517 lines
21 KiB
JavaScript
517 lines
21 KiB
JavaScript
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/**
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* mmExecutor.js
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* Executes the market-maker strategy for a single Bitcoin 5-minute market:
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* 1. Call CTF splitPosition — deposit USDC, receive equal YES+NO tokens at $0.50 flat
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* 2. Place GTC limit sells at mmSellPrice for both YES and NO
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* 3. Monitor until both fills or cut-loss time triggers
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* 4. On cut-loss:
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* - If NEITHER side filled → mergePositions (burn YES+NO, recover USDC, zero loss)
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* - If ONE side already sold → cancel the other, market-sell remaining tokens
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*/
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import { Side, OrderType } from '@polymarket/clob-client';
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import { ethers } from 'ethers';
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import config from '../config/index.js';
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import { getClient, getUsdcBalance, getPolygonProvider } from './client.js';
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import { splitPosition, mergePositions } from './ctf.js';
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import logger from '../utils/logger.js';
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// CTF contract for on-chain balance queries
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const CTF_ADDRESS = '0x4D97DCd97eC945f40cF65F87097ACe5EA0476045';
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const CTF_BALANCE_ABI = ['function balanceOf(address account, uint256 id) view returns (uint256)'];
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/**
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* Get actual on-chain ERC1155 token balance for the proxy wallet.
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* Used before market-sell to avoid 'not enough balance' errors from partial fills.
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*/
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async function getTokenBalance(tokenId) {
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try {
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const provider = await getPolygonProvider();
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const ctf = new ethers.Contract(CTF_ADDRESS, CTF_BALANCE_ABI, provider);
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const raw = await ctf.balanceOf(config.proxyWallet, tokenId);
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return parseFloat(ethers.utils.formatUnits(raw, 6));
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} catch {
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return null; // fallback: caller will use pos.shares
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}
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}
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const sleep = (ms) => new Promise((r) => setTimeout(r, ms));
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// In-memory store of all active MM positions (conditionId → position)
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const activePositions = new Map();
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export function getActiveMMPositions() {
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return Array.from(activePositions.values());
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}
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// ── Order helpers ─────────────────────────────────────────────────────────────
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async function placeLimitSell(tokenId, shares, price, tickSize, negRisk) {
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if (config.dryRun) {
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return { success: true, orderId: `sim-${Date.now()}-${tokenId.slice(-6)}` };
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}
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const client = getClient();
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try {
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const res = await client.createAndPostOrder(
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{ tokenID: tokenId, side: Side.SELL, price, size: shares },
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{ tickSize, negRisk },
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OrderType.GTC,
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);
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if (!res?.success) return { success: false };
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return { success: true, orderId: res.orderID };
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} catch (err) {
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logger.error('MM limit sell error:', err.message);
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return { success: false };
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}
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}
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async function cancelOrder(orderId) {
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if (config.dryRun || !orderId || orderId.startsWith('sim-')) return true;
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try {
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const client = getClient();
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await client.cancelOrder({ orderID: orderId }); // SDK expects { orderID } object
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return true;
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} catch (err) {
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logger.warn('MM cancel order error:', err.message);
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return false;
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}
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}
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async function marketSell(tokenId, shares, tickSize, negRisk) {
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if (config.dryRun) {
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try {
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const client = getClient();
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const mp = await client.getMidpoint(tokenId);
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const price = parseFloat(mp?.mid ?? mp ?? '0') || 0;
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return { success: true, fillPrice: price };
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} catch {
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return { success: true, fillPrice: 0 };
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}
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}
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const client = getClient();
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try {
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const res = await client.createAndPostMarketOrder(
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{ tokenID: tokenId, side: Side.SELL, amount: shares, price: 0.01 },
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{ tickSize, negRisk },
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OrderType.FOK,
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);
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if (!res?.success) return { success: false, fillPrice: 0 };
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return { success: true, fillPrice: parseFloat(res.price || '0') };
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} catch (err) {
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logger.error('MM market sell error:', err.message);
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return { success: false, fillPrice: 0 };
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}
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}
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// ── Order status check ────────────────────────────────────────────────────────
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async function isOrderFilled(orderId, shares) {
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if (!orderId || orderId.startsWith('sim-')) return false;
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try {
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const client = getClient();
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const order = await client.getOrder(orderId);
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if (!order) return false;
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if (order.status === 'MATCHED') return true;
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const matched = parseFloat(order.size_matched || '0');
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return matched >= shares * 0.99;
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} catch {
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return false;
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}
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}
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// For simulation: check if market price has reached the sell target
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async function simPriceHitTarget(tokenId) {
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try {
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const client = getClient();
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const mp = await client.getMidpoint(tokenId);
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const price = parseFloat(mp?.mid ?? mp ?? '0');
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return price >= config.mmSellPrice ? price : null;
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} catch {
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return null;
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}
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}
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// ── Core monitoring loop ──────────────────────────────────────────────────────
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async function monitorAndManage(pos) {
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const label = pos.question.substring(0, 40);
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while (true) {
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const msRemaining = new Date(pos.endTime).getTime() - Date.now();
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if (msRemaining <= 0) {
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logger.warn(`MM: market expired — ${label}`);
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pos.status = 'expired';
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break;
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}
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// ── Check YES side ──────────────────────────────────────
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if (!pos.yes.filled) {
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let filled = false;
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if (config.dryRun) {
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const hitPrice = await simPriceHitTarget(pos.yes.tokenId);
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if (hitPrice) { filled = true; pos.yes.fillPrice = hitPrice; }
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} else {
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filled = await isOrderFilled(pos.yes.orderId, pos.yes.shares);
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if (filled) pos.yes.fillPrice = config.mmSellPrice;
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}
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if (filled) {
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pos.yes.filled = true;
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const pnl = (pos.yes.fillPrice - pos.yes.entryPrice) * pos.yes.shares;
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logger.money(`MM${config.dryRun ? '[SIM]' : ''}: YES filled @ $${pos.yes.fillPrice.toFixed(3)} | P&L $${pnl.toFixed(2)}`);
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}
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}
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// ── Check NO side ───────────────────────────────────────
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if (!pos.no.filled) {
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let filled = false;
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if (config.dryRun) {
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const hitPrice = await simPriceHitTarget(pos.no.tokenId);
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if (hitPrice) { filled = true; pos.no.fillPrice = hitPrice; }
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} else {
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filled = await isOrderFilled(pos.no.orderId, pos.no.shares);
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if (filled) pos.no.fillPrice = config.mmSellPrice;
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}
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if (filled) {
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pos.no.filled = true;
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const pnl = (pos.no.fillPrice - pos.no.entryPrice) * pos.no.shares;
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logger.money(`MM${config.dryRun ? '[SIM]' : ''}: NO filled @ $${pos.no.fillPrice.toFixed(3)} | P&L $${pnl.toFixed(2)}`);
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}
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}
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// ── Both filled → done ──────────────────────────────────
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if (pos.yes.filled && pos.no.filled) {
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pos.status = 'done';
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const totalPnl = calcPnl(pos);
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logger.money(`MM: BOTH sides filled! Total P&L: $${totalPnl.toFixed(2)} | ${label}`);
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break;
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}
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// ── Cut-loss time ───────────────────────────────────────
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if (msRemaining <= config.mmCutLossTime * 1000) {
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logger.warn(`MM: cut-loss triggered (${Math.round(msRemaining / 1000)}s left) — ${label}`);
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pos.status = 'cutting';
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await cutLoss(pos);
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break;
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}
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await sleep(10_000);
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}
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// Final P&L log
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const totalPnl = calcPnl(pos);
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const sign = totalPnl >= 0 ? '+' : '';
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if (pos.status !== 'done') {
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logger.info(`MM: strategy ended (${pos.status}) | P&L: ${sign}$${totalPnl.toFixed(2)} | ${label}`);
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}
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}
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async function cutLoss(pos) {
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const { conditionId, tickSize, negRisk } = pos;
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const neitherFilled = !pos.yes.filled && !pos.no.filled;
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if (neitherFilled) {
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// ── Best case: neither side sold → cancel both, merge back to USDC ──
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logger.warn('MM: neither side filled — cancelling orders and merging back to USDC...');
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await cancelOrder(pos.yes.orderId);
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await cancelOrder(pos.no.orderId);
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// Read actual on-chain balances (may differ from original if partially consumed)
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const [yesActual, noActual] = await Promise.all([
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getTokenBalance(pos.yes.tokenId),
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getTokenBalance(pos.no.tokenId),
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]);
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// mergePositions needs equal amounts — use the minimum actual balance
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const yesShares = yesActual ?? pos.yes.shares;
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const noShares = noActual ?? pos.no.shares;
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const mergeAmt = Math.min(yesShares, noShares);
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if (mergeAmt < 0.001) {
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logger.warn('MM: balances too low to merge — nothing to recover');
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} else {
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const recovered = await mergePositions(conditionId, mergeAmt);
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logger.money(`MM: merge complete — recovered ~$${recovered.toFixed ? recovered.toFixed(2) : recovered} USDC (P&L ≈ $0)`);
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}
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// Mark both sides closed at entry price
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pos.yes.fillPrice = pos.yes.entryPrice;
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pos.yes.filled = true;
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pos.no.fillPrice = pos.no.entryPrice;
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pos.no.filled = true;
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} else {
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// ── One side already (partly) sold → market-sell the unfilled side ──
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for (const side of ['yes', 'no']) {
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const s = pos[side];
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if (s.filled) continue;
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logger.warn(`MM: cancelling ${side.toUpperCase()} limit order and market-selling...`);
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await cancelOrder(s.orderId);
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// Fetch actual on-chain balance — partial fills reduce this below s.shares
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const actualShares = await getTokenBalance(s.tokenId);
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const sellShares = actualShares !== null ? actualShares : s.shares;
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if (sellShares < 0.001) {
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logger.warn(`MM: ${side.toUpperCase()} balance is 0 — already fully sold via partial fills`);
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s.fillPrice = config.mmSellPrice; // assume sold at target
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s.filled = true;
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continue;
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}
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logger.warn(`MM: ${side.toUpperCase()} actual balance: ${sellShares.toFixed(3)} shares (original: ${s.shares})`);
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const result = await marketSell(s.tokenId, sellShares, tickSize, negRisk);
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s.fillPrice = result.fillPrice;
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s.filled = true;
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// PnL uses actual sold amount (not original pos.shares)
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const pnl = (s.fillPrice - s.entryPrice) * sellShares;
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logger.warn(`MM: ${side.toUpperCase()} cut @ $${s.fillPrice.toFixed(3)} | sold ${sellShares.toFixed(3)} sh | P&L $${pnl.toFixed(2)}`);
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}
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}
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pos.status = 'done';
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// Optional recovery buy (enabled via MM_RECOVERY_BUY=true)
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await attemptRecoveryBuy(pos);
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}
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// ── Recovery buy ──────────────────────────────────────────────────────────────
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/**
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* After a cut-loss, optionally take a directional bet on the dominant side.
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*
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* Criteria (all must pass):
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* 1. MM_RECOVERY_BUY=true in .env
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* 2. One side's price is above MM_RECOVERY_THRESHOLD (default 70%)
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* 3. That price is stable or rising over a 10-second sample (1 fetch/second)
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* 4. Wallet balance is sufficient for the recovery size
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*/
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async function attemptRecoveryBuy(pos) {
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if (!config.mmRecoveryBuy) return;
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const { tickSize, negRisk } = pos;
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const label = pos.question.substring(0, 40);
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const recoverySize = config.mmRecoverySize > 0 ? config.mmRecoverySize : config.mmTradeSize;
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const client = getClient();
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logger.info(`MM recovery: monitoring prices for 10s | ${label}`);
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// ── Sample both sides once per second for 10 seconds ─────────
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const samples = { yes: [], no: [] };
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for (let i = 0; i < 10; i++) {
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for (const [key, tokenId] of [['yes', pos.yes.tokenId], ['no', pos.no.tokenId]]) {
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try {
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const mp = await client.getMidpoint(tokenId);
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const price = parseFloat(mp?.mid ?? mp ?? '0') || 0;
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samples[key].push(price);
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} catch { /* skip */ }
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}
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if (i < 9) await sleep(1000);
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}
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// ── Determine eligible side ───────────────────────────────────
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// Need: last price ≥ threshold AND last price ≥ first price (not declining)
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let candidate = null;
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for (const [key, tokenId] of [['yes', pos.yes.tokenId], ['no', pos.no.tokenId]]) {
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const arr = samples[key];
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if (arr.length < 2) continue;
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const firstPrice = arr[0];
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const lastPrice = arr[arr.length - 1];
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if (lastPrice >= config.mmRecoveryThreshold && lastPrice >= firstPrice) {
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candidate = { side: key.toUpperCase(), tokenId, price: lastPrice };
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break;
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}
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}
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if (!candidate) {
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logger.info(`MM recovery: no eligible side — need price ≥ ${config.mmRecoveryThreshold} and rising/stable`);
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return;
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}
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// ── Balance check ─────────────────────────────────────────────
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if (!config.dryRun) {
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const balance = await getUsdcBalance();
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if (balance < recoverySize) {
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logger.warn(`MM recovery: insufficient balance $${balance.toFixed(2)} < $${recoverySize} needed`);
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return;
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}
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}
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logger.trade(`MM recovery${config.dryRun ? '[SIM]' : ''}: buying ${candidate.side} @ $${candidate.price.toFixed(3)} | size $${recoverySize}`);
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||
|
|
|
||
|
|
// ── Market buy ────────────────────────────────────────────────
|
||
|
|
let entryPrice = candidate.price;
|
||
|
|
let filledShares = recoverySize / entryPrice; // default estimate
|
||
|
|
|
||
|
|
if (config.dryRun) {
|
||
|
|
logger.money(`MM recovery[SIM]: bought ${filledShares.toFixed(3)} ${candidate.side} @ $${entryPrice.toFixed(3)}`);
|
||
|
|
} else {
|
||
|
|
try {
|
||
|
|
const res = await client.createAndPostMarketOrder(
|
||
|
|
{ tokenID: candidate.tokenId, side: Side.BUY, amount: recoverySize, price: 0.99 },
|
||
|
|
{ tickSize, negRisk },
|
||
|
|
OrderType.FOK,
|
||
|
|
);
|
||
|
|
if (!res?.success) {
|
||
|
|
logger.warn(`MM recovery: order not filled — ${res?.errorMsg || 'no fill'}`);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
entryPrice = parseFloat(res.price || String(candidate.price));
|
||
|
|
filledShares = parseFloat(res.takingAmount || String(recoverySize / entryPrice));
|
||
|
|
logger.money(`MM recovery: FILLED ${candidate.side} ${filledShares.toFixed(3)} sh @ $${entryPrice.toFixed(3)} | potential payout $${filledShares.toFixed(2)}`);
|
||
|
|
} catch (err) {
|
||
|
|
logger.error(`MM recovery: buy error — ${err.message}`);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
// ── Monitor for 30s — cut loss if price worsens ───────────────
|
||
|
|
logger.info(`MM recovery: holding ${candidate.side} — will cut if price < $${entryPrice.toFixed(3)} after 30s`);
|
||
|
|
await sleep(30_000);
|
||
|
|
|
||
|
|
// Skip second CL if market is already closed or about to close (< 5s left)
|
||
|
|
const msLeft = new Date(pos.endTime).getTime() - Date.now();
|
||
|
|
if (msLeft < 5_000) {
|
||
|
|
logger.info(`MM recovery: market closing — skipping 2nd CL, letting position resolve`);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
|
||
|
|
// Check current price
|
||
|
|
let currentPrice = entryPrice;
|
||
|
|
try {
|
||
|
|
const mp = await client.getMidpoint(candidate.tokenId);
|
||
|
|
currentPrice = parseFloat(mp?.mid ?? mp ?? String(entryPrice)) || entryPrice;
|
||
|
|
} catch { /* use entryPrice as fallback */ }
|
||
|
|
|
||
|
|
if (currentPrice >= entryPrice) {
|
||
|
|
logger.success(`MM recovery: price holding $${currentPrice.toFixed(3)} ≥ entry $${entryPrice.toFixed(3)} — keeping position`);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
|
||
|
|
// Price has worsened — cut loss
|
||
|
|
const priceDrop = ((entryPrice - currentPrice) / entryPrice * 100).toFixed(1);
|
||
|
|
logger.warn(`MM recovery: price dropped $${entryPrice.toFixed(3)} → $${currentPrice.toFixed(3)} (-${priceDrop}%) — cutting loss`);
|
||
|
|
|
||
|
|
if (config.dryRun) {
|
||
|
|
const simPnl = (currentPrice - entryPrice) * filledShares;
|
||
|
|
logger.warn(`MM recovery[SIM]: 2nd CL @ $${currentPrice.toFixed(3)} | P&L $${simPnl.toFixed(2)}`);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
|
||
|
|
try {
|
||
|
|
const sellRes = await client.createAndPostMarketOrder(
|
||
|
|
{ tokenID: candidate.tokenId, side: Side.SELL, amount: filledShares, price: 0.01 },
|
||
|
|
{ tickSize, negRisk },
|
||
|
|
OrderType.FOK,
|
||
|
|
);
|
||
|
|
if (sellRes?.success) {
|
||
|
|
const sellPrice = parseFloat(sellRes.price || String(currentPrice));
|
||
|
|
const pnl = (sellPrice - entryPrice) * filledShares;
|
||
|
|
logger.warn(`MM recovery: 2nd CL sold @ $${sellPrice.toFixed(3)} | P&L $${pnl.toFixed(2)}`);
|
||
|
|
} else {
|
||
|
|
logger.warn(`MM recovery: 2nd CL sell failed — ${sellRes?.errorMsg || 'no fill'} — position will resolve at close`);
|
||
|
|
}
|
||
|
|
} catch (err) {
|
||
|
|
logger.error(`MM recovery: 2nd CL sell error — ${err.message}`);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
function calcPnl(pos) {
|
||
|
|
const yesPnl = pos.yes.filled
|
||
|
|
? (pos.yes.fillPrice - pos.yes.entryPrice) * pos.yes.shares
|
||
|
|
: 0;
|
||
|
|
const noPnl = pos.no.filled
|
||
|
|
? (pos.no.fillPrice - pos.no.entryPrice) * pos.no.shares
|
||
|
|
: 0;
|
||
|
|
return yesPnl + noPnl;
|
||
|
|
}
|
||
|
|
|
||
|
|
// ── Main entry point ──────────────────────────────────────────────────────────
|
||
|
|
|
||
|
|
export async function executeMMStrategy(market) {
|
||
|
|
const { asset, conditionId, question, endTime, yesTokenId, noTokenId, negRisk, tickSize } = market;
|
||
|
|
const tag = asset ? `[${asset.toUpperCase()}]` : '';
|
||
|
|
const label = question.substring(0, 40);
|
||
|
|
const sim = config.dryRun ? '[SIM] ' : '';
|
||
|
|
|
||
|
|
logger.info(`MM${tag}: ${sim}entering — ${label}`);
|
||
|
|
|
||
|
|
// ── Balance check ───────────────────────────────────────────
|
||
|
|
const totalNeeded = config.mmTradeSize * 2; // $10 total → 10 YES + 10 NO
|
||
|
|
if (!config.dryRun) {
|
||
|
|
const balance = await getUsdcBalance();
|
||
|
|
if (balance < totalNeeded) {
|
||
|
|
logger.error(`MM${tag}: insufficient balance $${balance.toFixed(2)} (need $${totalNeeded})`);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
// ── Split USDC into YES+NO via CTF splitPosition ────────────
|
||
|
|
// Deposit mmTradeSize*2 USDC → get mmTradeSize*2 YES + mmTradeSize*2 NO tokens
|
||
|
|
// Entry price is exactly $0.50 per token on both sides (no spread, no slippage)
|
||
|
|
logger.trade(`MM${tag}: ${sim}splitPosition $${totalNeeded} USDC → YES + NO @ $0.50`);
|
||
|
|
let shares;
|
||
|
|
try {
|
||
|
|
shares = await splitPosition(conditionId, totalNeeded, negRisk);
|
||
|
|
} catch (err) {
|
||
|
|
logger.error(`MM${tag}: splitPosition failed — ${err.message}`);
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
|
||
|
|
const entryPrice = 0.50;
|
||
|
|
logger.info(`MM${tag}: split done — ${shares} YES + ${shares} NO @ $${entryPrice}`);
|
||
|
|
|
||
|
|
// ── Place limit sells ───────────────────────────────────────
|
||
|
|
logger.info(`MM${tag}: ${sim}placing limit sells @ $${config.mmSellPrice}`);
|
||
|
|
const yesSell = await placeLimitSell(yesTokenId, shares, config.mmSellPrice, tickSize, negRisk);
|
||
|
|
const noSell = await placeLimitSell(noTokenId, shares, config.mmSellPrice, tickSize, negRisk);
|
||
|
|
|
||
|
|
if (!yesSell.success || !noSell.success) {
|
||
|
|
logger.error(`MM${tag}: failed to place limit sells — cutting immediately`);
|
||
|
|
}
|
||
|
|
|
||
|
|
// ── Build position object ───────────────────────────────────
|
||
|
|
const pos = {
|
||
|
|
asset: asset || 'btc',
|
||
|
|
conditionId,
|
||
|
|
question,
|
||
|
|
endTime,
|
||
|
|
tickSize,
|
||
|
|
negRisk,
|
||
|
|
status: 'monitoring',
|
||
|
|
enteredAt: new Date().toISOString(),
|
||
|
|
yes: {
|
||
|
|
tokenId: yesTokenId,
|
||
|
|
shares,
|
||
|
|
entryPrice,
|
||
|
|
entryCost: config.mmTradeSize, // $5 per side
|
||
|
|
orderId: yesSell.orderId,
|
||
|
|
filled: !yesSell.success, // mark as needing cut if sell failed
|
||
|
|
fillPrice: null,
|
||
|
|
},
|
||
|
|
no: {
|
||
|
|
tokenId: noTokenId,
|
||
|
|
shares,
|
||
|
|
entryPrice,
|
||
|
|
entryCost: config.mmTradeSize,
|
||
|
|
orderId: noSell.orderId,
|
||
|
|
filled: !noSell.success,
|
||
|
|
fillPrice: null,
|
||
|
|
},
|
||
|
|
};
|
||
|
|
|
||
|
|
activePositions.set(conditionId, pos);
|
||
|
|
|
||
|
|
// ── Monitor (runs until done/cut/expired) ───────────────────
|
||
|
|
await monitorAndManage(pos);
|
||
|
|
|
||
|
|
activePositions.delete(conditionId);
|
||
|
|
}
|