Cerbero-Bite/src/cerbero_bite/runtime/option_chain_snapshot_cycle.py

"""Periodic option-chain snapshot collector (§13).

Fetches the Deribit option chain for every strike entro la finestra
DTE configurata, prima del trigger entry settimanale (cron
``55 13 * * MON`` di default). Persiste un quote per ogni strumento
in ``option_chain_snapshots`` con un timestamp condiviso, che diventa
il dato di base per:

* il backtest non-stilizzato (vedi ``core/backtest.py``),
* la calibrazione empirica dello skew premium e del credit/width
  ratio sui regimi reali,
* l'analisi ex-post degli strike picker.

Il collector è **best-effort**: se ``get_tickers`` fallisce per un
batch, gli altri batch passano comunque; se manca completamente la
chain, il job ritorna 0 senza alzare eccezioni e logga il problema.
Non chiama l'order book per ogni strike (sarebbe troppo costoso) —
``book_depth_top3`` resta NULL nel quote, il liquidity gate del live
lo legge al volo solo per gli strike che gli interessano.
"""

from __future__ import annotations

import asyncio
import logging
from datetime import UTC, datetime, timedelta
from decimal import Decimal
from typing import TYPE_CHECKING, Any

from cerbero_bite.state import connect, transaction
from cerbero_bite.state.models import OptionChainQuoteRecord

if TYPE_CHECKING:
    from cerbero_bite.runtime.dependencies import RuntimeContext

__all__ = ["DEFAULT_BATCH_SIZE", "collect_option_chain_snapshot"]


_log = logging.getLogger("cerbero_bite.runtime.option_chain_snapshot")


DEFAULT_BATCH_SIZE = 20  # Deribit get_ticker_batch limit


def _to_decimal_or_none(value: Any) -> Decimal | None:
    if value is None:
        return None
    try:
        return Decimal(str(value))
    except Exception:
        return None


async def _fetch_tickers_in_batches(
    ctx: RuntimeContext, names: list[str], *, batch_size: int = DEFAULT_BATCH_SIZE
) -> dict[str, dict[str, Any]]:
    """Best-effort fetch dei ticker per tutti i nomi richiesti."""
    out: dict[str, dict[str, Any]] = {}
    for i in range(0, len(names), batch_size):
        batch = names[i : i + batch_size]
        try:
            tickers = await ctx.deribit.get_tickers(batch)
        except Exception as exc:
            _log.warning(
                "get_tickers failed for batch starting %s: %s",
                batch[0] if batch else "<empty>", exc,
            )
            continue
        for t in tickers:
            name = t.get("instrument_name") or t.get("instrument")
            if isinstance(name, str):
                out[name] = t
    return out


async def collect_option_chain_snapshot(
    ctx: RuntimeContext,
    *,
    asset: str = "ETH",
    now: datetime | None = None,
    batch_size: int = DEFAULT_BATCH_SIZE,
) -> int:
    """Collect + persist a single chain snapshot for ``asset``. Returns
    the number of quotes persisted (0 on best-effort failure).

    Filtra le scadenze nella finestra ``[dte_min, dte_max]`` di
    ``cfg.structure`` per non sprecare richieste su scadenze che il
    rule engine non userebbe mai.
    """
    when = (now or datetime.now(UTC)).astimezone(UTC)
    cfg = ctx.cfg

    expiry_from = when + timedelta(days=cfg.structure.dte_min)
    expiry_to = when + timedelta(days=cfg.structure.dte_max)

    try:
        chain = await ctx.deribit.options_chain(
            currency=asset.upper(),
            expiry_from=expiry_from,
            expiry_to=expiry_to,
            min_open_interest=int(cfg.liquidity.open_interest_min),
        )
    except Exception:
        _log.exception("option chain fetch failed")
        return 0

    if not chain:
        _log.info("option chain empty for %s in window", asset)
        return 0

    names = [meta.name for meta in chain]
    tickers = await _fetch_tickers_in_batches(ctx, names, batch_size=batch_size)

    quotes: list[OptionChainQuoteRecord] = []
    for meta in chain:
        ticker = tickers.get(meta.name)
        if ticker is None:
            # Lasciamo comunque la riga senza quote: utile sapere
            # che lo strumento esisteva.
            quotes.append(
                OptionChainQuoteRecord(
                    timestamp=when,
                    asset=asset.upper(),
                    instrument_name=meta.name,
                    strike=meta.strike,
                    expiry=meta.expiry,
                    option_type=meta.option_type,
                    open_interest=int(meta.open_interest)
                    if meta.open_interest is not None
                    else None,
                )
            )
            continue
        greeks = ticker.get("greeks") or {}
        quotes.append(
            OptionChainQuoteRecord(
                timestamp=when,
                asset=asset.upper(),
                instrument_name=meta.name,
                strike=meta.strike,
                expiry=meta.expiry,
                option_type=meta.option_type,
                bid=_to_decimal_or_none(ticker.get("bid")),
                ask=_to_decimal_or_none(ticker.get("ask")),
                mid=_to_decimal_or_none(ticker.get("mark_price")),
                iv=_to_decimal_or_none(ticker.get("mark_iv")),
                delta=_to_decimal_or_none(greeks.get("delta")),
                gamma=_to_decimal_or_none(greeks.get("gamma")),
                theta=_to_decimal_or_none(greeks.get("theta")),
                vega=_to_decimal_or_none(greeks.get("vega")),
                open_interest=int(meta.open_interest)
                if meta.open_interest is not None
                else None,
                volume_24h=(
                    int(ticker["volume_24h"])
                    if ticker.get("volume_24h") is not None
                    else None
                ),
                # book_depth_top3: NULL — non lo prendiamo per ogni
                # strike per non saturare l'API. Il liquidity gate
                # del live lo chiede on-the-fly per gli strike
                # candidati al picker.
            )
        )

    persisted = 0
    try:
        conn = connect(ctx.db_path)
        try:
            with transaction(conn):
                persisted = ctx.repository.record_option_chain_snapshot(
                    conn, quotes
                )
        finally:
            conn.close()
    except Exception:
        _log.exception("persist option chain snapshot failed")
        return 0

    _log.info("option_chain_snapshot persisted %d quote(s)", persisted)
    return persisted


# Avoid unused import warning for asyncio in lint when only used as type
_ = asyncio