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
+29
View File
@@ -333,6 +333,35 @@ async def test_get_positions_returns_list(httpx_mock: HTTPXMock) -> None:
# ---------------------------------------------------------------------------
@pytest.mark.asyncio
async def test_dealer_gamma_profile_eth_parses_payload(httpx_mock: HTTPXMock) -> None:
httpx_mock.add_response(
url="http://mcp-deribit:9011/tools/get_dealer_gamma_profile",
json={
"currency": "ETH",
"spot_price": 3000.0,
"by_strike": [],
"total_net_dealer_gamma": 12345.6,
"gamma_flip_level": 2950.5,
"strikes_analyzed": 18,
},
)
snap = await _client().dealer_gamma_profile_eth()
assert snap.spot_price == Decimal("3000.0")
assert snap.total_net_dealer_gamma == Decimal("12345.6")
assert snap.gamma_flip_level == Decimal("2950.5")
assert snap.strikes_analyzed == 18
@pytest.mark.asyncio
async def test_dealer_gamma_profile_anomaly_when_total_missing(
httpx_mock: HTTPXMock,
) -> None:
httpx_mock.add_response(json={"spot_price": 3000.0})
with pytest.raises(McpDataAnomalyError, match="missing spot_price or total"):
await _client().dealer_gamma_profile_eth()
def test_deribit_client_rejects_wrong_service() -> None:
bad = HttpToolClient(
service="macro", base_url="http://x:1", token="t", retry_max=1