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https://github.com/Mihirkansara/nexus-quant-terminal.git
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Claude
e768be9ec9
- core/rv_scanner.py: futures basis curve and perp funding; options-implied forward vs listed
future; raw-SVI residuals per option netted against half the bid/ask in vol (Black-76 coin
inversion) and ranked by USD edge; coin-settled put-call parity with executable edge; vertical
and butterfly static-arbitrage checks on marks and at the touch; VRP vs 30d realised.
- routers/rvscan.py: GET /api/rvscan/{BTC|ETH}, Deribit public API with 60 s cache, 503 on failure.
- RV Scanner tab: carry chart, smile-residual scatter with spread bars, trade ideas, expiry ladder,
parity and static-arbitrage panel.
- Tests on a synthetic Black-76 book: parity/inversion, carry, clean book, planted mispricings.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01FpiqUMAyo4RL5DdQHMWbwE
66 lines
2.5 KiB
Python
66 lines
2.5 KiB
Python
"""
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rvscan.py — Carry & RV Scanner: Deribit futures basis and perp funding, options-implied forwards,
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SVI-residual rich/cheap scan net of bid/ask, put-call parity and static-arbitrage checks, and
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the vol risk premium per expiry. Public Deribit API, no key; 503 when unreachable.
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"""
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import time
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import numpy as np
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from fastapi import APIRouter, HTTPException
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from ..core.rv_scanner import carry_report, scan
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router = APIRouter(prefix="/rvscan", tags=["rvscan"])
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def _load(currency):
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from .vol import _cached, _crypto_closes, _deribit
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def load():
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opts = _deribit("get_book_summary_by_currency", currency=currency, kind="option")
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futs = _deribit("get_book_summary_by_currency", currency=currency, kind="future")
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idx = float(_deribit("get_index_price", index_name=f"{currency.lower()}_usd")["index_price"])
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return opts, futs, idx, int(time.time() * 1000)
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opts, futs, idx, now = _cached(f"rvscan:{currency}", 60, load)
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rv = None
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try:
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closes = _cached(f"closes:{currency}USD", 900, lambda: _crypto_closes(currency))
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r = np.diff(np.log(np.asarray(closes[-31:], float)))
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rv = float(np.std(r, ddof=1) * np.sqrt(365)) if len(r) >= 20 else None
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except Exception:
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pass
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return opts, futs, idx, now, rv
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@router.get("/{currency}")
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def rv_scan(currency: str, min_oi: float = 0.0, max_days: int = 200):
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currency = currency.upper()
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if currency not in ("BTC", "ETH"):
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raise HTTPException(404, "The RV scanner covers BTC and ETH (Deribit).")
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try:
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opts, futs, idx, now, rv = _load(currency)
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except Exception as e:
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raise HTTPException(503, f"Deribit data unavailable: {e}")
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carry = carry_report(futs, idx, now)
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rep = scan(opts, idx, now, carry, rv, min_oi=min_oi, max_days=max_days)
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if not rep["expiries"]:
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raise HTTPException(503, "No Deribit expiries with enough quotes.")
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return _clean({"currency": currency, "source": "Deribit public API (book summaries, 60 s cache)",
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"carry": carry, **rep})
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def _clean(obj):
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if isinstance(obj, (bool, np.bool_)):
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return bool(obj)
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if isinstance(obj, np.integer):
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return int(obj)
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if isinstance(obj, (float, np.floating)):
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x = float(obj)
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return round(x, 8) if np.isfinite(x) else None
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if isinstance(obj, dict):
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return {str(k): _clean(v) for k, v in obj.items()}
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if isinstance(obj, (list, tuple, np.ndarray)):
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return [_clean(v) for v in obj]
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return obj
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