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jaxperro
222a750bd7
FINDINGS: 'The fill model is the next scorer' section (A2 chain grade -$7.54/fill x1344 confirms the surge kill; oracle harness chain grade vetoes the ledger-positive tiers; virtual-book +26% variance footnote; the five tandem tests and the makers-on-the-wall through-line). HANDOFF: snapshot -> 07-23 (7-wallet rev 5, dark flags, Friday agenda incl #20/#21). READMEs: /test consolidation row, measurement-harness research row, study statuses + new script inventory. Archive: value/ (closed 07-19) + its test, ETHERSCAN_MIGRATION.md, order_probe v1 -> archive/; replay_out/ gitignored; links repaired. Tests: all 7 active scripts pass post-move. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
87 lines
4.6 KiB
Markdown
87 lines
4.6 KiB
Markdown
# VALUE — the undervalued-market paper bot
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**STATUS: CLOSED 2026-07-19 — hypothesis refuted (1W/993L, 0.075x; see PLAN.md post-mortem). App destroyed; files kept as the record.**
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A **silo'd** experiment: can systematically buying sub-2¢ Polymarket contracts
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beat their price? Research says yes on paper (~1.24x gross); this bot exists
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to find out if the fills are real. It shares **no code path, state, app, or
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wallet** with the copy trader — see *Silo rules* before touching anything.
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## Why this exists (30-second version)
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A calibration study over 13.5M trusted resolved bets (2026-07-17, details in
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[PLAN.md](PLAN.md)) found Polymarket well-calibrated above 60¢, longshots
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2–60¢ systematically OVERpriced — and the tail **below 2¢ UNDERpriced**:
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entries at an average 0.82¢ resolved winners 1.02% of the time (1.24x, ≈+20%/$
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net of fees, z≈+12 market-clustered). The effect survives excluding skilled
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wallets and refunds, and concentrates near expiry. History can't prove the
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asks are actually fillable — that's this bot's one job.
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## How it works (valuebot.py, single file, pure stdlib)
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Every 5 minutes:
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1. **Scan** gamma for active markets, soonest-ending first (the edge lives
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near expiry; gamma 422s past offset ~2000, which conveniently caps the
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scan to exactly that window). Any outcome marked ≤ 2¢ is a candidate.
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2. **Fill or honest miss**: fetch the REAL CLOB ask ladder; a $1 FAK either
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fully fills inside `min(2¢, best_ask × 1.05)` — the same protected band
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the live copy executor sends — or logs a MISS. No phantom fills, ever
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(the 2026-07-16 paper-parity lesson, inherited from birth).
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3. **Guards**: flat $1/ticket (venue minimum = reality), event cap 1
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(correlated dust resolves together), 300-ticket portfolio cap, 6h
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re-check cooldown per token, entry taker fee by category.
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4. **Settle at chain truth**: payout vectors from the CTF contract
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(`payoutNumerators`) — wins pay 1.0, **0.5 refunds are real**, losses 0.
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Never trusts CLOB winner flags or price marks.
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5. **Publish**: state + feed + fills committed back to this repo
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(`valuebot: paper feed [skip ci]`), same pull-rebase-push discipline as
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the copy books.
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## The verdict (what decides paper → real money)
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Break-even hit rate ≈ 1.05% at 1¢ entries. Needs ~2,000 resolved tickets
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(2–6 weeks). Pre-registered kill criteria (PLAN.md): fill rate <30%, or
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realized multiple <1.1x after 2k tickets, or can't deploy >$50/week. Track:
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`stats` + `realized_multiple` + `fill_rate` in the feed. Early losses are
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EXPECTED — at ~1% hit rate the first hundreds of tickets are mostly Ls; the
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multiple is meaningless until refunds/wins accumulate.
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## File map
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| file | what |
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|---|---|
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| `valuebot.py` | the whole bot — scan, fill model, settle, publish |
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| `PLAN.md` | research findings, strategy spec, rollout gates |
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| `valuebot_state.json` | the book (bot-committed; don't hand-edit while it runs) |
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| `valuebot.json` | published feed (future jaxperro.com/value reads this) |
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| `valuebot_fills.jsonl` | append-only fill ledger |
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| `start.sh` | Fly boot: clone main, ls-remote clone-guard, exec bot |
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| `fly.Dockerfile` | python:3.12-slim + git; NO pip deps by design |
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| `../fly.value.toml` | app `wwf-valuebot` (arn); **no http_service** on purpose — nothing auto-restarts it under a state edit (README gotcha 15) |
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| `../tests/test_valuebot.py` | 6 stub tests — fill band, thin-miss, event cap, cooldown, settle math |
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## Ops
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```bash
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python3 tests/test_valuebot.py # no-network stub tests
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python3 value/valuebot.py --once # one real scan cycle, no publishing
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flyctl logs -a wwf-valuebot --no-tail # watch cycles ("book: cash …")
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flyctl deploy --remote-only -c fly.value.toml --ha=false -a wwf-valuebot
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# image change (start.sh/Dockerfile);
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# code changes need only a machine restart
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```
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Secrets on `wwf-valuebot`: `ALCHEMY_RPC_URL` (chain settles),
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`GITHUB_TOKEN` (fine-grained PAT, contents-RW this repo — state durability +
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feed). Without the token the bot trades but rewinds to the last committed
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state on restart (it warns at boot).
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## Silo rules (do not break these)
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1. Nothing under `value/` may import `copybot.py` or `copytrade.py` — the
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~60 lines of book/fee/payout helpers are duplicated here ON PURPOSE.
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Read-only research libs (`trust`, `smart_money`, `payouts`) are allowed.
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2. Never share: state files, feeds, Fly apps, webhooks, or (when real money
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ever comes) the wallet. The copy trader must be un-affectable from here.
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3. `bankroll`/stake/cap changes and the paper→real gate are the USER's call.
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