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Casey Judice
05c0441053
- Monthly + hourly Kalshi/Polymarket arb scanner (stdlib-only Python). - Live positions tab w/ realized P&L history. - GitHub Actions cron workflow texts SMS via Apps Script webhook on newly-detected arbs. State persisted in alerts_state.json. 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
63 lines
2.3 KiB
Python
63 lines
2.3 KiB
Python
"""Reference-price client for the hourly scanner.
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Polymarket "Up or Down" resolves on the Binance {SYM}/USDT 1-hour candle
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(Up if close >= open). So the *implied strike* for the hour == the Binance
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candle OPEN. Kalshi hourly settles on CF Benchmarks (BRTI etc.), whose index
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is built from Coinbase/Kraken/Bitstamp/LMAX. The Binance-vs-Coinbase spot gap
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is therefore a live proxy for the unhedgeable settlement-feed basis risk.
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data-api.binance.vision -> Binance public mirror (api.binance.com is 451
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geo-blocked from here). Gives 1h-candle open +
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spot for the implied strike & Binance side.
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api.coinbase.com -> CF-Benchmarks-side spot proxy.
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"""
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from .net import get_json, parallel, FetchError
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BINANCE = "https://data-api.binance.vision/api/v3"
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COINBASE = "https://api.coinbase.com/v2/prices/%s-USD/spot"
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# asset -> (binance symbol, coinbase code or None if not listed there)
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ASSETS = {
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"BTC": ("BTCUSDT", "BTC"),
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"ETH": ("ETHUSDT", "ETH"),
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"SOL": ("SOLUSDT", "SOL"),
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"XRP": ("XRPUSDT", "XRP"),
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"DOGE": ("DOGEUSDT", "DOGE"),
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"BNB": ("BNBUSDT", None), # not on Coinbase -> no CF-side proxy
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}
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def _one(asset):
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bsym, cb = ASSETS[asset]
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k = get_json("%s/klines?symbol=%s&interval=1h&limit=1" % (BINANCE, bsym))
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row = k[0]
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open_px = float(row[1])
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open_ms = int(row[0])
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binance_spot = float(get_json(
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"%s/ticker/price?symbol=%s" % (BINANCE, bsym))["price"])
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cf_spot = None
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if cb:
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try:
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cf_spot = float(get_json(COINBASE % cb)["data"]["amount"])
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except (FetchError, KeyError, ValueError, TypeError):
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cf_spot = None
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div = None
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if cf_spot:
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div = (binance_spot - cf_spot) / cf_spot
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return {
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"asset": asset,
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"hour_open": open_px, # implied Polymarket strike for the hour
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"hour_open_ms": open_ms, # UTC ms of the candle open (window start)
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"binance_spot": binance_spot,
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"cf_spot": cf_spot,
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"divergence": div, # (binance - coinbase) / coinbase
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}
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def fetch_refs(assets):
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"""assets: iterable of symbols. Returns {asset: ref|None}."""
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want = [a for a in assets if a in ASSETS]
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res = parallel(_one, want, workers=8)
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return {a: (None if isinstance(v, FetchError) else v)
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for a, v in res.items()}
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