feat: Sentiment desk — gauge threshold alerts (Option B)
Each macro gauge selected in the Sentiment desk can now be independently configured with three alert criteria: - Seuil bas (≤): alert when value crosses below - Seuil haut (≥): alert when value crosses above - Variation % (Δ%): alert when N-day % change exceeds threshold Frontend: GaugeThresholdConfig component — one row per selected gauge, compact grid layout with enable toggle + 3 numeric inputs. Stored in config.gauge_thresholds[gauge_id]. Backend: _check_sentiment() extended — after CBOE signals, reads macro_gauge_snapshots history, checks each enabled gauge threshold, emits sentiment market_events with options_note for each breach. Gauge → affected_assets mapping covers all 32 gauge keys. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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OpenSquared
@@ -972,6 +972,123 @@ def _check_sentiment(desk_cfg: Dict[str, Any]) -> List[Dict[str, Any]]:
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["VXX","SPY"],
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"Skew bas → acheter protection bon marché (puts OTM relativement peu chers).")
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# ── Custom gauge threshold alerts ────────────────────────────────────────────
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gauge_thresholds = desk_cfg.get("gauge_thresholds", {})
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selected_gauges = desk_cfg.get("_instruments") or []
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if gauge_thresholds and selected_gauges:
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from services.database import get_macro_gauge_history
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from services.data_fetcher import MACRO_GAUGE_CONFIG
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gauge_label_map = {gid: label for gid, label, _, _, _ in MACRO_GAUGE_CONFIG}
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gauge_label_map.update({
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"slope_10y3m": "Slope 10Y-3M",
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"gold_copper_ratio": "Ratio Or/Cuivre",
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"spx_vs_200d": "SPX vs MA 200j",
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})
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_gauge_assets: Dict[str, List[str]] = {
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"dxy": ["GLD", "EEM", "EURUSD=X"],
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"us10y": ["TLT", "IEF", "SPY"],
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"us3m": ["TLT", "IEF"],
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"tips": ["TLT", "GLD"],
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"tlt": ["TLT", "IEF", "SPY"],
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"vix": ["VXX", "SPY", "QQQ"],
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"hyg": ["HYG", "LQD", "SPY"],
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"lqd": ["LQD", "HYG", "TLT"],
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"ief": ["IEF", "TLT"],
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"brent": ["USO", "XOM"],
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"ng": ["UNG", "XOM"],
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"gold": ["GLD", "SLV"],
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"silver": ["SLV", "GLD"],
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"copper": ["XLI", "EEM"],
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"spx": ["SPY", "QQQ"],
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"iwm": ["IWM", "SPY"],
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"xli": ["XLI", "SPY"],
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"xlk": ["XLK", "QQQ"],
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"xlf": ["XLF", "SPY"],
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"xlp": ["XLP", "SPY"],
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"xlu": ["XLU", "SPY"],
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"vvix": ["VXX", "SPY"],
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"skew": ["SPY", "QQQ", "TLT"],
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"ovx": ["USO", "XOM"],
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"gvz": ["GLD", "SLV"],
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"eem": ["EEM", "EFA"],
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"emb": ["EMB", "EEM"],
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"fxi": ["FXI", "EEM"],
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"usdjpy": ["USDJPY=X", "GLD"],
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"slope_10y3m": ["TLT", "SPY", "HYG"],
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"gold_copper_ratio":["GLD", "EEM"],
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"spx_vs_200d": ["SPY", "QQQ", "VXX"],
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}
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history = get_macro_gauge_history(days=lookback_days + 2)
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if len(history) >= 1:
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latest_snap = history[0]
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latest_gauges = latest_snap.get("gauges", {})
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latest_date = latest_snap["snapshot_date"]
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oldest_gauges = history[-1].get("gauges", {}) if len(history) > 1 else {}
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for gauge_id in selected_gauges:
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cfg_g = gauge_thresholds.get(gauge_id, {})
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if not cfg_g.get("enabled", False):
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continue
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gauge_data = latest_gauges.get(gauge_id, {})
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value = gauge_data.get("value")
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if value is None:
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continue
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value = float(value)
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label = gauge_label_map.get(gauge_id, gauge_id)
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assets = _gauge_assets.get(gauge_id, [])
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old_data = oldest_gauges.get(gauge_id, {})
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old_value = old_data.get("value")
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old_value = float(old_value) if old_value is not None else None
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low_thr = cfg_g.get("low_threshold")
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high_thr = cfg_g.get("high_threshold")
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chg_thr = cfg_g.get("change_pct_threshold")
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# High threshold crossing (old below, now at or above)
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if high_thr is not None:
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high_thr = float(high_thr)
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crossed = (old_value is not None and old_value < high_thr <= value)
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at_level = (old_value is None and value >= high_thr)
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if crossed or at_level:
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name = f"{label} franchit {high_thr:.2g} à la hausse ({latest_date[:7]})"
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prev_str = f" (précédent: {old_value:.2g})" if old_value is not None else ""
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_emit(name, latest_date, "bearish", f"{gauge_id.upper()} High",
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0.65,
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f"{label} dépasse le seuil haut {high_thr:.2g}{prev_str} → valeur: {value:.2g}.",
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assets,
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f"Niveau haut sur {label} — surveiller exposition options.")
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# Low threshold crossing (old above, now at or below)
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if low_thr is not None:
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low_thr = float(low_thr)
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crossed = (old_value is not None and old_value > low_thr >= value)
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at_level = (old_value is None and value <= low_thr)
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if crossed or at_level:
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name = f"{label} passe sous {low_thr:.2g} ({latest_date[:7]})"
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prev_str = f" (précédent: {old_value:.2g})" if old_value is not None else ""
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_emit(name, latest_date, "bullish", f"{gauge_id.upper()} Low",
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0.65,
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f"{label} passe sous le seuil bas {low_thr:.2g}{prev_str} → valeur: {value:.2g}.",
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assets,
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f"Niveau bas sur {label} — opportunité ou signal de retournement.")
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# Change % threshold (absolute value)
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if chg_thr is not None and old_value and old_value > 0:
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pct_chg = (value - old_value) / old_value * 100
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if abs(pct_chg) >= abs(float(chg_thr)):
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sign = "+" if pct_chg > 0 else ""
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direction = "bullish" if pct_chg > 0 else "bearish"
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name = f"{label} variation {sign}{pct_chg:.1f}% ({latest_date[:7]})"
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_emit(name, latest_date, direction, f"{gauge_id.upper()} Move",
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min(0.80, 0.45 + abs(pct_chg) * 0.02),
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f"{label} {sign}{pct_chg:.1f}% sur la période ({old_value:.2g} → {value:.2g}). Mouvement significatif.",
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assets,
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f"Mouvement {sign}{pct_chg:.1f}% sur {label} — ajuster stratégie de vol.")
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return created
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