feat: 15 nuovi indicatori quant (common + deribit + bybit + macro + sentiment)

Common (mcp_common):
- indicators.py: vol_cone, hurst_exponent, half_life_mean_reversion,
  garch11_forecast, autocorrelation, rolling_sharpe, var_cvar
- options.py (nuovo): oi_weighted_skew, smile_asymmetry, atm_vs_wings_vol,
  dealer_gamma_profile, vanna_charm_aggregate
- microstructure.py (nuovo): orderbook_imbalance (ratio + microprice + slope)
- stats.py (nuovo): cointegration_test Engle-Granger + ADF helper

Deribit (+6 tool MCP):
- get_dealer_gamma_profile (net dealer gamma + flip level)
- get_vanna_charm (vanna/charm aggregati pesati OI)
- get_oi_weighted_skew, get_smile_asymmetry, get_atm_vs_wings_vol
- get_orderbook_imbalance

Bybit (+2 tool MCP):
- get_orderbook_imbalance, get_basis_term_structure (futures dated curve)

Macro (+2 tool MCP):
- get_yield_curve_slope (2y10y/5y30y + butterfly + regime)
- get_breakeven_inflation (FRED T5YIE/T10YIE/T5YIFR)

Sentiment (+3 tool MCP):
- get_funding_arb_spread (opportunità arb compatte annualizzate)
- get_liquidation_heatmap (heuristic da OI delta + funding extreme,
  no feed paid Coinglass)
- get_cointegration_pairs (Engle-Granger su coppie crypto Binance hourly)

Tutto in TDD pure-Python (no numpy/scipy in mcp_common). README
aggiornato con elenco completo. 442 test totali verdi.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
AdrianoDev
2026-04-27 23:58:07 +02:00
parent 867180f4bf
commit a13e3fe045
21 changed files with 1922 additions and 1 deletions
@@ -21,6 +21,12 @@ def mock_client():
c.get_technical_indicators = AsyncMock(return_value={"rsi": 55.0})
c.place_order = AsyncMock(return_value={"order_id": "x"})
c.place_combo_order = AsyncMock(return_value={"combo_instrument": "BTC-COMBO-1", "order": {"order_id": "x"}})
c.get_dealer_gamma_profile = AsyncMock(return_value={"by_strike": [], "total_net_dealer_gamma": 0})
c.get_vanna_charm = AsyncMock(return_value={"total_vanna": 0, "total_charm": 0, "legs_analyzed": 0})
c.get_oi_weighted_skew = AsyncMock(return_value={"skew": 0, "call_iv_weighted": None, "put_iv_weighted": None})
c.get_smile_asymmetry = AsyncMock(return_value={"atm_iv": 0.5, "asymmetry": 0.0})
c.get_atm_vs_wings_vol = AsyncMock(return_value={"atm_iv": 0.5, "wing_richness": 0.0})
c.get_orderbook_imbalance = AsyncMock(return_value={"imbalance_ratio": 0.0, "microprice": 50000})
c.cancel_order = AsyncMock(return_value={"order_id": "x", "state": "cancelled"})
c.set_stop_loss = AsyncMock(return_value={"order_id": "x", "stop_price": 45000})
c.set_take_profit = AsyncMock(return_value={"order_id": "x", "tp_price": 55000})
@@ -95,6 +101,39 @@ def test_place_order_observer_forbidden(http):
assert r.status_code == 403
def test_get_orderbook_imbalance_observer_ok(http):
r = http.post(
"/tools/get_orderbook_imbalance",
headers={"Authorization": "Bearer ot"},
json={"instrument_name": "BTC-PERPETUAL"},
)
assert r.status_code == 200
@pytest.mark.parametrize("path", [
"/tools/get_dealer_gamma_profile",
"/tools/get_vanna_charm",
"/tools/get_oi_weighted_skew",
"/tools/get_smile_asymmetry",
"/tools/get_atm_vs_wings_vol",
])
def test_option_flow_indicators_observer_ok(http, path):
r = http.post(path, headers={"Authorization": "Bearer ot"}, json={"currency": "BTC"})
assert r.status_code == 200, (path, r.text)
@pytest.mark.parametrize("path", [
"/tools/get_dealer_gamma_profile",
"/tools/get_vanna_charm",
"/tools/get_oi_weighted_skew",
"/tools/get_smile_asymmetry",
"/tools/get_atm_vs_wings_vol",
])
def test_option_flow_indicators_no_auth_401(http, path):
r = http.post(path, json={"currency": "BTC"})
assert r.status_code == 401, (path, r.text)
def test_place_combo_order_core_ok(http):
r = http.post(
"/tools/place_combo_order",