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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-signals.mjs
+35 -11
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@@ -1,11 +1,12 @@
const GAMMA = "https://gamma-api.polymarket.com";
const CLOB = "https://clob.polymarket.com";
const MARKET_LIMIT = Math.max(10, Math.min(500, Number(process.env.EVAL_MARKETS || 80)));
const MARKET_LIMIT = Math.max(10, Math.min(1000, Number(process.env.EVAL_MARKETS || 80)));
const ACTIVE_SKIP = Math.max(0, Math.min(5000, Number(process.env.EVAL_SKIP || 0)));
const CONCURRENCY = Math.max(1, Math.min(12, Number(process.env.EVAL_CONCURRENCY || 6)));
const HORIZONS = [...new Set(String(process.env.EVAL_HORIZONS || "6,12,24,72").split(",")
.map(Number).filter((value) => Number.isFinite(value) && value >= 1 && value <= 168))].sort((a, b) => a - b);
const COST_CENTS = Math.max(0, Math.min(5, Number(process.env.EVAL_COST_CENTS || 0.5)));
const EXACT_GAMMA_FEES = process.env.EVAL_EXACT_GAMMA_FEES === "1";
const HOUR = 3600;
const CATEGORY_RULES = [
@@ -26,6 +27,18 @@ function categoryOf(raw) {
return CATEGORY_RULES.find(([, keys]) => tags.some((tag) => keys.includes(tag)))?.[0] || "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);
}
async function fetchJson(url, attempts = 3) {
let lastError;
for (let attempt = 0; attempt < attempts; attempt++) {
@@ -116,12 +129,21 @@ function evaluateMarket(market, points) {
const exit = signal.side === "YES" ? future.p : 1 - future.p;
const fadeExit = signal.side === "YES" ? 1 - future.p : future.p;
const grossReturn = exit / entry - 1;
const netReturn = grossReturn - (COST_CENTS / 100) / entry;
const entryFee = EXACT_GAMMA_FEES ? takerFeePerShare(market.feeSchedule, entry) : null;
const exitFee = EXACT_GAMMA_FEES ? takerFeePerShare(market.feeSchedule, exit) : null;
const roundTripCost = COST_CENTS / 100
+ (EXACT_GAMMA_FEES && Number.isFinite(entryFee) && Number.isFinite(exitFee) ? entryFee + exitFee : 0);
const netReturn = grossReturn - roundTripCost / entry;
const fadeEntryFee = EXACT_GAMMA_FEES ? takerFeePerShare(market.feeSchedule, fadeEntry) : null;
const fadeExitFee = EXACT_GAMMA_FEES ? takerFeePerShare(market.feeSchedule, fadeExit) : null;
const fadeRoundTripCost = COST_CENTS / 100
+ (EXACT_GAMMA_FEES && Number.isFinite(fadeEntryFee) && Number.isFinite(fadeExitFee) ? fadeEntryFee + fadeExitFee : 0);
const fadeNetReturn = fadeEntry > 0.02 && fadeEntry < 0.98
? fadeExit / fadeEntry - 1 - (COST_CENTS / 100) / fadeEntry : null;
? fadeExit / fadeEntry - 1 - fadeRoundTripCost / fadeEntry : null;
outcomes.push({ marketId: market.id, eventKey: market.eventKey, question: market.question, category: market.category,
type: signal.type, side: signal.side, band: priceBand(entry), entry, exit, horizonHours,
grossReturn, netReturn, fadeNetReturn, hourMove: signal.hourMove, dayMove: signal.dayMove, weekMove: signal.weekMove,
grossReturn, netReturn, fadeNetReturn, roundTripCost, exactFeeSchedule: EXACT_GAMMA_FEES && market.feeSchedule != null,
hourMove: signal.hourMove, dayMove: signal.dayMove, weekMove: signal.weekMove,
observedAt: current.t, evaluatedAt: future.t });
captured = true;
}
@@ -261,11 +283,12 @@ function chronologicalEvaluation(rows) {
async function fetchActiveMarkets(limit, skip = 0) {
const markets = [], seen = new Set(), pageSize = 100;
let eligibleSkipped = 0;
for (let offset = 0; markets.length < limit && offset < (limit + skip) * 4; offset += pageSize) {
let eligibleSkipped = 0, cursor = "";
while (markets.length < limit) {
const params = new URLSearchParams({ active: "true", closed: "false", archived: "false", include_tag: "true",
limit: String(pageSize), offset: String(offset), order: "volume24hr", ascending: "false" });
const page = await fetchJson(`${GAMMA}/markets?${params}`);
limit: String(pageSize), order: "volume24hr", ascending: "false" });
if (cursor) params.set("after_cursor", cursor);
const payload = await fetchJson(`${GAMMA}/markets/keyset?${params}`), page = payload?.markets;
if (!Array.isArray(page) || !page.length) break;
for (const market of page) {
const id = String(market.id || ""), labels = parseJson(market.outcomes).map((outcome) => String(outcome).trim().toLowerCase());
@@ -274,7 +297,8 @@ async function fetchActiveMarkets(limit, skip = 0) {
seen.add(id); markets.push(market);
if (markets.length >= limit) break;
}
if (page.length < pageSize) break;
if (page.length < pageSize || !payload.next_cursor || payload.next_cursor === cursor) break;
cursor = payload.next_cursor;
}
return markets.slice(0, limit);
}
@@ -283,7 +307,7 @@ const rawMarkets = await fetchActiveMarkets(MARKET_LIMIT, ACTIVE_SKIP);
const markets = rawMarkets.map((raw) => ({ id: String(raw.id), question: raw.question || "", category: categoryOf(raw),
binaryLabels: parseJson(raw.outcomes).map((outcome) => String(outcome).trim().toLowerCase()),
eventKey: String(raw.events?.[0]?.id || raw.events?.[0]?.slug || raw.eventId || raw.id),
tokenId: String(parseJson(raw.clobTokenIds)[0] || "") })).filter((market) => market.id && market.tokenId
tokenId: String(parseJson(raw.clobTokenIds)[0] || ""), feeSchedule: feeScheduleOf(raw) })).filter((market) => market.id && market.tokenId
&& market.binaryLabels[0] === "yes" && market.binaryLabels[1] === "no");
const histories = await mapLimit(markets, CONCURRENCY, async (market) => {
const data = await fetchJson(`${CLOB}/prices-history?market=${encodeURIComponent(market.tokenId)}&interval=1m&fidelity=60`);
@@ -298,7 +322,7 @@ const primaryOutcomes = outcomes.filter((row) => row.horizonHours === primaryHor
const report = {
generatedAt: new Date().toISOString(), marketLimit: MARKET_LIMIT, activeMarketsSkipped: ACTIVE_SKIP, marketsWithHistory: successful.length,
methodology: { horizonHours: HORIZONS, primaryHorizon, observationBucketHours: 6, historyInterval: "1m", fidelityMinutes: 60,
estimatedRoundTripCostCents: COST_CENTS, clusterUnit: "event",
estimatedRoundTripSlippageCents: COST_CENTS, exactGammaFeeSchedules: EXACT_GAMMA_FEES, clusterUnit: "event",
note: "Current active-market selection and current category tags are a survivorship-biased proxy; signal inputs and future marks are time-ordered without lookahead. Confidence intervals cluster correlated markets by Polymarket event." },
overall: summarize(primaryOutcomes), byType: grouped(primaryOutcomes, "type"), byCategory: grouped(primaryOutcomes, "category"),
byBand: grouped(primaryOutcomes, "band"), bySide: grouped(primaryOutcomes, "side"),