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>
163 lines
5.5 KiB
Python
163 lines
5.5 KiB
Python
from __future__ import annotations
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import os
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from fastapi import Depends, FastAPI, HTTPException
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from mcp_common.auth import Principal, TokenStore, require_principal
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from mcp_common.mcp_bridge import mount_mcp_endpoint
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from mcp_common.server import build_app
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from pydantic import BaseModel
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from mcp_macro.fetchers import (
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fetch_asset_price,
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fetch_breakeven_inflation,
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fetch_economic_indicators,
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fetch_equity_futures,
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fetch_macro_calendar,
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fetch_market_overview,
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fetch_treasury_yields,
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fetch_yield_curve_slope,
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)
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# --- Body models ---
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class GetEconomicIndicatorsReq(BaseModel):
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indicators: list[str] | None = None
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class GetMacroCalendarReq(BaseModel):
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days: int = 7
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country_filter: list[str] | None = None
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importance_min: str | None = None
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start: str | None = None
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end: str | None = None
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class GetMarketOverviewReq(BaseModel):
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pass
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class GetAssetPriceReq(BaseModel):
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ticker: str
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class GetTreasuryYieldsReq(BaseModel):
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pass
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class GetEquityFuturesReq(BaseModel):
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pass
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class GetYieldCurveSlopeReq(BaseModel):
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pass
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class GetBreakevenInflationReq(BaseModel):
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pass
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# --- ACL helper ---
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def _check(principal: Principal, *, core: bool = False, observer: bool = False) -> None:
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allowed: set[str] = set()
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if core:
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allowed.add("core")
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if observer:
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allowed.add("observer")
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if not (principal.capabilities & allowed):
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raise HTTPException(403, f"capability required: {allowed}")
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# --- App factory ---
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def create_app(*, fred_api_key: str = "", finnhub_api_key: str = "", token_store: TokenStore) -> FastAPI:
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app = build_app(name="mcp-macro", version="0.1.0", token_store=token_store)
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@app.post("/tools/get_economic_indicators", tags=["reads"])
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async def t_get_economic_indicators(
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body: GetEconomicIndicatorsReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_economic_indicators(
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fred_api_key=fred_api_key, indicators=body.indicators
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)
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@app.post("/tools/get_macro_calendar", tags=["reads"])
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async def t_get_macro_calendar(
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body: GetMacroCalendarReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_macro_calendar(
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finnhub_api_key=finnhub_api_key,
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days_ahead=body.days,
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country_filter=body.country_filter,
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importance_min=body.importance_min,
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start=body.start,
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end=body.end,
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)
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@app.post("/tools/get_market_overview", tags=["reads"])
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async def t_get_market_overview(
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body: GetMarketOverviewReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_market_overview()
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@app.post("/tools/get_asset_price", tags=["reads"])
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async def t_get_asset_price(
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body: GetAssetPriceReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_asset_price(body.ticker)
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@app.post("/tools/get_treasury_yields", tags=["reads"])
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async def t_get_treasury_yields(
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body: GetTreasuryYieldsReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_treasury_yields()
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@app.post("/tools/get_equity_futures", tags=["reads"])
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async def t_get_equity_futures(
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body: GetEquityFuturesReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_equity_futures()
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@app.post("/tools/get_yield_curve_slope", tags=["reads"])
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async def t_get_yield_curve_slope(
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body: GetYieldCurveSlopeReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_yield_curve_slope()
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@app.post("/tools/get_breakeven_inflation", tags=["reads"])
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async def t_get_breakeven_inflation(
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body: GetBreakevenInflationReq, principal: Principal = Depends(require_principal)
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):
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_check(principal, core=True, observer=True)
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return await fetch_breakeven_inflation(fred_api_key=fred_api_key)
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# ───── MCP endpoint (/mcp) — bridge verso /tools/* ─────
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port = int(os.environ.get("PORT", "9013"))
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mount_mcp_endpoint(
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app,
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name="cerbero-macro",
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version="0.1.0",
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token_store=token_store,
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internal_base_url=f"http://localhost:{port}",
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tools=[
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{"name": "get_economic_indicators", "description": "FRED economic indicators (Fed rate, CPI, ecc)."},
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{"name": "get_macro_calendar", "description": "Eventi macro con filtri country/importance/date range."},
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{"name": "get_market_overview", "description": "Snapshot overview mercato macro."},
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{"name": "get_asset_price", "description": "Prezzo cross-asset: WTI, DXY, SPX, VIX, yields, FX, ecc."},
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{"name": "get_treasury_yields", "description": "Curva US Treasury 2y/5y/10y/30y + shape detection."},
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{"name": "get_equity_futures", "description": "Futures ES/NQ/YM/RTY con session status."},
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{"name": "get_yield_curve_slope", "description": "Slope 2y10y/5y30y + butterfly + regime (steep/normal/flat/inverted)."},
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{"name": "get_breakeven_inflation", "description": "Breakeven inflation 5Y/10Y + 5y5y forward (FRED T5YIE/T10YIE/T5YIFR)."},
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],
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)
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return app
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