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feat: instrument model

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OpenSquared
2026-07-03 17:20:22 +02:00
parent 2bb8109eb4
commit ff551deecd
2 changed files with 203 additions and 93 deletions
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backend/services/instrument_models.py
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@@ -529,49 +529,115 @@ INSTRUMENT_MODELS: dict[str, dict] = {
# ══════════════════════════════════════════════════════════════════════════════
"EURUSD": {
"name": "EUR/USD",
"description": "EUR/USD — Graphe causal macro-natif : noeuds = variables macro réelles auto-synchronisées depuis FF Calendar",
"description": "Graphe causal pondéré 7 couches : macro fondamentaux → hawkishness → dynamiques marché → taux & demande → positionnement → flux → prix",
"output_node": "eurusd",
"price_intercept": 1.10,
"pip_to_price": 0.0001,
"yf_ticker": "EURUSD=X",
"col_labels": ["Variables Macro", "Politique Monétaire", "Dynamiques Marché", "Taux & Demande", "Positionnement", "Order Flow", "Output"],
"nodes": [
# ── Layer 0a : chocs événementiels (surprises court terme) ───────────────
{"id":"in_cb", "label":"Choc Banques Centrales", "node_type":"input_event","category":"central_bank", "unit":"pips","display_col":0,"event_category":"central_bank", "description":"Surprises Fed/BCE : décisions inattendues, guidance hawkish/dovish, minutes."},
{"id":"in_geo", "label":"Choc Géopolitique", "node_type":"input_event","category":"geopolitical", "unit":"pips","display_col":0,"event_category":"geopolitical", "description":"Conflits, sanctions, tensions → flight to USD."},
{"id":"in_trade", "label":"Choc Commercial/Tarifs", "node_type":"input_event","category":"trade_policy", "unit":"pips","display_col":0,"event_category":"trade_policy", "description":"Tarifs US-UE, représailles → USD/EUR volatilité."},
{"id":"in_credit","label":"Stress Crédit", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress", "description":"Stress bancaire, spreads → USD safe haven."},
# ── Layer 0b : politique monétaire (taux directeurs absolus) ─────────────
# macro_key = id → auto-sync depuis ff_calendar sans mapping manuel
{"id":"fed_rate","label":"Taux Fed (%)", "node_type":"input_manual","category":"monetary","unit":"%","coefficient_to_pips":-30, "macro_key":"fed_rate", "display_col":1,"description":"Taux directeur Fed en %. Hausse → USD fort → pair ↓. Auto-sync depuis FF Calendar."},
{"id":"ecb_rate","label":"Taux BCE (%)", "node_type":"input_manual","category":"monetary","unit":"%","coefficient_to_pips":+30, "macro_key":"ecb_rate", "display_col":1,"description":"Taux directeur BCE en %. Hausse → EUR fort → pair ↑. Auto-sync depuis FF Calendar."},
# ── Layer 0c : inflation ─────────────────────────────────────────────────
{"id":"us_cpi", "label":"CPI US YoY (%)", "node_type":"input_manual","category":"inflation","unit":"%","coefficient_to_pips":-10, "macro_key":"us_cpi_yoy","display_col":1,"description":"Inflation US YoY. Hausse → anticipations Fed hawkish → USD ↑ → pair ↓."},
{"id":"eu_cpi", "label":"HICP Eurozone (%)", "node_type":"input_manual","category":"inflation","unit":"%","coefficient_to_pips":+10, "macro_key":"eu_cpi_yoy","display_col":1,"description":"Inflation EU YoY. Hausse → BCE hawkish → EUR ↑ → pair ↑."},
# ── Layer 0d : croissance ─────────────────────────────────────────────────
{"id":"us_gdp", "label":"GDP US QoQ (%)", "node_type":"input_manual","category":"growth","unit":"%","coefficient_to_pips":-15, "macro_key":"us_gdp", "display_col":1,"description":"Croissance US trimestrielle. Surperformance → USD ↑ → pair ↓."},
{"id":"eu_gdp", "label":"GDP Eurozone QoQ (%)","node_type":"input_manual","category":"growth","unit":"%","coefficient_to_pips":+15, "macro_key":"eu_gdp", "display_col":1,"description":"Croissance EU trimestrielle. Surperformance → EUR ↑ → pair ↑."},
# ── Layer 0e : emploi & activité ─────────────────────────────────────────
{"id":"us_nfp", "label":"NFP US (K/mois)", "node_type":"input_manual","category":"labor","unit":"K","coefficient_to_pips":-0.05, "macro_key":"us_nfp", "display_col":1,"description":"Emplois non-agricoles US en K. 150K= neutre. Plus → USD ↑ → pair ↓."},
{"id":"eu_pmi", "label":"PMI EU (écart/50)", "node_type":"input_manual","category":"activity","unit":"pts","coefficient_to_pips":+2.5,"macro_key":"eu_pmi", "display_col":1,"description":"PMI Composite Eurozone MOINS 50 (+4 = PMI=54, expansion → EUR ↑)."},
{"id":"us_pmi", "label":"PMI US (écart/50)", "node_type":"input_manual","category":"activity","unit":"pts","coefficient_to_pips":-2.5,"macro_key":"us_pmi", "display_col":1,"description":"PMI ISM US MOINS 50 (+3 = PMI=53, expansion → USD ↑ → pair ↓)."},
# ── Layer 0f : sentiment & risque (pas de macro_key — saisi ou events) ───
{"id":"vix", "label":"VIX (niveau)", "node_type":"input_manual","category":"risk","unit":"pts","coefficient_to_pips":-1.5, "display_col":1,"description":"Volatilité equity US. Spike → safe haven USD → pair ↓."},
{"id":"us_equity","label":"S&P 500 momentum", "node_type":"input_manual","category":"risk","unit":"score","coefficient_to_pips":+0.3, "display_col":1,"description":"Risk-on US. Hausse → appétit risque → EUR ↑. Score -5/+5."},
{"id":"eu_fragm","label":"Fragmentation EU", "node_type":"input_manual","category":"political","unit":"score","coefficient_to_pips":-0.5, "display_col":1,"description":"Risque fragmentation zone euro, stress BTP/Bund. Score 0-5 → EUR ↓."},
# ── Layer 1 : domaines synthèse ───────────────────────────────────────────
{"id":"layer_monetary","label":"▶ Différentiel Monétaire","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
"formula":"in_cb + fed_rate + ecb_rate + us_cpi + eu_cpi",
"description":"Taux directeurs + inflation → différentiel de politique monétaire Fed/BCE."},
{"id":"layer_growth", "label":"▶ Différentiel Croissance","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
"formula":"us_gdp + eu_gdp + us_nfp + eu_pmi + us_pmi",
"description":"Croissance relative US vs EU. Positif = EU surperform → EUR ↑."},
{"id":"layer_risk", "label":"▶ Sentiment & Risque", "node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
"formula":"in_geo + in_trade + in_credit + vix + us_equity + eu_fragm",
"description":"Risque géopolitique, sentiment, appétit risque → impact EUR/USD."},
# ── Layer 2 : output ──────────────────────────────────────────────────────
{"id":"eurusd","label":"EUR/USD — Biais Net","node_type":"output","category":"output","unit":"pips","display_col":3,
"formula":"layer_monetary + layer_growth + layer_risk",
"description":"Biais net EUR/USD. Positif = haussier EUR. Divisé en 3 piliers : monétaire, croissance, risque."},
# ── Chocs CT : événements court terme ─────────────────────────────────────
# display_col:-1 → cachés dans le DAG visuel, additifs dans la formule output
{"id":"in_cb", "label":"Choc Banques Centrales","node_type":"input_event","category":"central_bank","unit":"pips","display_col":-1,"event_category":"central_bank","description":"Surprise Fed/BCE : décision inattendue, guidance. Choc CT additionné à l'output."},
{"id":"in_geo", "label":"Choc Géopolitique", "node_type":"input_event","category":"geopolitical","unit":"pips","display_col":-1,"event_category":"geopolitical","description":"Conflits, sanctions → flight to USD. Choc CT."},
{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy","unit":"pips","display_col":-1,"event_category":"trade_policy","description":"Tarifs US-UE. Choc CT."},
{"id":"in_credit","label":"Stress Crédit", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":-1,"event_category":"credit_stress","description":"Stress bancaire → safe haven USD. Choc CT."},
# ── Layer 0 (col 0) : Variables macro fondamentales ───────────────────────
# Toutes auto-synchronisées via FF Calendar (macro_key)
# Coefficients calibrés : au neutre (all=0) output=0, range typique ±200 pips
{"id":"fed_rate", "label":"Taux Fed (%)", "node_type":"input_manual","category":"monetary","unit":"%","coefficient_to_pips":-60, "macro_key":"fed_rate", "display_col":0,"description":"Taux directeur Fed en %. Hausse → USD fort → EURUSD ↓. Dominant driver."},
{"id":"ecb_rate", "label":"Taux BCE (%)", "node_type":"input_manual","category":"monetary","unit":"%","coefficient_to_pips":+60, "macro_key":"ecb_rate", "display_col":0,"description":"Taux directeur BCE en %. Hausse → EUR fort → EURUSD ↑."},
{"id":"us_cpi", "label":"CPI US YoY (%)", "node_type":"input_manual","category":"inflation","unit":"%","coefficient_to_pips":-20,"macro_key":"us_cpi_yoy","display_col":0,"description":"Inflation US annuelle. Hausse → Fed hawkish → USD ↑."},
{"id":"eu_cpi", "label":"HICP Eurozone (%)", "node_type":"input_manual","category":"inflation","unit":"%","coefficient_to_pips":+20,"macro_key":"eu_cpi_yoy","display_col":0,"description":"Inflation EU annuelle. Hausse → BCE hawkish → EUR ↑."},
{"id":"us_growth","label":"GDP US QoQ (%)", "node_type":"input_manual","category":"growth","unit":"%","coefficient_to_pips":-30, "macro_key":"us_gdp", "display_col":0,"description":"Croissance US trimestrielle. Surperformance → USD dominant."},
{"id":"eu_growth","label":"GDP Eurozone QoQ (%)","node_type":"input_manual","category":"growth","unit":"%","coefficient_to_pips":+30, "macro_key":"eu_gdp", "display_col":0,"description":"Croissance EU trimestrielle. Surperformance → EUR dominant."},
{"id":"us_nfp", "label":"NFP US (K/mois)", "node_type":"input_manual","category":"labor","unit":"K","coefficient_to_pips":-0.08,"macro_key":"us_nfp", "display_col":0,"description":"Emplois non-agricoles. Fort (>200K) → USD hawkish."},
{"id":"eu_pmi", "label":"PMI EU (écart/50)", "node_type":"input_manual","category":"activity","unit":"pts","coefficient_to_pips":+5,"macro_key":"eu_pmi", "display_col":0,"description":"PMI EU écart/50. Positif = expansion EU → EUR achetée."},
{"id":"us_pmi", "label":"PMI US (écart/50)", "node_type":"input_manual","category":"activity","unit":"pts","coefficient_to_pips":-5,"macro_key":"us_pmi", "display_col":0,"description":"PMI US écart/50. Positif = expansion US → USD fort."},
# ── Layer 1 (col 1) : Politique monétaire ────────────────────────────────
# rate_lvl : différentiel de taux directs (driver dominant)
# ecb_hawk / fed_hawk : pression hawkish perçue (données macro → anticipations futures)
{"id":"rate_lvl", "label":"Niveaux Taux (BCE−Fed)",
"node_type":"intermediate","category":"monetary","unit":"pips","display_col":1,
"formula":"ecb_rate + fed_rate",
"description":"Différentiel de taux directeurs brut BCE−Fed (en pips). Driver dominant du pair."},
{"id":"ecb_hawk", "label":"BCE Hawkishness",
"node_type":"intermediate","category":"monetary","unit":"pips","display_col":1,
"formula":"0.55*eu_cpi + 0.30*eu_growth + 0.15*eu_pmi",
"description":"Pression hawkish BCE perçue : inflation + croissance + activité EU → anticipations taux CE."},
{"id":"fed_hawk", "label":"Fed Hawkishness",
"node_type":"intermediate","category":"monetary","unit":"pips","display_col":1,
"formula":"0.55*us_cpi + 0.30*us_growth + 0.12*us_nfp + 0.03*us_pmi",
"description":"Pression hawkish Fed perçue : inflation + croissance + emploi → anticipations taux US."},
# ── Layer 2 (col 2) : Dynamiques de marché ───────────────────────────────
# rate_diff : différentiel de hawkishness perçue (secondaire au rate_lvl)
# eu_equities / us_equities : proxies croissance/risque equity
# risk_on : appétit risque global
{"id":"rate_diff", "label":"Différentiel Hawkishness",
"node_type":"intermediate","category":"monetary","unit":"pips","display_col":2,
"formula":"ecb_hawk + fed_hawk",
"description":"Différentiel BCE−Fed de hawkishness. Positif = BCE perçue plus hawkish que Fed."},
{"id":"eu_equities","label":"EU Equities",
"node_type":"intermediate","category":"risk","unit":"pips","display_col":2,
"formula":"0.60*eu_growth + 0.40*eu_pmi",
"description":"Proxy performance equity EU. Croissance + activité → flux entrants zone euro."},
{"id":"us_equities","label":"US Equities",
"node_type":"intermediate","category":"risk","unit":"pips","display_col":2,
"formula":"0.60*us_growth + 0.40*us_pmi",
"description":"Proxy performance equity US. Expansion US → USD résilient, risk-on."},
{"id":"risk_on", "label":"Risk-On Global",
"node_type":"intermediate","category":"risk","unit":"pips","display_col":2,
"formula":"0.50*eu_equities + 0.30*us_equities + 0.20*eu_growth",
"description":"Appétit risque global. Risk-on → carry → EUR achetée vs USD."},
# ── Layer 3 (col 3) : Taux longs & Demande de change ─────────────────────
{"id":"us10y", "label":"US10Y Signal",
"node_type":"intermediate","category":"rates","unit":"pips","display_col":3,
"formula":"0.50*fed_hawk + 0.30*us_growth + 0.20*us_cpi",
"description":"Signal rendement US 10Y. Hausse → USD attractif → EURUSD ↓."},
{"id":"carry", "label":"Carry Trade EUR",
"node_type":"intermediate","category":"positioning","unit":"pips","display_col":3,
"formula":"0.65*rate_diff + 0.35*risk_on",
"description":"Attractivité carry EUR/USD. Positif = taux EU > taux US + marché calme → EUR long."},
{"id":"eur_demand","label":"EUR Demand",
"node_type":"intermediate","category":"flow","unit":"pips","display_col":3,
"formula":"0.55*eu_equities + 0.30*eu_growth + 0.15*eu_pmi",
"description":"Demande structurelle EUR : flux investissement zone euro, capitaux entrants."},
{"id":"usd_demand","label":"USD Demand",
"node_type":"intermediate","category":"flow","unit":"pips","display_col":3,
"formula":"0.55*us_equities + 0.30*us_growth + 0.15*us_nfp",
"description":"Demande structurelle USD. Forte = EURUSD ↓. (Valeurs déjà en signe négatif.)"},
# ── Layer 4 (col 4) : Positionnement & Microstructure ────────────────────
{"id":"cftc_usd_long","label":"CFTC USD Long",
"node_type":"intermediate","category":"positioning","unit":"pips","display_col":4,
"formula":"0.50*fed_hawk + 0.30*us10y + 0.20*rate_diff",
"description":"Positionnement spéculatif long USD (proxy CFTC). Négatif = longs USD → USD déjà saturé."},
{"id":"dealer_gamma","label":"Dealer Gamma",
"node_type":"intermediate","category":"positioning","unit":"pips","display_col":4,
"formula":"0.60*risk_on + 0.40*carry",
"description":"Position gamma dealers. Positif = marché calme, options équilibrées → tends à stabiliser."},
{"id":"liquidity", "label":"Liquidité EUR/USD",
"node_type":"intermediate","category":"flow","unit":"pips","display_col":4,
"formula":"0.50*eur_demand + 0.30*carry + 0.20*dealer_gamma",
"description":"Liquidité côté EUR. Profondeur acheteurs EUR institutionnels."},
# ── Layer 5 (col 5) : Order Flow synthétique ──────────────────────────────
{"id":"order_flow","label":"Order Flow Net",
"node_type":"intermediate","category":"flow","unit":"pips","display_col":5,
"formula":"0.35*eur_demand + 0.25*liquidity + 0.20*carry + 0.12*cftc_usd_long + 0.08*dealer_gamma",
"description":"Flux d'ordres net EUR/USD. Positif = pression acheteuse EUR. Driver direct du prix court terme."},
# ── Output (col 6) ────────────────────────────────────────────────────────
# Formule = contribution pondérée cross-couches (pas de double-comptage car nœuds distincts)
# + chocs CT additifs (in_cb, in_geo, in_trade, in_credit)
{"id":"eurusd", "label":"EUR/USD — Biais Net",
"node_type":"output","category":"output","unit":"pips","display_col":6,
"formula":"0.40*rate_lvl + 0.30*rate_diff + 0.20*order_flow + 0.06*eur_demand + 0.04*usd_demand + in_cb + in_geo + in_trade + in_credit",
"description":"Biais fondamental net EUR/USD en pips. Positif = haussier EUR. Dominé par différentiel taux + hawkishness + flux."},
]
},
@@ -1002,6 +1068,7 @@ def seed_instrument_models(conn):
"description": model["description"],
"output_node": model["output_node"],
"nodes": model["nodes"],
"col_labels": model.get("col_labels", []),
})
conn.execute("""
INSERT INTO instrument_models (instrument, graph_json)
@@ -1355,6 +1422,7 @@ def get_model_state(conn, instrument: str, at_date: Optional[str] = None) -> Opt
"output_node": output_id,
"regime": regime_info,
"event_details": event_details,
"col_labels": graph_def.get("col_labels", []),
}