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
@@ -157,3 +157,60 @@ def test_get_world_news_observer_ok(http):
def test_get_world_news_no_auth_401(http):
r = http.post("/tools/get_world_news", json={})
assert r.status_code == 401
# --- New indicators: funding_arb_spread, liquidation_heatmap, cointegration_pairs ---
def test_get_funding_arb_spread_ok(http):
with patch(
"mcp_sentiment.server.fetch_funding_arb_spread",
new=AsyncMock(return_value={"opportunities": []}),
):
r = http.post(
"/tools/get_funding_arb_spread",
headers={"Authorization": "Bearer ot"},
json={},
)
assert r.status_code == 200
def test_get_funding_arb_spread_no_auth_401(http):
r = http.post("/tools/get_funding_arb_spread", json={})
assert r.status_code == 401
def test_get_liquidation_heatmap_ok(http):
with patch(
"mcp_sentiment.server.fetch_liquidation_heatmap",
new=AsyncMock(return_value={"asset": "BTC", "long_squeeze_risk": "low"}),
):
r = http.post(
"/tools/get_liquidation_heatmap",
headers={"Authorization": "Bearer ct"},
json={"asset": "BTC"},
)
assert r.status_code == 200
def test_get_liquidation_heatmap_no_auth_401(http):
r = http.post("/tools/get_liquidation_heatmap", json={"asset": "BTC"})
assert r.status_code == 401
def test_get_cointegration_pairs_ok(http):
with patch(
"mcp_sentiment.server.fetch_cointegration_pairs",
new=AsyncMock(return_value={"results": []}),
):
r = http.post(
"/tools/get_cointegration_pairs",
headers={"Authorization": "Bearer ot"},
json={"pairs": [["BTC", "ETH"]]},
)
assert r.status_code == 200
def test_get_cointegration_pairs_no_auth_401(http):
r = http.post("/tools/get_cointegration_pairs", json={})
assert r.status_code == 401