feat(research): collettore full-chain opzioni con book_depth e colonna source

Aggiunge un secondo collettore opzioni indipendente dal live, pensato per
trasformare il dataset da "skew/premi medi" a backtest opzioni vero
(per-trade e standing put).

- option_chain_research_cycle.py: cattura tutte le scadenze <= expiry_max_days
  (1g..3mesi) ed entrambe le ali (OI>=100, filtro moneyness opzionale),
  popolando book_depth_top3 via orderbook_depth_top3 (concorrenza limitata)
  cosi' lo slippage reale e' modellabile. Best-effort come il collettore live.
- migrazione 0007: colonna `source` su option_chain_snapshots ('live' default
  per le righe storiche, 'research' per il nuovo collettore) + indice
  (asset, source, timestamp). user_version 6 -> 7.
- ResearchCollectorConfig (schema): blocco `research_collector`, enabled=false
  di default (costo API non trascurabile); cron orario, expiry_max_days=95.
- orchestrator: job `option_chain_research` schedulato solo se data-analysis
  attiva E research_collector.enabled.
- repository: insert+mapper estesi con `source`; list_option_chain_snapshots
  accetta un filtro `source` per le query di backtest.

Verificato in isolamento (immagine + interprete reali): import, migrazione,
round-trip repo. Suite: 527 passed, zero regressioni vs baseline pristina.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-06-09 07:44:47 +00:00
parent 589d003e5c
commit 1eeb53650e
6 changed files with 281 additions and 2 deletions
+25
View File
@@ -37,6 +37,9 @@ from cerbero_bite.runtime.market_snapshot_cycle import (
from cerbero_bite.runtime.option_chain_snapshot_cycle import (
collect_option_chain_snapshot,
)
from cerbero_bite.runtime.option_chain_research_cycle import (
collect_option_chain_research,
)
from cerbero_bite.runtime.monitor_cycle import MonitorCycleResult, run_monitor_cycle
from cerbero_bite.runtime.recovery import recover_state
from cerbero_bite.runtime.scheduler import JobSpec, build_scheduler
@@ -320,6 +323,13 @@ class Orchestrator:
await _safe("option_chain_snapshot", _do)
async def _option_chain_research() -> None:
async def _do() -> None:
for asset in self._ctx.cfg.research_collector.assets:
await collect_option_chain_research(self._ctx, asset=asset)
await _safe("option_chain_research", _do)
jobs: list[JobSpec] = [
JobSpec(name="health", cron=health_cron, coro_factory=_health),
JobSpec(name="backup", cron=backup_cron, coro_factory=_backup),
@@ -354,6 +364,21 @@ class Orchestrator:
coro_factory=_option_chain_snapshot,
)
)
rc = self._ctx.cfg.research_collector
if rc.enabled:
jobs.append(
JobSpec(
name="option_chain_research",
cron=rc.cron,
coro_factory=_option_chain_research,
)
)
_log.info(
"research collector ENABLED (cron=%s, window<=%dd, depth=%s)",
rc.cron,
rc.expiry_max_days,
rc.fetch_book_depth,
)
else:
_log.warning(
"data analysis disabled (CERBERO_BITE_ENABLE_DATA_ANALYSIS="