a13e3fe045
feat: 15 nuovi indicatori quant (common + deribit + bybit + macro + sentiment)
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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 >
2026-04-27 23:58:07 +02:00
c2fd8330ca
feat(mcp-deribit,mcp-bybit): add place_combo_order
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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
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