Get Dealer Delta Pressure Signal

Dealer net-delta imbalance (DNI) — intraday leading indicator.

Answers: does the assumed dealer-position model produce net-short or net-long options delta? This is modeled options-only inventory, not observed dealer ownership or a forecast of executed hedge flow.

Logic highlights (src/signals/basic/dealer_delta_pressure.py). Three data paths in priority order:

1. ctx.dealer_net_delta — if populated upstream, used directly.
2. gex_by_strike.{call_delta_oi, put_delta_oi} — sum −(call_delta_oi + put_delta_oi) across strikes (dealer sign is flipped from customer OI; customers are typically long calls & puts).
3. Distance-proxy fallback — use call_oi / put_oi with a linear delta proxy (0.5 at ATM, decaying to 0 at ±5% OTM), ×100 shares/contract.

• score = −clip(dni / SIGNAL_DNI_NORM, [-1, 1]) (default norm ~$3e8 shares-equivalent). Inverted: dealer short delta (negative DNI) scores bullish, because they must buy into strength.
• Abstains (score=0) if no data path yields an estimate.

Params:

• symbol (default SPY). Returns 404 if no row exists yet.

Returns:

{
  "underlying": "SPY", "timestamp": "...",
  "clamped_score": 0.45, "score": 45.1, "direction": "bullish",
  "weighted_score": 0.0, "weight": 0.0,
  "dealer_net_delta_estimated": -135000000.0,
  "dni_normalized": -0.45,
  "source": "gex_by_strike.delta_oi",
  "context_values": {
    "dealer_net_delta_estimated": -135000000.0,
    "dni_normalized": -0.45,
    "source": "gex_by_strike.delta_oi"
  },
  "score_history": [{"score": 28.1, "timestamp": "..."}, "...up to 90"]
}

• score / clamped_score — [-100, +100] / [-1, +1]; + = bullish.
• dealer_net_delta_estimated — shares-equivalent, signed. Negative = dealer net short delta (bullish for price after inversion).
• dni_normalized — dni / DNI_NORM clipped to [-1, +1]. Sign is opposite the score (signal is inverted).
• source — data-path quality: "dealer_net_delta_field" (best) | "gex_by_strike.delta_oi" | "gex_by_strike.distance_proxy" (weakest) | "unavailable".
• score_history — up to 90 recent points.

Trader interpretation.

• score > +60 → dealers deeply short delta; any up-move likely accelerated (chase risk). Favor long-delta plays (calls, long futures).
• score < −60 → dealers net long; rallies will be sold into. Favor mean-reversion or short-delta debit spreads.
• source = "gex_by_strike.distance_proxy" → fallback-quality estimate; widen conviction threshold before acting.
• Cross-signal: when this disagrees with gex_gradient (structural view), trust dealer_delta_pressure on a ≤ 30m horizon.

Page design. Single horizontal ±100 bar labeled "Dealer Delta Pressure." Subtext: "Dealers short delta → bullish" on + side; "Dealers long delta → bearish" on − side. Data-quality chip shows the source value. Sparkline of score_history beneath.