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
+51 -1
View File
@@ -9,7 +9,7 @@ from decimal import Decimal
import pytest
from cerbero_bite.config import StrategyConfig, golden_config
from cerbero_bite.config import EntryConfig, StrategyConfig, golden_config
from cerbero_bite.core.entry_validator import (
EntryContext,
TrendContext,
@@ -144,6 +144,56 @@ def test_eth_holdings_at_cap_is_accepted(cfg: StrategyConfig) -> None:
# ---------------------------------------------------------------------------
def test_dealer_short_gamma_blocks_entry(cfg: StrategyConfig) -> None:
decision = validate_entry(_good_ctx(dealer_net_gamma=Decimal("-5")), cfg)
assert decision.accepted is False
assert any("dealer short-gamma" in r for r in decision.reasons)
def test_dealer_long_gamma_passes(cfg: StrategyConfig) -> None:
decision = validate_entry(_good_ctx(dealer_net_gamma=Decimal("100")), cfg)
assert decision.accepted is True
def test_dealer_gamma_none_skips_filter(cfg: StrategyConfig) -> None:
decision = validate_entry(_good_ctx(dealer_net_gamma=None), cfg)
assert decision.accepted is True
def test_liquidation_squeeze_high_blocks_entry(cfg: StrategyConfig) -> None:
decision = validate_entry(
_good_ctx(liquidation_squeeze_risk_high=True), cfg
)
assert decision.accepted is False
assert any("liquidation squeeze" in r for r in decision.reasons)
def test_liquidation_squeeze_filter_disabled_in_config(
cfg: StrategyConfig,
) -> None:
permissive = golden_config(
entry=EntryConfig(
**{**cfg.entry.model_dump(), "liquidation_filter_enabled": False}
)
)
decision = validate_entry(
_good_ctx(liquidation_squeeze_risk_high=True), permissive
)
assert decision.accepted is True
def test_dealer_gamma_filter_disabled_in_config(cfg: StrategyConfig) -> None:
permissive = golden_config(
entry=EntryConfig(
**{**cfg.entry.model_dump(), "dealer_gamma_filter_enabled": False}
)
)
decision = validate_entry(
_good_ctx(dealer_net_gamma=Decimal("-1000")), permissive
)
assert decision.accepted is True
def test_validate_entry_accumulates_all_reasons(cfg: StrategyConfig) -> None:
decision = validate_entry(
_good_ctx(