feat(mcp-macro): fetch_cot_disaggregated async fetcher with cache

2026-04-29 00:03:53 +02:00
parent 66bcab05f9
commit 2474445b4c
2 changed files with 83 additions and 0 deletions
@@ -664,3 +664,43 @@ async def fetch_cot_tff(symbol: str, lookback_weeks: int = 52) -> dict[str, Any]
    _COT_CACHE[key] = out
    _COT_CACHE_TS[key] = now
    return out
+
+
+async def fetch_cot_disaggregated(symbol: str, lookback_weeks: int = 52) -> dict[str, Any]:
+    """Fetch COT Disaggregated report per simbolo commodity. Returns ASC by date."""
+    import time
+
+    symbol = symbol.upper()
+    if symbol not in SYMBOL_TO_CFTC_CODE_DISAGG:
+        return {"error": "unknown_symbol", "available": ALL_DISAGG_SYMBOLS}
+
+    key = (symbol, "disaggregated", lookback_weeks)
+    now = time.monotonic()
+    if key in _COT_CACHE and (now - _COT_CACHE_TS[key]) < _COT_TTL:
+        return _COT_CACHE[key]
+
+    code = SYMBOL_TO_CFTC_CODE_DISAGG[symbol]
+    url = f"{CFTC_BASE_URL}/{DISAGG_DATASET_ID}.json"
+    async with async_client(timeout=10.0) as client:
+        resp = await client.get(
+            url,
+            params={
+                "cftc_contract_market_code": code,
+                "$order": "report_date_as_yyyy_mm_dd DESC",
+                "$limit": str(lookback_weeks),
+            },
+        )
+    if resp.status_code != 200:
+        return {"symbol": symbol, "report_type": "disaggregated", "rows": [], "error": "cftc_unavailable"}
+    raw_rows = resp.json() or []
+    parsed = [parse_disagg_row(r) for r in raw_rows]
+    parsed.sort(key=lambda r: r["report_date"])
+    out = {
+        "symbol": symbol,
+        "report_type": "disaggregated",
+        "rows": parsed,
+        "data_timestamp": datetime.now(UTC).isoformat(),
+    }
+    _COT_CACHE[key] = out
+    _COT_CACHE_TS[key] = now
+    return out
@@ -318,3 +318,46 @@ async def test_fetch_cot_tff_unknown_symbol():
    assert out.get("error") == "unknown_symbol"
    assert "ES" in out.get("available", [])

+
+@pytest.mark.asyncio
+async def test_fetch_cot_disagg_happy_path(httpx_mock: pytest_httpx.HTTPXMock):
+    from mcp_macro.fetchers import fetch_cot_disaggregated
+    httpx_mock.add_response(
+        url=httpx.URL(
+            "https://publicreporting.cftc.gov/resource/72hh-3qpy.json",
+            params={
+                "cftc_contract_market_code": "067651",
+                "$order": "report_date_as_yyyy_mm_dd DESC",
+                "$limit": "52",
+            },
+        ),
+        json=[
+            {
+                "report_date_as_yyyy_mm_dd": "2026-04-22T00:00:00.000",
+                "prod_merc_positions_long_all": "100000",
+                "prod_merc_positions_short_all": "300000",
+                "swap_positions_long_all": "50000",
+                "swap_positions_short_all": "60000",
+                "m_money_positions_long_all": "200000",
+                "m_money_positions_short_all": "80000",
+                "other_rept_positions_long_all": "10000",
+                "other_rept_positions_short_all": "10000",
+                "open_interest_all": "1500000",
+            },
+        ],
+    )
+    out = await fetch_cot_disaggregated("CL", lookback_weeks=52)
+    assert out["symbol"] == "CL"
+    assert out["report_type"] == "disaggregated"
+    assert len(out["rows"]) == 1
+    assert out["rows"][0]["managed_money_net"] == 120000
+    assert out["rows"][0]["producer_net"] == -200000
+
+
+@pytest.mark.asyncio
+async def test_fetch_cot_disagg_unknown_symbol():
+    from mcp_macro.fetchers import fetch_cot_disaggregated
+    out = await fetch_cot_disaggregated("XYZ", lookback_weeks=52)
+    assert out.get("error") == "unknown_symbol"
+    assert "CL" in out.get("available", [])
+