Adriano Dal Pastro
df8bfbceaa
Ricerca sostituto/miglioria a MR02/ETH (127 strategie + 18 overlay opzioni, verifica avversariale, gate PORT06). Esito: miglioria = no-SL (gia' ~catturata da EXIT-16 live); tail-hedge opzioni NO-GO empirico su prezzi reali. Infrastruttura opzioni REALE (muro ARGO/GEX caduto): - options_fetcher.py: importa lo storico per-strike + market_snapshots da cerbero-bite -> data/options/ (chain bid/ask/IV/greche/OI + pannello regime con net-GEX dealer/gamma-flip/VRP/funding/liquidation). - options_chain.py: loader + skew_curve/premium_levels (aggregati reali) + quote() causale + load_market() (pannello regime). - option_overlay_lab.py: overlay opzioni BS su DVOL (pricing sintetico). - mr02eth_port06_gate.py / eth_collar_gate.py: gate swap-sleeve e collar. - mr02eth_search/options.workflow.js: i 2 workflow. Numeri reali: skew put 10%OTM ~1.1 (liquido), premio ~1.0%/mese; niente strike 10%OTM a 24h (overlay per-trade infattibile); collar standing paga nei crash ma net-negativo a PORT06 (alza OOS DD). Diario + CLAUDE.md aggiornati. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
84 lines
3.3 KiB
Python
84 lines
3.3 KiB
Python
"""Importa lo storico per-strike delle opzioni da cerbero-bite -> data/options/.
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cerbero-bite (container Docker accanto) accumula in continuo gli snapshot della
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catena opzioni Deribit (BTC+ETH) nella tabella `option_chain_snapshots` del suo
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SQLite (`/app/data/state.sqlite`, volume `cerbero-bite_bite-data`, root-only).
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Questo e' lo storico per-strike REALE (bid/ask/mid/IV/greche/OI/volume) che il
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progetto credeva non-backtestabile (muro ARGO/GEX): qui esiste ed e' gratis.
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Il volume non e' leggibile direttamente (root), quindi esportiamo via `docker
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exec` (il container ha pandas+pyarrow) e copiamo i parquet in data/options/.
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Analogo a regime_fetcher.py -> data/regime/. Rigenera con:
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uv run python scripts/analysis/options_fetcher.py
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NB: snapshot da 2026-05-01 in poi (cerbero-bite e' partito allora), cadenza ~12min.
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"""
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from __future__ import annotations
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import subprocess
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import sys
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from pathlib import Path
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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OUT = PROJECT_ROOT / "data" / "options"
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BITE_COMPOSE = "/opt/docker/cerbero-bite/docker-compose.yml"
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BITE_SERVICE = "cerbero-bite"
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_EXPORT = r'''
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import sqlite3, pandas as pd
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con = sqlite3.connect("file:/app/data/state.sqlite?mode=ro", uri=True)
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for asset in ("ETH", "BTC"):
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df = pd.read_sql_query(
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"SELECT * FROM option_chain_snapshots WHERE asset=?", con, params=(asset,))
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df.to_parquet(f"/tmp/{asset.lower()}_chain.parquet")
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print(f"{asset} {len(df)}")
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try:
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dv = pd.read_sql_query("SELECT * FROM dvol_history", con)
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dv.to_parquet("/tmp/dvol_history.parquet"); print(f"DVOL {len(dv)}")
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except Exception as e:
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print("dvol skip", e)
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# market_snapshots: pannello regime allineato (spot, dvol, VRP, funding, GEX dealer,
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# gamma_flip, liquidation risk, oi_delta) -- feature reali pre-calcolate.
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try:
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ms = pd.read_sql_query("SELECT * FROM market_snapshots", con)
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ms.to_parquet("/tmp/market_snapshots.parquet"); print(f"MARKET {len(ms)}")
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except Exception as e:
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print("market skip", e)
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'''
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def _container_id() -> str:
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out = subprocess.run(["docker", "compose", "-f", BITE_COMPOSE, "ps", "-q", BITE_SERVICE],
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capture_output=True, text=True, check=True)
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cid = out.stdout.strip().splitlines()[0]
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if not cid:
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raise RuntimeError("container cerbero-bite non trovato (e' su?)")
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return cid
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def fetch() -> None:
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OUT.mkdir(parents=True, exist_ok=True)
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print("export dalla SQLite di cerbero-bite (docker exec)...")
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r = subprocess.run(["docker", "compose", "-f", BITE_COMPOSE, "exec", "-T", BITE_SERVICE,
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"python", "-c", _EXPORT], capture_output=True, text=True)
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print(r.stdout.strip())
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if r.returncode != 0:
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print(r.stderr[-2000:], file=sys.stderr)
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raise SystemExit("export fallito")
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cid = _container_id()
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for fn in ("eth_chain.parquet", "btc_chain.parquet", "dvol_history.parquet",
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"market_snapshots.parquet"):
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dst = OUT / fn
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cp = subprocess.run(["docker", "cp", f"{cid}:/tmp/{fn}", str(dst)],
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capture_output=True, text=True)
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if cp.returncode == 0:
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print(f" -> {dst.relative_to(PROJECT_ROOT)} ({dst.stat().st_size // 1024} KB)")
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else:
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print(f" (skip {fn}: {cp.stderr.strip()})")
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print("OK. Loader: scripts/analysis/options_chain.py")
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if __name__ == "__main__":
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fetch()
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