AdrianoDev
88bd4e7bde
- exchanges/macro: cot.py + cot_contracts.py + fetchers.py copiati 1:1 con rewrite import mcp_common -> cerbero_mcp.common, mcp_macro -> cerbero_mcp.exchanges.macro - nuovo MacroClient stateless wrapper: trasporta solo fred_api_key/finnhub_api_key, niente HTTP session (i fetchers usano async_client ad-hoc) - tools.py: 11 tool (get_treasury_yields, get_yield_curve_slope, get_breakeven_inflation, get_economic_indicators, get_macro_calendar, get_market_overview, get_equity_futures, get_asset_price, get_cot_tff, get_cot_disaggregated, get_cot_extreme_positioning) — niente write, niente leverage_cap - routers/macro.py: prefix /mcp-macro, 11 route POST /tools/* - builder branch macro: stesse credenziali per testnet/mainnet (env ignorato); registry istanzia 2 entry, costo trascurabile (wrapper stateless) - test migrati: test_cot.py + test_fetchers.py (test_server_acl.py skippato V1-only) - nuovo test test_build_client_macro_no_env_distinction in test_exchanges_builder.py Suite: 224 passed. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
92 lines
3.4 KiB
Python
92 lines
3.4 KiB
Python
"""Pure-logic helpers per COT report parsing e analytics.
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Niente HTTP qui — orchestrazione fetch sta in fetchers.py. Tutto testabile
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in isolamento.
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"""
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from __future__ import annotations
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from typing import Literal
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ExtremeSignal = Literal["extreme_short", "extreme_long", "neutral"]
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def compute_percentile(value: float, history: list[float]) -> float | None:
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"""Percentile di `value` rispetto ad `history` (0-100, inclusive).
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Restituisce None se history vuoto. Clipped a [0, 100] se value fuori range.
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"""
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if not history:
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return None
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n = len(history)
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below_or_eq = sum(1 for h in history if h <= value)
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pct = 100.0 * below_or_eq / n
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return max(0.0, min(100.0, pct))
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def classify_extreme(percentile: float | None, threshold: float = 5.0) -> ExtremeSignal:
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"""Classifica un percentile come estremo short/long o neutral.
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threshold default 5 → flagga ≤ 5 come short, ≥ 100-5=95 come long.
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"""
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if percentile is None:
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return "neutral"
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if percentile <= threshold:
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return "extreme_short"
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if percentile >= 100.0 - threshold:
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return "extreme_long"
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return "neutral"
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def _to_int(v) -> int:
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try:
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return int(float(v))
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except (TypeError, ValueError):
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return 0
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def _date_only(s: str) -> str:
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"""Estrae 'YYYY-MM-DD' da una data ISO con o senza timestamp."""
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if not s:
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return ""
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return s.split("T", 1)[0]
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def parse_tff_row(raw: dict) -> dict:
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"""Mappa una row Socrata TFF al formato API output."""
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dl = _to_int(raw.get("dealer_positions_long_all"))
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ds = _to_int(raw.get("dealer_positions_short_all"))
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al = _to_int(raw.get("asset_mgr_positions_long"))
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as_ = _to_int(raw.get("asset_mgr_positions_short"))
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ll = _to_int(raw.get("lev_money_positions_long"))
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ls = _to_int(raw.get("lev_money_positions_short"))
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ol = _to_int(raw.get("other_rept_positions_long"))
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os_ = _to_int(raw.get("other_rept_positions_short"))
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return {
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"report_date": _date_only(raw.get("report_date_as_yyyy_mm_dd", "")),
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"dealer_long": dl, "dealer_short": ds, "dealer_net": dl - ds,
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"asset_mgr_long": al, "asset_mgr_short": as_, "asset_mgr_net": al - as_,
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"lev_funds_long": ll, "lev_funds_short": ls, "lev_funds_net": ll - ls,
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"other_long": ol, "other_short": os_, "other_net": ol - os_,
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"open_interest": _to_int(raw.get("open_interest_all")),
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}
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def parse_disagg_row(raw: dict) -> dict:
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"""Mappa una row Socrata Disaggregated F&O combined al formato API output."""
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pl = _to_int(raw.get("prod_merc_positions_long_all"))
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ps = _to_int(raw.get("prod_merc_positions_short_all"))
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sl = _to_int(raw.get("swap_positions_long_all"))
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ss = _to_int(raw.get("swap_positions_short_all"))
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ml = _to_int(raw.get("m_money_positions_long_all"))
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ms = _to_int(raw.get("m_money_positions_short_all"))
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ol = _to_int(raw.get("other_rept_positions_long_all"))
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os_ = _to_int(raw.get("other_rept_positions_short_all"))
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return {
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"report_date": _date_only(raw.get("report_date_as_yyyy_mm_dd", "")),
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"producer_long": pl, "producer_short": ps, "producer_net": pl - ps,
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"swap_long": sl, "swap_short": ss, "swap_net": sl - ss,
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"managed_money_long": ml, "managed_money_short": ms, "managed_money_net": ml - ms,
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"other_long": ol, "other_short": os_, "other_net": ol - os_,
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"open_interest": _to_int(raw.get("open_interest_all")),
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}
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