Nawaz Haider
137 lines
4.4 KiB
Python
137 lines
4.4 KiB
Python
import os
|
|
import gc
|
|
import time
|
|
from utils.logger import setup_logging
|
|
from utils.tokens import fetch_tokens
|
|
from utils.orderbook import OrderBook, SIGNALES
|
|
from utils.clob_client import init_global_client, is_client_ready
|
|
from utils.market_time import is_in_trading_window, get_period_elapsed_seconds
|
|
from utils.trade_counter import reset_trades, get_trades_count, increment_trades
|
|
from utils.clob_orders import (
|
|
place_anchor_and_hedge,
|
|
cache_token_trading_infos,
|
|
)
|
|
from utils.cpu_affinity import set_cpu_affinity
|
|
from config import (
|
|
MAX_TRADES,
|
|
MAX_TRADING_BPS_THRESHOLD,
|
|
MIN_DELAY_BETWEEN_TRADES_SECONDS,
|
|
MAX_INVENTORY,
|
|
PROFIT_MARGIN,
|
|
)
|
|
|
|
|
|
gc.disable()
|
|
|
|
|
|
def main():
|
|
|
|
logger = setup_logging()
|
|
set_cpu_affinity()
|
|
logger.info("Polymarket HFT Market Maker started")
|
|
init_global_client()
|
|
time.sleep(2)
|
|
if not is_client_ready():
|
|
logger.error("ClobClient is not ready. Exiting.")
|
|
return
|
|
up_token, down_token, market_slug = fetch_tokens()
|
|
book = OrderBook(up_token, down_token, market_slug)
|
|
book.start()
|
|
|
|
time.sleep(5) # Allow some time for initial order book data
|
|
|
|
market_data = book.get_current_market_data()
|
|
|
|
up_bid_price = market_data["best_bid_price"]
|
|
up_ask_price = market_data["best_ask_price"]
|
|
down_ask_price = 1 - up_bid_price
|
|
down_bid_price = 1 - up_ask_price
|
|
|
|
print(
|
|
f"Initial Prices - UP: {up_bid_price:.2f}/{up_ask_price:.2f} | DOWN: {down_bid_price:.2f}/{down_ask_price:.2f} | Inventory: {book.inventory} / {MAX_INVENTORY}",
|
|
flush=True,
|
|
)
|
|
|
|
while True:
|
|
if not is_in_trading_window():
|
|
|
|
book.stop()
|
|
logger.info("Trading session ended. Starting new session.")
|
|
gc.collect()
|
|
time.sleep(10)
|
|
reset_trades()
|
|
up_token, down_token, market_slug = fetch_tokens()
|
|
book = OrderBook(up_token, down_token, market_slug)
|
|
cache_token_trading_infos(book)
|
|
book.start()
|
|
|
|
market_data = book.get_current_market_data()
|
|
if not market_data:
|
|
continue
|
|
|
|
up_bid_price = market_data["best_bid_price"]
|
|
up_ask_price = market_data["best_ask_price"]
|
|
|
|
if not ((0.2 < up_ask_price < 0.35) or (0.65 < up_bid_price < 0.8)) or (
|
|
abs(market_data["micro_vs_mid_bps"]) > MAX_TRADING_BPS_THRESHOLD
|
|
):
|
|
continue
|
|
|
|
down_ask_price = 1 - up_bid_price
|
|
down_bid_price = 1 - up_ask_price
|
|
|
|
if (
|
|
(get_trades_count() < MAX_TRADES)
|
|
and (get_period_elapsed_seconds() < 500)
|
|
and (book.inventory < MAX_INVENTORY)
|
|
):
|
|
trading_side = book.last_signal
|
|
|
|
if trading_side == SIGNALES.UP:
|
|
order_ids = place_anchor_and_hedge(
|
|
up_token,
|
|
down_token,
|
|
"UP",
|
|
round(up_bid_price, 2),
|
|
size=5,
|
|
signed_orders_cache=book.signed_orders_cache,
|
|
)
|
|
current_trades = increment_trades()
|
|
book.update_signed_orders_cache(
|
|
[round(up_bid_price, 2), round(1 - up_bid_price - PROFIT_MARGIN, 2)]
|
|
)
|
|
logger.info(
|
|
f"Placed UP anchor and hedge orders. Total trades: {current_trades}, Order IDs: {order_ids}"
|
|
)
|
|
time.sleep(MIN_DELAY_BETWEEN_TRADES_SECONDS)
|
|
|
|
elif trading_side == SIGNALES.DOWN:
|
|
order_ids = place_anchor_and_hedge(
|
|
up_token,
|
|
down_token,
|
|
"DOWN",
|
|
round(down_bid_price, 2),
|
|
size=5,
|
|
signed_orders_cache=book.signed_orders_cache,
|
|
)
|
|
current_trades = increment_trades()
|
|
book.update_signed_orders_cache(
|
|
[round(down_bid_price, 2), round(1 - down_bid_price - PROFIT_MARGIN, 2)]
|
|
)
|
|
logger.info(
|
|
f"Placed DOWN anchor and hedge orders. Total trades: {current_trades}, Order IDs: {order_ids}"
|
|
)
|
|
time.sleep(MIN_DELAY_BETWEEN_TRADES_SECONDS)
|
|
|
|
time.sleep(0.01)
|
|
|
|
|
|
if __name__ == "__main__":
|
|
try:
|
|
main()
|
|
except KeyboardInterrupt:
|
|
print("\nMarket maker stopped by user")
|
|
except Exception as e:
|
|
print(f"Fatal error: {e}")
|
|
exit(1)
|