0DTE Confluence Ships Quant Execution & Macro Dashboard — 7 New Real-Time Endpoints

The Problem We Solved

Most 0DTE tools stop at "here's the call wall." But execution is where P&L lives.

You know the gamma flip. You know the call wall. But execution context was missing:

• Is premium decaying fast enough? → Premium Compression Heatmap
• Is my execution risk low? → Path-Risk Meter (0-100 score + bps slippage)
• Is flow confirming the setup? → CVD Liquidity Tracker (Lee-Ready on minute bars)
• Is vol rich or cheap? → VRP Divergence (IV - RV20, percentile, verdict)
• Are components diverging? → Index Health (rel vol + momentum per name)
• Is it an event day? → Macro Events (FOMC/CPI/NFP with vol forecasts)
• What's the full structure? → Daily Structure Board (rails + EM + pin + pivots + overnight)

Pro Tier ($99/mo) — Quant Execution Tools

1. Premium Compression Heatmap

Endpoint: GET /v1/mcp/premium-decay?structure=vertical_spread_put
MCP Tool: get_premium_compression_data()

Projects Black-Scholes theta decay velocity across 60-minute session windows for any multi-leg structure (iron condors, verticals, calendars, butterflies).

Key Outputs

Metric	Value	Meaning
Decay Velocity Index	1.57x	Aggregate theta acceleration
Peak Window	14:00-14:59	Optimal press time
Statistical Advantage	HIGH	HIGH/MODERATE/LOW based on velocity distribution
Structure Support	Iron condor, verticals, calendars, butterflies	All multi-leg structures

Real-World Use: You're fading the 773 call wall with a put vertical. Heatmap shows velocity accelerating into 14:00-15:00. Statistical Advantage = HIGH. You press at 13:50, hold through acceleration, bank at 14:45.

2. Path-Risk Meter

Endpoint: GET /v1/mcp/path-risk
MCP Tool: get_path_risk_score()

Dynamic execution risk score (0-100) blending:

• 60% — Live spread % of mid (NBBO)
• 40% — 1-min log-return variance (realized tick noise)

Current Output

Metric	Value	Meaning
Risk Score	16.4	LOW (0-100 scale)
Risk Level	LOW	Green = press, Yellow = caution, Red = wait
Spread %	1.03%	Tight = better fills
Tick Variance	1.54 bps	Low noise = cleaner path
Slippage Forecast	10.3 bps	Expected cost on entry
Primary Driver	spread_tight	What's driving the score

Decision Rule: Score < 30 = press. 30-50 = reduce size. > 50 = wait.

3. CVD Liquidity Tracker

Endpoint: GET /v1/mcp/cvd-liquidity?interval=1m
MCP Tool: get_cvd_liquidity()

Cumulative Volume Delta via Lee-Ready tick rule on minute OHLCV bars (up-close = +vol, down-close = -vol).

Current Output

Metric	Value	Meaning
Net CVD	8.29M	Bullish cumulative flow
CVD Slope	0.075	Accelerating
Trend	BULLISH	BULLISH/BEARISH/NEUTRAL
N Bars	320	Full session coverage

Use Case: Confluence Tape shows put-wall fade. CVD confirms: net CVD rising, slope positive, trend BULLISH. Flow + liquidity aligned = higher conviction.

Bundle Tier ($79/mo) — Yield & Macro Dashboard

4. VRP Divergence Index

Endpoint: GET /v1/mcp/vrp
MCP Tool: get_vrp_divergence()

Volatility Risk Premium = ATM straddle IV - 20-day realized variance (RV20).

Current Reading (2026-07-15)

Metric	Value	Interpretation
ATM IV	11.04 vol pts	Current implied
RV20	11.78 vol pts	20-day realized
VRP (IV - RV20)	-0.74 vol pts	Slightly cheap
Percentile	80th	Rich vs history
Z-Score	+0.83	0.83σ above mean
Verdict	NEUTRAL	Size normally

Decision Framework

• VRP > +1.5 (95th pctl) → RICH → Bank faster, sell premium
• VRP < -1.5 (5th pctl) → CHEAP → Press longs, buy premium
• -1.5 to +1.5 → NEUTRAL → Let setup grade drive sizing

5. Index Health Dashboard

Endpoint: GET /v1/mcp/index-health
MCP Tool: get_index_health()

Component-level relative volume & momentum for SPY/QQQ leaders.

Current Leaders (Relative Volume > 1.2)

Symbol	Rel Vol	Momentum	Signal
NVDA	1.5x	+0.8	🟢 Leading
AVGO	1.4x	+0.7	🟢 Leading
META	1.3x	+0.6	🟢 Leading
AAPL	1.2x	+0.5	🟢 Supporting
TSLA	0.8x	-0.2	🔴 Lagging

Divergence Alert: SPY at highs but TSLA lagging with negative momentum = potential rotation risk.

6. Macro Events Calendar

Endpoint: GET /v1/mcp/macro-events
MCP Tool: get_macro_events()

High-impact events with volatility impact forecasts:

Event	Date	Time ET	Vol Impact	Positioning
FOMC Rate Decision	Sep 18	14:00	HIGH	Reduce size 50%, flat by 13:30
CPI	Sep 12	08:30	HIGH	No new entries 08:00-09:30
NFP	Sep 6	08:30	MEDIUM	Reduced size, wider stops
PPI	Sep 11	08:30	LOW	Normal sizing

Auto-Discipline: Event day detected → API returns event_day: true → Decision Desk shows reduced size banner + earlier flat time.

7. Daily Structure Board

Endpoint: GET /v1/mcp/daily-structure
MCP Tool: get_daily_structure()

One-card structure view: Rails + EM + Pin + Automated Pivots + Overnight Ranges

Current Session (SPY 771.87)

Level	Value	Type
Gamma Flip	757.4	Regime boundary
Put Wall	758.0	Support
Max Pain	754.0	Magnet
Call Wall	773.0	Resistance
Magnet	773.0	Pin target
EM 1σ (80m)	766.2 — 777.6	Expected move
Pin Score	0.36	Mushy
Regime	Positive Gamma	Fade-friendly

Overnight Range: 768.50 — 774.20 (pre-market reference)

Developer API — Build Your Own Agents

All 7 endpoints available at /v1/mcp/* with MCP (Model Context Protocol) integration for Cursor, Claude Desktop, and VS Code.

REST Endpoints

# Premium Compression
GET /v1/mcp/premium-decay?structure=vertical_spread_put

# Path Risk
GET /v1/mcp/path-risk

# CVD Liquidity
GET /v1/mcp/cvd-liquidity?interval=1m

# VRP Divergence
GET /v1/mcp/vrp

# Index Health
GET /v1/mcp/index-health

# Macro Events
GET /v1/mcp/macro-events

# Daily Structure
GET /v1/mcp/daily-structure

MCP Tools for Cursor/Claude/VS Code

# In your agent workflow
from mcp import get_path_risk_score, get_cvd_liquidity, get_vrp_divergence

risk = get_path_risk_score()        # Returns 0-100 score + bps slippage
cvd = get_cvd_liquidity("1m")       # Returns net CVD, slope, trend
vrp = get_vrp_divergence()          # Returns IV-RV20, percentile, verdict

if risk < 30 and cvd.trend == "BULLISH" and vrp.verdict != "RICH":
    execute_fade_call_wall()

Tier Gating Summary

Endpoint	Developer	Pro	Bundle	Rails	Tape
/v1/mcp/premium-decay	✅	✅	❌	❌	❌
/v1/mcp/path-risk	✅	✅	❌	❌	❌
/v1/mcp/cvd-liquidity	✅	✅	❌	❌	❌
/v1/mcp/vrp	✅	❌	✅	❌	❌
/v1/mcp/index-health	✅	❌	✅	❌	❌
/v1/mcp/macro-events	✅	❌	✅	❌	❌
/v1/mcp/daily-structure	✅	❌	✅	❌	❌

The Stack Behind It

Layer	Technology
Data	Self-built gamma/flow from exchange data
Grading	8-factor confluence (A+ ≥7/8, B=6/8), regime-aware gates, trapdoor veto
Compute	theta_engine.py — stdlib-only Black-Scholes, path-risk, CVD
API	confluence_api.py — stdlib HTTP, 120 req/min, tier-gated
MCP	FastMCP stdio server for Cursor/Claude/VS Code
Frontend	Vanilla JS (no React), SSE real-time, SEO-baked /live/* pages

Get Started

Plan	Price	Best For
Discord Alerts	$49/mo	A+/B alerts in #alerts-a/#b
Bundle	$79/mo	Desk + Macro Dashboard
Pro	$99/mo	Desk + Quant Execution + MCP
Developer API	$99/mo	Build custom agents/bots

Free Resources

• Gamma Wall Guide
• How to Read Decision Desk
• VRP for Sizing

What's Next

Roadmap Item	Status
Multi-Asset Correlation Grid	🔴 Planned
Regime Transition Predictor	🔴 Planned
WebSocket Gateway (sub-second)	🔴 Planned
Market Time Machine API	🔴 Planned
Mobile PWA	🔴 Planned

Ready to upgrade? → 0dteconfluence.com/#subscribe
Questions? → [email protected]

---

Not investment advice. Educational decay projections — not fill/premium guarantees. Confirm live quotes in your broker before sizing.