""" V11 — Momentum Taker para Polymarket Up/Down (5min y 15min). Cambio de paradigma respecto a V10: - De maker (quotear ambos lados) a taker direccional - Señal: movimiento de Binance vs strike > MOMENTUM_THRESHOLD - Si BTC sube > 0.05% del strike → comprar YES - Si BTC baja > 0.05% del strike → comprar NO - Una entrada por ventana máximo - Acepta 2% taker fee porque WR ~80% lo compensa - Soporta ventanas de 5min y 15min (--window 5 / --window 15) Backtest (34 ventanas V10, 15min): Threshold 0.05%: 74 trades, WR=80%, PnL=$+163 ($+2.20/trade) """ import json, math, os from dataclasses import dataclass, field from datetime import datetime, timezone from pathlib import Path # -- Infraestructura ---------------------------------------------------------- GAMMA_API = "https://gamma-api.polymarket.com/events/slug" PRICE_API = "https://polymarket.com/api/crypto/crypto-price" CLOB_WS = "wss://ws-subscriptions-clob.polymarket.com/ws/market" HOST = "https://clob.polymarket.com" CHAIN_ID = 137 UA = {"User-Agent": "Mozilla/5.0"} # -- Momentum Strategy ------------------------------------------------------- # Señal: |price/strike - 1| > MOMENTUM_THRESHOLD → entrar MOMENTUM_THRESHOLD = 0.0005 # 0.05% — sweet spot del backtest # Entry ENTRY_SIZE_USD = 5.0 # USD por trade MIN_SHARES = 5.0 TICK_SIZE = 0.01 # Filtros de precio # En momentum taker, compramos cuando tenemos señal direccional. # A precio 0.50 el payoff es 1:1 → necesitamos WR>52% para ser rentables # A precio 0.60 el payoff es 0.67:1 → necesitamos WR>60% # A precio 0.65 el payoff es 0.54:1 → necesitamos WR>65% # Con WR~80%, hasta precio 0.65 es rentable (EV positivo) MAX_ENTRY_PRICE = 0.65 # Cap para mantener EV positivo con 80% WR MIN_ENTRY_PRICE = 0.20 # No comprar demasiado barato (mercado raro) # Taker fee TAKER_FEE_RATE = 0.02 # 2% taker fee en Polymarket # Paper simulation PAPER_SLIPPAGE = 0.01 # Slippage simulado: pagamos 1c más del mid # Defense mechanisms LOSS_STREAK_MAX = 3 # consecutive losses → trigger cooldown LOSS_STREAK_COOL = 3 # windows to skip during cooldown DAILY_LOSS_LIMIT = 15.0 # max daily loss (USD) per bot → auto-stop # Settle — esperar outcome oficial de Polymarket (NUNCA inferir) OUTCOME_MAX_WAIT = 900 # 15min max — siempre tenemos posición # -- Configuración por duración de ventana ------------------------------------ WINDOW_CONFIGS = { 5: { "win_secs": 300, "slug_tag": "5m", "price_variant": "fiveminute", "signal_start_tleft": 270, # Empezar con 4.5min restantes (30s warmup) "signal_stop_tleft": 60, # Parar con 1min restante }, 15: { "win_secs": 900, "slug_tag": "15m", "price_variant": "fifteenminute", "signal_start_tleft": 840, # Empezar con 14min restantes "signal_stop_tleft": 120, # Parar con 2min restantes }, } # -- Per-asset ---------------------------------------------------------------- ASSET_CONFIGS = { "btc": { "binance_stream": "btcusdt@trade", "slug_base": "btc-updown", "price_symbol": "BTC", "min_ask_confirm": 0.30, # BTC: filtrar precios <0.30 (WR=37% en 0.20-0.30) "entry_size_usd": 5.0, "momentum_threshold": 0.0005, # 0.05% — probado con 70 trades, 69% WR }, "eth": { "binance_stream": "ethusdt@trade", "slug_base": "eth-updown", "price_symbol": "ETH", "min_ask_confirm": 0.45, # ETH: solo entrar si CLOB ya confirma dirección "entry_size_usd": 5.0, "max_entry_price": 0.53, # >0.53 WR ~50-53%, EV negativo con 2% fee "momentum_threshold": 0.0007, # 0.07% — ETH 50% más volátil, 0.05% es ruido (25% WR) }, "sol": { "binance_stream": "solusdt@trade", "slug_base": "sol-updown", "price_symbol": "SOL", "min_ask_confirm": 0.45, # SOL: solo entrar si CLOB ya confirma dirección "entry_size_usd": 5.0, "max_entry_price": 0.53, # >0.53 WR ~50-53%, EV negativo con 2% fee "momentum_threshold": 0.0007, # 0.07% — SOL más volátil, marginal zone no es rentable }, "xrp": { "binance_stream": "xrpusdt@trade", "slug_base": "xrp-updown", "price_symbol": "XRP", "min_ask_confirm": 0.45, "max_entry_price": 0.53, "momentum_threshold": 0.0007, }, "doge": { "binance_stream": "dogeusdt@trade", "slug_base": "doge-updown", "price_symbol": "DOGE", "min_ask_confirm": 0.45, "max_entry_price": 0.53, "momentum_threshold": 0.0007, }, "bnb": { "binance_stream": "bnbusdt@trade", "slug_base": "bnb-updown", "price_symbol": "BNB", "min_ask_confirm": 0.45, "max_entry_price": 0.53, "momentum_threshold": 0.0007, }, } # -- Config resuelta ---------------------------------------------------------- @dataclass class Config: asset: str live: bool window: int = 15 # 5 o 15 minutos wallet_id: str = "default" # identificador del wallet (ej: "w1", "w2") thresh_mult: float = 1.0 # multiplicador del threshold (1.0=normal, 1.25=+25%) binance_ws: str = "" slug_prefix: str = "" price_symbol: str = "" price_variant: str = "" win_secs: int = 900 signal_start_tleft: int = 840 signal_stop_tleft: int = 120 min_ask_confirm: float = 0.20 entry_size_usd: float = 5.0 max_entry_price: float = 0.65 # per-asset override momentum_threshold: float = 0.0005 # per-asset override log_dir: Path = field(default_factory=lambda: Path(".")) trades_csv: Path = field(default_factory=lambda: Path(".")) windows_csv: Path = field(default_factory=lambda: Path(".")) state_json: Path = field(default_factory=lambda: Path(".")) def __post_init__(self): acfg = ASSET_CONFIGS[self.asset] wcfg = WINDOW_CONFIGS[self.window] self.binance_ws = f"wss://stream.binance.com:9443/ws/{acfg['binance_stream']}" self.slug_prefix = f"{acfg['slug_base']}-{wcfg['slug_tag']}-" self.price_symbol = acfg["price_symbol"] self.price_variant = wcfg["price_variant"] self.win_secs = wcfg["win_secs"] self.signal_start_tleft = wcfg["signal_start_tleft"] self.signal_stop_tleft = wcfg["signal_stop_tleft"] self.min_ask_confirm = acfg.get("min_ask_confirm", 0.20) self.max_entry_price = acfg.get("max_entry_price", MAX_ENTRY_PRICE) self.momentum_threshold = acfg.get("momentum_threshold", MOMENTUM_THRESHOLD) * self.thresh_mult self.entry_size_usd = acfg.get("entry_size_usd", ENTRY_SIZE_USD) win_tag = f"{self.window}m" # Prefijo de wallet en el directorio de logs (excepto para "default" o "w1") wallet_prefix = f"{self.wallet_id}_" if self.wallet_id not in ("default", "w1") else "" if self.live: sub = f"{wallet_prefix}{self.asset}_momentum_{win_tag}_live" else: sub = f"{wallet_prefix}{self.asset}_momentum_{win_tag}" base = Path(__file__).parent / "logs" / sub self.log_dir = base self.trades_csv = base / "trades.csv" self.windows_csv = base / "windows.csv" self.state_json = base / "state.json" # -- Utilidades --------------------------------------------------------------- def iso(ts: int) -> str: return datetime.fromtimestamp(ts, tz=timezone.utc).strftime("%Y-%m-%dT%H:%M:%SZ") def snap_price(price: float) -> float: return round(max(0.01, min(0.99, round(price / TICK_SIZE) * TICK_SIZE)), 2) def write_json(path: Path, data: dict): tmp = path.with_suffix(".tmp") try: tmp.write_text(json.dumps(data, ensure_ascii=False, indent=2)) tmp.replace(path) except Exception as e: print(f"[json-write] {path.name}: {e}")