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

Browse Source 
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
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services/mcp-macro/src/mcp_macro/fetchers.py
+94
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@@ -159,6 +159,100 @@ async def fetch_treasury_yields() -> dict[str, Any]:
return out
def yield_curve_metrics(yields: dict[str, float | None]) -> dict[str, Any]:
"""Slope + convexity da curva yields (us2y, us5y, us10y, us30y).
Convexity (butterfly): 2*us10y - us2y - us30y. >0 = curva concava.
"""
y2 = yields.get("us2y")
y5 = yields.get("us5y")
y10 = yields.get("us10y")
y30 = yields.get("us30y")
slope_2y10y = (y10 - y2) if (y2 is not None and y10 is not None) else None
slope_5y30y = (y30 - y5) if (y5 is not None and y30 is not None) else None
butterfly_2_10_30 = (2 * y10 - y2 - y30) if (y2 is not None and y10 is not None and y30 is not None) else None
regime = "unknown"
if slope_2y10y is not None:
if slope_2y10y >= 0.5:
regime = "steep"
elif slope_2y10y > 0.1:
regime = "normal"
elif slope_2y10y > -0.1:
regime = "flat"
else:
regime = "inverted"
return {
"slope_2y10y": round(slope_2y10y, 3) if slope_2y10y is not None else None,
"slope_5y30y": round(slope_5y30y, 3) if slope_5y30y is not None else None,
"butterfly_2_10_30": round(butterfly_2_10_30, 3) if butterfly_2_10_30 is not None else None,
"regime": regime,
}
async def fetch_yield_curve_slope() -> dict[str, Any]:
"""Curve slope/convexity metrics su treasury yields correnti."""
base = await fetch_treasury_yields()
metrics = yield_curve_metrics(base.get("yields") or {})
return {
"yields": base.get("yields"),
**metrics,
"data_timestamp": datetime.now(UTC).isoformat(),
}
async def fetch_breakeven_inflation(fred_api_key: str = "") -> dict[str, Any]:
"""Breakeven inflation rate via FRED:
- T10YIE (10Y breakeven, market expectation 10Y inflation)
- T5YIE (5Y breakeven)
- T5YIFR (5Y forward 5Y forward inflation expectation)
"""
if not fred_api_key:
return {"error": "No FRED API key configured", "breakevens": {}}
series_map = {
"be_5y": "T5YIE",
"be_10y": "T10YIE",
"be_5y5y_forward": "T5YIFR",
}
out: dict[str, float | None] = {}
async with httpx.AsyncClient(timeout=10) as client:
for name, series_id in series_map.items():
resp = await client.get(
FRED_BASE,
params={
"series_id": series_id,
"api_key": fred_api_key,
"file_type": "json",
"sort_order": "desc",
"limit": 1,
},
)
data = resp.json()
obs = data.get("observations", [])
try:
out[name] = float(obs[0]["value"]) if obs and obs[0]["value"] != "." else None
except (ValueError, IndexError, KeyError):
out[name] = None
interpretation = "unknown"
be10 = out.get("be_10y")
if be10 is not None:
if be10 > 3.0:
interpretation = "high_inflation_expected"
elif be10 < 1.5:
interpretation = "low_inflation_expected"
else:
interpretation = "anchored"
return {
"breakevens": out,
"interpretation": interpretation,
"data_timestamp": datetime.now(UTC).isoformat(),
}
async def fetch_equity_futures() -> dict[str, Any]:
"""Fetch ES/NQ/YM/RTY futures con session detection."""
tickers = [("es", "ES=F"), ("nq", "NQ=F"), ("ym", "YM=F"), ("rty", "RTY=F")]
services/mcp-macro/src/mcp_macro/server.py
+26
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@@ -10,11 +10,13 @@ from pydantic import BaseModel
from mcp_macro.fetchers import (
fetch_asset_price,
fetch_breakeven_inflation,
fetch_economic_indicators,
fetch_equity_futures,
fetch_macro_calendar,
fetch_market_overview,
fetch_treasury_yields,
fetch_yield_curve_slope,
)
# --- Body models ---
@@ -47,6 +49,14 @@ class GetEquityFuturesReq(BaseModel):
pass
class GetYieldCurveSlopeReq(BaseModel):
pass
class GetBreakevenInflationReq(BaseModel):
pass
# --- ACL helper ---
def _check(principal: Principal, *, core: bool = False, observer: bool = False) -> None:
@@ -115,6 +125,20 @@ def create_app(*, fred_api_key: str = "", finnhub_api_key: str = "", token_store
_check(principal, core=True, observer=True)
return await fetch_equity_futures()
@app.post("/tools/get_yield_curve_slope", tags=["reads"])
async def t_get_yield_curve_slope(
body: GetYieldCurveSlopeReq, principal: Principal = Depends(require_principal)
):
_check(principal, core=True, observer=True)
return await fetch_yield_curve_slope()
@app.post("/tools/get_breakeven_inflation", tags=["reads"])
async def t_get_breakeven_inflation(
body: GetBreakevenInflationReq, principal: Principal = Depends(require_principal)
):
_check(principal, core=True, observer=True)
return await fetch_breakeven_inflation(fred_api_key=fred_api_key)
# ───── MCP endpoint (/mcp) — bridge verso /tools/* ─────
port = int(os.environ.get("PORT", "9013"))
mount_mcp_endpoint(
@@ -130,6 +154,8 @@ def create_app(*, fred_api_key: str = "", finnhub_api_key: str = "", token_store
{"name": "get_asset_price", "description": "Prezzo cross-asset: WTI, DXY, SPX, VIX, yields, FX, ecc."},
{"name": "get_treasury_yields", "description": "Curva US Treasury 2y/5y/10y/30y + shape detection."},
{"name": "get_equity_futures", "description": "Futures ES/NQ/YM/RTY con session status."},
{"name": "get_yield_curve_slope", "description": "Slope 2y10y/5y30y + butterfly + regime (steep/normal/flat/inverted)."},
{"name": "get_breakeven_inflation", "description": "Breakeven inflation 5Y/10Y + 5y5y forward (FRED T5YIE/T10YIE/T5YIFR)."},
],
)
services/mcp-macro/tests/test_fetchers.py
+77
View File
@@ -6,9 +6,11 @@ import httpx
import pytest
import pytest_httpx
from mcp_macro.fetchers import (
fetch_breakeven_inflation,
fetch_economic_indicators,
fetch_macro_calendar,
fetch_market_overview,
yield_curve_metrics,
)
# --- fetch_economic_indicators ---
@@ -183,3 +185,78 @@ async def test_market_overview_happy(httpx_mock: pytest_httpx.HTTPXMock):
assert result["gold"] == 2412.5
assert result["vix"] == 18.3
assert "data_timestamp" in result
# --- yield_curve_metrics ---
def test_yield_curve_metrics_normal_curve():
out = yield_curve_metrics({"us2y": 4.0, "us5y": 4.2, "us10y": 4.5, "us30y": 4.8})
assert out["slope_2y10y"] == 0.5
assert out["slope_5y30y"] == 0.6
assert out["regime"] == "steep"
# butterfly: 2*4.5 - 4.0 - 4.8 = 0.2
assert out["butterfly_2_10_30"] == 0.2
def test_yield_curve_metrics_inverted():
out = yield_curve_metrics({"us2y": 5.5, "us5y": 5.0, "us10y": 4.5, "us30y": 4.3})
assert out["slope_2y10y"] == -1.0
assert out["regime"] == "inverted"
def test_yield_curve_metrics_partial_data():
out = yield_curve_metrics({"us10y": 4.5})
assert out["slope_2y10y"] is None
assert out["regime"] == "unknown"
# --- fetch_breakeven_inflation ---
@pytest.mark.asyncio
async def test_breakeven_no_key():
out = await fetch_breakeven_inflation(fred_api_key="")
assert "error" in out
@pytest.mark.asyncio
async def test_breakeven_happy_path(httpx_mock: pytest_httpx.HTTPXMock):
for series_id, val in [("T5YIE", "2.3"), ("T10YIE", "2.5"), ("T5YIFR", "2.7")]:
httpx_mock.add_response(
url=httpx.URL(
"https://api.stlouisfed.org/fred/series/observations",
params={
"series_id": series_id,
"api_key": "k",
"file_type": "json",
"sort_order": "desc",
"limit": "1",
},
),
json={"observations": [{"value": val}]},
)
out = await fetch_breakeven_inflation(fred_api_key="k")
assert out["breakevens"]["be_5y"] == 2.3
assert out["breakevens"]["be_10y"] == 2.5
assert out["breakevens"]["be_5y5y_forward"] == 2.7
assert out["interpretation"] == "anchored"
@pytest.mark.asyncio
async def test_breakeven_high_inflation(httpx_mock: pytest_httpx.HTTPXMock):
for series_id in ("T5YIE", "T10YIE", "T5YIFR"):
httpx_mock.add_response(
url=httpx.URL(
"https://api.stlouisfed.org/fred/series/observations",
params={
"series_id": series_id,
"api_key": "k",
"file_type": "json",
"sort_order": "desc",
"limit": "1",
},
),
json={"observations": [{"value": "3.5"}]},
)
out = await fetch_breakeven_inflation(fred_api_key="k")
assert out["interpretation"] == "high_inflation_expected"