copybot: merge fill-split conviction bets before the floor gate
A sweep or rapid clip entry splits ONE bet into several sub-floor fills: gkmg's $612 MOUZ entry today read as 3×$204 same-second rows, every clip below his $304 floor — the bot skipped a bet the backtest's position-level view takes (he sold +60% five minutes later). Same-token BUY rows within 120s now merge into the bet the sharp actually made (weighted price, summed size, all component txs marked processed); SELLs stay per-fill for the proportional mirror. reconcile_entries applies the same clustering to its not-a-miss verdict so downtime fill-splits count as real misses. Applies to BOTH books identically. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
jaxperro
+52
-6
@@ -960,10 +960,40 @@ class Copybot:
|
||||
new, recent one through the filter and (if it passes) the engine."""
|
||||
name = self.names.get(wallet.lower(), wallet[:10] + "…")
|
||||
trades = recent_trades(wallet)
|
||||
# oldest-first so the engine's position math stays causal
|
||||
# ONE conviction bet often arrives as several fills — a sweep through
|
||||
# the book or rapid clip entries (gkmg 2026-07-09: a $612 MOUZ entry =
|
||||
# 3×$204 same-second rows, every clip sub-floor while the backtest's
|
||||
# position-level view takes the bet; he sold +60% five minutes later).
|
||||
# Merge same-token BUY rows within 120s into the bet the sharp made;
|
||||
# component txs are all marked processed. SELLs stay per-fill — the
|
||||
# proportional mirror handles those correctly clip by clip.
|
||||
merged, by_tok = [], {}
|
||||
for t in sorted(trades, key=lambda x: x.get("timestamp", 0)):
|
||||
if (t.get("side") != "BUY" or not t.get("asset")
|
||||
or not t.get("transactionHash")
|
||||
or t.get("transactionHash") in self.engine.seen
|
||||
or t.get("transactionHash") in self.skipped):
|
||||
merged.append(t)
|
||||
continue
|
||||
prev = by_tok.get(t["asset"])
|
||||
if prev is not None and (t.get("timestamp", 0) or 0) - (prev.get("timestamp", 0) or 0) <= 120:
|
||||
sz_p, sz_t = prev.get("size") or 0, t.get("size") or 0
|
||||
if sz_p + sz_t:
|
||||
prev["price"] = (((prev.get("price") or 0) * sz_p
|
||||
+ (t.get("price") or 0) * sz_t) / (sz_p + sz_t))
|
||||
prev["size"] = sz_p + sz_t
|
||||
prev["usdcSize"] = (prev.get("usdcSize") or 0) + (t.get("usdcSize") or 0)
|
||||
prev["timestamp"] = max(prev.get("timestamp", 0) or 0, t.get("timestamp", 0) or 0)
|
||||
prev.setdefault("_extra_txs", []).append(t["transactionHash"])
|
||||
else:
|
||||
by_tok[t["asset"]] = t
|
||||
merged.append(t)
|
||||
# oldest-first so the engine's position math stays causal
|
||||
for t in sorted(merged, key=lambda x: x.get("timestamp", 0)):
|
||||
tx = t.get("transactionHash")
|
||||
extras = t.pop("_extra_txs", [])
|
||||
if not tx or tx in self.engine.seen or tx in self.skipped:
|
||||
self.skipped.update(extras)
|
||||
continue
|
||||
# filter FIRST (before the stale gate) so we know whether a trade we
|
||||
# were too slow on WOULD have qualified — a qualifying miss is worth
|
||||
@@ -977,7 +1007,7 @@ class Copybot:
|
||||
# dashboard instead of silently dropped; settle_resolved values it
|
||||
# hypothetically like every other miss. record_miss dedups by token
|
||||
# so reconcile_entries can't double-count the same position.
|
||||
self.skipped.add(tx)
|
||||
self.skipped.update([tx, *extras])
|
||||
if t.get("side") == "BUY" and t.get("asset"):
|
||||
late_m = (time.time() - (t.get("timestamp") or 0)) / 60.0
|
||||
with self.lock:
|
||||
@@ -991,7 +1021,7 @@ class Copybot:
|
||||
f"@ {t.get('price',0):.3f} — too slow ({late_m:.0f}m late)")
|
||||
continue
|
||||
if not follow:
|
||||
self.skipped.add(tx)
|
||||
self.skipped.update([tx, *extras])
|
||||
log(f"skip {name}: {t.get('side')} {t.get('outcome','?')} "
|
||||
f"@ {t.get('price',0):.3f} — {reason}")
|
||||
continue
|
||||
@@ -999,6 +1029,7 @@ class Copybot:
|
||||
f"@ {t.get('price',0):.3f} (${t.get('usdcSize',0):,.0f})")
|
||||
with self.lock:
|
||||
self.engine.handle_trade(wallet, t) # sizes, gates, places (paper/live)
|
||||
self.engine.seen.update(extras) # component fills of the merged bet
|
||||
tok = t.get("asset")
|
||||
if tok in self.engine.state["my_pos"] and tok not in self.conds:
|
||||
self.conds[tok] = t.get("conditionId") # remember for settling
|
||||
@@ -1147,9 +1178,24 @@ class Copybot:
|
||||
for t_ in trs:
|
||||
if not t_.get("usdcSize"):
|
||||
t_["usdcSize"] = (t_.get("size") or 0) * (t_.get("price") or 0)
|
||||
if not any(t_.get("side") == "BUY"
|
||||
and str(t_.get("asset")) == str(tok)
|
||||
and self.filt.check(w, t_)[0] for t_ in trs):
|
||||
# cluster fills ≤120s apart — the same merge rule the
|
||||
# live path applies: a fill-split conviction entry is
|
||||
# ONE bet, and must count as a real miss
|
||||
buys = sorted((t_ for t_ in trs if t_.get("side") == "BUY"
|
||||
and str(t_.get("asset")) == str(tok)),
|
||||
key=lambda x: x.get("timestamp", 0) or 0)
|
||||
best, cur, last_ts = None, None, None
|
||||
for t_ in buys:
|
||||
ts_ = t_.get("timestamp", 0) or 0
|
||||
if cur is not None and ts_ - last_ts <= 120:
|
||||
cur = dict(t_, usdcSize=(cur.get("usdcSize") or 0)
|
||||
+ (t_.get("usdcSize") or 0))
|
||||
else:
|
||||
cur = dict(t_)
|
||||
last_ts = ts_
|
||||
if best is None or (cur.get("usdcSize") or 0) > (best.get("usdcSize") or 0):
|
||||
best = cur
|
||||
if best is None or not self.filt.check(w, best)[0]:
|
||||
log(f"reconcile: {name} accumulated "
|
||||
f"{(p.get('title') or '?')[:38]} via sub-floor "
|
||||
f"clips (${iv:,.0f} total) — not copyable under "
|
||||
|
||||
Reference in New Issue
Block a user