feat(mcp-macro): fetch_cot_extreme_positioning scanner

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-04-29 00:06:52 +02:00
parent 2474445b4c
commit dc285daac8
2 changed files with 103 additions and 1 deletions
@@ -5,7 +5,7 @@ from typing import Any

 import httpx
 from mcp_common.http import async_client
-from mcp_macro.cot import parse_disagg_row, parse_tff_row
+from mcp_macro.cot import classify_extreme, compute_percentile, parse_disagg_row, parse_tff_row
 from mcp_macro.cot_contracts import (
    ALL_DISAGG_SYMBOLS,
    ALL_TFF_SYMBOLS,
@@ -704,3 +704,67 @@ async def fetch_cot_disaggregated(symbol: str, lookback_weeks: int = 52) -> dict
    _COT_CACHE[key] = out
    _COT_CACHE_TS[key] = now
    return out
+
+
+async def fetch_cot_extreme_positioning(lookback_weeks: int = 156) -> dict[str, Any]:
+    """Scanner posizionamento estremo (percentile <=5 o >=95) sui simboli watchlist.
+
+    TFF -> key_role = lev_funds (lev_funds_net).
+    Disaggregated -> key_role = managed_money (managed_money_net).
+    """
+    import asyncio
+
+    tff_tasks = [fetch_cot_tff(s, lookback_weeks) for s in ALL_TFF_SYMBOLS]
+    disagg_tasks = [fetch_cot_disaggregated(s, lookback_weeks) for s in ALL_DISAGG_SYMBOLS]
+    tff_results, disagg_results = await asyncio.gather(
+        asyncio.gather(*tff_tasks, return_exceptions=True),
+        asyncio.gather(*disagg_tasks, return_exceptions=True),
+    )
+
+    extremes: list[dict[str, Any]] = []
+
+    for res in tff_results:
+        if isinstance(res, BaseException) or not isinstance(res, dict):
+            continue
+        rows = res.get("rows") or []
+        if len(rows) < 4:
+            continue
+        series = [r["lev_funds_net"] for r in rows]
+        current = series[-1]
+        history = series[:-1]
+        pct = compute_percentile(current, history)
+        extremes.append({
+            "symbol": res["symbol"],
+            "report_type": "tff",
+            "key_role": "lev_funds",
+            "current_net": current,
+            "percentile": pct,
+            "signal": classify_extreme(pct),
+            "report_date": rows[-1]["report_date"],
+        })
+
+    for res in disagg_results:
+        if isinstance(res, BaseException) or not isinstance(res, dict):
+            continue
+        rows = res.get("rows") or []
+        if len(rows) < 4:
+            continue
+        series = [r["managed_money_net"] for r in rows]
+        current = series[-1]
+        history = series[:-1]
+        pct = compute_percentile(current, history)
+        extremes.append({
+            "symbol": res["symbol"],
+            "report_type": "disaggregated",
+            "key_role": "managed_money",
+            "current_net": current,
+            "percentile": pct,
+            "signal": classify_extreme(pct),
+            "report_date": rows[-1]["report_date"],
+        })
+
+    return {
+        "lookback_weeks": lookback_weeks,
+        "extremes": extremes,
+        "data_timestamp": datetime.now(UTC).isoformat(),
+    }