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Audit maker rewards before shadow quoting

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Theodore Song
2026-08-19 15:37:15 -04:00
parent b7b66d5c48
commit 6b1ab20439
8 changed files with 513 additions and 109 deletions
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scripts/evaluate-settlements.mjs
+13 -6
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@@ -1,10 +1,13 @@
const GAMMA = "https://gamma-api.polymarket.com";
const CLOB = "https://clob.polymarket.com";
const MARKET_LIMIT = Math.max(20, Math.min(500, Number(process.env.SETTLEMENT_MARKETS || 200)));
const MARKET_LIMIT = Math.max(20, Math.min(3000, Number(process.env.SETTLEMENT_MARKETS || 200)));
const CONCURRENCY = Math.max(1, Math.min(12, Number(process.env.SETTLEMENT_CONCURRENCY || 6)));
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 SELECTION_ORDER = ["volumeNum", "closedTime", "createdAt", "id"].includes(process.env.SETTLEMENT_ORDER)
? process.env.SETTLEMENT_ORDER : "volumeNum";
const SELECTION_ASCENDING = String(process.env.SETTLEMENT_ASCENDING || "false").toLowerCase() === "true";
const DAY = 86400;
function parseJson(value) {
@@ -89,10 +92,12 @@ function confirmedTrendAt(points, target, current) {
async function fetchResolvedMarkets(limit) {
const raw = [], seen = new Set(), pageSize = 100;
for (let offset = 0; raw.length < limit && offset < limit * 3; offset += pageSize) {
const params = new URLSearchParams({ closed: "true", order: "volumeNum", ascending: "false",
limit: String(pageSize), offset: String(offset) });
const page = await fetchJson(`${GAMMA}/markets?${params}`);
let cursor = "";
while (raw.length < limit) {
const params = new URLSearchParams({ closed: "true", order: SELECTION_ORDER, ascending: String(SELECTION_ASCENDING),
limit: String(pageSize) });
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());
@@ -107,7 +112,8 @@ async function fetchResolvedMarkets(limit) {
volume: Number(market.volumeNum || market.volume || 0) });
if (raw.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 raw;
}
@@ -226,6 +232,7 @@ const report = {
marketsWithHistory: successful.length, failures: histories.filter((result) => result?.error).length,
methodology: { horizonDays: HORIZON_DAYS, estimatedRoundTripCostCents: COST_CENTS,
historyFidelityMinutes: 1440,
marketSelection: `${SELECTION_ORDER} ${SELECTION_ASCENDING ? "ascending" : "descending"}`,
clusterUnit: "event",
note: "Each rule uses only daily prices available at or before the decision horizon and a subsequently published binary settlement. Trend replays require aligned one-day and one-week direction under the production move bounds. Confidence bounds cluster related markets by event. Markets are selected by resolved volume, so results still carry historical-selection and execution-model limitations." },
horizons: Object.fromEntries(HORIZON_DAYS.map((horizon) => {