until the 15-minute change has been inside 5% of the cumulative CDF for three polls in a row. One quiet minute does not close it.

Paper account

Rule	Value
Starting balance	INITIAL_BALANCE per strategy, default $100,000. Cumulative is the sum
Risk	2% of that strategy's balance
Size	Whole contracts, max loss inside the risk budget, cap 25
Fees	$0.65 × contracts × legs × 2
Mark	Signed mid minus SLIPPAGE_SPREAD_FACTOR × the summed bid-ask width on the way in, and plus that amount on the way out. Default factor is 0.35. A stop or flatten may fall back to intrinsic when quotes are missing
Reject	A debit whose fill is at least as wide as the strikes, or a credit fill of $0.05 or less, is not opened
PnL	(entry fill − closing fill) × 100 × contracts − fees. The signed mid is short mid minus long mid, so a credit is positive. TRADES stores mid_price and executed_fill_price

Storage

DUCKDB_PATH defaults to forward_test.db. Compose mounts ./data at /data.

erDiagram
  SNAPSHOTS {
    string ts
    float spot
    float intrad_net_gex
    float call_wall
    float put_wall
    float call_wall_2_strike
    float put_wall_2_strike
    float zero_gamma
    float gex_0_1
    float total_net_gex
    float macro_net_gex
    float vwap
    float upper_1
    float lower_1
  }
  TRADES {
    string ts
    string strategy
    string event
    float pnl
    float mid_price
    float executed_fill_price
    string detail
  }
  BALANCES {
    string strategy PK
    float balance
  }
  OPEN_POSITIONS {
    string strategy PK
    string payload
  }
  SESSION_STATE {
    string key PK
    string value
  }

Loading

SESSION_STATE also holds static_open_day, static_open_call_wall_1, static_open_put_wall_1, and static_open_pml for the session that locked them.

live_view.json is replaced atomically beside the database. It holds the latest session only: price levels, the three static opening levels, CDF, ATM IV, the GEX series, balances, open positions, and trades. A gap longer than three minutes is a break in the line. The publisher recomputes the expected-move bands from stored spot, VWAP, ATM IV, and the call and put IVs when those columns exist, and it replays the wall filter, so a chart rebuilt from an older file still uses the current level rules. The static lines are published only when static_open_day matches the session.

Chart

http://129.146.241.140:8080/ polls /api/session once a minute, on the same cadence as the snapshot write. /health returns ok.

Series	Drawing
Price	Session one-minute history, replaced each poll, with the latest spot in the current bar
VWAP	Solid gray
1σ	Dotted purple, remaining-session expected move around VWAP
Call wall 1	Solid red
Call wall 2	Dashed red, omitted when null
Put wall 1	Solid green
Put wall 2	Dashed green, omitted when null
Zero gamma	Solid gold
Open call wall	Dotted red, the 09:30 primary call wall
Open put wall	Dotted green, the 09:30 primary put wall
Open PML	Dotted gray, the 09:30 peak-liability strike
Net GEX	Total, 0–1 DTE, 0DTE volume, and 30–90 DTE
Price	One-minute candles, VWAP, remaining-session 1σ, walls
PnL	Change from each balance at the session open

Clock labels are America/New_York. The price scale follows spot, the 1σ bands, and the opening reference lines. The 2σ levels stay in the signal logic: absorption can still fade a failed 2σ test, and cascade still takes profit when spot reaches 2σ. They are not drawn.

Layout

Module	Responsibility
live_forward.py	Session loop, persistence, Discord, paper positions
live_market.py	Schwab session, chains, bars, token rotation
live_signals.py	Entry rules, structures, HMM, OU, slippage, fees
live_view.py	JSON publisher
live_dashboard.py	Read-only chart server
gex_engine.py	Strike GEX, dollar gamma, walls, PML, IV peak, max fear, CDF, ATM IV, level filter
ta_engine.py	VWAP and expected-move bands
signal_engine.py	Macro gamma flip
event_calendar.py	NYSE hours, holidays, CPI / NFP / FOMC blackouts
test_forward_logic.py	Logic checks, no network
docker-compose.yml	Tester and dashboard
Dockerfile	python:3.11-slim image used by both services

Run

python3 -m venv .venv
source .venv/bin/activate
pip install -r requirements.txt
python3 test_forward_logic.py

Copy .env.example to .env on the host that will poll Schwab. Do not commit .env, the database, or the token file.

SCHWAB_APP_KEY
SCHWAB_APP_SECRET
SCHWAB_REFRESH_TOKEN
SCHWAB_REFRESH_TOKEN_PATH=/data/schwab_refresh_token
DISCORD_WEBHOOK_URL
DUCKDB_PATH=/data/forward_test.db
SPREAD_BA_MAX_RATIO=0.05
SLIPPAGE_SPREAD_FACTOR=0.35
INITIAL_BALANCE=100000

The current deployment is /home/ubuntu/spy-forward on the Oracle VM. Compose builds one image and starts both processes. The dashboard publishes port 8080. The tester has no published ports.

docker compose up -d --build

A restart sends a Discord message that the forward test started. While the market is closed the process waits for the next open.

Operate

• Watch the session at http://129.146.241.140:8080/. The page is enough. There is no local chart process.
• Keep a single Schwab session. Refreshing the same app key anywhere else rotates the token out from under the tester.
• About 7 days after the last browser login, run python3 get_refresh_token.py on your machine (it listens on https://127.0.0.1:8080, which is not the server chart). Stop spy-forward, write the new SCHWAB_REFRESH_TOKEN into .env and into /data/schwab_refresh_token, then start it again. The file wins over .env. Leaving the tester running during that swap can overwrite the new token with a refresh of the old one.
• The dashboard container mounts ./data read-only and has no .env.
• Logs: docker logs spy-forward and docker logs spy-dashboard.
• A failed poll is visible in Discord and in the tester log. The chart simply shows a gap.