jaxperro
861ba01830
The daily freshen reset the bets + exits cursors but never pulled_entries, so a watchlist wallet's first_buy map went up to 14 days stale and portfolio.py silently dropped every bet on conds entered since the last pull (`if not et: continue`) — neither resolved nor open. Kruto2027's Jul-7 Brewers bets (visible SOLD in the live bot) and two losing bets were absent from the backtest for exactly this. Entries re-pulled for Set D + portfolio regenerated: Kruto 43->49 bets, both Brewers rows booked, hidden losses folded in. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
301 lines
14 KiB
Python
301 lines
14 KiB
Python
#!/usr/bin/env python3
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"""Local cache of per-wallet resolved bets, so we stop re-pulling the data-api.
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Each wallet's resolved bets are stored once in cache.duckdb. Because we keep
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res_t per bet, ANY date cutoff — pre-June-1, full window, future experiments —
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reads the same cached rows and filters locally. A pull only happens for wallets
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not seen, or older than MAX_AGE_DAYS.
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Schema v2 (migrated automatically on first open; legacy rows keep NULLs in the
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new columns until their wallet refreshes):
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* asset — token id, the position identity. Dedupes the two-endpoint union
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(the same asset from /closed-positions AND /positions is one
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position seen twice) and disambiguates YES/NO both-sides rows.
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* src/ts — endpoint provenance ('closed'/'open') + close timestamp.
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* resolved — False for early-sold positions in markets that hadn't ended at
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pull time (their `won` is a curPrice mark, not an outcome).
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* p — stored RAW (0 = avgPrice missing); get_bets clamps to
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[0.001, 0.999] on read, so consumers see the same values as
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before while the DB keeps missing-vs-real-longshot separable.
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* upsert — refresh replaces only the re-pulled tokens instead of wiping
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the wallet, so history beyond the rolling WINDOW_DAYS pull
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accumulates (permanent archive instead of overwrite-on-refresh).
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* failures — a failed pull is returned empty but NOT cached and NOT marked
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pulled, so it retries next call instead of masquerading as
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"wallet has no bets" for MAX_AGE_DAYS.
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Thread-safe: API pulls (the slow part) run outside the lock; only the small
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DuckDB reads/writes are serialized, so skill.py's worker pool still parallelizes
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the network.
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"""
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import os
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import sys
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import threading
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import time
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import duckdb
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sys.path.insert(0, os.path.abspath(os.path.join(os.path.dirname(__file__), "..")))
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import insider # noqa: E402
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DB = os.path.join(os.path.dirname(__file__), "cache.duckdb")
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WINDOW_DAYS = 180
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MAX_AGE_DAYS = 14 # broad pool re-pulls only every 2 weeks; watchlist is
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# force-refreshed daily via invalidate() (see daily.sh)
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# CONVICTION = a bet in the top 20% of a wallet's OWN stake sizes (p80), replacing
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# the old flat $200. Validated to reproduce flat-$200's win-rate lift (~74% vs ~51%
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# on all bets) across the 23 sharps while adapting to each wallet's scale. Keep this
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# in sync with trading/index.html's CONV_PCTILE / pctl().
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CONV_PCTILE = 0.80
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def conv_cutoff(sizes, q=CONV_PCTILE):
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"""A wallet's conviction stake threshold: the q-quantile of its own positive
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bet sizes (linear interpolation, matching the dashboard's pctl). Bets with
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size >= this are conviction bets. Returns +inf if the wallet has no sized bets
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(so nothing qualifies)."""
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s = sorted(x for x in sizes if x and x > 0)
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if not s:
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return float("inf")
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k = (len(s) - 1) * q
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f = int(k)
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return s[f] if f + 1 >= len(s) else s[f] + (s[f + 1] - s[f]) * (k - f)
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_lock = threading.Lock()
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_con = duckdb.connect(DB)
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_con.execute("""CREATE TABLE IF NOT EXISTS bets(
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wallet TEXT, cond TEXT, asset TEXT, won BOOLEAN, p DOUBLE, res_t BIGINT,
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size DOUBLE, src TEXT, ts BIGINT, resolved BOOLEAN)""")
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def _migrate_v2():
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"""One-shot in-place migration of a v1 `bets` table (no asset/src/ts/resolved
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columns). Rebuilds via SELECT DISTINCT — v1 had no position identity, so its
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few thousand byte-identical duplicate rows are unrecoverable noise and are
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merged. Legacy rows keep NULLs in the new columns until their wallet is
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re-pulled; `p` stays clamped for them (raw-p is forward-only)."""
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cols = {r[0] for r in _con.execute("DESCRIBE bets").fetchall()}
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if "asset" in cols:
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return
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n0 = _con.execute("SELECT count(*) FROM bets").fetchone()[0]
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_con.execute("BEGIN")
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_con.execute("""CREATE TABLE bets_v2(
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wallet TEXT, cond TEXT, asset TEXT, won BOOLEAN, p DOUBLE, res_t BIGINT,
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size DOUBLE, src TEXT, ts BIGINT, resolved BOOLEAN)""")
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_con.execute("""INSERT INTO bets_v2(wallet, cond, won, p, res_t, size)
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SELECT DISTINCT wallet, cond, won, p, res_t, size FROM bets""")
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_con.execute("DROP TABLE bets")
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_con.execute("ALTER TABLE bets_v2 RENAME TO bets")
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_con.execute("COMMIT")
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n1 = _con.execute("SELECT count(*) FROM bets").fetchone()[0]
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print(f"[cache] migrated bets to schema v2: {n0:,} -> {n1:,} rows "
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f"({n0 - n1:,} exact duplicates merged)", flush=True)
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_migrate_v2()
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_con.execute("CREATE INDEX IF NOT EXISTS bets_w ON bets(wallet)")
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_con.execute("CREATE TABLE IF NOT EXISTS pulled(wallet TEXT PRIMARY KEY, pulled_at BIGINT)")
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_con.execute("CREATE TABLE IF NOT EXISTS entries(wallet TEXT, cond TEXT, first_buy BIGINT)")
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_con.execute("CREATE INDEX IF NOT EXISTS entries_w ON entries(wallet)")
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_con.execute("CREATE TABLE IF NOT EXISTS pulled_entries(wallet TEXT PRIMARY KEY, pulled_at BIGINT)")
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def get_entries(wallet):
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"""{conditionId: earliest BUY timestamp} for a wallet — cached. Lets us
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compute entry->resolution lead time and trade cadence (followability)."""
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now = time.time()
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with _lock:
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r = _con.execute("SELECT pulled_at FROM pulled_entries WHERE wallet=?", [wallet]).fetchone()
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if r and now - r[0] < MAX_AGE_DAYS * 86400:
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rows = _con.execute("SELECT cond,first_buy FROM entries WHERE wallet=?", [wallet]).fetchall()
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return {c: t for c, t in rows}
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try:
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first_buy, _ = insider.entry_times(wallet)
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except Exception:
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first_buy = {}
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with _lock:
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_con.execute("DELETE FROM entries WHERE wallet=?", [wallet])
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if first_buy:
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_con.executemany("INSERT INTO entries(wallet,cond,first_buy) VALUES (?,?,?)",
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[(wallet, c, t) for c, t in first_buy.items()])
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_con.execute("INSERT OR REPLACE INTO pulled_entries VALUES (?,?)", [wallet, int(now)])
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return first_buy
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def _bet_row(won, p, cond, res_t, size, asset, src, ts, resolved):
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"""The dict shape get_bets returns — p clamped on read so consumer math is
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unchanged while the DB stores it raw."""
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return {"won": won, "p": max(0.001, min(0.999, p or 0)), "cond": cond,
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"res_t": res_t, "size": size, "asset": asset, "src": src,
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"ts": ts, "resolved": resolved}
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def get_bets(wallet):
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"""Resolved bets for a wallet — from cache if fresh, else pull and upsert."""
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now = time.time()
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with _lock:
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r = _con.execute("SELECT pulled_at FROM pulled WHERE wallet=?", [wallet]).fetchone()
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if r and now - r[0] < MAX_AGE_DAYS * 86400:
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rows = _con.execute(
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"SELECT won,p,cond,res_t,size,asset,src,ts,resolved "
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"FROM bets WHERE wallet=?", [wallet]).fetchall()
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return [_bet_row(*row) for row in rows]
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# cache miss / stale -> pull (slow, outside the lock so workers stay parallel)
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try:
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bets = insider.resolved_bets(wallet, now - WINDOW_DAYS * 86400, strict=True)
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except Exception:
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return [] # transient API failure — do NOT cache or mark pulled;
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# the next call retries instead of trusting a bad pull
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# one row per token: the endpoint union returns the same asset twice for a
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# partially-closed position (closed portion + open remainder) — keep the
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# larger-stake row rather than double-counting one position as two bets.
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best = {}
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for b in bets:
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k = (b["cond"], b.get("asset"))
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if k not in best or (b.get("size") or 0) > (best[k].get("size") or 0):
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best[k] = b
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bets = list(best.values())
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with _lock:
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# upsert: replace only what this pull re-observed — re-pulled tokens, plus
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# any legacy (pre-v2, NULL-asset) rows of the re-pulled markets they
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# supersede. Rows older than the rolling pull window survive, so per-wallet
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# history now accumulates instead of being overwritten each refresh.
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assets = [b["asset"] for b in bets if b.get("asset")]
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conds = list({b["cond"] for b in bets if b.get("cond")})
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_con.execute(
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"""DELETE FROM bets WHERE wallet = ?
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AND (asset IN (SELECT UNNEST(?::VARCHAR[]))
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OR (asset IS NULL AND cond IN (SELECT UNNEST(?::VARCHAR[]))))""",
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[wallet, assets, conds])
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if bets:
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_con.executemany(
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"INSERT INTO bets(wallet,cond,asset,won,p,res_t,size,src,ts,resolved) "
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"VALUES (?,?,?,?,?,?,?,?,?,?)",
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[(wallet, b["cond"], b.get("asset"), b["won"], b.get("p"),
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b.get("res_t"), b.get("size"), b.get("src"), b.get("ts"),
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b.get("resolved")) for b in bets])
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_con.execute("INSERT OR REPLACE INTO pulled VALUES (?,?)", [wallet, int(now)])
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rows = _con.execute(
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"SELECT won,p,cond,res_t,size,asset,src,ts,resolved "
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"FROM bets WHERE wallet=?", [wallet]).fetchall()
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return [_bet_row(*row) for row in rows]
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_con.execute("""CREATE TABLE IF NOT EXISTS exits(
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wallet TEXT, asset TEXT, ts BIGINT, exit_p DOUBLE, p DOUBLE,
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iv DOUBLE, cond TEXT, PRIMARY KEY (wallet, asset))""")
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for _col in ("title", "outcome"):
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try:
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_con.execute(f"ALTER TABLE exits ADD COLUMN {_col} TEXT")
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except Exception:
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pass # already there
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try:
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_con.execute("ALTER TABLE exits ADD COLUMN realized_pnl DOUBLE") # Polymarket's per-position realized cash
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except Exception:
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pass
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_con.execute("CREATE TABLE IF NOT EXISTS pulled_exits(wallet TEXT PRIMARY KEY, newest_ts BIGINT, pulled_at BIGINT)")
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for _col, _type in (("oldest_ts", "BIGINT"), ("complete", "BOOLEAN")):
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try:
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_con.execute(f"ALTER TABLE pulled_exits ADD COLUMN {_col} {_type}")
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except Exception:
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pass # already there
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def closed_exits(wallet, max_age_s=6 * 3600):
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"""{asset: {ts, exit_p, p, iv, cond}} of the wallet's FULLY-CLOSED
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positions — the COMPLETE history, no window and no cap (the exit overlay
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covers every bet any stat could touch). Shared exit model for the backtest
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(portfolio.py) and the sharps stats (validate_timing.py).
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Correct + incremental: `complete` marks that the backfill reached the true
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start of the wallet's history. Until then (first run, or an interrupted
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deep pull) it re-pulls the full history from newest; once complete, later
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refreshes only page the NEW closes since `newest_ts` (a page or two). Close
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events are immutable, so nothing already cached is re-fetched. The deep
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first pull is a one-time cost. NB the endpoint serves 50-row pages
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regardless of `limit` — see smart_money.closed_exits for the paging gotcha."""
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import smart_money as _sm # local import: smart_money has no local deps
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now = int(time.time())
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with _lock:
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r = _con.execute("SELECT newest_ts, pulled_at, complete FROM pulled_exits "
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"WHERE wallet=?", [wallet]).fetchone()
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newest, complete = (r[0], bool(r[2])) if r else (0, False)
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fresh = r and (now - r[1] < max_age_s)
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if complete:
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# a wallet cached before realized_pnl existed needs one full re-pull to
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# backfill it — self-healing, once, only for the affected wallets
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with _lock:
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miss = _con.execute("SELECT count(*) FROM exits WHERE wallet=? AND realized_pnl IS NULL",
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[wallet]).fetchone()[0]
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if miss:
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complete = fresh = False
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if not fresh or not complete:
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if complete:
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new, _ = _sm.closed_exits(wallet, newest_bound=newest) # only new closes
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reached = True # already complete
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else:
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new, reached = _sm.closed_exits(wallet) # FULL history (re)pull
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with _lock:
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if new:
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_con.executemany(
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"INSERT OR REPLACE INTO exits"
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"(wallet,asset,ts,exit_p,p,iv,cond,title,outcome,realized_pnl) "
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"VALUES (?,?,?,?,?,?,?,?,?,?)",
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[(wallet, a, c["ts"], c["exit_p"], c["p"], c["iv"], c["cond"],
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c.get("title") or "", c.get("outcome") or "", c.get("realized_pnl") or 0)
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for a, c in new.items()])
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newest = max(newest, max(c["ts"] for c in new.values()))
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_con.execute("INSERT OR REPLACE INTO pulled_exits(wallet,newest_ts,pulled_at,complete) "
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"VALUES (?,?,?,?)", [wallet, newest, now, reached])
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with _lock:
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rows = _con.execute(
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"SELECT asset, ts, exit_p, p, iv, cond, title, outcome, realized_pnl "
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"FROM exits WHERE wallet=?", [wallet]).fetchall()
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return {a: {"ts": ts, "exit_p": xp, "p": p, "iv": iv, "cond": cond,
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"title": t or "", "outcome": o or "", "realized_pnl": rp or 0}
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for a, ts, xp, p, iv, cond, t, o, rp in rows}
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def invalidate(wallets):
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"""Force a re-pull of these wallets on next get_bets/get_entries (for daily
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watchlist forward-refresh). pulled_entries MUST be cleared too: a stale
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entries snapshot has no first_buy for conds entered since the last pull, and
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portfolio.py drops those bets entirely (`if not et: continue`) — Kruto's
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Jul-7 Brewers bets vanished from the backtest for exactly this while its
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bets/exits cursors were fresh (found 2026-07-08). Exits have their own
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incremental cursor and don't go stale this way."""
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with _lock:
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for w in wallets:
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_con.execute("DELETE FROM pulled WHERE wallet=?", [w])
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_con.execute("DELETE FROM pulled_entries WHERE wallet=?", [w])
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def query(sql, params=None):
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"""Serialized raw read access to the cache DB for sibling modules (trust.py's
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trusted-row queries). A second duckdb.connect in the same process would fight
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this module's read-write connection for the single-writer lock, so everything
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in-process must go through this one connection."""
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with _lock:
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return _con.execute(sql, params or []).fetchall()
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def pulled_ages():
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"""{wallet: pulled_at} for every wallet ever pulled — lets collect.py bound
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how many stale re-pulls one run takes on."""
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with _lock:
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return dict(_con.execute("SELECT wallet, pulled_at FROM pulled").fetchall())
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def stats():
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with _lock:
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w = _con.execute("SELECT count(*) FROM pulled").fetchone()[0]
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b = _con.execute("SELECT count(*) FROM bets").fetchone()[0]
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return w, b
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if __name__ == "__main__":
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w, b = stats()
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print(f"cache: {w:,} wallets, {b:,} bets in {DB}")
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