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Signed Δ$ 0DTE (net)

What it is

Signed Δ$ 0DTE (net) — registry key signed_dollar_delta_0dte.

Net directional read of the signed delta-weighted 0DTE dollar-flow proxy over the live brokerage data session SPY 0DTE chain. FORWARD-ONLY research substrate — accumulating ~6mo to test vs the zero_dte_pcr baseline OOS; not yet scored or aligned.

Data-pyramid tier

T0 — Raw input. This metric sits at the raw input layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

No validated skill horizon is on file for this metric — read it as context / a data carrier, not a validated edge. Stamps are added only when a gated research verdict lands.

Source

Source module: vol_structure
Data source: computed

Derived metric — produced inside the platform (app/sources/vol_structure.py or equivalent) rather than fetched as a raw upstream value. See the How it's computed section below for the formula.

How it’s computed

Sum over EVERY 0DTE SPY contract ONLY (today-dated expiry, both call+put maps) of aggressor * delta * totalVolume * 100 * spot, where delta is brokerage data session’s SIGNED greek (calls +, puts -) and aggressor = clamp((mark - mid) / half_spread, -1, +1), mid = (bidPrice+askPrice)/2, half_spread = (askPrice-bidPrice)/2. The continuous aggressor is a refinement of the spec’s binary Lee-Ready proxy (sign = +1 if mark>=mid else -1); it captures trade-aggression magnitude and stays bounded in [-1,+1]. See app/sources/vol_structure.py:_fetch_zero_dte.

Where it surfaces

• API field: zero_dte.signed_dollar_delta on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: intraday_signals row (per-cycle snapshot)

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

• Publishes: intraday

See also

• /kb/api/get-signals-latest — API endpoint that serves this field.