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>
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@@ -6,9 +6,11 @@ import httpx
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import pytest
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import pytest_httpx
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from mcp_macro.fetchers import (
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fetch_breakeven_inflation,
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fetch_economic_indicators,
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fetch_macro_calendar,
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fetch_market_overview,
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yield_curve_metrics,
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)
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# --- fetch_economic_indicators ---
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@@ -183,3 +185,78 @@ async def test_market_overview_happy(httpx_mock: pytest_httpx.HTTPXMock):
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assert result["gold"] == 2412.5
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assert result["vix"] == 18.3
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assert "data_timestamp" in result
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# --- yield_curve_metrics ---
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def test_yield_curve_metrics_normal_curve():
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out = yield_curve_metrics({"us2y": 4.0, "us5y": 4.2, "us10y": 4.5, "us30y": 4.8})
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assert out["slope_2y10y"] == 0.5
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assert out["slope_5y30y"] == 0.6
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assert out["regime"] == "steep"
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# butterfly: 2*4.5 - 4.0 - 4.8 = 0.2
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assert out["butterfly_2_10_30"] == 0.2
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def test_yield_curve_metrics_inverted():
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out = yield_curve_metrics({"us2y": 5.5, "us5y": 5.0, "us10y": 4.5, "us30y": 4.3})
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assert out["slope_2y10y"] == -1.0
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assert out["regime"] == "inverted"
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def test_yield_curve_metrics_partial_data():
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out = yield_curve_metrics({"us10y": 4.5})
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assert out["slope_2y10y"] is None
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assert out["regime"] == "unknown"
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# --- fetch_breakeven_inflation ---
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@pytest.mark.asyncio
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async def test_breakeven_no_key():
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out = await fetch_breakeven_inflation(fred_api_key="")
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assert "error" in out
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@pytest.mark.asyncio
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async def test_breakeven_happy_path(httpx_mock: pytest_httpx.HTTPXMock):
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for series_id, val in [("T5YIE", "2.3"), ("T10YIE", "2.5"), ("T5YIFR", "2.7")]:
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httpx_mock.add_response(
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url=httpx.URL(
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"https://api.stlouisfed.org/fred/series/observations",
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params={
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"series_id": series_id,
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"api_key": "k",
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"file_type": "json",
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"sort_order": "desc",
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"limit": "1",
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},
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),
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json={"observations": [{"value": val}]},
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)
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out = await fetch_breakeven_inflation(fred_api_key="k")
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assert out["breakevens"]["be_5y"] == 2.3
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assert out["breakevens"]["be_10y"] == 2.5
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assert out["breakevens"]["be_5y5y_forward"] == 2.7
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assert out["interpretation"] == "anchored"
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@pytest.mark.asyncio
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async def test_breakeven_high_inflation(httpx_mock: pytest_httpx.HTTPXMock):
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for series_id in ("T5YIE", "T10YIE", "T5YIFR"):
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httpx_mock.add_response(
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url=httpx.URL(
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"https://api.stlouisfed.org/fred/series/observations",
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params={
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"series_id": series_id,
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"api_key": "k",
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"file_type": "json",
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"sort_order": "desc",
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"limit": "1",
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},
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),
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json={"observations": [{"value": "3.5"}]},
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)
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out = await fetch_breakeven_inflation(fred_api_key="k")
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assert out["interpretation"] == "high_inflation_expected"
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