feat(state): Repository.iv_rv_history + dvol_lookback per gate adaptive

Due nuovi metodi che leggono market_snapshots filtrando NULL e fetch_ok=0. iv_rv_history limita a max_days; dvol_lookback trova il tick più vicino a un istante con tolerance configurabile. Tests: ordered ASC, asset filter, NULL skip, fetch_ok=0 skip, lookback closest, gap returns None. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-05-08 22:53:19 +00:00
parent d36cdff609
commit 395191ea13
2 changed files with 197 additions and 1 deletions
@@ -13,7 +13,7 @@ Decimals are stored as TEXT to preserve precision (see
 from __future__ import annotations

 import sqlite3
-from datetime import UTC, datetime
+from datetime import UTC, datetime, timedelta
 from decimal import Decimal
 from typing import Any
 from uuid import UUID
@@ -408,6 +408,64 @@ class Repository:
        ).fetchall()
        return [_row_to_market_snapshot(r) for r in rows]

+    def iv_rv_history(
+        self,
+        conn: sqlite3.Connection,
+        *,
+        asset: str,
+        max_days: int,
+    ) -> list[Decimal]:
+        """Lista IV-RV ordinata ASC sull'intervallo `[now-max_days, now]`.
+
+        Esclude righe con ``fetch_ok=0`` o ``iv_minus_rv IS NULL``.
+        Usata dal validator quando il gate adattivo è abilitato.
+        """
+        rows = conn.execute(
+            "SELECT iv_minus_rv FROM market_snapshots "
+            "WHERE asset = ? "
+            "  AND fetch_ok = 1 "
+            "  AND iv_minus_rv IS NOT NULL "
+            "  AND timestamp >= datetime('now', ?) "
+            "ORDER BY timestamp ASC",
+            (asset, f"-{int(max_days)} days"),
+        ).fetchall()
+        return [Decimal(str(r["iv_minus_rv"])) for r in rows]
+
+    def dvol_lookback(
+        self,
+        conn: sqlite3.Connection,
+        *,
+        asset: str,
+        reference: datetime,
+        tolerance_minutes: int = 15,
+    ) -> Decimal | None:
+        """DVOL al tick più vicino a `reference`, entro ±tolerance_minutes.
+
+        Ritorna ``None`` se non esiste un tick valido (``fetch_ok=1``,
+        ``dvol IS NOT NULL``) entro la tolerance. Usato dal Vol-of-Vol
+        guard per stimare DVOL N ore fa.
+        """
+        ref_lo = (reference - timedelta(minutes=tolerance_minutes)).astimezone(UTC)
+        ref_hi = (reference + timedelta(minutes=tolerance_minutes)).astimezone(UTC)
+        row = conn.execute(
+            "SELECT dvol, timestamp FROM market_snapshots "
+            "WHERE asset = ? "
+            "  AND fetch_ok = 1 "
+            "  AND dvol IS NOT NULL "
+            "  AND timestamp >= ? "
+            "  AND timestamp <= ? "
+            "ORDER BY ABS(julianday(timestamp) - julianday(?)) ASC LIMIT 1",
+            (
+                asset,
+                _enc_dt(ref_lo),
+                _enc_dt(ref_hi),
+                _enc_dt(reference),
+            ),
+        ).fetchone()
+        if row is None:
+            return None
+        return Decimal(str(row["dvol"]))
+
    # ------------------------------------------------------------------
    # option_chain_snapshots
    # ------------------------------------------------------------------
@@ -0,0 +1,138 @@
+"""TDD per Repository.iv_rv_history e Repository.dvol_lookback."""
+
+from __future__ import annotations
+
+import sqlite3
+from datetime import UTC, datetime, timedelta
+from decimal import Decimal
+
+import pytest
+
+from cerbero_bite.state.db import connect, run_migrations
+from cerbero_bite.state.models import MarketSnapshotRecord
+from cerbero_bite.state.repository import Repository
+
+
+@pytest.fixture
+def db_with_history(tmp_path) -> sqlite3.Connection:
+    """SQLite temp con 96 tick ETH a 15min ciascuno (1 giorno) e fetch_ok=1."""
+    db_path = tmp_path / "test.sqlite"
+    conn = connect(str(db_path))
+    run_migrations(conn)
+
+    repo = Repository()
+    base = datetime(2026, 5, 1, 0, 0, tzinfo=UTC)
+    for i in range(96):
+        repo.record_market_snapshot(
+            conn,
+            MarketSnapshotRecord(
+                timestamp=base + timedelta(minutes=15 * i),
+                asset="ETH",
+                spot=Decimal("2000"),
+                dvol=Decimal("50") + Decimal(i) / Decimal("10"),
+                realized_vol_30d=Decimal("48"),
+                iv_minus_rv=Decimal("2") + Decimal(i) / Decimal("100"),
+                funding_perp_annualized=Decimal("0"),
+                funding_cross_annualized=Decimal("0"),
+                dealer_net_gamma=Decimal("0"),
+                gamma_flip_level=None,
+                oi_delta_pct_4h=None,
+                liquidation_long_risk="low",
+                liquidation_short_risk="low",
+                macro_days_to_event=None,
+                fetch_ok=True,
+                fetch_errors_json=None,
+            ),
+        )
+    conn.commit()
+    return conn
+
+
+def test_iv_rv_history_returns_ordered_asc(db_with_history) -> None:
+    repo = Repository()
+    history = repo.iv_rv_history(db_with_history, asset="ETH", max_days=60)
+    assert len(history) == 96
+    assert history == sorted(history)
+    assert history[0] == Decimal("2.00")
+
+
+def test_iv_rv_history_filters_other_asset(db_with_history) -> None:
+    repo = Repository()
+    history = repo.iv_rv_history(db_with_history, asset="BTC", max_days=60)
+    assert history == []
+
+
+def test_iv_rv_history_skips_null_values(db_with_history) -> None:
+    repo = Repository()
+    repo.record_market_snapshot(
+        db_with_history,
+        MarketSnapshotRecord(
+            timestamp=datetime(2026, 5, 2, 0, 0, tzinfo=UTC),
+            asset="ETH",
+            spot=Decimal("2000"),
+            dvol=Decimal("50"),
+            realized_vol_30d=None,
+            iv_minus_rv=None,
+            funding_perp_annualized=Decimal("0"),
+            funding_cross_annualized=Decimal("0"),
+            dealer_net_gamma=Decimal("0"),
+            gamma_flip_level=None,
+            oi_delta_pct_4h=None,
+            liquidation_long_risk="low",
+            liquidation_short_risk="low",
+            macro_days_to_event=None,
+            fetch_ok=True,
+            fetch_errors_json=None,
+        ),
+    )
+    db_with_history.commit()
+    history = repo.iv_rv_history(db_with_history, asset="ETH", max_days=60)
+    assert len(history) == 96
+
+
+def test_iv_rv_history_skips_fetch_failed(db_with_history) -> None:
+    repo = Repository()
+    repo.record_market_snapshot(
+        db_with_history,
+        MarketSnapshotRecord(
+            timestamp=datetime(2026, 5, 3, 0, 0, tzinfo=UTC),
+            asset="ETH",
+            spot=Decimal("2000"),
+            dvol=Decimal("50"),
+            realized_vol_30d=None,
+            iv_minus_rv=Decimal("99"),
+            funding_perp_annualized=Decimal("0"),
+            funding_cross_annualized=Decimal("0"),
+            dealer_net_gamma=None,
+            gamma_flip_level=None,
+            oi_delta_pct_4h=None,
+            liquidation_long_risk=None,
+            liquidation_short_risk=None,
+            macro_days_to_event=None,
+            fetch_ok=False,
+            fetch_errors_json='{"x":"y"}',
+        ),
+    )
+    db_with_history.commit()
+    history = repo.iv_rv_history(db_with_history, asset="ETH", max_days=60)
+    assert Decimal("99") not in history
+
+
+def test_dvol_lookback_returns_closest_tick(db_with_history) -> None:
+    repo = Repository()
+    base = datetime(2026, 5, 1, 0, 0, tzinfo=UTC)
+    target = base + timedelta(hours=12)
+    out = repo.dvol_lookback(
+        db_with_history, asset="ETH", reference=target, tolerance_minutes=15
+    )
+    # i=48 → dvol = 50 + 4.8 = 54.8
+    assert out == Decimal("54.8")
+
+
+def test_dvol_lookback_returns_none_when_gap(db_with_history) -> None:
+    repo = Repository()
+    target = datetime(2025, 1, 1, 0, 0, tzinfo=UTC)
+    out = repo.dvol_lookback(
+        db_with_history, asset="ETH", reference=target, tolerance_minutes=15
+    )
+    assert out is None