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valuebot v0.1: trade the 1-2c band only — sub-bucket study shows a barbell (0.2-1c toxic; 0-0.2c shelved pending tape confirmation)

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Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
jaxperro
2026-07-17 21:39:00 -04:00
parent 80ebdb6616
commit 177ca310b6
1 changed files with 16 additions and 5 deletions
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value/valuebot.py
+16 -5
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@@ -44,7 +44,16 @@ FILLS = os.path.join(HERE, "valuebot_fills.jsonl")
BANK = 1000.0 # paper bankroll
STAKE = 1.0 # flat, = venue minimum (reality)
MAX_PX = 0.02 # the studied bucket boundary
MIN_PX = 0.01 # V0.1 (2026-07-17 sub-bucket study): the
MAX_PX = 0.02 # bucket is a BARBELL — 1-2c runs 1.28x
# (n=424k, net +24%/$) while 0.2-1c is
# toxic (0.62-0.70x) and 0-0.2c (3.13x in
# history) is shelved until the RTDS tape
# can confirm it in the current era: the
# paper book's 404 straight 0.1c losses
# can't reject it (E[wins]=1.3) but the
# same-day weather-ladder composition
# smells like modern adverse selection.
BAND = 1.05 # protected band: ask*(1+5%), like the live executor
MAX_OPEN = 300 # portfolio cap -> max $300 deployed
SCAN_S = 300
@@ -121,7 +130,7 @@ def scan_universe(max_pages=60):
if len(prices) != len(toks) or not toks:
continue
for i, px in enumerate(prices):
if 0.0 < px <= MAX_PX:
if MIN_PX <= px <= MAX_PX:
ev = (m.get("events") or [{}])[0]
out.append({
"token": toks[i], "outcome": outs[i] if i < len(outs) else "?",
@@ -148,7 +157,7 @@ def book_asks(token):
return None
def model_fill(asks, stake, max_px, band=BAND):
def model_fill(asks, stake, max_px, band=BAND, min_px=0.0):
"""Walk the real ask ladder inside min(max_px, best_ask*band); a FAK for
`stake` dollars either fully fills inside the band or is an honest MISS
(None, reason). Returns (shares, avg_price, None) on fill."""
@@ -159,6 +168,8 @@ def model_fill(asks, stake, max_px, band=BAND):
best = asks[0][0]
if best > max_px:
return None, None, f"best ask {best:.3f} above {max_px:.2f}"
if best < min_px:
return None, None, f"best ask {best:.3f} below band floor {min_px:.2f}"
cap = min(max_px, round(best * band, 6))
usd, shares = 0.0, 0.0
for px, sz in asks:
@@ -249,7 +260,7 @@ def open_positions(st, cands, budget):
st["attempted"][tok] = now
checked += 1
st["stats"]["attempts"] += 1
shares, px, reason = model_fill(book_asks(tok), STAKE, MAX_PX)
shares, px, reason = model_fill(book_asks(tok), STAKE, MAX_PX, min_px=MIN_PX)
if reason:
st["stats"]["misses"] += 1
st["missed"].append({"ts": int(now), "token": tok, "mark": c["mark"],
@@ -321,7 +332,7 @@ def write_feed(st):
deployed = sum(p["cost"] for p in st["my_pos"].values())
mult = (s["returned"] / s["staked"]) if s["staked"] else None
# break-even multiple is 1 + fee drag; the study's promise was ~1.24x
feed = {"mode": "paper-value", "bank": BANK, "cash": round(st["cash"], 2),
feed = {"mode": "paper-value", "strategy": "v0.1 1-2c band", "bank": BANK, "cash": round(st["cash"], 2),
"deployed": round(deployed, 2), "open_count": len(st["my_pos"]),
"stats": s, "realized_multiple": round(mult, 4) if mult else None,
"fill_rate": round(s["fills"] / s["attempts"], 4) if s["attempts"] else None,