feat: add defensive pivot mode for 5m markets when neither side fills
When neither limit sell fills within MM_DEFENSIVE_TIMEOUT (default 120s), the bot enters defensive mode: - Cancel both limit sells - Wait until 30s before market close - If worst side price < MM_DEFENSIVE_WORST_THRESHOLD (default 10c): market sell worst side, hold best side for resolution (best ≈ 90c+) - If worst side ≥ threshold: merge back to USDC (safe $0 P&L) Only active for 5-minute markets (MM_DURATION=5m). New config: MM_DEFENSIVE_ENABLED (default true) MM_DEFENSIVE_TIMEOUT (default 120s) MM_DEFENSIVE_WORST_THRESHOLD (default 0.10) Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
direkturcrypto
co-authored by
Claude Opus 4.6
Claude Opus 4.6
parent
a73cf22aa5
commit
e19278c665
@@ -229,6 +229,18 @@ async function monitorAndManage(pos) {
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break;
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}
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// ── Defensive pivot: neither filled after timeout (5m markets only) ──
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if (config.mmDefensiveEnabled && config.mmDuration === '5m'
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&& !pos.yes.filled && !pos.no.filled && !pos._defensiveActive) {
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const elapsed = (Date.now() - new Date(pos.enteredAt).getTime()) / 1000;
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if (elapsed >= config.mmDefensiveTimeout) {
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pos._defensiveActive = true;
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logger.warn(`MM: neither side filled after ${Math.round(elapsed)}s — entering defensive mode | ${label}`);
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await defensivePivot(pos);
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break;
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}
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}
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// ── Cut-loss time ────────────────────────────────────────────────────
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if (msRemaining <= config.mmCutLossTime * 1000) {
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logger.warn(`MM: cut-loss triggered (${Math.round(msRemaining / 1000)}s left) — ${label}`);
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@@ -321,6 +333,106 @@ async function cutLossNeitherFilled(pos) {
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await attemptRecoveryBuy(pos);
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}
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// ── Defensive Pivot (5m markets, neither side filled) ────────────────────────
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/**
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* Defensive pivot: neither side has filled after MM_DEFENSIVE_TIMEOUT.
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*
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* Strategy:
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* 1. Cancel both limit sells, keep monitoring
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* 2. Wait until 30s before close
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* 3. Check prices: identify worst (lower price) and best (higher price) side
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* 4. If worst < MM_DEFENSIVE_WORST_THRESHOLD (default 10c):
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* → market sell worst side, keep best side (let it resolve at close)
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* → since YES+NO ≈ $1, best side is ~90c+ → profit potential
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* 5. If worst ≥ threshold: market is still uncertain → merge back ($0 P&L)
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*/
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async function defensivePivot(pos) {
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const { conditionId, tickSize, negRisk } = pos;
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const label = pos.question.substring(0, 40);
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const threshold = config.mmDefensiveWorstThreshold;
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// Cancel both limit sells immediately — we'll decide at 30s mark
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await cancelOrder(pos.yes.orderId);
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await cancelOrder(pos.no.orderId);
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logger.info(`MM defensive: cancelled both limit sells — waiting for 30s before close | ${label}`);
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// Wait until 30s before close, checking every 5s if one side fills via partial
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while (true) {
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const msLeft = new Date(pos.endTime).getTime() - Date.now();
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if (msLeft <= 30_000) break; // 30s mark reached
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if (msLeft <= 0) {
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pos.status = 'expired';
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return;
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}
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await sleep(5000);
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}
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// Read current prices for both sides
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const [yesPrice, noPrice] = await Promise.all([
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getMidprice(pos.yes.tokenId),
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getMidprice(pos.no.tokenId),
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]);
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logger.info(`MM defensive: 30s mark — YES=$${yesPrice.toFixed(3)}, NO=$${noPrice.toFixed(3)} | threshold=$${threshold} | ${label}`);
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// Determine worst and best sides
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const worstKey = yesPrice <= noPrice ? 'yes' : 'no';
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const bestKey = worstKey === 'yes' ? 'no' : 'yes';
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const worstPrice = Math.min(yesPrice, noPrice);
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const bestPrice = Math.max(yesPrice, noPrice);
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// ── Decision: pivot or merge? ─────────────────────────────────────────
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if (worstPrice < threshold) {
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// Worst side < 10c → market is decisive, pivot!
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logger.trade(`MM defensive: worst side ${worstKey.toUpperCase()} @ $${worstPrice.toFixed(3)} < $${threshold} — selling worst, keeping ${bestKey.toUpperCase()} @ $${bestPrice.toFixed(3)}`);
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const worstSide = pos[worstKey];
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const bestSide = pos[bestKey];
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// Get actual on-chain balances
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const [worstBalance, bestBalance] = await Promise.all([
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getTokenBalance(worstSide.tokenId),
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getTokenBalance(bestSide.tokenId),
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]);
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const worstShares = worstBalance !== null ? worstBalance : worstSide.shares;
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const bestShares = bestBalance !== null ? bestBalance : bestSide.shares;
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// Market sell worst side
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if (worstShares >= 0.001) {
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const result = await marketSell(worstSide.tokenId, worstShares, tickSize, negRisk);
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worstSide.fillPrice = result.fillPrice;
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worstSide.filled = true;
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logger.warn(`MM defensive: sold ${worstKey.toUpperCase()} ${worstShares.toFixed(3)} sh @ $${result.fillPrice.toFixed(3)}`);
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} else {
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worstSide.fillPrice = 0;
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worstSide.filled = true;
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}
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// Best side: let it resolve at market close (hold the tokens)
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// The market will resolve and we can redeem via the redeemer
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// Best side price is ~90c+ so payout ≈ $1 per share if it wins
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logger.money(`MM defensive: holding ${bestKey.toUpperCase()} ${bestShares.toFixed(3)} sh @ ~$${bestPrice.toFixed(3)} — waiting for resolution`);
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logger.info(`MM defensive: expected payout if ${bestKey.toUpperCase()} wins: ~$${bestShares.toFixed(2)} | cost was $${(bestSide.entryPrice * bestShares).toFixed(2)}`);
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// Mark best side as filled at entry price for now — actual payout handled by redeemer
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bestSide.fillPrice = bestSide.entryPrice;
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bestSide.filled = true;
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pos.status = 'done';
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const worstPnl = worstSide.fillPrice
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? (worstSide.fillPrice - worstSide.entryPrice) * worstShares
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: 0;
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logger.info(`MM defensive: worst side P&L: $${worstPnl.toFixed(2)} | best side will be redeemed after resolution`);
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} else {
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// Worst side ≥ 10c → market uncertain, safer to merge
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logger.info(`MM defensive: worst side ${worstKey.toUpperCase()} @ $${worstPrice.toFixed(3)} ≥ $${threshold} — market uncertain, merging back to USDC`);
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await cutLossNeitherFilled(pos);
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}
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}
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async function adaptiveLegCL(pos, unfilledKey) {
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const s = pos[unfilledKey];
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const { tickSize, negRisk } = pos;
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