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Grade adaptive signals with exact market fees

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Theodore Song
2026-08-21 20:56:40 -04:00
parent 98744e07ba
commit 4539456ac2
10 changed files with 221 additions and 55 deletions
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scripts/evaluate-settlements.mjs
+21 -4
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@@ -6,6 +6,7 @@ const CONCURRENCY = Math.max(1, Math.min(12, Number(process.env.SETTLEMENT_CONCU
const HORIZON_DAYS = [...new Set(String(process.env.SETTLEMENT_HORIZONS || "1,3,7,14,30,90").split(",")
.map(Number).filter((value) => Number.isFinite(value) && value >= 1 && value <= 365))].sort((a, b) => a - b);
const COST_CENTS = Math.max(0, Math.min(5, Number(process.env.SETTLEMENT_COST_CENTS || 0.5)));
const EXACT_GAMMA_FEES = process.env.SETTLEMENT_EXACT_GAMMA_FEES === "1";
const FINE_GRID = String(process.env.SETTLEMENT_FINE_GRID || "false").toLowerCase() === "true";
const SELECTION_ORDER = ["volumeNum", "closedTime", "createdAt", "id"].includes(process.env.SETTLEMENT_ORDER)
? process.env.SETTLEMENT_ORDER : "volumeNum";
@@ -33,6 +34,18 @@ function categoryOf(raw) {
return "Other";
}
function feeScheduleOf(raw) {
const rate = Number(raw?.feeSchedule?.rate), exponent = Number(raw?.feeSchedule?.exponent);
return Number.isFinite(rate) && rate >= 0 && Number.isFinite(exponent) && exponent > 0
? { rate, exponent } : null;
}
function takerFeePerShare(schedule, price) {
const p = Number(price), rate = Number(schedule?.rate), exponent = Number(schedule?.exponent);
if (!(p > 0 && p < 1) || !Number.isFinite(rate) || rate < 0 || !Number.isFinite(exponent) || exponent <= 0) return null;
return rate * Math.pow(p * (1 - p), exponent);
}
function hardSettlementJumpRisk(raw) {
const text = `${raw?.question || ""} ${raw?.events?.[0]?.title || ""}`.toLowerCase();
const numericRange = /\b\d+(?:\.\d+)?\s*(?:%|percent)?\s*(?:-|–|—|to)\s*\d+(?:\.\d+)?\s*(?:%|percent|votes?|points?|seats?|bps|basis points?|tweets?|posts?|goals?)(?![a-z])/;
@@ -122,7 +135,8 @@ async function fetchResolvedMarkets(limit, skip = 0) {
seen.add(id); raw.push({ id, question: market.question || "", category: categoryOf(market),
eventId: String(market.events?.[0]?.id || id),
tokenId: String(tokens[0]), finalYes: outcomes[0] >= 0.99 ? 1 : 0, closedAt,
safeContract: !hardSettlementJumpRisk(market), volume: Number(market.volumeNum || market.volume || 0) });
safeContract: !hardSettlementJumpRisk(market), feeSchedule: feeScheduleOf(market),
volume: Number(market.volumeNum || market.volume || 0) });
if (raw.length >= targetCount) break;
}
if (page.length < pageSize || !payload.next_cursor || payload.next_cursor === cursor) break;
@@ -141,14 +155,16 @@ function evaluateMarket(market, points) {
const winningSide = market.finalYes ? "YES" : "NO", trend = confirmedTrendAt(points, target, point);
for (const side of ["YES", "NO"]) {
const entry = side === "YES" ? yesEntry : noEntry, final = side === winningSide ? 1 : 0;
const netReturn = final / entry - 1 - (COST_CENTS / 100) / entry;
const fee = EXACT_GAMMA_FEES ? takerFeePerShare(market.feeSchedule, entry) : null;
const entryCost = COST_CENTS / 100 + (EXACT_GAMMA_FEES && Number.isFinite(fee) ? fee : 0);
const netReturn = final / entry - 1 - entryCost / entry;
rows.push({ marketId: market.id, eventId: market.eventId, question: market.question, category: market.category,
safeContract: market.safeContract, closedAt: market.closedAt, volume: market.volume,
horizonDays, side, favorite: side === favoriteSide, winner: side === winningSide,
trend: Boolean(trend && trend.side === side), trendSide: trend?.side || null,
dayMove: trend?.dayMove || 0, weekMove: trend?.weekMove || 0,
strongTrend: Boolean(trend?.strong), moderateTrend: Boolean(trend?.moderate),
entry, band: priceBand(entry), netReturn });
entry, band: priceBand(entry), entryCost, exactFeeSchedule: EXACT_GAMMA_FEES && market.feeSchedule != null, netReturn });
}
}
return rows;
@@ -308,7 +324,8 @@ const rows = successful.flatMap((result) => result.rows);
const report = {
generatedAt: new Date().toISOString(), requestedMarkets: MARKET_LIMIT, resolvedMarkets: markets.length,
marketsWithHistory: successful.length, failures: histories.filter((result) => result?.error).length,
methodology: { horizonDays: HORIZON_DAYS, estimatedRoundTripCostCents: COST_CENTS,
methodology: { horizonDays: HORIZON_DAYS, estimatedEntrySlippageCents: COST_CENTS,
exactGammaFeeSchedules: EXACT_GAMMA_FEES, settlementRedemptionExitFeeCents: 0,
historyFidelityMinutes: 1440,
fineGrid:FINE_GRID,
testedRules:RULES.length,