""" V12 — Momentum Taker con Confirmación. Evolución de V11. Misma lógica base pero con dos mejoras clave: 1. CONFIRMACIÓN DE MOMENTUM: V11 entraba en el primer tick que cruzaba el threshold → vulnerable a "chop" (spike + reversión inmediata). V12 requiere que el movimiento persista N ticks consecutivos (CONFIRM_TICKS) en la misma dirección antes de generar señal. 2. AGGRESSIVE BUMP REDUCIDO: V11 pagaba ask+$0.02 para asegurar fill. V12 reduce a ask+$0.01 (configurable via AGGRESSIVE_BUMP). Cada centavo de overpay destruye edge en shares de ~$0.50. """ 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 # V12: Confirmación de momentum # Requiere N ticks consecutivos (1 tick = 1 segundo) con |move| > threshold # en la MISMA dirección antes de entrar. Filtra spikes transitorios ("chop"). CONFIRM_TICKS = 3 # 3 segundos — filtra spikes de 1 tick sin perder edge vs CLOB # V12: Bump agresivo reducido # V11 usaba +$0.02 sobre ask para asegurar fill. Eso es 4% de overpay en # un share de $0.50, destruyendo edge. Reducido a $0.01. AGGRESSIVE_BUMP = 0.01 # centavos sobre ask (V11 era 0.02) # 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 = 999.0 # desactivado — las otras defensas (global cooldown, filtro horario, thresholds) son suficientes # Filtro horario (UTC). Horas donde WR histórico < 40% → no operar. # Datos: ~300 trades, las horas desactivadas promedian WR 30% vs 55% en las activas. # Para replicar en POLYBOT2: copiar esta línea a POLYBOT2/v11/config.py # y añadir el import + check en bot.py (buscar "BLOCKED_HOURS"). BLOCKED_HOURS_UTC = set() # DESACTIVADO — test limpio desde 2026-06-01 18:00 UTC # Original: {0, 2, 6, 7, 9, 11, 12, 15, 21, 22, 23} # 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": 0.38, # sweet spot: 0.40-0.50, pero BTC asks son más bajos "entry_size_usd": 5.0, "max_entry_price": 0.55, # datos: >0.65 WR=33%, cap conservador "momentum_threshold": 0.0008, # 0.08% — subido desde 0.05%. Datos: <0.10% pierde, >0.10% gana }, "eth": { "binance_stream": "ethusdt@trade", "slug_base": "eth-updown", "price_symbol": "ETH", "min_ask_confirm": 0.40, # datos: sweet spot 0.40-0.50 (WR=56%) "entry_size_usd": 5.0, "max_entry_price": 0.53, # datos: >0.55 WR cae "momentum_threshold": 0.0010, # 0.10% — subido desde 0.07%. Solo movimientos fuertes }, "sol": { "binance_stream": "solusdt@trade", "slug_base": "sol-updown", "price_symbol": "SOL", "min_ask_confirm": 0.48, # +7% vs anterior (0.45) — más selectivo "entry_size_usd": 5.0, "max_entry_price": 0.53, "momentum_threshold": 0.0010, # 0.10% — +43% vs anterior (0.07%), solo movimientos fuertes }, "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 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 confirm_ticks: int = 10 # V12: ticks de confirmación (per-asset override) aggressive_bump: float = 0.01 # V12: centavos sobre ask (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.entry_size_usd = acfg.get("entry_size_usd", ENTRY_SIZE_USD) self.confirm_ticks = acfg.get("confirm_ticks", CONFIRM_TICKS) self.aggressive_bump = acfg.get("aggressive_bump", AGGRESSIVE_BUMP) if self.live: sub = f"{self.asset}_live" else: sub = self.asset base = Path(__file__).parent.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}")