772 lines
66 KiB
Python
772 lines
66 KiB
Python
"""
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Instrument Models — Phase 1 : propagation en chaîne réelle.
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Architecture DAG (3 couches) :
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Layer 0 — Inputs :
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- input_event : valeur auto depuis causal_event_analyses (par catégorie template)
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- input_manual : valeur utilisateur (unité native → pips via coefficient_to_pips)
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Layer 1 — Intermediate : formules agrégeant les inputs par domaine
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Layer 2 — Output : formule sommant les nœuds intermédiaires
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Évaluation : evaluate_graph() de causal_graphs.py (formula-based DAG).
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Lifecycle : montée (rise_days) → plateau → décroissance (absorption_days).
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Timeline : simulation jour par jour via simulate_timeline().
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"""
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import json
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import math
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from datetime import datetime, timedelta, date as date_type
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from typing import Optional
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# ── Lifecycle & decay ──────────────────────────────────────────────────────────
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def _decay(days: int, absorption: int, dtype: str) -> float:
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if days < 0: return 0.0
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if dtype == "step": return 1.0 if days <= absorption else 0.0
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if dtype == "linear": return max(0.0, 1.0 - days / max(absorption, 1))
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lam = 3.0 / max(absorption, 1)
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return math.exp(-lam * days)
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def _lifecycle(days: int, rise: int, plateau: int, absorption: int, dtype: str) -> float:
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"""Montée linéaire → plateau → décroissance (exp/linear/step)."""
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if days < 0: return 0.0
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if days < rise: return days / max(rise, 1)
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if days < rise + plateau: return 1.0
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return _decay(days - rise - plateau, absorption, dtype)
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# ── Category labels ────────────────────────────────────────────────────────────
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CAT_LABELS: dict[str, str] = {
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"monetary":"Monétaire","inflation":"Inflation","macro":"Macro/Croissance",
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"political":"Politique","flows":"Flux & Réserves","positioning":"Positionnement",
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"sentiment":"Sentiment & Risque","credit":"Crédit","earnings":"Bénéfices",
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"valuation":"Valorisation","tech":"Technologie","commodity":"Commodités",
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"supply":"Offre","output":"Résultat","intermediate":"Couche intermédiaire",
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# event categories
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"central_bank":"Banques Centrales","monetary_shock":"Surprise Macro",
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"geopolitical":"Géopolitique","trade_policy":"Commerce / Tarifs",
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"growth_shock":"Choc Croissance","credit_stress":"Stress Crédit",
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"technical":"Technique","sentiment":"Sentiment",
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"positioning":"Positionnement","unclassified":"Non Classifié",
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}
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# ── Helper to build formula from list of node IDs ──────────────────────────────
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def _sum_formula(*node_ids: str) -> str:
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return " + ".join(node_ids)
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# ── Built-in instrument model definitions ──────────────────────────────────────
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# Each model defines:
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# nodes : list of node dicts
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# output_node : id of the output node
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#
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# Node schema:
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# id, label, node_type (input_event|input_manual|intermediate|output),
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# category, unit (for manual), coefficient_to_pips (for manual),
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# event_category (for event nodes), formula (for intermediate/output),
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# description, display_col (0=inputs-event, 1=inputs-manual, 2=intermediate, 3=output)
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#
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# All intermediate/output values are in pips.
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# For input_manual : value_in_native_unit * coefficient_to_pips = pips injected into graph.
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INSTRUMENT_MODELS: dict[str, dict] = {
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# ══════════════════════════════════════════════════════════════════════════════
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"EURUSD": {
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"name": "EUR/USD",
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"description": "Taux de change Euro/Dollar — modèle causal 3 couches avec 4 domaines d'influence",
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"output_node": "eurusd",
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"nodes": [
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# ── Layer 0a : event inputs ───────────────────────────────────────────────
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{"id":"in_cb", "label":"Banques Centrales", "node_type":"input_event", "category":"central_bank", "unit":"pips","display_col":0,"description":"Décisions Fed/BCE, minutes, forward guidance. Décroissance exp ~14j.","event_category":"central_bank"},
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{"id":"in_macro", "label":"Surprises Macro (données)","node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"description":"CPI, NFP, PIB, PMI US/EU. Décroissance rapide ~12j.","event_category":"monetary_shock"},
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{"id":"in_geo", "label":"Risque Géopolitique", "node_type":"input_event", "category":"geopolitical", "unit":"pips","display_col":0,"description":"Conflits, sanctions, tensions. Décroissance linéaire ~21j.","event_category":"geopolitical"},
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{"id":"in_trade", "label":"Choc Commercial/Tarifs", "node_type":"input_event", "category":"trade_policy", "unit":"pips","display_col":0,"description":"Tarifs US-UE, accords commerciaux.","event_category":"trade_policy"},
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{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event", "category":"growth_shock", "unit":"pips","display_col":0,"description":"Chocs perspectives croissance.","event_category":"growth_shock"},
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{"id":"in_credit", "label":"Stress Crédit/Liquidité", "node_type":"input_event", "category":"credit_stress", "unit":"pips","display_col":0,"description":"Banking stress, spreads IG/HY.","event_category":"credit_stress"},
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{"id":"in_technical", "label":"Momentum Technique", "node_type":"input_event", "category":"technical", "unit":"pips","display_col":0,"description":"Cassures niveaux clés, tendances.","event_category":"technical"},
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{"id":"in_commodity", "label":"Choc Commodités", "node_type":"input_event", "category":"commodity", "unit":"pips","display_col":0,"description":"Pétrole, gaz, métaux → inflation EU.","event_category":"commodity"},
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{"id":"in_sentiment", "label":"Sentiment/Positionnement","node_type":"input_event", "category":"sentiment", "unit":"pips","display_col":0,"description":"Flux institutionnels, risk-on/off.","event_category":"sentiment"},
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# ── Layer 0b : manual structural inputs ──────────────────────────────────
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{"id":"m_rate_diff_2y", "label":"Spread OIS 2Y USD-EUR", "node_type":"input_manual","category":"monetary", "unit":"bps", "coefficient_to_pips": 1.5, "display_col":1,"description":"Principal driver court terme. Positif = USD plus rémunérateur → pair ↓"},
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{"id":"m_fed_path", "label":"Anticipation Fed 12m", "node_type":"input_manual","category":"monetary", "unit":"bps", "coefficient_to_pips": 0.8, "display_col":1,"description":"Cuts attendus → USD ↓ → pair ↑. Hikes → USD ↑ → pair ↓"},
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{"id":"m_ecb_path", "label":"Anticipation BCE 12m", "node_type":"input_manual","category":"monetary", "unit":"bps", "coefficient_to_pips":-0.8, "display_col":1,"description":"Cuts BCE → EUR ↓. Hikes → EUR ↑"},
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{"id":"m_us_real_rate", "label":"Taux réel US 10Y (TIPS)", "node_type":"input_manual","category":"monetary", "unit":"bps", "coefficient_to_pips":-0.5, "display_col":1,"description":"Hausse → USD attractif → pair ↓"},
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{"id":"m_eu_real_rate", "label":"Taux réel EU 10Y", "node_type":"input_manual","category":"monetary", "unit":"bps", "coefficient_to_pips": 0.5, "display_col":1,"description":"Hausse → EUR attractif → pair ↑"},
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{"id":"m_carry", "label":"Score carry EUR/USD", "node_type":"input_manual","category":"monetary", "unit":"score", "coefficient_to_pips": 0.6, "display_col":1,"description":"Score attractivité carry (+= EUR avantageux)"},
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{"id":"m_us_growth_adv", "label":"Avantage croissance US vs EU","node_type":"input_manual","category":"macro", "unit":"pts%", "coefficient_to_pips":-15.0,"display_col":1,"description":"Différentiel PIB US-EU. US surperform → USD ↑ → pair ↓"},
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{"id":"m_eu_pmi", "label":"PMI composite Eurozone", "node_type":"input_manual","category":"macro", "unit":"pts", "coefficient_to_pips": 0.3, "display_col":1,"description":"Expansion EU → EUR ↑"},
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{"id":"m_energy_price", "label":"Prix énergie ($/bbl delta)", "node_type":"input_manual","category":"macro", "unit":"$/bbl", "coefficient_to_pips":-0.25,"display_col":1,"description":"Énergie chère → déficit commercial EU → EUR ↓"},
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{"id":"m_us_cpi", "label":"CPI US YoY", "node_type":"input_manual","category":"inflation", "unit":"%", "coefficient_to_pips":-0.8, "display_col":1,"description":"Inflation US → Fed hawkish → USD ↑ → pair ↓"},
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{"id":"m_eu_cpi", "label":"HICP Eurozone YoY", "node_type":"input_manual","category":"inflation", "unit":"%", "coefficient_to_pips": 0.8, "display_col":1,"description":"Inflation EU → BCE hawkish → EUR ↑"},
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{"id":"m_risk_appetite", "label":"Appétit risque mondial", "node_type":"input_manual","category":"sentiment", "unit":"score", "coefficient_to_pips": 0.5, "display_col":1,"description":"Risk-on → sorties USD → pair ↑"},
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{"id":"m_vix", "label":"Niveau VIX", "node_type":"input_manual","category":"sentiment", "unit":"pts", "coefficient_to_pips":-0.4, "display_col":1,"description":"VIX spike → flight to USD → pair ↓"},
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{"id":"m_eu_fragmentation","label":"Risque fragmentation EU", "node_type":"input_manual","category":"political", "unit":"score", "coefficient_to_pips":-0.5, "display_col":1,"description":"Risque politique EU → EUR ↓"},
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{"id":"m_us_political", "label":"Incertitude politique US", "node_type":"input_manual","category":"political", "unit":"score", "coefficient_to_pips": 0.3, "display_col":1,"description":"Incertitude US → USD ↓ → pair ↑"},
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{"id":"m_cftc_eur", "label":"Positions nettes EUR (CoT)", "node_type":"input_manual","category":"positioning","unit":"k lots","coefficient_to_pips": 0.1, "display_col":1,"description":"Net long EUR CFTC. Extrême → risque retournement"},
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{"id":"m_dollar_reserve", "label":"Demande réserves USD", "node_type":"input_manual","category":"flows", "unit":"score", "coefficient_to_pips":-0.4, "display_col":1,"description":"Demande réserves → USD structurellement fort → pair ↓"},
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# ── Layer 1 : intermediate (4 domaines) ──────────────────────────────────
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{"id":"layer_monetary", "label":"▶ Pression Monétaire & Taux", "node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_cb + in_macro + m_rate_diff_2y + m_fed_path + m_ecb_path + m_us_real_rate + m_eu_real_rate + m_carry",
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"description":"Domaine monétaire : taux directeurs, OIS, anticipations Fed/BCE, carry. Driver n°1 de l'EURUSD."},
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{"id":"layer_growth", "label":"▶ Pression Macro & Croissance", "node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_growth + in_commodity + m_us_growth_adv + m_eu_pmi + m_energy_price + m_us_cpi + m_eu_cpi",
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"description":"Domaine macro : croissance relative, inflation, énergie. Impact via anticipations BC."},
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{"id":"layer_risk", "label":"▶ Pression Risque & Géopolitique", "node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_geo + in_credit + in_sentiment + m_risk_appetite + m_vix + m_eu_fragmentation",
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"description":"Domaine risque : géopolitique, stress crédit, aversion au risque (USD safe haven)."},
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{"id":"layer_positioning","label":"▶ Pression Positionnement & Flux", "node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_trade + in_technical + m_cftc_eur + m_dollar_reserve + m_us_political",
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"description":"Domaine positionnement : flux spéculatifs, technicalités, réserves, politique."},
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# ── Layer 2 : output ──────────────────────────────────────────────────────
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{"id":"eurusd","label":"EUR/USD — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
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"formula":"layer_monetary + layer_growth + layer_risk + layer_positioning",
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"description":"Pression nette cumulée = Σ(4 domaines). Positif = biais haussier EUR/USD."},
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]
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},
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# ══════════════════════════════════════════════════════════════════════════════
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"USDJPY": {
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"name": "USD/JPY", "output_node": "usdjpy",
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"description": "Carry & safe haven — yield diff 10Y + BoJ + risk appetite",
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"nodes": [
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{"id":"in_cb", "label":"Banques Centrales", "node_type":"input_event","category":"central_bank", "unit":"pips","display_col":0,"event_category":"central_bank","description":"Fed/BoJ décisions."},
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{"id":"in_macro", "label":"Surprises Macro", "node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"event_category":"monetary_shock","description":"NFP, CPI US, Tankan, CPI Japon."},
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{"id":"in_geo", "label":"Risque Géopolitique", "node_type":"input_event","category":"geopolitical", "unit":"pips","display_col":0,"event_category":"geopolitical","description":"NK tensions → JPY safe haven demandé."},
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{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy", "unit":"pips","display_col":0,"event_category":"trade_policy","description":"Tarifs US-Japon."},
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{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event","category":"growth_shock", "unit":"pips","display_col":0,"event_category":"growth_shock","description":"Récession → risk-off → JPY."},
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{"id":"in_credit", "label":"Stress Crédit", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress","description":"Stress → JPY refuge."},
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{"id":"in_sentiment", "label":"Sentiment/Flux", "node_type":"input_event","category":"sentiment", "unit":"pips","display_col":0,"event_category":"sentiment","description":"Risk-on/off."},
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{"id":"in_technical", "label":"Momentum Technique", "node_type":"input_event","category":"technical", "unit":"pips","display_col":0,"event_category":"technical","description":"Niveaux clés USD/JPY."},
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{"id":"m_yield_diff", "label":"Diff. rendement 10Y US-JP","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips": 1.2,"display_col":1,"description":"Principal driver. Hausse → USD/JPY ↑"},
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{"id":"m_fed_path", "label":"Anticipation Fed 12m", "node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips": 0.6,"display_col":1,"description":"Fed hike → USD/JPY ↑"},
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{"id":"m_boj_stance", "label":"Biais BoJ (score)", "node_type":"input_manual","category":"monetary","unit":"score","coefficient_to_pips":-8.0,"display_col":1,"description":"Hawkish → JPY ↑ → USD/JPY ↓"},
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{"id":"m_jgb_10y", "label":"Rendement JGB 10Y", "node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.8,"display_col":1,"description":"JGB yield ↑ → JPY attractif → paire ↓"},
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{"id":"m_us_real_rate","label":"Taux réel US 10Y", "node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips": 0.6,"display_col":1,"description":"Taux réel US ↑ → USD ↑ vs JPY"},
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{"id":"m_risk_appetite","label":"Appétit risque", "node_type":"input_manual","category":"sentiment","unit":"score","coefficient_to_pips":-1.2,"display_col":1,"description":"Risk-off → JPY safe haven → paire ↓"},
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{"id":"m_vix", "label":"Niveau VIX", "node_type":"input_manual","category":"sentiment","unit":"pts","coefficient_to_pips":-0.8,"display_col":1,"description":"VIX spike → JPY refuge → paire ↓"},
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{"id":"m_carry_momentum","label":"Momentum carry", "node_type":"input_manual","category":"positioning","unit":"score","coefficient_to_pips": 0.4,"display_col":1,"description":"Carry actif → acheteurs USD/JPY"},
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{"id":"m_mof_risk", "label":"Risque intervention MoF","node_type":"input_manual","category":"political","unit":"score","coefficient_to_pips":-0.8,"display_col":1,"description":"Probabilité intervention MoF. Hausse → paire ↓ préventif"},
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{"id":"m_cftc_jpy", "label":"Net short JPY (CoT)", "node_type":"input_manual","category":"positioning","unit":"k lots","coefficient_to_pips": 0.15,"display_col":1,"description":"Extreme short JPY → risque short squeeze → paire ↓"},
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{"id":"layer_rates", "label":"▶ Différentiel Taux/Carry","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_cb + in_macro + m_yield_diff + m_fed_path + m_boj_stance + m_jgb_10y + m_us_real_rate + m_carry_momentum",
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"description":"Yield differential, Fed vs BoJ, carry trade momentum."},
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{"id":"layer_risk", "label":"▶ Risque & Safe Haven JPY","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_geo + in_credit + in_sentiment + m_risk_appetite + m_vix",
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"description":"JPY comme refuge : risk-off, géopolitique, stress crédit."},
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{"id":"layer_policy", "label":"▶ Politique & Positionnement","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_trade + in_technical + in_growth + m_mof_risk + m_cftc_jpy",
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"description":"Intervention MoF, tarifs US-Japon, technique, CFTC."},
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{"id":"usdjpy","label":"USD/JPY — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
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"formula":"layer_rates + layer_risk + layer_policy","description":"Pression nette cumulée USD/JPY"},
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]
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},
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# ══════════════════════════════════════════════════════════════════════════════
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"XAUUSD": {
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"name": "XAU/USD (Or)", "output_node": "xauusd",
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"description": "Or/Dollar — taux réels, dollar, géopolitique, banques centrales",
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"nodes": [
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{"id":"in_cb", "label":"Banques Centrales", "node_type":"input_event","category":"central_bank", "unit":"pips","display_col":0,"event_category":"central_bank","description":"Fed (taux réels) → or."},
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{"id":"in_macro", "label":"Surprises Macro", "node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"event_category":"monetary_shock","description":"CPI, PCE → anticipations taux réels → or."},
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{"id":"in_geo", "label":"Risque Géopolitique", "node_type":"input_event","category":"geopolitical", "unit":"pips","display_col":0,"event_category":"geopolitical","description":"Conflits → refuge or maximal."},
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{"id":"in_credit", "label":"Stress Crédit/Systémique","node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress","description":"Crises bancaires → or refuge absolu."},
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{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event","category":"growth_shock", "unit":"pips","display_col":0,"event_category":"growth_shock","description":"Récession → easing → or ↑."},
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{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy", "unit":"pips","display_col":0,"event_category":"trade_policy","description":"Incertitude → or refuge."},
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{"id":"in_commodity","label":"Choc Commodités", "node_type":"input_event","category":"commodity", "unit":"pips","display_col":0,"event_category":"commodity","description":"Inflation inputs (énergie)."},
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{"id":"in_sentiment","label":"Sentiment/Flux", "node_type":"input_event","category":"sentiment", "unit":"pips","display_col":0,"event_category":"sentiment","description":"Risk-off flows vers or."},
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{"id":"in_technical","label":"Momentum Technique", "node_type":"input_event","category":"technical", "unit":"pips","display_col":0,"event_category":"technical","description":"Cassures ATH, niveaux or."},
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{"id":"m_us_real_rate","label":"Taux réel US 10Y (TIPS)","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-2.5,"display_col":1,"description":"DRIVER PRINCIPAL. Chaque -10bps ≈ +25 pips or."},
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{"id":"m_dxy", "label":"Indice Dollar (DXY)", "node_type":"input_manual","category":"monetary","unit":"pts","coefficient_to_pips":-3.0,"display_col":1,"description":"Or libellé USD → DXY ↑ = or ↓ mécaniquement."},
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{"id":"m_fed_path", "label":"Anticipation Fed 12m","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-1.0,"display_col":1,"description":"Cuts attendus → taux réels ↓ → or ↑."},
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{"id":"m_breakeven", "label":"Breakeven inflation 10Y","node_type":"input_manual","category":"inflation","unit":"bps","coefficient_to_pips": 1.5,"display_col":1,"description":"Anticipations inflation → or comme couverture ↑."},
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{"id":"m_vix", "label":"Niveau VIX", "node_type":"input_manual","category":"sentiment","unit":"pts","coefficient_to_pips": 0.4,"display_col":1,"description":"VIX spike → or refuge."},
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{"id":"m_cb_buying", "label":"Achats CB (tonnes/mois)","node_type":"input_manual","category":"flows","unit":"t","coefficient_to_pips": 2.0,"display_col":1,"description":"Achats banques centrales. Driver structurel majeur depuis 2022."},
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{"id":"m_etf_flows", "label":"Flux ETF or (GLD, IAU)","node_type":"input_manual","category":"flows","unit":"tonnes","coefficient_to_pips": 1.5,"display_col":1,"description":"Entrées ETF → demande physique → or ↑."},
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{"id":"m_cftc_gold", "label":"Net long or (CoT)", "node_type":"input_manual","category":"positioning","unit":"k lots","coefficient_to_pips": 0.15,"display_col":1,"description":"Extrême long → risque liquidation."},
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{"id":"m_fiscal_risk","label":"Risque fiscal US (score)","node_type":"input_manual","category":"macro","unit":"score","coefficient_to_pips": 0.5,"display_col":1,"description":"Déficit/dette US → doutes USD → or refuge."},
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{"id":"m_india_china","label":"Demande physique Inde/Chine","node_type":"input_manual","category":"flows","unit":"score","coefficient_to_pips": 0.4,"display_col":1,"description":"Joaillerie, investment. Saisonnalité."},
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{"id":"layer_rates","label":"▶ Taux Réels & Dollar","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
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"formula":"in_cb + in_macro + m_us_real_rate + m_dxy + m_fed_path + m_breakeven",
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"description":"Taux réels US = driver fondamental or. DXY = mécanisme de transmission."},
|
||
{"id":"layer_demand","label":"▶ Demande & Flux", "node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"m_cb_buying + m_etf_flows + m_cftc_gold + m_india_china + m_fiscal_risk",
|
||
"description":"Acheteurs physiques et financiers : CB, ETF, CFTC, Asie."},
|
||
{"id":"layer_refuge","label":"▶ Valeur Refuge", "node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_geo + in_credit + in_growth + in_trade + in_sentiment + m_vix",
|
||
"description":"Or comme couverture : géopolitique, stress systémique, récession."},
|
||
{"id":"layer_technical","label":"▶ Technique & Momentum","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_technical + in_commodity",
|
||
"description":"Signaux techniques et commodités (coûts extraction)."},
|
||
{"id":"xauusd","label":"XAU/USD — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
|
||
"formula":"layer_rates + layer_demand + layer_refuge + layer_technical","description":"Pression nette cumulée or/USD"},
|
||
]
|
||
},
|
||
|
||
# ══════════════════════════════════════════════════════════════════════════════
|
||
"SP500": {
|
||
"name": "S&P 500", "output_node": "sp500",
|
||
"description": "Indice actions US — taux, bénéfices, risque, liquidités",
|
||
"nodes": [
|
||
{"id":"in_cb", "label":"Banques Centrales", "node_type":"input_event","category":"central_bank","unit":"pips","display_col":0,"event_category":"central_bank","description":"Fed pivot/hike → SP500 directement."},
|
||
{"id":"in_macro", "label":"Surprises Macro", "node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"event_category":"monetary_shock","description":"NFP, CPI, PIB US."},
|
||
{"id":"in_geo", "label":"Risque Géopolitique", "node_type":"input_event","category":"geopolitical","unit":"pips","display_col":0,"event_category":"geopolitical","description":"Risk-off → SP500 vendu."},
|
||
{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy","unit":"pips","display_col":0,"event_category":"trade_policy","description":"Tarifs → marges bénéficiaires SP500."},
|
||
{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event","category":"growth_shock","unit":"pips","display_col":0,"event_category":"growth_shock","description":"Récession → SP500 ↓ massif."},
|
||
{"id":"in_credit", "label":"Stress Crédit", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress","description":"Banking stress → SP500 ↓ brutal."},
|
||
{"id":"in_commodity","label":"Choc Commodités", "node_type":"input_event","category":"commodity","unit":"pips","display_col":0,"event_category":"commodity","description":"Énergie → marges opérationnelles."},
|
||
{"id":"in_sentiment","label":"Sentiment/Positionnement","node_type":"input_event","category":"sentiment","unit":"pips","display_col":0,"event_category":"sentiment","description":"CTA, hedge fund flows."},
|
||
{"id":"in_technical","label":"Momentum Technique", "node_type":"input_event","category":"technical","unit":"pips","display_col":0,"event_category":"technical","description":"MA200, cassures."},
|
||
{"id":"m_fed_path", "label":"Anticipation Fed 12m", "node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.6,"display_col":1,"description":"Cuts → taux discount ↓ → PE expansion → SP500 ↑"},
|
||
{"id":"m_real_rate","label":"Taux réel US 10Y", "node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-1.5,"display_col":1,"description":"Taux réel = taux d'actualisation. Hausse → PE compression → SP500 ↓"},
|
||
{"id":"m_fin_cond", "label":"Conditions financières", "node_type":"input_manual","category":"monetary","unit":"score","coefficient_to_pips": 1.5,"display_col":1,"description":"Desserrement → SP500 ↑"},
|
||
{"id":"m_eps_growth","label":"Croissance BPA attendue","node_type":"input_manual","category":"earnings","unit":"%","coefficient_to_pips": 8.0,"display_col":1,"description":"+1% BPA revision ≈ +8 pts SP500"},
|
||
{"id":"m_eps_revision","label":"Ratio révisions BPA","node_type":"input_manual","category":"earnings","unit":"ratio","coefficient_to_pips": 2.0,"display_col":1,"description":"Ratio haussier/baissier. Fort driver momentum."},
|
||
{"id":"m_pe", "label":"Multiple PE forward", "node_type":"input_manual","category":"valuation","unit":"x","coefficient_to_pips":12.0,"display_col":1,"description":"+1x PE ≈ +12 pts SP500"},
|
||
{"id":"m_ig_spread","label":"Spread crédit IG (bps)","node_type":"input_manual","category":"credit","unit":"bps","coefficient_to_pips":-0.8,"display_col":1,"description":"Spread IG hausse → conditions crédit durcissent → SP500 ↓"},
|
||
{"id":"m_buybacks", "label":"Volume rachats actions","node_type":"input_manual","category":"flows","unit":"Mds$/sem","coefficient_to_pips": 0.5,"display_col":1,"description":"Flux rachats = support technique majeur"},
|
||
{"id":"m_vix", "label":"Niveau VIX", "node_type":"input_manual","category":"sentiment","unit":"pts","coefficient_to_pips":-0.8,"display_col":1,"description":"VIX spike → risk-off → SP500 ↓"},
|
||
{"id":"m_geo_risk_prem","label":"Prime risque géopolitique","node_type":"input_manual","category":"political","unit":"score","coefficient_to_pips":-0.5,"display_col":1,"description":"Tensions géopolitiques → incertitude → SP500 ↓"},
|
||
{"id":"m_gdp", "label":"Croissance PIB US", "node_type":"input_manual","category":"macro","unit":"%","coefficient_to_pips": 5.0,"display_col":1,"description":"Surprise haussière → SP500 ↑"},
|
||
{"id":"layer_monetary","label":"▶ Politique Monétaire","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_cb + in_macro + m_fed_path + m_real_rate + m_fin_cond",
|
||
"description":"Fed, taux réels, conditions financières — transmission directe sur PE."},
|
||
{"id":"layer_earnings","label":"▶ Bénéfices & Valorisation","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"m_eps_growth + m_eps_revision + m_pe + m_gdp",
|
||
"description":"BPA, révisions, multiple. Fondamental long terme."},
|
||
{"id":"layer_risk_credit","label":"▶ Risque & Crédit","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_geo + in_credit + in_growth + in_trade + in_commodity + m_ig_spread + m_vix + m_geo_risk_prem",
|
||
"description":"Risque systémique, géopolitique, crédit — driver de la prime de risque."},
|
||
{"id":"layer_flows","label":"▶ Flux & Positionnement","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_sentiment + in_technical + m_buybacks",
|
||
"description":"Flux institutionnels, retail, rachats, momentum."},
|
||
{"id":"sp500","label":"S&P 500 — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
|
||
"formula":"layer_monetary + layer_earnings + layer_risk_credit + layer_flows","description":"Pression nette cumulée S&P 500"},
|
||
]
|
||
},
|
||
|
||
# ══════════════════════════════════════════════════════════════════════════════
|
||
"TLT": {
|
||
"name": "TLT (US Long Bonds)", "output_node": "tlt",
|
||
"description": "ETF obligations US 20Y+ — duration, inflation, récession, supply",
|
||
"nodes": [
|
||
{"id":"in_cb", "label":"Banques Centrales","node_type":"input_event","category":"central_bank","unit":"pips","display_col":0,"event_category":"central_bank","description":"FOMC décisions/minutes → impact direct TLT."},
|
||
{"id":"in_macro", "label":"Surprises Macro", "node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"event_category":"monetary_shock","description":"CPI, PCE, NFP → réévaluation taux."},
|
||
{"id":"in_geo", "label":"Géopolitique", "node_type":"input_event","category":"geopolitical","unit":"pips","display_col":0,"event_category":"geopolitical","description":"Crises → flight to safety Treasuries."},
|
||
{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event","category":"growth_shock","unit":"pips","display_col":0,"event_category":"growth_shock","description":"Récession → TLT ↑ massif."},
|
||
{"id":"in_credit", "label":"Stress Crédit", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress","description":"Banking stress → Treasuries demandés."},
|
||
{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy","unit":"pips","display_col":0,"event_category":"trade_policy","description":"Tarifs → incertitude → Treasuries."},
|
||
{"id":"in_technical","label":"Technique", "node_type":"input_event","category":"technical","unit":"pips","display_col":0,"event_category":"technical","description":"Niveaux TLT, tendances."},
|
||
{"id":"in_sentiment","label":"Sentiment/Flux", "node_type":"input_event","category":"sentiment","unit":"pips","display_col":0,"event_category":"sentiment","description":"Flux obligataires institutionnels."},
|
||
{"id":"m_terminal_rate","label":"Taux terminal Fed","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.4,"display_col":1,"description":"Taux terminal ↑ → taux longs ↑ → TLT ↓ (duration ~18)"},
|
||
{"id":"m_us_10y", "label":"Rendement UST 10Y","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.3,"display_col":1,"description":"Chaque +1bps ≈ -$0.18 sur $100 TLT"},
|
||
{"id":"m_us_30y", "label":"Rendement UST 30Y","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.25,"display_col":1,"description":"TLT détient principalement des 20-30Y"},
|
||
{"id":"m_breakeven","label":"Breakeven inflation 10Y","node_type":"input_manual","category":"inflation","unit":"bps","coefficient_to_pips":-0.2,"display_col":1,"description":"Inflation anticipée ↑ → taux nominaux ↑ → TLT ↓"},
|
||
{"id":"m_recession_prob","label":"Probabilité récession 12m","node_type":"input_manual","category":"macro","unit":"%","coefficient_to_pips": 0.3,"display_col":1,"description":"Récession → flight to bonds → TLT ↑"},
|
||
{"id":"m_qt_pace", "label":"Rythme QT Fed (Mds$/mois)","node_type":"input_manual","category":"monetary","unit":"Mds$","coefficient_to_pips":-0.1,"display_col":1,"description":"QT = pression vendeuse sur Treasuries → TLT ↓"},
|
||
{"id":"m_deficit", "label":"Déficit fiscal US (%PIB)","node_type":"input_manual","category":"macro","unit":"%","coefficient_to_pips":-0.4,"display_col":1,"description":"Déficit → supply massive → pression vendeuse → TLT ↓"},
|
||
{"id":"m_term_prem","label":"Prime de terme (ACM)","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.3,"display_col":1,"description":"Prime de terme ↑ = extra rendement exigé → TLT ↓"},
|
||
{"id":"m_foreign_demand","label":"Demande étrangère Treasuries","node_type":"input_manual","category":"flows","unit":"Mds$","coefficient_to_pips": 0.05,"display_col":1,"description":"Achats CB étrangères (Chine, Japon) → TLT ↑"},
|
||
{"id":"m_vix", "label":"Niveau VIX", "node_type":"input_manual","category":"sentiment","unit":"pts","coefficient_to_pips": 0.5,"display_col":1,"description":"VIX spike → flight to quality → TLT ↑"},
|
||
{"id":"layer_rates","label":"▶ Taux & Politique Monétaire","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_cb + in_macro + m_terminal_rate + m_us_10y + m_us_30y + m_breakeven + m_qt_pace + m_term_prem",
|
||
"description":"Taux directeurs, duration, QT, inflation anticipée."},
|
||
{"id":"layer_supply","label":"▶ Supply & Demande Treasuries","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"m_deficit + m_foreign_demand",
|
||
"description":"Émission nette, achats étrangers — équilibre offre/demande marché obligataire."},
|
||
{"id":"layer_macro","label":"▶ Macro & Récession","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_growth + in_credit + in_trade + m_recession_prob",
|
||
"description":"Risque récession → flight to safety → TLT ↑."},
|
||
{"id":"layer_risk","label":"▶ Risque & Refuge","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_geo + in_sentiment + in_technical + m_vix",
|
||
"description":"Géopolitique, sentiment, VIX → demande refuge Treasuries."},
|
||
{"id":"tlt","label":"TLT — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
|
||
"formula":"layer_rates + layer_supply + layer_macro + layer_risk","description":"Pression nette cumulée TLT"},
|
||
]
|
||
},
|
||
|
||
# ══════════════════════════════════════════════════════════════════════════════
|
||
"GBPUSD": {
|
||
"name": "GBP/USD", "output_node": "gbpusd",
|
||
"description": "Livre sterling/Dollar — BoE, données UK, risque politique",
|
||
"nodes": [
|
||
{"id":"in_cb", "label":"Banques Centrales","node_type":"input_event","category":"central_bank","unit":"pips","display_col":0,"event_category":"central_bank","description":"BoE, Fed."},
|
||
{"id":"in_macro", "label":"Surprises Macro", "node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"event_category":"monetary_shock","description":"CPI UK/US, NFP, GDP UK."},
|
||
{"id":"in_geo", "label":"Géopolitique", "node_type":"input_event","category":"geopolitical","unit":"pips","display_col":0,"event_category":"geopolitical","description":"GBP comme devise cyclique, vendue en risk-off."},
|
||
{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy","unit":"pips","display_col":0,"event_category":"trade_policy","description":"Tarifs US → UK exposé."},
|
||
{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event","category":"growth_shock","unit":"pips","display_col":0,"event_category":"growth_shock","description":"Récession UK."},
|
||
{"id":"in_credit", "label":"Stress Crédit", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress","description":"Stress Gilts, banking UK."},
|
||
{"id":"in_technical","label":"Technique", "node_type":"input_event","category":"technical","unit":"pips","display_col":0,"event_category":"technical","description":"Niveaux clés cable."},
|
||
{"id":"in_sentiment","label":"Sentiment/Flux", "node_type":"input_event","category":"sentiment","unit":"pips","display_col":0,"event_category":"sentiment","description":"Positionnement GBP."},
|
||
{"id":"m_boe_path", "label":"Anticipation BoE 12m","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips": 0.7,"display_col":1,"description":"Hikes BoE → GBP ↑"},
|
||
{"id":"m_fed_path", "label":"Anticipation Fed 12m","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.7,"display_col":1,"description":"Hikes Fed → USD ↑ → paire ↓"},
|
||
{"id":"m_uk_cpi", "label":"CPI UK YoY", "node_type":"input_manual","category":"inflation","unit":"%","coefficient_to_pips": 0.7,"display_col":1,"description":"Persistance inflation → BoE hawkish → GBP ↑"},
|
||
{"id":"m_uk_gdp", "label":"Croissance PIB UK", "node_type":"input_manual","category":"macro","unit":"%","coefficient_to_pips": 3.0,"display_col":1,"description":"Surprise PIB UK → GBP ↑"},
|
||
{"id":"m_uk_pmi", "label":"PMI composite UK", "node_type":"input_manual","category":"macro","unit":"pts","coefficient_to_pips": 0.25,"display_col":1,"description":">50 = expansion UK → GBP ↑"},
|
||
{"id":"m_uk_pol_risk","label":"Risque politique UK","node_type":"input_manual","category":"political","unit":"score","coefficient_to_pips":-0.4,"display_col":1,"description":"Incertitude UK → GBP ↓"},
|
||
{"id":"m_risk_appetite","label":"Appétit risque","node_type":"input_manual","category":"sentiment","unit":"score","coefficient_to_pips": 0.4,"display_col":1,"description":"Risk-on → GBP comme devise cyclique ↑"},
|
||
{"id":"m_cftc_gbp", "label":"Positions nettes GBP","node_type":"input_manual","category":"positioning","unit":"k lots","coefficient_to_pips": 0.08,"display_col":1,"description":"Net long GBP CoT."},
|
||
{"id":"layer_monetary","label":"▶ Différentiel Monétaire","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_cb + in_macro + m_boe_path + m_fed_path + m_uk_cpi",
|
||
"description":"BoE vs Fed, inflation UK — driver principal GBP/USD."},
|
||
{"id":"layer_uk_macro","label":"▶ Fondamentaux UK","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_growth + m_uk_gdp + m_uk_pmi + m_uk_pol_risk",
|
||
"description":"Croissance, PMI, risque politique UK."},
|
||
{"id":"layer_global","label":"▶ Risque & Flux Globaux","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_geo + in_credit + in_trade + in_technical + in_sentiment + m_risk_appetite + m_cftc_gbp",
|
||
"description":"GBP exposé aux chocs globaux (devise cyclique)."},
|
||
{"id":"gbpusd","label":"GBP/USD — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
|
||
"formula":"layer_monetary + layer_uk_macro + layer_global","description":"Pression nette cumulée GBP/USD"},
|
||
]
|
||
},
|
||
|
||
# ══════════════════════════════════════════════════════════════════════════════
|
||
"EEM": {
|
||
"name": "EEM (Marchés Émergents)", "output_node": "eem",
|
||
"description": "ETF EM — dollar, Chine, commodités, risk appetite",
|
||
"nodes": [
|
||
{"id":"in_cb", "label":"Banques Centrales","node_type":"input_event","category":"central_bank","unit":"pips","display_col":0,"event_category":"central_bank","description":"Fed pivot → EM bénéficient du dollar faible."},
|
||
{"id":"in_macro", "label":"Surprises Macro", "node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"event_category":"monetary_shock","description":"Données Chine, US macro."},
|
||
{"id":"in_geo", "label":"Géopolitique", "node_type":"input_event","category":"geopolitical","unit":"pips","display_col":0,"event_category":"geopolitical","description":"Tensions régionales EM."},
|
||
{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy","unit":"pips","display_col":0,"event_category":"trade_policy","description":"Tarifs US-Chine, sanctions."},
|
||
{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event","category":"growth_shock","unit":"pips","display_col":0,"event_category":"growth_shock","description":"Récession US/Chine → EEM ↓."},
|
||
{"id":"in_credit", "label":"Stress Crédit EM", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress","description":"Stress souverain EM, crise devises."},
|
||
{"id":"in_commodity","label":"Choc Commodités", "node_type":"input_event","category":"commodity","unit":"pips","display_col":0,"event_category":"commodity","description":"Exportateurs EM profitent des commodités élevées."},
|
||
{"id":"in_sentiment","label":"Sentiment/Flux", "node_type":"input_event","category":"sentiment","unit":"pips","display_col":0,"event_category":"sentiment","description":"Flux ETF EM, risk-on/off."},
|
||
{"id":"in_technical","label":"Technique", "node_type":"input_event","category":"technical","unit":"pips","display_col":0,"event_category":"technical","description":"Niveaux EEM."},
|
||
{"id":"m_dxy_inv", "label":"Dollar (DXY) — impact inverse","node_type":"input_manual","category":"monetary","unit":"pts","coefficient_to_pips":-0.8,"display_col":1,"description":"USD fort → pression dettes EM → EEM ↓. DXY ↑ = EEM ↓"},
|
||
{"id":"m_us_real_rate","label":"Taux réel US 10Y","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.6,"display_col":1,"description":"Taux réel US ↑ → capitaux retournent US → EEM ↓"},
|
||
{"id":"m_fed_path", "label":"Anticipation Fed 12m","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.5,"display_col":1,"description":"Cuts Fed → dollar faible → EM avantageux → EEM ↑"},
|
||
{"id":"m_china_pmi","label":"PMI manufacturier Chine","node_type":"input_manual","category":"macro","unit":"pts","coefficient_to_pips": 0.6,"display_col":1,"description":"Chine ~28% index. Expansion → EEM ↑"},
|
||
{"id":"m_china_stimulus","label":"Stimulus Chine","node_type":"input_manual","category":"macro","unit":"score","coefficient_to_pips": 0.8,"display_col":1,"description":"PBOC/fiscal. Annonces majeures → EEM spike"},
|
||
{"id":"m_commodity_index","label":"Indice commodités","node_type":"input_manual","category":"commodity","unit":"score","coefficient_to_pips": 0.4,"display_col":1,"description":"Exportateurs EM (Brésil, Afrique du Sud) profitent."},
|
||
{"id":"m_em_spread","label":"Spread souverain EM (EMBI)","node_type":"input_manual","category":"credit","unit":"bps","coefficient_to_pips":-0.5,"display_col":1,"description":"Spread ↑ = stress EM → sorties → EEM ↓"},
|
||
{"id":"m_risk_appetite","label":"Appétit risque","node_type":"input_manual","category":"sentiment","unit":"score","coefficient_to_pips": 0.6,"display_col":1,"description":"Risk-on → search for yield EM → EEM ↑"},
|
||
{"id":"m_vix", "label":"Niveau VIX", "node_type":"input_manual","category":"sentiment","unit":"pts","coefficient_to_pips":-0.5,"display_col":1,"description":"VIX spike → sorties EM → EEM ↓"},
|
||
{"id":"layer_dollar","label":"▶ Dollar & Taux US","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_cb + in_macro + m_dxy_inv + m_us_real_rate + m_fed_path",
|
||
"description":"Dollar et taux réels = driver macro principal des EM."},
|
||
{"id":"layer_china","label":"▶ Chine & Croissance EM","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"m_china_pmi + m_china_stimulus + in_growth + m_commodity_index + in_commodity",
|
||
"description":"Moteur Chine + exportateurs commodités."},
|
||
{"id":"layer_risk","label":"▶ Risque & Flux EM","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_geo + in_credit + in_trade + m_em_spread + m_risk_appetite + m_vix + in_sentiment + in_technical",
|
||
"description":"Prime de risque EM, flux capitaux, sentiment global."},
|
||
{"id":"eem","label":"EEM — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
|
||
"formula":"layer_dollar + layer_china + layer_risk","description":"Pression nette cumulée EEM"},
|
||
]
|
||
},
|
||
|
||
# ══════════════════════════════════════════════════════════════════════════════
|
||
"QQQ": {
|
||
"name": "QQQ (NASDAQ-100 Tech)", "output_node": "qqq",
|
||
"description": "Tech US — taux réels, bénéfices big tech, IA, réglementation",
|
||
"nodes": [
|
||
{"id":"in_cb", "label":"Banques Centrales","node_type":"input_event","category":"central_bank","unit":"pips","display_col":0,"event_category":"central_bank","description":"Fed pivot → QQQ amplificateur (duration longue)."},
|
||
{"id":"in_macro", "label":"Surprises Macro", "node_type":"input_event","category":"monetary_shock","unit":"pips","display_col":0,"event_category":"monetary_shock","description":"CPI, NFP → réévaluation Fed → QQQ."},
|
||
{"id":"in_geo", "label":"Géopolitique", "node_type":"input_event","category":"geopolitical","unit":"pips","display_col":0,"event_category":"geopolitical","description":"Risk-off → vente tech en premier."},
|
||
{"id":"in_trade", "label":"Choc Commercial", "node_type":"input_event","category":"trade_policy","unit":"pips","display_col":0,"event_category":"trade_policy","description":"Restrictions export chips US-Chine."},
|
||
{"id":"in_growth", "label":"Choc Croissance", "node_type":"input_event","category":"growth_shock","unit":"pips","display_col":0,"event_category":"growth_shock","description":"Récession → dépenses IT coupées."},
|
||
{"id":"in_credit", "label":"Stress Crédit", "node_type":"input_event","category":"credit_stress","unit":"pips","display_col":0,"event_category":"credit_stress","description":"Conditions financières → financement tech."},
|
||
{"id":"in_commodity","label":"Choc Commodités", "node_type":"input_event","category":"commodity","unit":"pips","display_col":0,"event_category":"commodity","description":"Énergie → data centers coûts."},
|
||
{"id":"in_sentiment","label":"Sentiment/Flux", "node_type":"input_event","category":"sentiment","unit":"pips","display_col":0,"event_category":"sentiment","description":"CTA, hedge fund tech positions."},
|
||
{"id":"in_technical","label":"Technique", "node_type":"input_event","category":"technical","unit":"pips","display_col":0,"event_category":"technical","description":"QQQ niveaux, MA200, cassures."},
|
||
{"id":"m_real_rate","label":"Taux réel US 10Y (duration)","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-1.5,"display_col":1,"description":"PRINCIPAL DRIVER : tech = duration longue. Taux réels ↑ → PE tech ↓ → QQQ ↓"},
|
||
{"id":"m_fed_path", "label":"Anticipation Fed 12m","node_type":"input_manual","category":"monetary","unit":"bps","coefficient_to_pips":-0.8,"display_col":1,"description":"Cuts → taux discount ↓ → PE tech expansion → QQQ ↑"},
|
||
{"id":"m_m7_eps", "label":"Révisions BPA Magnificent 7","node_type":"input_manual","category":"earnings","unit":"%","coefficient_to_pips":15.0,"display_col":1,"description":"+1% révision M7 ≈ +15 pts QQQ. AAPL, MSFT, NVDA, GOOGL, AMZN, META, TSLA"},
|
||
{"id":"m_ai_capex", "label":"Cycle capex IA","node_type":"input_manual","category":"tech","unit":"score","coefficient_to_pips": 0.8,"display_col":1,"description":"Hyperscalers capex, NVDA GPU demand. Momentum = QQQ ↑"},
|
||
{"id":"m_semi_cycle","label":"Cycle semi-conducteurs","node_type":"input_manual","category":"tech","unit":"score","coefficient_to_pips": 0.6,"display_col":1,"description":"Upcycle (book-to-bill, inventaires) = QQQ ↑"},
|
||
{"id":"m_tech_pe", "label":"Multiple PE tech (NTM)","node_type":"input_manual","category":"valuation","unit":"x","coefficient_to_pips":12.0,"display_col":1,"description":"PE forward NASDAQ-100. Expansion = QQQ ↑"},
|
||
{"id":"m_reg_risk", "label":"Risque réglementaire tech","node_type":"input_manual","category":"political","unit":"score","coefficient_to_pips":-0.5,"display_col":1,"description":"Antitrust, EU AI Act, FTC. Hausse → QQQ ↓"},
|
||
{"id":"m_vix", "label":"Niveau VIX", "node_type":"input_manual","category":"sentiment","unit":"pts","coefficient_to_pips":-0.8,"display_col":1,"description":"VIX spike → vente tech (beta élevé) → QQQ ↓ plus que SP500"},
|
||
{"id":"m_retail_options","label":"Flux options retail","node_type":"input_manual","category":"flows","unit":"score","coefficient_to_pips": 0.4,"display_col":1,"description":"FOMO gamma squeeze. Momentum = QQQ ↑ explosif"},
|
||
{"id":"m_cloud_growth","label":"Croissance cloud enterprise","node_type":"input_manual","category":"tech","unit":"%","coefficient_to_pips": 0.6,"display_col":1,"description":"AWS/Azure/GCP. Marges operating tech → QQQ"},
|
||
{"id":"m_china_tech_risk","label":"Restrictions tech US-Chine","node_type":"input_manual","category":"political","unit":"score","coefficient_to_pips":-0.4,"display_col":1,"description":"Export bans, sanctions. Revenus tech ↓ → QQQ ↓"},
|
||
{"id":"layer_rates","label":"▶ Taux & Valorisation","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_cb + in_macro + m_real_rate + m_fed_path + m_tech_pe",
|
||
"description":"Taux réels = principal driver de la valorisation tech via taux d'actualisation."},
|
||
{"id":"layer_tech_fundamental","label":"▶ Fondamentaux Tech","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"m_m7_eps + m_ai_capex + m_semi_cycle + m_cloud_growth",
|
||
"description":"BPA Magnificent 7, cycle IA, semis, cloud. Foundation long terme."},
|
||
{"id":"layer_risk","label":"▶ Risque & Réglementation","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_geo + in_credit + in_growth + in_trade + in_commodity + m_reg_risk + m_china_tech_risk + m_vix",
|
||
"description":"Risques systémiques, réglementaires, géopolitiques tech."},
|
||
{"id":"layer_flows","label":"▶ Flux & Momentum","node_type":"intermediate","category":"intermediate","unit":"pips","display_col":2,
|
||
"formula":"in_sentiment + in_technical + m_retail_options",
|
||
"description":"Flux spéculatifs, options retail, momentum technique."},
|
||
{"id":"qqq","label":"QQQ — Impact Net","node_type":"output","category":"output","unit":"pips","display_col":3,
|
||
"formula":"layer_rates + layer_tech_fundamental + layer_risk + layer_flows","description":"Pression nette cumulée QQQ"},
|
||
]
|
||
},
|
||
|
||
} # end INSTRUMENT_MODELS
|
||
|
||
|
||
# ── DB ─────────────────────────────────────────────────────────────────────────
|
||
|
||
def init_instrument_model_tables(conn):
|
||
conn.executescript("""
|
||
CREATE TABLE IF NOT EXISTS instrument_models (
|
||
id INTEGER PRIMARY KEY,
|
||
instrument TEXT UNIQUE NOT NULL,
|
||
graph_json TEXT NOT NULL,
|
||
updated_at TEXT DEFAULT (datetime('now'))
|
||
);
|
||
CREATE TABLE IF NOT EXISTS instrument_node_overrides (
|
||
id INTEGER PRIMARY KEY,
|
||
instrument TEXT NOT NULL,
|
||
node_id TEXT NOT NULL,
|
||
value REAL NOT NULL,
|
||
note TEXT,
|
||
set_at TEXT DEFAULT (datetime('now')),
|
||
UNIQUE(instrument, node_id)
|
||
);
|
||
""")
|
||
conn.commit()
|
||
|
||
|
||
def seed_instrument_models(conn):
|
||
"""Seed/update models on startup. Safe to call repeatedly."""
|
||
init_instrument_model_tables(conn)
|
||
for inst, model in INSTRUMENT_MODELS.items():
|
||
graph_json = json.dumps({
|
||
"name": model["name"],
|
||
"description": model["description"],
|
||
"output_node": model["output_node"],
|
||
"nodes": model["nodes"],
|
||
})
|
||
conn.execute("""
|
||
INSERT INTO instrument_models (instrument, graph_json)
|
||
VALUES (?,?)
|
||
ON CONFLICT(instrument) DO UPDATE SET graph_json=excluded.graph_json, updated_at=datetime('now')
|
||
""", (inst, graph_json))
|
||
conn.commit()
|
||
|
||
|
||
# ── Event contribution by category (with lifecycle) ────────────────────────────
|
||
|
||
def _compute_event_by_category(conn, instrument: str, ref_date: date_type) -> dict[str, float]:
|
||
"""Sum active event contributions per template category, applying lifecycle."""
|
||
inst_upper = instrument.upper()
|
||
inst_lower = inst_upper.lower()
|
||
extended_from = ref_date - timedelta(days=365)
|
||
|
||
rows = conn.execute("""
|
||
SELECT a.prediction_json,
|
||
e.start_date, e.end_date, e.sub_type,
|
||
t.category, t.calibration_json
|
||
FROM causal_event_analyses a
|
||
JOIN market_events e ON e.id = a.market_event_id
|
||
JOIN causal_graph_templates t ON t.id = a.template_id
|
||
WHERE a.instrument = ?
|
||
AND e.start_date >= ?
|
||
AND e.start_date <= ?
|
||
""", (inst_upper, str(extended_from), str(ref_date))).fetchall()
|
||
|
||
by_cat: dict[str, float] = {}
|
||
for row in rows:
|
||
r = dict(row)
|
||
try:
|
||
predictions = json.loads(r["prediction_json"] or "{}")
|
||
calib = json.loads(r["calibration_json"] or "{}")
|
||
except Exception:
|
||
continue
|
||
|
||
pips: Optional[float] = None
|
||
if inst_lower in predictions:
|
||
pips = float(predictions[inst_lower])
|
||
else:
|
||
for k, v in predictions.items():
|
||
if inst_lower in k.lower():
|
||
try: pips = float(v); break
|
||
except (TypeError, ValueError): pass
|
||
if pips is None or pips == 0:
|
||
continue
|
||
|
||
absorption = max(1, int(calib.get("absorption_days", 7)))
|
||
dtype = str(calib.get("decay_type", "exp"))
|
||
rise = max(0, int(calib.get("rise_days", 0)))
|
||
plateau = max(0, int(calib.get("plateau_days", 0)))
|
||
|
||
# Guidance events: dynamic absorption until meeting
|
||
ev_end = r.get("end_date")
|
||
if ev_end and str(r.get("sub_type", "")).startswith("rate_guidance"):
|
||
try:
|
||
meeting = date_type.fromisoformat(ev_end[:10])
|
||
ev_start = date_type.fromisoformat(r["start_date"][:10])
|
||
absorption = max(1, (meeting - ev_start).days)
|
||
dtype = "linear"; rise = 0; plateau = 0
|
||
except ValueError:
|
||
pass
|
||
|
||
try:
|
||
ev_date = date_type.fromisoformat(r["start_date"][:10])
|
||
except ValueError:
|
||
continue
|
||
|
||
days = (ref_date - ev_date).days
|
||
df = _lifecycle(days, rise, plateau, absorption, dtype)
|
||
if df < 0.01:
|
||
continue
|
||
|
||
cat = r["category"]
|
||
by_cat[cat] = round(by_cat.get(cat, 0.0) + pips * df, 2)
|
||
|
||
return by_cat
|
||
|
||
|
||
# ── Graph evaluation ───────────────────────────────────────────────────────────
|
||
|
||
def _build_inputs(graph_def: dict, overrides: dict, ev_by_cat: dict) -> dict:
|
||
"""
|
||
Build the inputs dict for evaluate_graph():
|
||
- input_event nodes → value from event contributions (category mapping)
|
||
- input_manual nodes → user_value × coefficient_to_pips
|
||
Any node with an override uses that value directly (already in pips for events;
|
||
for manual nodes the override IS the native-unit value → converted to pips).
|
||
"""
|
||
inputs: dict[str, float] = {}
|
||
for node in graph_def["nodes"]:
|
||
nid = node["id"]
|
||
ntype = node.get("node_type", "")
|
||
ov = overrides.get(nid)
|
||
|
||
if ntype == "input_event":
|
||
if ov:
|
||
inputs[nid] = float(ov["value"]) # override IS pips
|
||
else:
|
||
cat = node.get("event_category", "")
|
||
inputs[nid] = ev_by_cat.get(cat, 0.0)
|
||
|
||
elif ntype == "input_manual":
|
||
if ov:
|
||
coeff = float(node.get("coefficient_to_pips", 1.0))
|
||
inputs[nid] = float(ov["value"]) * coeff
|
||
else:
|
||
inputs[nid] = 0.0 # neutral
|
||
|
||
return inputs
|
||
|
||
|
||
def _graph_json_for_eval(graph_def: dict) -> dict:
|
||
"""Convert our model graph_def to the format expected by evaluate_graph()."""
|
||
nodes = []
|
||
for n in graph_def["nodes"]:
|
||
entry: dict = {"id": n["id"]}
|
||
if n.get("formula"):
|
||
entry["formula"] = n["formula"]
|
||
nodes.append(entry)
|
||
return {"nodes": nodes, "coefficients": {}}
|
||
|
||
|
||
# ── Public API ─────────────────────────────────────────────────────────────────
|
||
|
||
def get_model_state(conn, instrument: str, at_date: Optional[str] = None) -> Optional[dict]:
|
||
"""Full model state: all node values computed via DAG evaluation."""
|
||
inst_upper = instrument.upper()
|
||
row = conn.execute(
|
||
"SELECT graph_json FROM instrument_models WHERE instrument=?", (inst_upper,)
|
||
).fetchone()
|
||
if not row:
|
||
return None
|
||
|
||
graph_def = json.loads(row["graph_json"])
|
||
|
||
try:
|
||
ref_date = date_type.fromisoformat(at_date) if at_date else datetime.utcnow().date()
|
||
except ValueError:
|
||
ref_date = datetime.utcnow().date()
|
||
|
||
overrides = {r["node_id"]: dict(r) for r in conn.execute(
|
||
"SELECT node_id, value, note, set_at FROM instrument_node_overrides WHERE instrument=?",
|
||
(inst_upper,)
|
||
).fetchall()}
|
||
|
||
ev_by_cat = _compute_event_by_category(conn, inst_upper, ref_date)
|
||
inputs = _build_inputs(graph_def, overrides, ev_by_cat)
|
||
|
||
# DAG evaluation (propagates through intermediate nodes via formulas)
|
||
from services.causal_graphs import evaluate_graph
|
||
gj = _graph_json_for_eval(graph_def)
|
||
all_vals = evaluate_graph(gj, inputs)
|
||
|
||
output_id = graph_def["output_node"]
|
||
net_pips = round(float(all_vals.get(output_id, 0.0)), 1)
|
||
|
||
nodes_out = []
|
||
for node in graph_def["nodes"]:
|
||
nid = node["id"]
|
||
ntype = node.get("node_type", "")
|
||
val = round(float(all_vals.get(nid, 0.0)), 1)
|
||
ov = overrides.get(nid)
|
||
state = dict(node)
|
||
state["computed_value"] = val
|
||
state["pip_contribution"] = val
|
||
|
||
if ntype == "input_event":
|
||
cat = node.get("event_category", "")
|
||
state["source"] = "manual" if ov else ("events" if val != 0.0 else "neutral")
|
||
state["raw_value"] = ov["value"] if ov else round(ev_by_cat.get(cat, 0.0), 1)
|
||
if ov:
|
||
state["override_note"] = ov.get("note", "")
|
||
state["override_set_at"] = ov.get("set_at", "")
|
||
|
||
elif ntype == "input_manual":
|
||
state["source"] = "manual" if ov else "neutral"
|
||
state["raw_value"] = ov["value"] if ov else 0.0 # in native unit
|
||
if ov:
|
||
state["override_note"] = ov.get("note", "")
|
||
state["override_set_at"] = ov.get("set_at", "")
|
||
|
||
elif ntype in ("intermediate", "output"):
|
||
state["source"] = "computed"
|
||
|
||
nodes_out.append(state)
|
||
|
||
direction = "bullish" if net_pips > 5 else "bearish" if net_pips < -5 else "neutral"
|
||
|
||
return {
|
||
"instrument": inst_upper,
|
||
"name": graph_def["name"],
|
||
"description": graph_def.get("description", ""),
|
||
"at_date": str(ref_date),
|
||
"net_pips": net_pips,
|
||
"direction": direction,
|
||
"nodes": nodes_out,
|
||
"output_node": output_id,
|
||
}
|
||
|
||
|
||
def simulate_timeline(
|
||
conn, instrument: str, period: str = "1y"
|
||
) -> list[dict]:
|
||
"""
|
||
Simulate all node values day by day over the period.
|
||
Returns [{date, nodes: {id: value}, net_pips}].
|
||
Uses lifecycle (rise/plateau/decay) for event contributions.
|
||
Manual overrides are static (applied uniformly across the period).
|
||
"""
|
||
inst_upper = instrument.upper()
|
||
row = conn.execute(
|
||
"SELECT graph_json FROM instrument_models WHERE instrument=?", (inst_upper,)
|
||
).fetchone()
|
||
if not row:
|
||
return []
|
||
|
||
graph_def = json.loads(row["graph_json"])
|
||
output_id = graph_def["output_node"]
|
||
|
||
period_days = {"5d":7,"1mo":35,"3mo":95,"6mo":190,"1y":370,"2y":740}
|
||
lookback = period_days.get(period, 370)
|
||
today = datetime.utcnow().date()
|
||
date_from = today - timedelta(days=lookback)
|
||
|
||
# Load overrides (static)
|
||
overrides = {r["node_id"]: dict(r) for r in conn.execute(
|
||
"SELECT node_id, value, note, set_at FROM instrument_node_overrides WHERE instrument=?",
|
||
(inst_upper,)
|
||
).fetchall()}
|
||
|
||
# Load ALL relevant events (extended lookback for decay)
|
||
inst_lower = inst_upper.lower()
|
||
extended = date_from - timedelta(days=365)
|
||
rows = conn.execute("""
|
||
SELECT a.prediction_json, e.start_date, e.end_date, e.sub_type,
|
||
t.category, t.calibration_json
|
||
FROM causal_event_analyses a
|
||
JOIN market_events e ON e.id = a.market_event_id
|
||
JOIN causal_graph_templates t ON t.id = a.template_id
|
||
WHERE a.instrument=? AND e.start_date>=? AND e.start_date<=?
|
||
""", (inst_upper, str(extended), str(today))).fetchall()
|
||
|
||
# Pre-parse events
|
||
events = []
|
||
for r in rows:
|
||
r = dict(r)
|
||
try:
|
||
preds = json.loads(r["prediction_json"] or "{}")
|
||
calib = json.loads(r["calibration_json"] or "{}")
|
||
except Exception:
|
||
continue
|
||
pips: Optional[float] = None
|
||
if inst_lower in preds:
|
||
pips = float(preds[inst_lower])
|
||
else:
|
||
for k, v in preds.items():
|
||
if inst_lower in k.lower():
|
||
try: pips = float(v); break
|
||
except (TypeError, ValueError): pass
|
||
if not pips:
|
||
continue
|
||
absorption = max(1, int(calib.get("absorption_days", 7)))
|
||
dtype = str(calib.get("decay_type", "exp"))
|
||
rise = max(0, int(calib.get("rise_days", 0)))
|
||
plateau = max(0, int(calib.get("plateau_days", 0)))
|
||
ev_end = r.get("end_date")
|
||
if ev_end and str(r.get("sub_type","")).startswith("rate_guidance"):
|
||
try:
|
||
meeting = date_type.fromisoformat(ev_end[:10])
|
||
ev_start = date_type.fromisoformat(r["start_date"][:10])
|
||
absorption = max(1, (meeting - ev_start).days)
|
||
dtype = "linear"; rise = 0; plateau = 0
|
||
except ValueError:
|
||
pass
|
||
try:
|
||
ev_date = date_type.fromisoformat(r["start_date"][:10])
|
||
except ValueError:
|
||
continue
|
||
events.append({
|
||
"ev_date": ev_date, "category": r["category"], "pips": pips,
|
||
"rise": rise, "plateau": plateau, "absorption": absorption, "dtype": dtype,
|
||
})
|
||
|
||
from services.causal_graphs import evaluate_graph
|
||
gj = _graph_json_for_eval(graph_def)
|
||
|
||
timeline = []
|
||
cur = date_from
|
||
while cur <= today:
|
||
# Event contributions for this day
|
||
ev_by_cat: dict[str, float] = {}
|
||
for ev in events:
|
||
if ev["ev_date"] > cur:
|
||
continue
|
||
days = (cur - ev["ev_date"]).days
|
||
df = _lifecycle(days, ev["rise"], ev["plateau"], ev["absorption"], ev["dtype"])
|
||
if df < 0.01:
|
||
continue
|
||
cat = ev["category"]
|
||
ev_by_cat[cat] = ev_by_cat.get(cat, 0.0) + round(ev["pips"] * df, 2)
|
||
|
||
inputs = _build_inputs(graph_def, overrides, ev_by_cat)
|
||
vals = evaluate_graph(gj, inputs)
|
||
net = round(float(vals.get(output_id, 0.0)), 1)
|
||
|
||
timeline.append({
|
||
"date": str(cur),
|
||
"net_pips": net,
|
||
"nodes": {k: round(float(v), 1) for k, v in vals.items()},
|
||
})
|
||
cur += timedelta(days=1)
|
||
|
||
return timeline
|
||
|
||
|
||
def set_node_override(conn, instrument: str, node_id: str, value: float, note: str = "") -> bool:
|
||
conn.execute("""
|
||
INSERT INTO instrument_node_overrides (instrument, node_id, value, note, set_at)
|
||
VALUES (?,?,?,?,datetime('now'))
|
||
ON CONFLICT(instrument, node_id) DO UPDATE SET value=excluded.value, note=excluded.note, set_at=datetime('now')
|
||
""", (instrument.upper(), node_id, value, note))
|
||
conn.commit()
|
||
return True
|
||
|
||
|
||
def clear_node_override(conn, instrument: str, node_id: str) -> bool:
|
||
conn.execute(
|
||
"DELETE FROM instrument_node_overrides WHERE instrument=? AND node_id=?",
|
||
(instrument.upper(), node_id)
|
||
)
|
||
conn.commit()
|
||
return True
|