a13e3fe045
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>
270 lines
8.4 KiB
Python
270 lines
8.4 KiB
Python
from __future__ import annotations
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from unittest.mock import AsyncMock, MagicMock
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import pytest
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from fastapi.testclient import TestClient
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from mcp_deribit.server import create_app
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from mcp_common.auth import Principal, TokenStore
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@pytest.fixture
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def mock_client():
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c = MagicMock()
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c.get_ticker = AsyncMock(return_value={"mark_price": 50000})
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c.get_instruments = AsyncMock(return_value=[])
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c.get_orderbook = AsyncMock(return_value={"bids": [], "asks": []})
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c.get_positions = AsyncMock(return_value=[])
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c.get_account_summary = AsyncMock(return_value={"equity": 1000})
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c.get_trade_history = AsyncMock(return_value=[])
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c.get_historical = AsyncMock(return_value={"candles": []})
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c.get_technical_indicators = AsyncMock(return_value={"rsi": 55.0})
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c.place_order = AsyncMock(return_value={"order_id": "x"})
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c.place_combo_order = AsyncMock(return_value={"combo_instrument": "BTC-COMBO-1", "order": {"order_id": "x"}})
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c.get_dealer_gamma_profile = AsyncMock(return_value={"by_strike": [], "total_net_dealer_gamma": 0})
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c.get_vanna_charm = AsyncMock(return_value={"total_vanna": 0, "total_charm": 0, "legs_analyzed": 0})
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c.get_oi_weighted_skew = AsyncMock(return_value={"skew": 0, "call_iv_weighted": None, "put_iv_weighted": None})
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c.get_smile_asymmetry = AsyncMock(return_value={"atm_iv": 0.5, "asymmetry": 0.0})
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c.get_atm_vs_wings_vol = AsyncMock(return_value={"atm_iv": 0.5, "wing_richness": 0.0})
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c.get_orderbook_imbalance = AsyncMock(return_value={"imbalance_ratio": 0.0, "microprice": 50000})
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c.cancel_order = AsyncMock(return_value={"order_id": "x", "state": "cancelled"})
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c.set_stop_loss = AsyncMock(return_value={"order_id": "x", "stop_price": 45000})
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c.set_take_profit = AsyncMock(return_value={"order_id": "x", "tp_price": 55000})
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c.close_position = AsyncMock(return_value={"closed": True})
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c.set_leverage = AsyncMock(return_value={"state": "ok"})
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return c
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@pytest.fixture
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def http(mock_client):
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store = TokenStore(tokens={
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"ct": Principal("core", {"core"}),
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"ot": Principal("observer", {"observer"}),
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})
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app = create_app(client=mock_client, token_store=store, creds={"max_leverage": 3})
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return TestClient(app)
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def test_health(http):
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assert http.get("/health").status_code == 200
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def test_get_ticker_core_ok(http):
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r = http.post(
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"/tools/get_ticker",
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headers={"Authorization": "Bearer ct"},
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json={"instrument_name": "BTC-PERPETUAL"},
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)
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assert r.status_code == 200
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assert r.json()["mark_price"] == 50000
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def test_get_ticker_observer_ok(http):
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r = http.post(
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"/tools/get_ticker",
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headers={"Authorization": "Bearer ot"},
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json={"instrument_name": "BTC-PERPETUAL"},
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)
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assert r.status_code == 200
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def test_get_ticker_no_auth_401(http):
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r = http.post("/tools/get_ticker", json={"instrument_name": "BTC-PERPETUAL"})
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assert r.status_code == 401
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def test_get_ticker_alias_instrument_ok(http, mock_client):
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r = http.post(
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"/tools/get_ticker",
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headers={"Authorization": "Bearer ct"},
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json={"instrument": "ETH"},
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)
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assert r.status_code == 200
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mock_client.get_ticker.assert_awaited_with("ETH")
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def test_place_order_core_ok(http):
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r = http.post(
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"/tools/place_order",
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headers={"Authorization": "Bearer ct"},
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json={"instrument_name": "BTC-PERPETUAL", "side": "buy", "amount": 10},
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)
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assert r.status_code == 200
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def test_place_order_observer_forbidden(http):
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r = http.post(
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"/tools/place_order",
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headers={"Authorization": "Bearer ot"},
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json={"instrument_name": "BTC-PERPETUAL", "side": "buy", "amount": 10},
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)
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assert r.status_code == 403
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def test_get_orderbook_imbalance_observer_ok(http):
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r = http.post(
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"/tools/get_orderbook_imbalance",
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headers={"Authorization": "Bearer ot"},
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json={"instrument_name": "BTC-PERPETUAL"},
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)
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assert r.status_code == 200
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@pytest.mark.parametrize("path", [
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"/tools/get_dealer_gamma_profile",
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"/tools/get_vanna_charm",
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"/tools/get_oi_weighted_skew",
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"/tools/get_smile_asymmetry",
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"/tools/get_atm_vs_wings_vol",
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])
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def test_option_flow_indicators_observer_ok(http, path):
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r = http.post(path, headers={"Authorization": "Bearer ot"}, json={"currency": "BTC"})
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assert r.status_code == 200, (path, r.text)
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@pytest.mark.parametrize("path", [
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"/tools/get_dealer_gamma_profile",
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"/tools/get_vanna_charm",
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"/tools/get_oi_weighted_skew",
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"/tools/get_smile_asymmetry",
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"/tools/get_atm_vs_wings_vol",
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])
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def test_option_flow_indicators_no_auth_401(http, path):
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r = http.post(path, json={"currency": "BTC"})
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assert r.status_code == 401, (path, r.text)
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def test_place_combo_order_core_ok(http):
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r = http.post(
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"/tools/place_combo_order",
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headers={"Authorization": "Bearer ct"},
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json={
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"legs": [
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{"instrument_name": "BTC-30APR26-75000-C", "direction": "buy", "ratio": 1},
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{"instrument_name": "BTC-30APR26-80000-C", "direction": "sell", "ratio": 1},
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],
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"side": "buy",
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"amount": 1,
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"type": "limit",
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"price": 0.05,
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},
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)
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assert r.status_code == 200
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assert r.json()["combo_instrument"] == "BTC-COMBO-1"
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def test_place_combo_order_observer_forbidden(http):
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r = http.post(
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"/tools/place_combo_order",
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headers={"Authorization": "Bearer ot"},
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json={
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"legs": [
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{"instrument_name": "BTC-X", "direction": "buy", "ratio": 1},
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{"instrument_name": "BTC-Y", "direction": "sell", "ratio": 1},
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],
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"side": "buy",
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"amount": 1,
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},
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)
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assert r.status_code == 403
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def test_place_combo_order_min_legs(http):
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r = http.post(
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"/tools/place_combo_order",
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headers={"Authorization": "Bearer ct"},
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json={
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"legs": [{"instrument_name": "BTC-X", "direction": "buy", "ratio": 1}],
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"side": "buy",
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"amount": 1,
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},
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)
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assert r.status_code == 422
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def test_place_combo_order_leverage_cap_enforced(http):
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r = http.post(
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"/tools/place_combo_order",
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headers={"Authorization": "Bearer ct"},
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json={
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"legs": [
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{"instrument_name": "BTC-X", "direction": "buy", "ratio": 1},
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{"instrument_name": "BTC-Y", "direction": "sell", "ratio": 1},
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],
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"side": "buy",
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"amount": 1,
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"leverage": 50,
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},
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)
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assert r.status_code == 403
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err = r.json()["error"]
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assert err["code"] == "LEVERAGE_CAP_EXCEEDED"
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def test_place_order_leverage_cap_enforced(http):
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"""Reject leverage > max_leverage (da secret, default 3)."""
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r = http.post(
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"/tools/place_order",
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headers={"Authorization": "Bearer ct"},
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json={
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"instrument_name": "BTC-PERPETUAL",
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"side": "buy",
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"amount": 50,
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"leverage": 50,
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},
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)
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assert r.status_code == 403
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body = r.json()
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err = body["error"]
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assert err["code"] == "LEVERAGE_CAP_EXCEEDED"
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details = err["details"]
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assert details["exchange"] == "deribit"
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assert details["requested"] == 50
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assert details["max"] == 3
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def test_close_position_core_ok(http):
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r = http.post(
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"/tools/close_position",
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headers={"Authorization": "Bearer ct"},
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json={"instrument_name": "BTC-PERPETUAL"},
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)
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assert r.status_code == 200
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def test_close_position_observer_forbidden(http):
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r = http.post(
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"/tools/close_position",
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headers={"Authorization": "Bearer ot"},
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json={"instrument_name": "BTC-PERPETUAL"},
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)
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assert r.status_code == 403
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def test_cancel_order_observer_forbidden(http):
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r = http.post(
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"/tools/cancel_order",
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headers={"Authorization": "Bearer ot"},
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json={"order_id": "abc123"},
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)
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assert r.status_code == 403
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def test_set_stop_loss_observer_forbidden(http):
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r = http.post(
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"/tools/set_stop_loss",
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headers={"Authorization": "Bearer ot"},
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json={"order_id": "abc123", "stop_price": 45000.0},
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)
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assert r.status_code == 403
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def test_get_account_summary_observer_ok(http):
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r = http.post(
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"/tools/get_account_summary",
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headers={"Authorization": "Bearer ot"},
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json={"currency": "USDC"},
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)
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assert r.status_code == 200
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assert r.json()["equity"] == 1000
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