c7ccf237d7
- 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>
479 lines
22 KiB
Python
479 lines
22 KiB
Python
"""
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Options Technical Agent — validates each logged trade from a pure options pricing perspective.
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Checks performed per trade:
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1. IV Rank / IV Percentile → is vol cheap or expensive?
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2. IV vs Historical Vol ratio → is options premium justified?
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3. Skew (put/call) → what is the market hedging against?
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4. Term Structure (contango/back) → front-month stress or calm?
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5. Options flow (call/put ratio) → smart money direction?
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6. Strategy / IV fit → is the strategy appropriate for current vol regime?
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Verdict: OK | WARN | ALERT
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"""
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import logging
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from typing import Any, Dict, List, Optional, Tuple
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logger = logging.getLogger(__name__)
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# ── Configurable thresholds ────────────────────────────────────────────────────
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# These can be overridden by auto_cycle._apply_iv_gate() using values from
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# the app_config DB table (keys: iv_gate_ivr_high, iv_gate_ivr_extreme,
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# iv_gate_skew_threshold). Edit them via the Config page in the UI.
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_IVR_HIGH: float = 60.0 # IVR above this → no naked long vol
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_IVR_EXTREME: float = 80.0 # IVR above this → sell vol only
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_SKEW_THRESH: float = 8.0 # Put skew above this → puts very expensive
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# ── IV regime → strategy mapping ───────────────────────────────────────────────
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IV_STRATEGY_RULES = {
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"long_vol": ["long call", "long put", "long straddle", "long strangle"],
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"short_vol": ["short call", "short put", "short strangle", "iron condor",
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"covered call", "cash secured put", "cash-secured put"],
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"spread": ["bull call spread", "bear put spread", "bull put spread",
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"bear call spread", "call spread", "put spread"],
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}
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STRATEGY_REGIME = {
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# IVR < 30 → buy vol (cheap)
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"low": {"preferred": ["Long Call", "Long Put", "Long Straddle"],
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"avoid": ["Iron Condor", "Short Strangle"]},
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# IVR 30-60 → spreads (moderate cost)
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"mid": {"preferred": ["Bull Call Spread", "Bear Put Spread", "Bull Put Spread", "Bear Call Spread"],
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"avoid": ["Long Straddle", "Long Strangle"]},
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# IVR > 60 → sell vol / use spreads (expensive)
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"high": {"preferred": ["Bull Call Spread", "Bear Put Spread", "Cash-Secured Put",
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"Iron Condor", "Covered Call", "Short Strangle"],
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"avoid": ["Long Call", "Long Put", "Long Straddle", "Long Strangle"]},
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}
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def _iv_regime(iv_rank: Optional[float]) -> str:
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if iv_rank is None:
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return "unknown"
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if iv_rank < 30:
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return "low"
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if iv_rank < 60:
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return "mid"
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return "high"
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def _infer_direction(strategy: str) -> str:
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s = strategy.lower()
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if any(k in s for k in ["call", "bull", "haussier"]):
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return "bullish"
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if any(k in s for k in ["put", "bear", "baissier"]):
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return "bearish"
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if any(k in s for k in ["straddle", "strangle", "iron condor"]):
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return "neutral"
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return "bullish"
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def _optimal_strategy(direction: str, iv_rank: Optional[float]) -> str:
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regime = _iv_regime(iv_rank)
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if direction == "bullish":
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return {"low": "Long Call", "mid": "Bull Call Spread", "high": "Cash-Secured Put ou Bull Put Spread"}.get(regime, "Bull Call Spread")
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elif direction == "bearish":
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return {"low": "Long Put", "mid": "Bear Put Spread", "high": "Covered Call ou Bear Call Spread"}.get(regime, "Bear Put Spread")
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else:
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return {"low": "Long Straddle", "mid": "Iron Condor (wing buy)", "high": "Iron Condor ou Short Strangle"}.get(regime, "Iron Condor")
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def assess_strategy_fit(
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strategy: str,
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iv_rank: Optional[float],
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iv_current_pct: Optional[float],
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iv_min_52w: Optional[float],
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iv_max_52w: Optional[float],
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skew_pct: Optional[float],
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term_structure: Optional[str],
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flow_bias: Optional[str],
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) -> Dict[str, Any]:
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"""Rule-based assessment of strategy vs options pricing environment."""
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issues: List[str] = []
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positives: List[str] = []
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score = 100
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s = strategy.lower()
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is_long_vol = any(k in s for k in IV_STRATEGY_RULES["long_vol"])
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is_short_vol = any(k in s for k in IV_STRATEGY_RULES["short_vol"])
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is_spread = any(k in s for k in IV_STRATEGY_RULES["spread"])
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direction = _infer_direction(strategy)
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regime = _iv_regime(iv_rank)
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# ── Rule 1: IV Rank fit (uses configurable thresholds _IVR_HIGH / _IVR_EXTREME) ──
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ivr_high = _IVR_HIGH # default 60, configurable via app_config
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ivr_extreme = _IVR_EXTREME # default 80
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if iv_rank is not None:
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if is_long_vol:
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if iv_rank >= ivr_extreme:
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is_double_sided = any(k in s for k in ["straddle", "strangle"])
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issues.append(
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f"IVR {iv_rank:.0f}% — achat de vol au pic annuel (IV crush quasi-certain). "
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f"Min 52s={iv_min_52w:.1f}% | Max={iv_max_52w:.1f}%"
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if iv_min_52w and iv_max_52w else
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f"IVR {iv_rank:.0f}% — achat de vol au pic annuel, IV crush probable"
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)
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# Straddles/strangles buy BOTH sides at peak IV → double vega exposure
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score -= 60 if is_double_sided else 56
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elif iv_rank >= ivr_high:
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issues.append(f"IVR {iv_rank:.0f}% — vol chère, un spread débiteur réduirait le coût de vega de ~40-60%")
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score -= 25
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elif iv_rank <= 20:
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positives.append(f"IVR {iv_rank:.0f}% — vol bon marché, timing idéal pour acheter des options")
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score += 5
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elif iv_rank <= 35:
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positives.append(f"IVR {iv_rank:.0f}% — vol modérément bon marché, stratégie long vol pertinente")
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elif is_short_vol:
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if iv_rank <= 25:
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issues.append(f"IVR {iv_rank:.0f}% — prime collectée faible, risque/rendement défavorable pour vendeur")
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score -= 25
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elif iv_rank >= ivr_high + 5:
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positives.append(f"IVR {iv_rank:.0f}% — vol chère, timing favorable pour la vente de prime")
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score += 10
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elif is_spread:
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if iv_rank >= ivr_high - 10:
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positives.append(f"IVR {iv_rank:.0f}% — spread adapté : coût vega réduit, convient au régime de vol élevée")
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elif iv_rank <= 20:
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issues.append(f"IVR {iv_rank:.0f}% — vol bon marché, option pure plus efficace qu'un spread (gain plafonné inutilement)")
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score -= 10
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# ── Rule 2: IV vs Historical Vol ratio ──────────────────────────────────
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if iv_current_pct and iv_min_52w and iv_max_52w:
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iv_range = iv_max_52w - iv_min_52w
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if iv_range > 0:
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iv_normalized = (iv_current_pct - iv_min_52w) / iv_range * 100
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# This is essentially IVR recalculated — use for extra context
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if is_long_vol and iv_normalized >= 90:
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issues.append(
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f"IV actuelle {iv_current_pct:.1f}% vs range 52s [{iv_min_52w:.1f}%–{iv_max_52w:.1f}%] "
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f"— dans le top 10% du range annuel"
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)
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# ── Rule 3: Skew (uses _SKEW_THRESH) ─────────────────────────────────────
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skew_thresh = _SKEW_THRESH # default 8
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if skew_pct is not None:
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if skew_pct > skew_thresh and "put" in s and is_long_vol:
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issues.append(f"Skew put élevé ({skew_pct:+.1f}pts) — protection déjà très chère, marché en mode hedge")
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score -= 15
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elif skew_pct > skew_thresh * 0.6:
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issues.append(f"Skew put positif ({skew_pct:+.1f}pts) — demande de protection élevée, marché anxieux")
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score -= 8
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elif skew_pct < -skew_thresh * 0.6 and "call" in s and is_long_vol:
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issues.append(f"Skew call négatif ({skew_pct:+.1f}pts) — demande de calls élevée, options call chères relativement")
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score -= 8
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elif abs(skew_pct) <= 3:
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positives.append(f"Skew neutre ({skew_pct:+.1f}pts) — pas de biais de protection excessif dans le marché")
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# ── Rule 4: Term structure ────────────────────────────────────────────────
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if term_structure:
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if term_structure == "backwardation" and is_short_vol:
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issues.append("Term structure en backwardation — vol front-month > back, vendre la vol est risqué en période de stress")
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score -= 20
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elif term_structure == "backwardation" and is_long_vol and "straddle" in s:
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positives.append("Backwardation + long straddle : vol front-month élevée, catalyseur événementiel probable")
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score += 8
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elif term_structure == "contango" and is_short_vol:
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positives.append("Contango : vol croît avec le temps, calendar spread ou vente de vol front-month avantageuse")
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score += 5
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elif term_structure == "contango" and is_long_vol:
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issues.append("Contango : vol augmente avec l'échéance, payer le temps est coûteux pour les options longues")
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score -= 5
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# ── Rule 5: Options flow ──────────────────────────────────────────────────
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if flow_bias:
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if flow_bias == "bearish" and direction == "bullish":
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issues.append("Flow options bearish (plus de puts achetés) alors que la stratégie est haussière — signal contra")
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score -= 10
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elif flow_bias == "bullish" and direction == "bearish":
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issues.append("Flow options bullish (plus de calls achetés) alors que la stratégie est baissière — signal contra")
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score -= 10
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elif flow_bias == direction:
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positives.append(f"Flow options aligné sur la direction ({flow_bias}) — confirmation par le smart money")
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score += 5
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score = max(0, min(100, score))
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verdict = "OK" if score >= 70 else "WARN" if score >= 45 else "ALERT"
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return {
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"fit_score": score,
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"verdict": verdict,
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"issues": issues,
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"positives": positives,
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"direction_inferred": direction,
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"iv_regime": regime,
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"optimal_strategy": _optimal_strategy(direction, iv_rank),
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}
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# ── Main agent function ────────────────────────────────────────────────────────
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def assess_logged_trades(
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scoring_run_id: str,
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scored: List[Dict],
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ai_key: str,
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) -> Optional[Dict]:
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"""
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For each trade logged in this cycle:
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1. Fetch IV snapshot (IVR, skew, term structure, flow)
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2. Run rule-based assessment
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3. GPT-4o narrative for all trades together
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Returns dict with per-trade assessments + global assessment.
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"""
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import os
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import json as _json
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os.environ["OPENAI_API_KEY"] = ai_key
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# ── Get newly logged trades ───────────────────────────────────────────────
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try:
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from services.database import get_conn
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conn = get_conn()
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rows = conn.execute(
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"""SELECT id, underlying, strategy, entry_date, score_at_entry, pattern_name, capital_invested
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FROM trade_entry_prices WHERE run_id=? ORDER BY entry_date DESC""",
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(scoring_run_id,),
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).fetchall()
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conn.close()
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trades = [dict(r) for r in rows]
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except Exception as e:
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logger.warning(f"[OptionsTech] Failed to fetch logged trades: {e}")
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return None
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if not trades:
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logger.info("[OptionsTech] No trades logged this cycle — skipping assessment")
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return {"assessments": [], "global_assessment": "", "global_score": None}
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# ── Fetch IV snapshots per unique ticker ──────────────────────────────────
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from services.iv_engine import get_full_iv_snapshot
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iv_snapshots: Dict[str, Dict] = {}
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unique_tickers = list({t["underlying"] for t in trades if t.get("underlying")})
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for ticker in unique_tickers:
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try:
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iv_snapshots[ticker] = get_full_iv_snapshot(ticker)
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logger.debug(f"[OptionsTech] IV snapshot fetched for {ticker}")
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except Exception as e:
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logger.debug(f"[OptionsTech] IV snapshot failed for {ticker}: {e}")
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iv_snapshots[ticker] = {}
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# ── Rule-based assessment per trade ──────────────────────────────────────
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assessments: List[Dict] = []
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for t in trades:
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ticker = t.get("underlying") or ""
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strategy = t.get("strategy") or "Long Call"
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snap = iv_snapshots.get(ticker, {})
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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 = snap.get("skew", {})
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skew_pct = skew.get("skew_pct")
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term = snap.get("term_structure", {})
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term_structure = term.get("structure")
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flow = snap.get("options_flow", {})
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flow_bias = flow.get("flow_bias")
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call_put_ratio = flow.get("call_put_ratio")
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iv_source = snap.get("iv_source", "none")
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fit = 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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assessments.append({
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"trade_id": t.get("id"),
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"ticker": ticker,
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"strategy": strategy,
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"pattern_name": t.get("pattern_name", ""),
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# IV data
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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_pct": iv_min_52w,
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"iv_max_52w_pct": iv_max_52w,
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"iv_source": iv_source,
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"skew_pct": skew_pct,
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"skew_interpretation": skew.get("interpretation"),
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"term_structure": term_structure,
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"term_iv_30d": term.get("iv_30d"),
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"term_iv_90d": term.get("iv_90d"),
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"flow_bias": flow_bias,
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"call_put_ratio": call_put_ratio,
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# Rule-based verdict
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"fit_score": fit["fit_score"],
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"verdict": fit["verdict"],
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"issues": fit["issues"],
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"positives": fit["positives"],
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"iv_regime": fit["iv_regime"],
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"direction_inferred": fit["direction_inferred"],
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"optimal_strategy": fit["optimal_strategy"],
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# GPT-4o analysis filled below
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"analysis": "",
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"when_to_enter": "",
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})
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# ── GPT-4o narrative (all trades together) ────────────────────────────────
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global_assessment = ""
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global_score = None
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try:
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from services.ai_analyzer import _chat
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trades_for_prompt = []
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for a in assessments:
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entry = {
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"ticker": a["ticker"],
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"strategy": a["strategy"],
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"pattern": a["pattern_name"],
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"iv_rank_pct": a["iv_rank"],
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"iv_current_pct": a["iv_current_pct"],
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"iv_range_52w": f"{a['iv_min_52w_pct']:.1f}%–{a['iv_max_52w_pct']:.1f}%"
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if a["iv_min_52w_pct"] and a["iv_max_52w_pct"] else None,
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"skew_pts": a["skew_pct"],
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"skew_interp": a["skew_interpretation"],
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"term_structure": a["term_structure"],
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"iv_30d": a["term_iv_30d"],
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"iv_90d": a["term_iv_90d"],
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"flow_bias": a["flow_bias"],
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"call_put_ratio": a["call_put_ratio"],
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"rule_verdict": a["verdict"],
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"rule_issues": a["issues"],
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"rule_positives": a["positives"],
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"optimal_strategy_suggested": a["optimal_strategy"],
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}
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trades_for_prompt.append(entry)
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prompt = f"""Tu es un trader d'options senior avec 20 ans d'expérience en market making et volatilité.
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Analyse les trades ci-dessous qui viennent d'être loggés dans notre système.
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Pour chaque trade, fournis une analyse technique options rigoureuse en utilisant TOUS les indicateurs disponibles.
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TRADES À ANALYSER:
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{_json.dumps(trades_for_prompt, ensure_ascii=False, indent=2)}
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Pour chaque trade, analyse:
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1. Le TIMING de vol (IVR, range 52s, IV/HV implicite) — est-ce le bon moment pour cette stratégie ?
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2. La STRUCTURE (skew, term structure, flow) — que dit le marché options lui-même ?
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3. La STRATÉGIE choisie — est-elle optimale pour ce régime de vol ?
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4. Le PRICE d'ENTRÉE OPTIMAL — quelle condition améliorerait le timing ?
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Rappel règles d'or:
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- IVR > 70% + achat d'option naked = payer la prime maximale = IV crush probable
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- Skew put élevé = marché en mode protection, puts chers
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- Backwardation = stress, ne pas vendre la vol
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- Iron Condor / Short Strangle = uniquement IVR > 65%
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- Long Straddle = uniquement si catalyseur + IVR < 30%
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Réponds en JSON EXACT:
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{{
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"trade_assessments": [
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{{
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"ticker": "<ticker>",
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"strategy": "<stratégie>",
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"technical_score": <0-100>,
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"analysis": "<3-4 phrases d'analyse technique précise: timing vol, skew, structure>",
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"when_to_enter": "<condition précise et mesurable pour un meilleur timing: ex 'Attendre IVR < 40%', 'Après event X'>"
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}}
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],
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"global_assessment": "<2-3 phrases sur la qualité technique globale des entrées de ce cycle>",
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"global_score": <0-100, note technique globale du cycle d'entrées>
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}}"""
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result = _chat(
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"Tu es un expert options/volatilité. Analyse technique précise en JSON.",
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prompt,
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model="gpt-4o",
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json_mode=True,
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max_tokens=1200,
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)
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if result:
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global_assessment = result.get("global_assessment", "")
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global_score = result.get("global_score")
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ai_assessments = {a["ticker"]: a for a in result.get("trade_assessments", [])}
|
||
for a in assessments:
|
||
ai = ai_assessments.get(a["ticker"], {})
|
||
a["analysis"] = ai.get("analysis", "")
|
||
a["when_to_enter"] = ai.get("when_to_enter", "")
|
||
if ai.get("technical_score") is not None:
|
||
a["fit_score"] = int(ai["technical_score"])
|
||
a["verdict"] = "OK" if a["fit_score"] >= 70 else "WARN" if a["fit_score"] >= 45 else "ALERT"
|
||
|
||
logger.info(f"[OptionsTech] GPT-4o assessment complete — {len(assessments)} trades, global_score={global_score}")
|
||
|
||
except Exception as e:
|
||
logger.warning(f"[OptionsTech] GPT-4o narrative failed: {e}")
|
||
|
||
return {
|
||
"run_id": scoring_run_id,
|
||
"assessments": assessments,
|
||
"global_assessment": global_assessment,
|
||
"global_score": global_score,
|
||
"n_alert": sum(1 for a in assessments if a["verdict"] == "ALERT"),
|
||
"n_warn": sum(1 for a in assessments if a["verdict"] == "WARN"),
|
||
"n_ok": sum(1 for a in assessments if a["verdict"] == "OK"),
|
||
}
|
||
|
||
|
||
def save_assessments_to_db(assessments: List[Dict], run_id: str) -> None:
|
||
"""Persist per-trade assessments for Journal badge display."""
|
||
import json as _json
|
||
try:
|
||
from services.database import get_conn
|
||
conn = get_conn()
|
||
for a in assessments:
|
||
conn.execute(
|
||
"""INSERT OR REPLACE INTO options_trade_assessments
|
||
(run_id, trade_id, ticker, strategy, assessed_at,
|
||
iv_rank, iv_current_pct, skew_pct, term_structure,
|
||
fit_score, verdict, issues_json, optimal_strategy, analysis, when_to_enter)
|
||
VALUES (?, ?, ?, ?, datetime('now'), ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)""",
|
||
(
|
||
run_id,
|
||
a.get("trade_id"),
|
||
a.get("ticker"),
|
||
a.get("strategy"),
|
||
a.get("iv_rank"),
|
||
a.get("iv_current_pct"),
|
||
a.get("skew_pct"),
|
||
a.get("term_structure"),
|
||
a.get("fit_score"),
|
||
a.get("verdict"),
|
||
_json.dumps(a.get("issues", []) + (["✓ " + p for p in a.get("positives", [])]), ensure_ascii=False),
|
||
a.get("optimal_strategy"),
|
||
a.get("analysis", ""),
|
||
a.get("when_to_enter", ""),
|
||
),
|
||
)
|
||
conn.commit()
|
||
conn.close()
|
||
except Exception as e:
|
||
logger.warning(f"[OptionsTech] DB save failed: {e}")
|
||
|
||
|
||
# ── IV-strategy injection string for AI prompts ────────────────────────────────
|
||
|
||
OPTIONS_STRATEGY_RULES = """
|
||
## ⚠️ RÈGLES STRICTES IV → STRATÉGIE (à appliquer pour chaque trade suggéré)
|
||
|
||
Le choix de stratégie doit tenir compte du COÛT de la volatilité implicite (IVR = IV Rank 52 semaines):
|
||
|
||
| IVR | Stratégie AUTORISÉE | Stratégie INTERDITE |
|
||
|-----|---------------------|---------------------|
|
||
| < 30% (vol cheap) | Long Call, Long Put, Long Straddle | Iron Condor, Short Strangle |
|
||
| 30–60% (vol moderate) | Bull Call Spread, Bear Put Spread | Long Straddle, Long Strangle naked |
|
||
| 60–80% (vol chère) | Spreads débiteurs, Cash-Secured Put | Long Call naked, Long Put naked |
|
||
| > 80% (vol très chère)| Iron Condor, Short Strangle, Covered Call, Cash-Secured Put | TOUTE option long naked |
|
||
|
||
Règles supplémentaires:
|
||
- Skew put élevé (> 5 pts) → éviter Long Put (trop cher), préférer Bear Put Spread
|
||
- Term structure backwardation → ne pas vendre de vol (vendeur piégé si vol monte encore)
|
||
- Si IVR inconnu → utiliser Bull Call Spread / Bear Put Spread par défaut (neutre au coût de vol)
|
||
- Long Straddle uniquement si: IVR < 25% ET catalyseur événementiel clairement identifié
|
||
"""
|