 direkturcrypto
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f074ca9ecb
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feat(oneshot): add Anti-Flip 5m microstructure execution engine
Introduces a complete, event-driven execution engine for 5-minute
Polymarket UP/DOWN markets, implementing the Anti-Flip strategy spec.
Architecture
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• EventBus — central pub/sub bus connecting all services
• MarketFeedService — discovers 5m/15m markets via Gamma API, polls
CLOB orderbooks every 200–500ms, emits snapshots
• FeatureEngine — maintains a 15s rolling buffer per market and
computes midSlope6s, retrace3s, imbalance, spread,
depthTop3 for both UP and DOWN sides
• SignalEngine — hard gate checks (TTE, spread, depth, stale) then
weighted score (imbalance 35%, slope 35%,
spread 20%, retrace 10%) + trend confirmation
• ExecutionEngine — limit-marketable FOK buy, market-sell FOK exit,
GTC limit-sell for TP; dry-run short-circuits
• RiskEngine — consecutive loss cooldown, daily USDC loss cap,
session halt; all via explicit canTrade() gate
• PositionEngine — per-market position state, TP/adverse/slope/time
exit evaluation on every snapshot tick
• StateMachine — explicit state graph with guarded transitions:
IDLE → SETUP_READY → ORDER_PENDING → POSITION_OPEN
→ REDUCE_ONLY → IDLE | COOLDOWN | HALTED
• Telemetry — structured JSONL logger (data/oneshot_telemetry.jsonl)
recording decisions, orders, exits, and transitions
Runtime sequence (per market, per tick)
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A Ingest snapshot (MarketFeedService)
B Build features — rolling slope, retrace, imbalance (FeatureEngine)
C Hard gate check — TTE [25,120]s, spread ≤ 0.02, depth ≥ minTopSize
D Score + trend confirm → emit ENTER_LONG / ENTER_SHORT / NO_TRADE
E Submit FOK limit-marketable at bestAsk
F Fill handling — full fill / partial (reduce if TTE ≤ 25s) / timeout
G Position management — TP, adverse (2-tick), slope drop (4s), time exits
H Risk enforcement — P&L accounting, cooldown, daily halt
New scripts
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npm run oneshot — live trading (DRY_RUN=false)
npm run oneshot-sim — simulation (DRY_RUN=true)
npm run oneshot-dev — sim + nodemon
New .env variables
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ONESHOT_ASSETS, ONESHOT_DURATION, ONESHOT_POLL_INTERVAL_MS,
ONESHOT_BASE_RISK_USDC, ONESHOT_TP_TICKS, ONESHOT_SCORE_THRESHOLD,
ONESHOT_MIN_TOP_SIZE, ONESHOT_MAX_CONSEC_LOSSES,
ONESHOT_COOLDOWN_ROUNDS, ONESHOT_DAILY_LOSS_CAP, ONESHOT_FILL_TIMEOUT_MS
Co-Authored-By: direkturcrypto <direkturcrypto.x@mail3.me>
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2026-02-24 13:00:19 +07:00 |
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