feat(options-gps): market line shopping — live exchange pricing, z-score edge detection, execution routing#39
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e35ventura merged 6 commits intoentrius:mainfrom Mar 12, 2026
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Mock JSON responses for BTC, ETH, SOL on both exchanges. Prices intentionally vary ±1-5% from Synth fair values to create testable divergence scenarios for line shopping.
…aware routing Core module for Market Line Shopping: - ExchangeQuote and EdgeMetrics dataclasses - fetch_deribit/fetch_aevo with mock_dir fallback for offline dev - Live API fetchers: Deribit get_book_summary, Aevo parallel orderbook - compute_edge() with population std dev and z-score (STRONG/MODERATE/WEAK/NONE) - best_execution_price() routes BUY→lowest ask, SELL→highest bid - leg_divergences() and strategy_divergence() for per-leg and aggregate scoring
New divergence_by_strategy param accepts {id(candidate): z_score}.
Applies clamped ±0.15 additive bonus (z * 0.06) after confidence
multiplier. No changes to ScoredStrategy dataclass — fully backward
compatible.
…uting - Market Line Shopping table with ★ Execute @ column and Edge (z-score σ) - ◆ markers highlight |z|≥1.0 disagreement at a glance - Per-leg best venue annotation: ★ Buy @ AEVO ask $655 — edge +1.5σ ◆ - Decision log includes exchange_edge_zscore and exchange_edge_label - Non-crypto assets gracefully skip exchange data
- conftest.py: shared fixtures for exchange quotes, strategies, option data - test_exchange.py: 8 fetch/parse, 6 best price, 7 edge detection, 10 divergence, 5 ranking integration tests - test_line_shopping_e2e.py: full pipeline, non-crypto skip, graceful failure
- README.md: Market Line Shopping section with feature overview - screenshots: BTC line shopping output, SPY graceful skip, test results
This was referenced Mar 12, 2026
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Summary
Adds Market Line Shopping to Options GPS — compares Synth's theoretical option prices against live exchange data (Deribit, Aevo) to find mispricing edges using statistical z-score analysis, then routes each strategy leg to the best execution venue. Like a sports bettor shopping lines across books.
Closes #32
What's New
exchange.py— new module with:_fetch_deribit_live()(single request viaget_book_summary_by_currency),_fetch_aevo_live()(parallel orderbook fetches viaThreadPoolExecutor, capped at 40 instruments). Falls back to mock data when no API connectivity.compute_edge()computes population std dev across all pricing sources (Synth + exchanges) with a noise floor at 0.1% of market mean. Labels: STRONG (|z|≥2.0), MODERATE (|z|≥1.0), WEAK (|z|≥0.5), NONE.best_execution_price()— BUY legs route to lowest ask, SELL legs route to highest bid across venues.ExchangeQuoteandEdgeMetricsdataclasses,leg_divergences(),strategy_divergence().Pipeline integration —
rank_strategies()acceptsdivergence_by_strategymappingid(candidate) → z_score. Applies clamped ±0.15 additive bonus (z * 0.06) after confidence multiplier. No changes toScoredStrategydataclass — fully backward compatible.High-signal UI — Market Line Shopping table on Screen 1b with call/put side-by-side per strike:
* Exec(best venue + ask price), Edge (z-score σ)★ Buy @ AEVO ask $655 — edge +1.5σexchange_edge_zscoreandexchange_edge_labelper strategyMock data — 6 JSON files (
deribit_BTC/ETH/SOL.json,aevo_BTC/ETH/SOL.json) with intentional ±1-5% price variation from Synth fair values for testable divergence scenarios.Related Issues
Closes #32
Type of Change
Testing
Test command:
python -m pytest tools/options-gps/tests/ -vResult: 119 passed (80 existing + 36 exchange + 3 e2e) in 0.09s
Checklist
Files Changed
mock_data/exchange_options/*.jsontools/options-gps/exchange.pytools/options-gps/pipeline.pydivergence_by_strategyparam torank_strategies()(+10 lines)tools/options-gps/main.pytools/options-gps/tests/conftest.pytools/options-gps/tests/test_exchange.pytools/options-gps/tests/test_line_shopping_e2e.pytools/options-gps/README.mdCLI Output: BTC Bullish (Crypto)
Test Results