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>
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@@ -9,7 +9,7 @@ from decimal import Decimal
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import pytest
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from cerbero_bite.config import StrategyConfig, golden_config
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from cerbero_bite.config import EntryConfig, StrategyConfig, golden_config
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from cerbero_bite.core.entry_validator import (
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EntryContext,
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TrendContext,
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@@ -144,6 +144,56 @@ def test_eth_holdings_at_cap_is_accepted(cfg: StrategyConfig) -> None:
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# ---------------------------------------------------------------------------
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def test_dealer_short_gamma_blocks_entry(cfg: StrategyConfig) -> None:
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decision = validate_entry(_good_ctx(dealer_net_gamma=Decimal("-5")), cfg)
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assert decision.accepted is False
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assert any("dealer short-gamma" in r for r in decision.reasons)
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def test_dealer_long_gamma_passes(cfg: StrategyConfig) -> None:
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decision = validate_entry(_good_ctx(dealer_net_gamma=Decimal("100")), cfg)
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assert decision.accepted is True
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def test_dealer_gamma_none_skips_filter(cfg: StrategyConfig) -> None:
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decision = validate_entry(_good_ctx(dealer_net_gamma=None), cfg)
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assert decision.accepted is True
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def test_liquidation_squeeze_high_blocks_entry(cfg: StrategyConfig) -> None:
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decision = validate_entry(
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_good_ctx(liquidation_squeeze_risk_high=True), cfg
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)
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assert decision.accepted is False
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assert any("liquidation squeeze" in r for r in decision.reasons)
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def test_liquidation_squeeze_filter_disabled_in_config(
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cfg: StrategyConfig,
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) -> None:
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permissive = golden_config(
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entry=EntryConfig(
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**{**cfg.entry.model_dump(), "liquidation_filter_enabled": False}
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)
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)
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decision = validate_entry(
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_good_ctx(liquidation_squeeze_risk_high=True), permissive
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)
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assert decision.accepted is True
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def test_dealer_gamma_filter_disabled_in_config(cfg: StrategyConfig) -> None:
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permissive = golden_config(
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entry=EntryConfig(
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**{**cfg.entry.model_dump(), "dealer_gamma_filter_enabled": False}
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)
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)
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decision = validate_entry(
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_good_ctx(dealer_net_gamma=Decimal("-1000")), permissive
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)
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assert decision.accepted is True
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def test_validate_entry_accumulates_all_reasons(cfg: StrategyConfig) -> None:
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decision = validate_entry(
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_good_ctx(
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