mirror of
https://github.com/theodore-song/polymarket-analyst.git
synced 2026-08-24 13:08:10 +00:00
Replace invalid resolution bets with forward learning
This commit is contained in:
Theodore Song
@@ -1,10 +1,12 @@
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const GAMMA = "https://gamma-api.polymarket.com";
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const CLOB = "https://clob.polymarket.com";
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const MARKET_LIMIT = Math.max(20, Math.min(3000, Number(process.env.SETTLEMENT_MARKETS || 200)));
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const MARKET_SKIP = Math.max(0, Math.min(10000, Number(process.env.SETTLEMENT_SKIP || 0)));
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const CONCURRENCY = Math.max(1, Math.min(12, Number(process.env.SETTLEMENT_CONCURRENCY || 6)));
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const HORIZON_DAYS = [...new Set(String(process.env.SETTLEMENT_HORIZONS || "1,3,7,14,30,90").split(",")
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.map(Number).filter((value) => Number.isFinite(value) && value >= 1 && value <= 365))].sort((a, b) => a - b);
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const COST_CENTS = Math.max(0, Math.min(5, Number(process.env.SETTLEMENT_COST_CENTS || 0.5)));
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const FINE_GRID = String(process.env.SETTLEMENT_FINE_GRID || "false").toLowerCase() === "true";
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const SELECTION_ORDER = ["volumeNum", "closedTime", "createdAt", "id"].includes(process.env.SETTLEMENT_ORDER)
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? process.env.SETTLEMENT_ORDER : "volumeNum";
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const SELECTION_ASCENDING = String(process.env.SETTLEMENT_ASCENDING || "false").toLowerCase() === "true";
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@@ -100,10 +102,11 @@ function confirmedTrendAt(points, target, current) {
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moderate: Math.abs(dayMove) <= 0.03 && Math.abs(weekMove) <= 0.10 };
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}
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async function fetchResolvedMarkets(limit) {
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async function fetchResolvedMarkets(limit, skip = 0) {
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const raw = [], seen = new Set(), pageSize = 100;
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const targetCount = limit + skip;
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let cursor = "";
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while (raw.length < limit) {
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while (raw.length < targetCount) {
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const params = new URLSearchParams({ closed: "true", order: SELECTION_ORDER, ascending: String(SELECTION_ASCENDING),
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limit: String(pageSize) });
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if (cursor) params.set("after_cursor", cursor);
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@@ -120,12 +123,12 @@ async function fetchResolvedMarkets(limit) {
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eventId: String(market.events?.[0]?.id || id),
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tokenId: String(tokens[0]), finalYes: outcomes[0] >= 0.99 ? 1 : 0, closedAt,
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safeContract: !hardSettlementJumpRisk(market), volume: Number(market.volumeNum || market.volume || 0) });
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if (raw.length >= limit) break;
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if (raw.length >= targetCount) break;
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}
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if (page.length < pageSize || !payload.next_cursor || payload.next_cursor === cursor) break;
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cursor = payload.next_cursor;
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}
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return raw;
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return raw.slice(skip, skip + limit);
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}
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function evaluateMarket(market, points) {
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@@ -140,7 +143,7 @@ function evaluateMarket(market, points) {
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const entry = side === "YES" ? yesEntry : noEntry, final = side === winningSide ? 1 : 0;
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const netReturn = final / entry - 1 - (COST_CENTS / 100) / entry;
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rows.push({ marketId: market.id, eventId: market.eventId, question: market.question, category: market.category,
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safeContract: market.safeContract, closedAt: market.closedAt,
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safeContract: market.safeContract, closedAt: market.closedAt, volume: market.volume,
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horizonDays, side, favorite: side === favoriteSide, winner: side === winningSide,
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trend: Boolean(trend && trend.side === side), trendSide: trend?.side || null,
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dayMove: trend?.dayMove || 0, weekMove: trend?.weekMove || 0,
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@@ -188,6 +191,26 @@ const SAFE_PRICE_BANDS = Object.freeze([
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{ label: "95_97", min: 0.95, max: 0.97 },
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]);
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const FINE_PRICE_BANDS = Object.freeze(Array.from({ length: 18 }, (_, index) => {
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const min = 0.05 + index * 0.05, max = min + 0.05;
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return { label: `${Math.round(min * 100)}_${Math.round(max * 100)}`, min, max };
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}));
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const FINE_CATEGORIES = Object.freeze(["Politics", "Crypto", "Economy", "Pop Culture", "Other"]);
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const FINE_RULES = FINE_GRID ? FINE_PRICE_BANDS.flatMap((band) => [
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{ name: `grid_safe_yes_${band.label}`, test: (row) => row.side === "YES" && row.entry >= band.min && row.entry < band.max
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&& row.category !== "Sports" && row.safeContract },
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{ name: `grid_safe_no_${band.label}`, test: (row) => row.side === "NO" && row.entry >= band.min && row.entry < band.max
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&& row.category !== "Sports" && row.safeContract },
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{ name: `grid_safe_favorite_${band.label}`, test: (row) => row.favorite && row.entry >= band.min && row.entry < band.max
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&& row.category !== "Sports" && row.safeContract },
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...FINE_CATEGORIES.flatMap((category) => [
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{ name: `grid_safe_yes_${band.label}_${category.toLowerCase().replace(/\s+/g, "_")}`,
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test: (row) => row.side === "YES" && row.entry >= band.min && row.entry < band.max && row.category === category && row.safeContract },
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{ name: `grid_safe_no_${band.label}_${category.toLowerCase().replace(/\s+/g, "_")}`,
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test: (row) => row.side === "NO" && row.entry >= band.min && row.entry < band.max && row.category === category && row.safeContract },
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]),
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]) : [];
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const RULES = [
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{ name: "buy_favorite", test: (row) => row.favorite },
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{ name: "buy_heavy_favorite", test: (row) => row.favorite && row.entry >= 0.78 },
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@@ -228,10 +251,24 @@ const RULES = [
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test: (row) => row.side === "NO" && row.entry >= 0.50 && row.entry < 0.55 && row.category === category },
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{ name: `follow_trend_${category.toLowerCase().replace(/\s+/g, "_")}`, test: (row) => row.trend && row.category === category },
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]),
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...FINE_RULES,
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];
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function selectEventDecisions(rows, rule) {
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const selected = new Map();
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for (const row of rows) {
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if (!rule.test(row)) continue;
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const current = selected.get(row.eventId);
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if (!current || row.volume > current.volume
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|| (row.volume === current.volume && row.marketId.localeCompare(current.marketId) < 0)) {
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selected.set(row.eventId, row);
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}
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}
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return [...selected.values()];
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}
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function evaluateRules(rows) {
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return Object.fromEntries(RULES.map((rule) => [rule.name, summarize(rows.filter(rule.test))]));
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return Object.fromEntries(RULES.map((rule) => [rule.name, summarize(selectEventDecisions(rows, rule))]));
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}
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function chronologicalEvaluation(rows) {
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@@ -250,16 +287,16 @@ function chronologicalEvaluation(rows) {
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&& trainRules[rule.name].count >= 30 && trainRules[rule.name].events >= 10
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&& testRules[rule.name].count >= 15 && testRules[rule.name].events >= 5;
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const allPositive = enoughData && all.eventLower90 > 0 && trainRules[rule.name].eventLower90 > 0
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&& testRules[rule.name].eventLower90 > 0 && segments.every((segment) => segment.mean > 0 && segment.eventMean > 0);
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&& testRules[rule.name].eventLower90 > 0 && segments.every((segment) => segment.eventLower90 > 0);
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const allNegative = enoughData && all.eventUpper90 < 0 && trainRules[rule.name].eventUpper90 < 0
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&& testRules[rule.name].eventUpper90 < 0 && segments.every((segment) => segment.mean < 0 && segment.eventMean < 0);
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&& testRules[rule.name].eventUpper90 < 0 && segments.every((segment) => segment.eventUpper90 < 0);
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return [rule.name, { enoughData, allPositive, allNegative, pooled: all, train: trainRules[rule.name], test: testRules[rule.name], segments }];
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}));
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return { splitTime: splitTime ? new Date(splitTime * 1000).toISOString() : null, trainCount: train.length,
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testCount: test.length, train: trainRules, test: testRules, thirds: thirdRules, robustRules };
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}
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const markets = await fetchResolvedMarkets(MARKET_LIMIT);
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const markets = await fetchResolvedMarkets(MARKET_LIMIT, MARKET_SKIP);
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const histories = await mapLimit(markets, CONCURRENCY, async (market) => {
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const data = await fetchJson(`${CLOB}/prices-history?market=${encodeURIComponent(market.tokenId)}&interval=max&fidelity=1440`);
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const points = (data.history || []).map((point) => ({ t: Number(point.t), p: Number(point.p) }))
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@@ -273,9 +310,12 @@ const report = {
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marketsWithHistory: successful.length, failures: histories.filter((result) => result?.error).length,
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methodology: { horizonDays: HORIZON_DAYS, estimatedRoundTripCostCents: COST_CENTS,
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historyFidelityMinutes: 1440,
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fineGrid:FINE_GRID,
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testedRules:RULES.length,
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marketSelection: `${SELECTION_ORDER} ${SELECTION_ASCENDING ? "ascending" : "descending"}`,
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clusterUnit: "event",
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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." },
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marketSelectionOffset: MARKET_SKIP,
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clusterUnit: "one highest-volume eligible contract per event and rule",
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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. Each rule makes at most one capital decision per event, choosing the highest-volume eligible contract with a stable market-ID tie-breaker. Strict robust rules require positive or negative event-level 90% bounds in pooled data, chronological train, chronological holdout, and every chronological third. Markets are selected by resolved volume, so results still carry historical-selection and execution-model limitations." },
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horizons: Object.fromEntries(HORIZON_DAYS.map((horizon) => {
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const horizonRows = rows.filter((row) => row.horizonDays === horizon);
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return [horizon, { observations: horizonRows.length / 2, chronological: chronologicalEvaluation(horizonRows) }];
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@@ -288,7 +328,8 @@ const compactStats = (stats = {}) => ({ count: stats.count || 0, events: stats.e
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const compactRules = (rules = {}) => Object.fromEntries(Object.entries(rules)
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.filter(([, result]) => result.enoughData && (result.allPositive || result.allNegative))
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.map(([name, result]) => [name, { direction: result.allPositive ? "positive" : "negative",
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pooled: compactStats(result.pooled), train: compactStats(result.train), test: compactStats(result.test) }]));
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pooled: compactStats(result.pooled), train: compactStats(result.train), test: compactStats(result.test),
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segments: (result.segments || []).map(compactStats) }]));
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const TARGET_RULE_NAMES = String(process.env.SETTLEMENT_TARGET_RULES || "buy_no_favorite,buy_no_50_55,buy_no_55_90,buy_no_60_90,buy_no_90_95,buy_no_95_99,buy_no_90_99")
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.split(",").map((name) => name.trim()).filter(Boolean);
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const targetRuleStats = (chronological, names = TARGET_RULE_NAMES) => Object.fromEntries(names.map((name) => {
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@@ -320,4 +361,11 @@ const targetOnly = process.env.SETTLEMENT_TARGET_ONLY === "1";
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const targetSummary = { generatedAt: summary.generatedAt, requestedMarkets: summary.requestedMarkets,
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resolvedMarkets: summary.resolvedMarkets, marketsWithHistory: summary.marketsWithHistory, failures: summary.failures,
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horizons: Object.fromEntries(Object.entries(summary.horizons).map(([days, value]) => [days, { observations: value.observations, targetRules: value.targetRules }])) };
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console.log(JSON.stringify(targetOnly ? targetSummary : (compact ? summary : report), null, 2));
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const survivorsOnly = process.env.SETTLEMENT_SURVIVORS_ONLY === "1";
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const survivorsSummary = { generatedAt: report.generatedAt, requestedMarkets: report.requestedMarkets,
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resolvedMarkets: report.resolvedMarkets, marketsWithHistory: report.marketsWithHistory, failures: report.failures,
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methodology: report.methodology,
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horizons: Object.fromEntries(Object.entries(summary.horizons).map(([days, value]) => [days, {
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observations: value.observations, robustRules: value.robustRules,
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}])) };
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console.log(JSON.stringify(survivorsOnly ? survivorsSummary : (targetOnly ? targetSummary : (compact ? summary : report)), null, 2));
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@@ -128,7 +128,7 @@ async function main() {
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const branch = process.env.RUNTIME_BRANCH || "runtime-state";
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const pathname = process.env.RUNTIME_STATE_PATH || "runtime/state.json";
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const arenaUrl = (process.env.ARENA_URL || "https://polymarket-site-eta.vercel.app").replace(/\/$/, "");
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const expectedBuild = Number(required("EXPECTED_BUILD", "99"));
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const expectedBuild = Number(required("EXPECTED_BUILD", "100"));
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await ensureRuntimeBranch(repository, branch);
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const prior = await readRuntimeFile(repository, branch, pathname);
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if (prior.snapshot) validateRuntimeSnapshot(prior.snapshot, 0, { allowIncomplete: true });
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@@ -9,7 +9,7 @@ const runner = fs.readFileSync(new URL("./run-autonomous-cycle.mjs", import.meta
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const resolutionAudit = JSON.parse(fs.readFileSync(new URL("../research/resolution-week-no-audit.json", import.meta.url), "utf8"));
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const build = Number(index.match(/const BUILD_VERSION = (\d+);/)?.[1]);
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assert.equal(build, 99);
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assert.equal(build, 100);
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assert.deepEqual([...ALLOWED_RUNTIME_KEYS].sort(), ["pma_agents_v2", "pma_suggestions_v5"]);
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assert.match(index, /function collectPublicRuntimeItems\(\)/);
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assert.match(index, /const PUBLIC_RUNTIME_KEYS=Object\.freeze\(\[AGENTS_KEY,SUG_KEY\]\)/);
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@@ -26,21 +26,18 @@ assert.match(api, /Buffer\.from\(file\.content/);
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assert.match(api, /searchParams\.set\("runtime", `\$\{Date\.now\(\)\}/);
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assert.match(workflow, /cron: "2,7,12,17,22,27,32,37,42,47,52,57 \* \* \* \*"/);
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assert.match(workflow, /contents: write/);
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assert.match(workflow, /EXPECTED_BUILD: "99"/);
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assert.match(workflow, /EXPECTED_BUILD: "100"/);
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assert.match(index, /saveSuggestions\(sugs,markets\.length,analysisMarkets\.length,bundleAudit\)/);
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assert.match(index, /const NEG_RISK_EVENT_SCAN_LIMIT=1000;/);
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assert.match(index, /bundleOpportunityTelemetry:true/);
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assert.match(runner, /MAX_STATE_BYTES = 900_000/);
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assert.equal(resolutionAudit.strategy, "resolution-window-no-50-55-safe-non-sports-v2");
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assert.deepEqual(resolutionAudit.selection.horizon_days_enabled, [3, 4, 5, 6]);
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for (const days of resolutionAudit.selection.horizon_days_enabled) {
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const rule = resolutionAudit.rules[`${days}_day`];
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assert.ok(rule.train_event_lower_90 > 0);
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assert.ok(rule.holdout_event_lower_90 > 0);
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assert.ok(rule.chronological_thirds_event_lower_90.every((value) => value > 0));
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}
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assert.match(resolutionAudit.rejected_windows["2_day"], /holdout/i);
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assert.match(resolutionAudit.rejected_windows["7_day"], /negative/i);
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assert.equal(resolutionAudit.strategy, "resolution-window-no-50-55-forward-shadow-v3");
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assert.deepEqual(resolutionAudit.selection.horizon_days_enabled, []);
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assert.deepEqual(resolutionAudit.selection.horizon_days_observed, [4]);
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assert.equal(resolutionAudit.disjoint_holdout.passed_strict_gate, false);
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assert.ok(resolutionAudit.disjoint_holdout.holdout_event_lower_90 < 0);
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assert.equal(resolutionAudit.production_constraints.capital_enabled, false);
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assert.equal(resolutionAudit.production_constraints.promotion_events, 40);
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const agentIds = ["value", "momentum", "favorite", "longshot", "diversifier", "catalyst", "reversal", "breakout", "tailalpha", "conviction"];
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const agents = Object.fromEntries(agentIds.map(id => [id, { cash: 10000, positions: [], lastDecision: { mode: "test" } }]));
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