Quant Companion MCP

/** * @quant-companion/mcp-tools * * MCP server exposing quantitative finance tools for AI assistants. * * This server provides tools for: * - Option pricing (Black-Scholes, Monte Carlo) * - Implied volatility calculation * - Historical volatility analysis * - Risk metrics computation * - Strategy backtesting * - Price simulation */ import { Server } from "@modelcontextprotocol/sdk/server/index.js"; import { StdioServerTransport } from "@modelcontextprotocol/sdk/server/stdio.js"; import { CallToolRequestSchema, ListToolsRequestSchema, } from "@modelcontextprotocol/sdk/types.js"; import { setDefaultProvider, createDefaultProvider, } from "./marketData"; import { // Tool definitions getCurrentPriceDefinition, getHistoricalPricesDefinition, priceOptionBlackScholesDefinition, priceOptionMonteCarloDefinition, computeImpliedVolDefinition, computeHistoricalVolDefinition, computeRiskMetricsDefinition, runBacktestDefinition, simulatePriceDefinition, getOptionsChainDefinition, getVolSmileDefinition, getVolSurfaceDefinition, simulateWithLocalVolDefinition, detectUnusualActivityDefinition, summarizeVolRegimeDefinition, compareModelsForecastDefinition, backtestForecastAccuracyDefinition, // Tool handlers getCurrentPrice, getHistoricalPrices, priceOptionBlackScholes, priceOptionMonteCarlo, computeImpliedVol, computeHistoricalVol, computeRiskMetrics, runBacktest, simulatePrice, getOptionsChain, getVolSmile, getVolSurface, simulateWithLocalVolTool, detectUnusualActivityTool, summarizeVolRegime, compareModelsForecast, backtestForecastAccuracy, // Schemas getCurrentPriceSchema, getHistoricalPricesSchema, priceOptionBlackScholesSchema, priceOptionMonteCarloSchema, computeImpliedVolSchema, computeHistoricalVolSchema, computeRiskMetricsSchema, runBacktestSchema, simulatePriceSchema, getOptionsChainSchema, getVolSmileSchema, getVolSurfaceSchema, simulateWithLocalVolSchema, detectUnusualActivitySchema, summarizeVolRegimeSchema, compareModelsForecastSchema, backtestForecastAccuracySchema, } from "./tools"; // Configure provider based on environment // Priority: Polygon+Yahoo fallback (if API key) > Yahoo only const provider = createDefaultProvider(); console.error(`[MCP] Using ${provider.name} market data provider`); setDefaultProvider(provider); // Create server const server = new Server( { name: "quant-companion", version: "1.0.0", }, { capabilities: { tools: {}, }, } ); // List available tools server.setRequestHandler(ListToolsRequestSchema, async () => { return { tools: [ // Market data getCurrentPriceDefinition, getHistoricalPricesDefinition, getOptionsChainDefinition, // Volatility analytics getVolSmileDefinition, getVolSurfaceDefinition, // Option pricing priceOptionBlackScholesDefinition, priceOptionMonteCarloDefinition, computeImpliedVolDefinition, // Simulation simulatePriceDefinition, simulateWithLocalVolDefinition, // Risk & analysis computeHistoricalVolDefinition, computeRiskMetricsDefinition, runBacktestDefinition, detectUnusualActivityDefinition, // Multi-step analysis summarizeVolRegimeDefinition, // Model comparison & forecasting compareModelsForecastDefinition, backtestForecastAccuracyDefinition, ], }; }); // Handle tool calls server.setRequestHandler(CallToolRequestSchema, async (request) => { const { name, arguments: args } = request.params; try { let result: unknown; switch (name) { case "get_current_price": { const input = getCurrentPriceSchema.parse(args); result = await getCurrentPrice(input); break; } case "get_historical_prices": { const input = getHistoricalPricesSchema.parse(args); result = await getHistoricalPrices(input); break; } case "get_options_chain": { const input = getOptionsChainSchema.parse(args); result = await getOptionsChain(input); break; } case "get_vol_smile": { const input = getVolSmileSchema.parse(args); result = await getVolSmile(input); break; } case "get_vol_surface": { const input = getVolSurfaceSchema.parse(args); result = await getVolSurface(input); break; } case "simulate_price_with_local_vol": { const input = simulateWithLocalVolSchema.parse(args); result = await simulateWithLocalVolTool(input); break; } case "detect_unusual_activity": { const input = detectUnusualActivitySchema.parse(args); result = await detectUnusualActivityTool(input); break; } case "summarize_vol_regime": { const input = summarizeVolRegimeSchema.parse(args); result = await summarizeVolRegime(input); break; } case "price_option_black_scholes": { const input = priceOptionBlackScholesSchema.parse(args); result = priceOptionBlackScholes(input); break; } case "price_option_monte_carlo": { const input = priceOptionMonteCarloSchema.parse(args); result = priceOptionMonteCarlo(input); break; } case "compute_implied_vol": { const input = computeImpliedVolSchema.parse(args); result = computeImpliedVol(input); break; } case "compute_historical_vol": { const input = computeHistoricalVolSchema.parse(args); result = await computeHistoricalVol(input); break; } case "compute_risk_metrics": { const input = computeRiskMetricsSchema.parse(args); result = computeRiskMetrics(input); break; } case "run_backtest": { const input = runBacktestSchema.parse(args); result = await runBacktest(input); break; } case "simulate_price": { const input = simulatePriceSchema.parse(args); result = simulatePrice(input); break; } case "compare_models_forecast_distribution": { const input = compareModelsForecastSchema.parse(args); result = await compareModelsForecast(input); break; } case "backtest_forecast_accuracy": { const input = backtestForecastAccuracySchema.parse(args); result = await backtestForecastAccuracy(input); break; } default: throw new Error(`Unknown tool: ${name}`); } return { content: [ { type: "text", text: JSON.stringify(result, null, 2), }, ], }; } catch (error) { const message = error instanceof Error ? error.message : "Unknown error occurred"; // Categorize error let code = "COMPUTATION_ERROR"; if (message.includes("not found") || message.includes("No data")) { code = "DATA_NOT_FOUND"; } else if (message.includes("must be") || message.includes("cannot") || message.includes("Invalid")) { code = "INVALID_INPUT"; } else if (message.includes("converge") || message.includes("Convergence")) { code = "CONVERGENCE_FAILED"; } else if (message.includes("limit") || message.includes("exceeded") || message.includes("maximum")) { code = "LIMIT_EXCEEDED"; } return { content: [ { type: "text", text: JSON.stringify({ error: { code, message, }, }, null, 2), }, ], isError: true, }; } }); // Start server async function main() { const transport = new StdioServerTransport(); await server.connect(transport); console.error("[MCP] Quant Companion MCP server started"); } main().catch((error) => { console.error("[MCP] Fatal error:", error); process.exit(1); });