feat(analysis): skeleton modulo data_audit (dataclass + soglie)

src/cerbero_bite/analysis/data_audit.py

@@ -0,0 +1,95 @@
+"""Data quality audit over market_snapshots + option_chain_snapshots.
+
+Pure functions: each takes a ``sqlite3.Connection`` and a UTC time
+window, returns a frozen dataclass. No side effects, no MCP, no
+writes. The CLI layer (``cli.audit``) is responsible for I/O and
+formatting.
+
+Thresholds are module-level constants by design: the audit and the
+runtime live in different contexts and must not share operational
+parameters. To tune a threshold, edit this file.
+"""
+
+from __future__ import annotations
+
+import sqlite3
+import statistics
+from dataclasses import dataclass, field
+from datetime import UTC, datetime, timedelta
+from decimal import Decimal
+
+__all__ = [
+    "ChainAuditReport",
+    "GapRecord",
+    "MarketAuditReport",
+    "audit_market_snapshots",
+    "audit_option_chain",
+]
+
+# Tick cadence + gap tolerance. Cron is */15; +5 min tolerance covers
+# late-arriving MCP responses.
+_TICK_INTERVAL_MIN: int = 15
+_GAP_THRESHOLD_MIN: int = 20
+
+# fetch_ok=0 streak threshold: 1-2 are transient MCP failures, 3+ is a
+# pattern worth flagging.
+_FETCH_OK_STREAK_THRESHOLD: int = 3
+
+# A numeric column with >10% NULL in the window is too unreliable for
+# backtesting that metric.
+_NULL_RATE_FLAG: Decimal = Decimal("0.10")
+
+# Columns to NULL-audit on market_snapshots. fetch_ok / fetch_errors_json
+# are excluded (they are status fields, not metrics).
+_MARKET_NUMERIC_COLUMNS: tuple[str, ...] = (
+    "spot",
+    "dvol",
+    "realized_vol_30d",
+    "iv_minus_rv",
+    "funding_perp_annualized",
+    "funding_cross_annualized",
+    "dealer_net_gamma",
+    "gamma_flip_level",
+    "oi_delta_pct_4h",
+    "macro_days_to_event",
+)
+
+
+@dataclass(frozen=True)
+class GapRecord:
+    """One gap between consecutive market_snapshots ticks."""
+
+    prev_timestamp: datetime
+    next_timestamp: datetime
+    gap_minutes: int
+
+
+@dataclass(frozen=True)
+class MarketAuditReport:
+    asset: str
+    since: datetime
+    until: datetime
+    expected_ticks: int
+    actual_ticks: int
+    coverage_pct: Decimal
+    gaps: tuple[GapRecord, ...] = field(default_factory=tuple)
+    fetch_ok_zero_count: int = 0
+    max_fetch_ok_zero_streak: int = 0
+    null_rate_by_column: dict[str, Decimal] = field(default_factory=dict)
+
+
+@dataclass(frozen=True)
+class ChainAuditReport:
+    asset: str
+    since: datetime
+    until: datetime
+    expected_snapshots: int
+    actual_snapshots: int
+    coverage_pct: Decimal
+    quotes_per_snap_median: int = 0
+    quotes_per_snap_p10: int = 0
+    quotes_per_snap_p90: int = 0
+    bid_gt_ask_count: int = 0
+    iv_null_count: int = 0
+    iv_null_pct: Decimal = Decimal("0")
+    depth_zero_pct: Decimal = Decimal("0")