Phase 4 hardening: dealer-gamma + liquidation-heatmap entry filters

Integra due nuovi filtri dal pacchetto quant indicators rilasciato in
Cerbero_mcp (commit a13e3fe). 335 test pass, mypy strict pulito,
ruff clean.

Filtri (§2.8 — nuovo):
- dealer-gamma: blocca entry quando total_net_dealer_gamma <
  dealer_gamma_min (default 0). Long-gamma regime favorisce credit
  spread (vol-suppressing dealer flow); short-gamma flow lo amplifica
  ed è da evitare.
- liquidation-heatmap: blocca entry quando il segnale euristico di
  cerbero-sentiment riporta long o short squeeze risk = "high"
  (cluster di liquidations imminenti entro 24h).

Entrambi sono best-effort: se il tool MCP fallisce o restituisce
dati anomali l'entry_cycle popola EntryContext con None e
validate_entry salta il gate per non bloccare entry su problemi
infrastrutturali.

Wrapper:
- DeribitClient.dealer_gamma_profile_eth → DealerGammaSnapshot.
- SentimentClient.liquidation_heatmap → LiquidationHeatmap con
  property has_high_squeeze_risk.

Schema:
- EntryConfig.dealer_gamma_min, dealer_gamma_filter_enabled,
  liquidation_filter_enabled.
- EntryContext.dealer_net_gamma, liquidation_squeeze_risk_high
  opzionali.
- strategy.yaml: nuovi campi documentati con commento + hash
  ricalcolato (4c2be4c5...).

Documentazione:
- docs/04-mcp-integration.md riscritto al modello attuale (HTTP
  REST, no mcp SDK, no memory/brain-bridge, place_combo_order
  documentato, environment_info al boot).

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
2026-04-28 07:26:33 +02:00
parent b5b96f959c
commit f4faef6fd1
11 changed files with 489 additions and 190 deletions
+28
View File
@@ -37,6 +37,13 @@ class EntryContext(BaseModel):
next_macro_event_in_days: int | None
has_open_position: bool
# Quant filters (§2.8). Both are optional: when the snapshot
# collector cannot reach the underlying MCP tool the orchestrator
# passes ``None``, and ``validate_entry`` skips the gate to avoid
# blocking entries on infrastructure issues.
dealer_net_gamma: Decimal | None = None
liquidation_squeeze_risk_high: bool | None = None
class EntryDecision(BaseModel):
"""Result of :func:`validate_entry`. ``reasons`` holds *all* blocking reasons."""
@@ -103,6 +110,27 @@ def validate_entry(ctx: EntryContext, cfg: StrategyConfig) -> EntryDecision:
f"{entry_cfg.eth_holdings_pct_max})"
)
# §2.8: dealer-gamma regime gate. Skip the cycle when dealers are
# net short gamma (vol-amplifying flow) — selling premium during a
# short-gamma regime maximises path-dependent loss.
if (
entry_cfg.dealer_gamma_filter_enabled
and ctx.dealer_net_gamma is not None
and ctx.dealer_net_gamma < entry_cfg.dealer_gamma_min
):
reasons.append(
f"dealer short-gamma regime "
f"({ctx.dealer_net_gamma} < {entry_cfg.dealer_gamma_min})"
)
# §2.8: liquidation-pressure gate. Skip when the heuristic flags an
# imminent squeeze on either side.
if (
entry_cfg.liquidation_filter_enabled
and ctx.liquidation_squeeze_risk_high is True
):
reasons.append("imminent liquidation squeeze risk")
return EntryDecision(accepted=not reasons, reasons=reasons)