feat(mcp-deribit,mcp-bybit): add place_combo_order

Deribit: private/create_combo + place_order sul combo instrument → una sola crociata di spread invece di N (slippage atteso ridotto su strutture liquide). ACL core + leverage cap su tutti i leg. Bybit: place_batch_order su category=option (atomic multi-leg, 1 round-trip API). Reject su category != option (perp/linear non supportano batch nativo). orderLinkId auto-generato per leg. Tutti i test: deribit 48/48, bybit 123/123. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-04-27 23:12:09 +02:00
parent bacd5aab33
commit c2fd8330ca
9 changed files with 358 additions and 1 deletions
@@ -1401,6 +1401,38 @@ class DeribitClient:
            return {"error": raw.get("error", "unknown"), "state": "error"}
        return r

+    async def place_combo_order(
+        self,
+        legs: list[dict[str, Any]],
+        side: str,
+        amount: float,
+        type: str = "limit",
+        price: float | None = None,
+        label: str | None = None,
+    ) -> dict:
+        """Crea un combo via private/create_combo poi piazza un singolo ordine
+        (buy/sell) sull'instrument_name del combo. Una sola crociata di spread
+        invece di N (uno per leg) → minor slippage su strutture liquide.
+
+        legs: [{instrument_name, direction: 'buy'|'sell', ratio: int}].
+        """
+        combo_raw = await self._request("private/create_combo", {"trades": legs})
+        combo = combo_raw.get("result")
+        if combo is None:
+            return {"state": "error", "error": combo_raw.get("error", "unknown")}
+        combo_instrument = combo.get("instrument_name") or combo.get("id")
+        order = await self.place_order(
+            instrument_name=combo_instrument,
+            side=side,
+            amount=amount,
+            type=type,
+            price=price,
+            label=label,
+        )
+        if order.get("state") == "error":
+            return {"state": "error", "error": order.get("error"), "combo_instrument": combo_instrument}
+        return {"combo_instrument": combo_instrument, **order}
+
    async def set_leverage(self, instrument_name: str, leverage: int) -> dict:
        """CER-016: pre-set account leverage per evitare default 50x testnet."""
        raw = await self._request(
@@ -188,6 +188,28 @@ class PlaceOrderReq(BaseModel):
    leverage: int | None = None  # CER-016: None → default cap (3x)


+class ComboLeg(BaseModel):
+    instrument_name: str
+    direction: str  # "buy" | "sell"
+    ratio: int = 1
+
+
+class PlaceComboOrderReq(BaseModel):
+    legs: list[ComboLeg]
+    side: str  # "buy" | "sell"
+    amount: float
+    type: str = "limit"
+    price: float | None = None
+    label: str | None = None
+    leverage: int | None = None
+
+    @model_validator(mode="after")
+    def _at_least_two_legs(self):
+        if len(self.legs) < 2:
+            raise ValueError("combo requires at least 2 legs")
+        return self
+
+
 class CancelOrderReq(BaseModel):
    order_id: str

@@ -477,6 +499,27 @@ def create_app(
            label=body.label,
        )

+    @app.post("/tools/place_combo_order", tags=["writes"])
+    async def t_place_combo_order(
+        body: PlaceComboOrderReq, principal: Principal = Depends(require_principal)
+    ):
+        _check(principal, core=True)
+        lev = _enforce_leverage(body.leverage, creds=creds, exchange="deribit")
+        if lev != cap_default:
+            for leg in body.legs:
+                try:
+                    await client.set_leverage(leg.instrument_name, lev)
+                except Exception:
+                    pass
+        return await client.place_combo_order(
+            legs=[leg.model_dump() for leg in body.legs],
+            side=body.side,
+            amount=body.amount,
+            type=body.type,
+            price=body.price,
+            label=body.label,
+        )
+
    @app.post("/tools/cancel_order", tags=["writes"])
    async def t_cancel_order(
        body: CancelOrderReq, principal: Principal = Depends(require_principal)
@@ -537,6 +580,7 @@ def create_app(
            {"name": "get_technical_indicators", "description": "Indicatori tecnici (RSI, MACD, ATR, ADX)."},
            {"name": "get_realized_vol", "description": "Volatilità realizzata annualizzata (log-return std) BTC/ETH + spread IV−RV."},
            {"name": "place_order", "description": "Invia ordine (CORE only, testnet)."},
+            {"name": "place_combo_order", "description": "Crea combo via private/create_combo + piazza ordine sul combo (1 cross spread invece di N)."},
            {"name": "cancel_order", "description": "Cancella ordine."},
            {"name": "set_stop_loss", "description": "Setta stop loss su posizione."},
            {"name": "set_take_profit", "description": "Setta take profit su posizione."},
@@ -221,6 +221,67 @@ async def test_get_dvol(httpx_mock: HTTPXMock, client: DeribitClient):
    assert result["candles"][0]["close"] == 57.0


+@pytest.mark.asyncio
+async def test_place_combo_order(httpx_mock: HTTPXMock, client: DeribitClient):
+    httpx_mock.add_response(
+        url=re.compile(r"https://test\.deribit\.com/api/v2/public/auth"),
+        json=AUTH_RESP,
+    )
+    httpx_mock.add_response(
+        url=re.compile(r"https://test\.deribit\.com/api/v2/private/create_combo"),
+        json={
+            "result": {
+                "id": "BTC-COMBO-1",
+                "instrument_name": "BTC-COMBO-1",
+                "state": "active",
+            }
+        },
+    )
+    httpx_mock.add_response(
+        url=re.compile(r"https://test\.deribit\.com/api/v2/private/buy"),
+        json={
+            "result": {
+                "order": {"order_id": "ord-1", "order_state": "open"},
+                "trades": [],
+            }
+        },
+    )
+    legs = [
+        {"instrument_name": "BTC-30APR26-75000-C", "direction": "buy", "ratio": 1},
+        {"instrument_name": "BTC-30APR26-80000-C", "direction": "sell", "ratio": 1},
+    ]
+    result = await client.place_combo_order(
+        legs=legs,
+        side="buy",
+        amount=1,
+        type="limit",
+        price=0.05,
+        label="vert-spread",
+    )
+    assert result["combo_instrument"] == "BTC-COMBO-1"
+    assert result["order"]["order_id"] == "ord-1"
+
+
+@pytest.mark.asyncio
+async def test_place_combo_order_create_combo_error(httpx_mock: HTTPXMock, client: DeribitClient):
+    httpx_mock.add_response(
+        url=re.compile(r"https://test\.deribit\.com/api/v2/public/auth"),
+        json=AUTH_RESP,
+    )
+    httpx_mock.add_response(
+        url=re.compile(r"https://test\.deribit\.com/api/v2/private/create_combo"),
+        json={"error": {"code": -32602, "message": "Invalid leg"}},
+    )
+    result = await client.place_combo_order(
+        legs=[{"instrument_name": "BTC-X", "direction": "buy", "ratio": 1}],
+        side="buy",
+        amount=1,
+        type="market",
+    )
+    assert result["state"] == "error"
+    assert "Invalid leg" in str(result.get("error"))
+
+
@pytest.mark.asyncio
 async def test_cancel_order(httpx_mock: HTTPXMock, client: DeribitClient):
    httpx_mock.add_response(
@@ -20,6 +20,7 @@ def mock_client():
    c.get_historical = AsyncMock(return_value={"candles": []})
    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.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})
@@ -94,6 +95,73 @@ def test_place_order_observer_forbidden(http):
    assert r.status_code == 403


+def test_place_combo_order_core_ok(http):
+    r = http.post(
+        "/tools/place_combo_order",
+        headers={"Authorization": "Bearer ct"},
+        json={
+            "legs": [
+                {"instrument_name": "BTC-30APR26-75000-C", "direction": "buy", "ratio": 1},
+                {"instrument_name": "BTC-30APR26-80000-C", "direction": "sell", "ratio": 1},
+            ],
+            "side": "buy",
+            "amount": 1,
+            "type": "limit",
+            "price": 0.05,
+        },
+    )
+    assert r.status_code == 200
+    assert r.json()["combo_instrument"] == "BTC-COMBO-1"
+
+
+def test_place_combo_order_observer_forbidden(http):
+    r = http.post(
+        "/tools/place_combo_order",
+        headers={"Authorization": "Bearer ot"},
+        json={
+            "legs": [
+                {"instrument_name": "BTC-X", "direction": "buy", "ratio": 1},
+                {"instrument_name": "BTC-Y", "direction": "sell", "ratio": 1},
+            ],
+            "side": "buy",
+            "amount": 1,
+        },
+    )
+    assert r.status_code == 403
+
+
+def test_place_combo_order_min_legs(http):
+    r = http.post(
+        "/tools/place_combo_order",
+        headers={"Authorization": "Bearer ct"},
+        json={
+            "legs": [{"instrument_name": "BTC-X", "direction": "buy", "ratio": 1}],
+            "side": "buy",
+            "amount": 1,
+        },
+    )
+    assert r.status_code == 422
+
+
+def test_place_combo_order_leverage_cap_enforced(http):
+    r = http.post(
+        "/tools/place_combo_order",
+        headers={"Authorization": "Bearer ct"},
+        json={
+            "legs": [
+                {"instrument_name": "BTC-X", "direction": "buy", "ratio": 1},
+                {"instrument_name": "BTC-Y", "direction": "sell", "ratio": 1},
+            ],
+            "side": "buy",
+            "amount": 1,
+            "leverage": 50,
+        },
+    )
+    assert r.status_code == 403
+    err = r.json()["error"]
+    assert err["code"] == "LEVERAGE_CAP_EXCEEDED"
+
+
 def test_place_order_leverage_cap_enforced(http):
    """Reject leverage > max_leverage (da secret, default 3)."""
    r = http.post(