feat: IV gate — block ALERT trades before logging + configurable thresholds
- auto_cycle.py: pre-fetch IV snapshots at step 1.9; _apply_iv_gate() runs before log_trade_entries, removes ALERT-verdict trades (not just reports) - options_technical_agent.py: _IVR_HIGH/_IVR_EXTREME/_SKEW_THRESH as module-level vars; straddle/strangle penalty -60 (vs -56 naked) at extreme IVR so Long Straddle at IVR ≥ 80% → ALERT; thresholds respected in rule engine - database.py: seed 4 iv_gate config keys (iv_gate_enabled, iv_gate_ivr_high=60, iv_gate_ivr_extreme=80, iv_gate_skew_threshold=8) — editable from Config page - Blocked trades logged as skipped_trades with [IV_GATE] detail + optimal strategy Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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OpenSquared
@@ -300,10 +300,11 @@ def run_cycle_once(trigger: str = "auto") -> Dict[str, Any]:
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dominant = scenarios.get("dominant", "incertain")
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summary["dominant_regime"] = dominant
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# ── Step 1.9: Pre-fetch IV context for strategy suggestion rules ──────
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# ── Step 1.9: Pre-fetch IV context + snapshots (suggestion rules + gate) ─
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iv_context = ""
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_iv_snapshots: Dict[str, Dict] = {}
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try:
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from services.iv_engine import get_iv_context_for_prompt, IV_WATCHLIST
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from services.iv_engine import get_iv_context_for_prompt, get_full_iv_snapshot, IV_WATCHLIST
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from services.database import get_mtm_trades_with_traces
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_mtm_pre = get_mtm_trades_with_traces(days=90)
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_trade_tickers_pre = list({
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@@ -313,8 +314,17 @@ def run_cycle_once(trigger: str = "auto") -> Dict[str, Any]:
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})
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_iv_tickers_pre = (_trade_tickers_pre + IV_WATCHLIST[:6])[:10]
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iv_context = get_iv_context_for_prompt(_iv_tickers_pre)
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# Also collect structured snapshots — used by IV gate before log_trade_entries
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for _tkr in _iv_tickers_pre:
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try:
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_iv_snapshots[_tkr] = get_full_iv_snapshot(_tkr)
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except Exception:
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pass
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if iv_context:
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logger.info(f"[Cycle {run_id[:16]}] IV context pre-fetched for {len(_iv_tickers_pre)} tickers (suggestion step)")
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logger.info(
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f"[Cycle {run_id[:16]}] IV context pre-fetched: {len(_iv_tickers_pre)} tickers, "
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f"{len(_iv_snapshots)} snapshots"
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)
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except Exception as _e:
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logger.warning(f"[Cycle] IV context pre-fetch failed (non-blocking): {_e}")
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@@ -540,6 +550,55 @@ def run_cycle_once(trigger: str = "auto") -> Dict[str, Any]:
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news_count=len(news), run_id=scoring_run_id)
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_options_assessment = None
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# ── IV Gate: block ALERT-verdict trades before logging ────────────────
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_iv_gate_blocked: List[Dict] = []
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try:
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from services.database import get_config as _gc
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if (_gc("iv_gate_enabled") or "true").lower() == "true":
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# Augment _iv_snapshots with any new tickers from scored that weren't in the pre-fetch
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from services.iv_engine import get_full_iv_snapshot as _gfiv
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_scored_tickers = {
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(tr.get("underlying") or "").upper()
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for sp in scored
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for tr in (sp.get("trade_rankings") or sp.get("suggested_trades") or [])
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if tr.get("underlying")
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}
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for _stk in _scored_tickers - set(_iv_snapshots.keys()):
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try:
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_iv_snapshots[_stk] = _gfiv(_stk)
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except Exception:
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pass
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scored, _iv_gate_blocked = _apply_iv_gate(scored, _iv_snapshots)
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if _iv_gate_blocked:
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summary["iv_gate_blocked"] = len(_iv_gate_blocked)
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logger.warning(
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f"[IVGate] {len(_iv_gate_blocked)} trade(s) blocked by IV rules: "
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+ ", ".join(f"{b['ticker']} {b['strategy']}" for b in _iv_gate_blocked)
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)
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for _blk in _iv_gate_blocked:
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try:
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from services.database import log_skipped_trade
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log_skipped_trade(
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run_id=scoring_run_id,
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pattern_id=_blk.get("pattern_id", ""),
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pattern_name=_blk.get("pattern_name", ""),
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underlying=_blk.get("ticker", ""),
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strategy=_blk.get("strategy", ""),
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score=_blk.get("score", 0),
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expected_move_pct=0,
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skip_detail=(
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f"[IV_GATE] ALERT — {'; '.join(_blk.get('iv_issues', [])[:2])}. "
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f"Stratégie optimale: {_blk.get('optimal_strategy', '?')}"
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),
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asset_class=_blk.get("asset_class", ""),
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)
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except Exception:
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pass
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except Exception as _ige:
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logger.warning(f"[IVGate] Failed (non-blocking): {_ige}")
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log_trade_entries(run_id=scoring_run_id, scored_patterns=scored, quotes=quotes)
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# ── Step 5.2: Options Technical Agent — validate newly logged trades ──
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@@ -808,6 +867,103 @@ Réponds UNIQUEMENT en JSON: {{"commentary": "<ton texte 4-6 phrases>", "key_ris
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return None
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# ── IV Gate ───────────────────────────────────────────────────────────────────
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def _apply_iv_gate(
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scored: List[Dict],
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iv_snapshots: Dict[str, Dict],
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) -> tuple:
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"""
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Filter ALERT-verdict trades from each scored pattern's suggested_trades/trade_rankings
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before they reach log_trade_entries.
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Returns (filtered_scored, blocked_trades_list).
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IVR thresholds are read from app_config (iv_gate_ivr_high, iv_gate_ivr_extreme,
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iv_gate_skew_threshold) so they can be tuned from the Config page.
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"""
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from services.options_technical_agent import assess_strategy_fit
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# Read thresholds from config (fall back to hardcoded defaults)
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try:
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from services.database import get_config as _gc
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_ivr_high = float(_gc("iv_gate_ivr_high") or 60)
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_ivr_extreme = float(_gc("iv_gate_ivr_extreme") or 80)
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_skew_thresh = float(_gc("iv_gate_skew_threshold") or 8)
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except Exception:
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_ivr_high, _ivr_extreme, _skew_thresh = 60.0, 80.0, 8.0
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# Monkey-patch thresholds into the rule engine for this call
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import services.options_technical_agent as _ota_mod
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_orig_ivr_high = getattr(_ota_mod, "_IVR_HIGH", None)
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try:
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_ota_mod._IVR_HIGH = _ivr_high
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_ota_mod._IVR_EXTREME = _ivr_extreme
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_ota_mod._SKEW_THRESH = _skew_thresh
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except Exception:
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pass
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all_blocked: List[Dict] = []
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for sp in scored:
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trade_key = "trade_rankings" if "trade_rankings" in sp else "suggested_trades"
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trades = sp.get(trade_key) or []
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allowed = []
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for trade in trades:
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ticker = (trade.get("underlying") or trade.get("ticker") or "").upper()
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strategy = trade.get("strategy") or "Long Call"
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snap = iv_snapshots.get(ticker, {})
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if not snap:
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# No IV data → can't block; allow but don't judge
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allowed.append(trade)
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continue
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iv_rank = snap.get("iv_rank")
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iv_current_pct = snap.get("iv_current_pct")
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iv_min_52w = snap.get("iv_min_52w_pct")
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iv_max_52w = snap.get("iv_max_52w_pct")
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skew_pct = (snap.get("skew") or {}).get("skew_pct")
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term_structure = (snap.get("term_structure") or {}).get("structure")
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flow_bias = (snap.get("options_flow") or {}).get("flow_bias")
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result = assess_strategy_fit(
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strategy=strategy,
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iv_rank=iv_rank,
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iv_current_pct=iv_current_pct,
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iv_min_52w=iv_min_52w,
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iv_max_52w=iv_max_52w,
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skew_pct=skew_pct,
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term_structure=term_structure,
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flow_bias=flow_bias,
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)
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if result["verdict"] == "ALERT":
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blocked_entry = {
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"ticker": ticker,
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"strategy": strategy,
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"pattern_id": sp.get("pattern_id"),
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"pattern_name": sp.get("geo_trigger") or sp.get("pattern_name") or "",
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"score": sp.get("score", 0),
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"asset_class": trade.get("asset_class") or sp.get("asset_class") or "",
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"iv_rank": iv_rank,
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"iv_issues": result["issues"],
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"optimal_strategy": result["optimal_strategy"],
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"fit_score": result["fit_score"],
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}
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all_blocked.append(blocked_entry)
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logger.warning(
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f"[IVGate] BLOCKED {ticker} {strategy} (IVR={iv_rank}, score={result['fit_score']}): "
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f"{result['issues'][0][:80] if result['issues'] else 'ALERT'}"
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)
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else:
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allowed.append(trade)
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sp[trade_key] = allowed
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return scored, all_blocked
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# ── Cycle report generation ───────────────────────────────────────────────────
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def _generate_cycle_report(
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