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
@@ -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)."},
],
)