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jaxperro 222a750bd7 docs + audit sweep 2026-07-23: fill-model lesson, five-test day, archive pass

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>

2026-07-23 13:55:27 -04:00

4.6 KiB

Raw Blame History

VALUE — the undervalued-market paper bot

STATUS: CLOSED 2026-07-19 — hypothesis refuted (1W/993L, 0.075x; see PLAN.md post-mortem). App destroyed; files kept as the record.

A silo'd experiment: can systematically buying sub-2¢ Polymarket contracts beat their price? Research says yes on paper (~1.24x gross); this bot exists to find out if the fills are real. It shares no code path, state, app, or wallet with the copy trader — see Silo rules before touching anything.

Why this exists (30-second version)

A calibration study over 13.5M trusted resolved bets (2026-07-17, details in PLAN.md) found Polymarket well-calibrated above 60¢, longshots 2–60¢ systematically OVERpriced — and the tail below 2¢ UNDERpriced: entries at an average 0.82¢ resolved winners 1.02% of the time (1.24x, ≈+20%/$ net of fees, z≈+12 market-clustered). The effect survives excluding skilled wallets and refunds, and concentrates near expiry. History can't prove the asks are actually fillable — that's this bot's one job.

How it works (valuebot.py, single file, pure stdlib)

Every 5 minutes:

Scan gamma for active markets, soonest-ending first (the edge lives near expiry; gamma 422s past offset ~2000, which conveniently caps the scan to exactly that window). Any outcome marked ≤ 2¢ is a candidate.
Fill or honest miss: fetch the REAL CLOB ask ladder; a $1 FAK either fully fills inside min(2¢, best_ask × 1.05) — the same protected band the live copy executor sends — or logs a MISS. No phantom fills, ever (the 2026-07-16 paper-parity lesson, inherited from birth).
Guards: flat $1/ticket (venue minimum = reality), event cap 1 (correlated dust resolves together), 300-ticket portfolio cap, 6h re-check cooldown per token, entry taker fee by category.
Settle at chain truth: payout vectors from the CTF contract (payoutNumerators) — wins pay 1.0, 0.5 refunds are real, losses 0. Never trusts CLOB winner flags or price marks.
Publish: state + feed + fills committed back to this repo (valuebot: paper feed [skip ci]), same pull-rebase-push discipline as the copy books.

The verdict (what decides paper → real money)

Break-even hit rate ≈ 1.05% at 1¢ entries. Needs ~2,000 resolved tickets (2–6 weeks). Pre-registered kill criteria (PLAN.md): fill rate <30%, or realized multiple <1.1x after 2k tickets, or can't deploy >$50/week. Track: stats + realized_multiple + fill_rate in the feed. Early losses are EXPECTED — at ~1% hit rate the first hundreds of tickets are mostly Ls; the multiple is meaningless until refunds/wins accumulate.

File map

file	what
`valuebot.py`	the whole bot — scan, fill model, settle, publish
`PLAN.md`	research findings, strategy spec, rollout gates
`valuebot_state.json`	the book (bot-committed; don't hand-edit while it runs)
`valuebot.json`	published feed (future jaxperro.com/value reads this)
`valuebot_fills.jsonl`	append-only fill ledger
`start.sh`	Fly boot: clone main, ls-remote clone-guard, exec bot
`fly.Dockerfile`	python:3.12-slim + git; NO pip deps by design
`../fly.value.toml`	app `wwf-valuebot` (arn); no http_service on purpose — nothing auto-restarts it under a state edit (README gotcha 15)
`../tests/test_valuebot.py`	6 stub tests — fill band, thin-miss, event cap, cooldown, settle math

Ops

python3 tests/test_valuebot.py            # no-network stub tests
python3 value/valuebot.py --once          # one real scan cycle, no publishing
flyctl logs -a wwf-valuebot --no-tail     # watch cycles ("book: cash …")
flyctl deploy --remote-only -c fly.value.toml --ha=false -a wwf-valuebot
                                          # image change (start.sh/Dockerfile);
                                          # code changes need only a machine restart

Secrets on wwf-valuebot: ALCHEMY_RPC_URL (chain settles), GITHUB_TOKEN (fine-grained PAT, contents-RW this repo — state durability + feed). Without the token the bot trades but rewinds to the last committed state on restart (it warns at boot).

Silo rules (do not break these)

Nothing under value/ may import copybot.py or copytrade.py — the ~60 lines of book/fee/payout helpers are duplicated here ON PURPOSE. Read-only research libs (trust, smart_money, payouts) are allowed.
Never share: state files, feeds, Fly apps, webhooks, or (when real money ever comes) the wallet. The copy trader must be un-affectable from here.
bankroll/stake/cap changes and the paper→real gate are the USER's call.

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