启用概率校准和 WebSocket 报价配置
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2569718930@qq.com
@@ -23,6 +23,7 @@ import httpx
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from loguru import logger
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from src.data_collection.city_registry import ALIASES, CITY_REGISTRY
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from src.data_collection.polymarket_ws_cache import PolymarketWsQuoteCache
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try:
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from py_clob_client.client import ClobClient # type: ignore
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@@ -173,6 +174,16 @@ def _extract_price(value: Any) -> Optional[float]:
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return None
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def _clamp_probability(value: Optional[float]) -> Optional[float]:
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if value is None:
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return None
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if value < 0.0:
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return 0.0
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if value > 1.0:
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return 1.0
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return value
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def _extract_iso_date(value: Any) -> Optional[str]:
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if not value:
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return None
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@@ -394,6 +405,7 @@ class PolymarketReadOnlyLayer:
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self._lock = threading.Lock()
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self._clob_client: Any = None
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self._clob_unavailable_reason: Optional[str] = None
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self._ws_quote_cache = PolymarketWsQuoteCache.from_env()
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def build_market_scan(
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self,
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@@ -430,6 +442,7 @@ class PolymarketReadOnlyLayer:
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"last_trade_price": None,
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"liquidity": None,
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"volume": None,
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"price_analysis": None,
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"sparkline": fallback_sparkline or [],
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"top_buckets": [],
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"recent_trades": [],
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@@ -570,6 +583,8 @@ class PolymarketReadOnlyLayer:
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"sell_price": _extract_price(yes_prices.get("sell")),
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"midpoint": _extract_price(yes_prices.get("midpoint")),
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"last_trade_price": _extract_price(yes_prices.get("last_trade_price")),
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"quote_source": yes_prices.get("quote_source"),
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"quote_age_ms": _safe_int(yes_prices.get("quote_age_ms"), 0),
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"book": yes_prices.get("book"),
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}
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no_payload = {
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@@ -580,8 +595,17 @@ class PolymarketReadOnlyLayer:
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"sell_price": _extract_price(no_prices.get("sell")),
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"midpoint": _extract_price(no_prices.get("midpoint")),
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"last_trade_price": _extract_price(no_prices.get("last_trade_price")),
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"quote_source": no_prices.get("quote_source"),
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"quote_age_ms": _safe_int(no_prices.get("quote_age_ms"), 0),
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"book": no_prices.get("book"),
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}
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price_analysis = self._build_price_analysis(
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model_probability=model_probability,
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yes_buy=_extract_price(yes_payload.get("buy_price")),
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yes_sell=_extract_price(yes_payload.get("sell_price")),
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no_buy=_extract_price(no_payload.get("buy_price")),
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no_sell=_extract_price(no_payload.get("sell_price")),
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)
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sparkline_values: List[float] = []
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for candidate in (
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@@ -617,12 +641,15 @@ class PolymarketReadOnlyLayer:
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"last_trade_price": last_trade_price,
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"liquidity": liquidity,
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"volume": volume,
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"price_analysis": price_analysis,
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"sparkline": sparkline_values,
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"top_buckets": top_buckets,
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"all_buckets": all_buckets,
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"websocket": {
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"market_url": market_url,
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"asset_ids": [
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"websocket": {
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"enabled": self._ws_quote_cache.enabled,
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"status": self._ws_quote_cache.status(),
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"market_url": market_url,
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"asset_ids": [
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token
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for token in [
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yes_payload.get("token_id"),
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@@ -636,6 +663,112 @@ class PolymarketReadOnlyLayer:
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)
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return scan
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def _build_price_analysis(
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self,
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*,
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model_probability: Optional[float],
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yes_buy: Optional[float],
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yes_sell: Optional[float],
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no_buy: Optional[float],
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no_sell: Optional[float],
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) -> Dict[str, Any]:
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"""Build read-only market price diagnostics.
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Polymarket CLOB naming is from the user's perspective:
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BUY is the executable ask to buy that outcome, SELL is the executable bid.
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Kelly here is a sizing reference only; no order execution is performed.
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"""
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p_yes = _clamp_probability(_safe_float(model_probability))
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p_no = _clamp_probability(1.0 - p_yes if p_yes is not None else None)
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yes_ask = _clamp_probability(_safe_float(yes_buy))
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no_ask = _clamp_probability(_safe_float(no_buy))
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yes_bid = _clamp_probability(_safe_float(yes_sell))
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no_bid = _clamp_probability(_safe_float(no_sell))
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yes = self._build_side_price_analysis("yes", p_yes, yes_ask, yes_bid)
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no = self._build_side_price_analysis("no", p_no, no_ask, no_bid)
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ask_sum = None
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lock_edge = None
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lock_available = False
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if yes_ask is not None and no_ask is not None:
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ask_sum = yes_ask + no_ask
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lock_edge = 1.0 - ask_sum
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lock_available = lock_edge > 0
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bid_sum = None
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sell_side_edge = None
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if yes_bid is not None and no_bid is not None:
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bid_sum = yes_bid + no_bid
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sell_side_edge = bid_sum - 1.0
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best_side = None
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side_rows = [
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row
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for row in [yes, no]
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if isinstance(row.get("edge"), (int, float))
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and isinstance(row.get("kelly_fraction"), (int, float))
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and row.get("kelly_fraction") > 0
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]
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if side_rows:
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best_side = max(
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side_rows,
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key=lambda row: (
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float(row.get("edge") or 0.0),
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float(row.get("kelly_fraction") or 0.0),
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),
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).get("side")
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return {
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"available": any(
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value is not None
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for value in (yes_ask, no_ask, yes_bid, no_bid, p_yes)
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),
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"source": "polymarket_clob_orderbook",
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"model_probability": p_yes,
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"yes": yes,
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"no": no,
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"best_side": best_side,
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"lock": {
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"available": lock_available,
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"ask_sum": ask_sum,
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"edge": lock_edge,
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},
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"sell_side": {
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"bid_sum": bid_sum,
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"edge": sell_side_edge,
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},
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}
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def _build_side_price_analysis(
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self,
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side: str,
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probability: Optional[float],
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ask: Optional[float],
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bid: Optional[float],
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) -> Dict[str, Any]:
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edge = None
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kelly_fraction = None
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if probability is not None and ask is not None:
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edge = probability - ask
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if 0.0 < ask < 1.0:
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kelly_fraction = edge / (1.0 - ask)
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return {
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"side": side,
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"model_probability": probability,
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"ask": ask,
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"bid": bid,
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"edge": edge,
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"edge_percent": edge * 100.0 if edge is not None else None,
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"kelly_fraction": kelly_fraction,
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"quarter_kelly": (
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max(0.0, kelly_fraction) / 4.0
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if kelly_fraction is not None
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else None
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),
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}
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def _market_trade_state(self, market: Dict[str, Any]) -> Dict[str, Any]:
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active = _safe_bool(market.get("active"))
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closed_raw = _safe_bool(market.get("closed"))
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@@ -1193,6 +1326,11 @@ class PolymarketReadOnlyLayer:
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if not token_id:
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return {}
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self._ws_quote_cache.subscribe([token_id])
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ws_data = self._ws_quote_cache.get_market_data(token_id)
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if ws_data is not None:
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return ws_data
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now = time.time()
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with self._lock:
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cached = self._price_cache.get(token_id)
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@@ -1473,6 +1611,8 @@ class PolymarketReadOnlyLayer:
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"yes_sell": yes_sell,
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"no_buy": no_buy,
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"no_sell": no_sell,
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"quote_source": yes_prices.get("quote_source"),
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"quote_age_ms": _safe_int(yes_prices.get("quote_age_ms"), 0),
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"slug": market_slug or None,
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"question": market.get("question") or market.get("title"),
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"is_primary": bool(
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