@catalyst-team/poly-sdk 0.2.0 → 0.3.0

package/scripts/arb/token-rebalancer.ts

@@ -1,420 +0,0 @@
-#!/usr/bin/env npx tsx
-/**
- * Token Rebalancer V2 - 动态平衡 USDC 和 Token 的持有量
- *
- * 核心功能:
- * 1. 维持 USDC + Token 的目标比例
- * 2. ⚠️ 关键：保持 YES 和 NO 数量一致，避免风险敞口
- *
- * 资金模型:
- * - 1 USDC split → 1 YES + 1 NO
- * - 1 YES + 1 NO merge → 1 USDC
- * - 所以 N YES + N NO 配对价值 = N USDC
- *
- * 策略 (以 50% USDC 为例, 1000u 总资金):
- * - 500 USDC (50%)
- * - 500 YES + 500 NO (配对价值 = 500 USDC)
- * - 总价值 = 500 + 500 = 1000 USDC
- *
- * - Token 不足时自动 Split 补充
- * - Token 过多时自动 Merge 回收
- * - YES ≠ NO 时，卖出多余的一方来平衡
- *
- * 用法:
- *   POLY_PRIVKEY=0x... npx tsx scripts/v2/token-rebalancer.ts [options]
- *
- * Options:
- *   --condition <id>       Condition ID
- *   --yes-token <id>       YES token ID
- *   --no-token <id>        NO token ID
- *   --total <amount>       Total capital in USDC (default: auto-detect)
- *   --usdc-ratio <n>       USDC ratio 0-1 (default: 0.5)
- *   --interval <ms>        Check interval in ms (default: 5000)
- *   --threshold <n>        Rebalance threshold 0-1 (default: 0.2)
- *   --imbalance-threshold  Max YES/NO difference before fix (default: 5)
- *   --dry-run              Show what would happen without executing
- */
-
-import {
-    CTFClient,
-    TradingClient,
-    RateLimiter,
-  } from '../../src/index.js';
-  
-  // ============== Market Configuration ==============
-  // Default: FaZe vs Passion UA - Map 2 Winner
-  const DEFAULT_CONFIG = {
-    conditionId: '0x42b6312bfef1d4d996239fb2975a0201fed896beb9020c7117222cb9c63fb8a0',
-    yesTokenId: '98500029478540181701955943314626655950009912089703692217392489784365890894034',
-    noTokenId: '6600108613901488464286039277243478584438419930859899257744834420246596461241',
-    name: 'FaZe vs Passion UA - Map 2'
-  };
-  
-  // ============== Parse Arguments ==============
-  const args = process.argv.slice(2);
-  
-  function getArg(name: string, defaultValue?: string): string | undefined {
-    const idx = args.indexOf(`--${name}`);
-    if (idx !== -1 && args[idx + 1]) {
-      return args[idx + 1];
-    }
-    return defaultValue;
-  }
-  
-  const CONDITION_ID = getArg('condition', DEFAULT_CONFIG.conditionId)!;
-  const YES_TOKEN_ID = getArg('yes-token', DEFAULT_CONFIG.yesTokenId)!;
-  const NO_TOKEN_ID = getArg('no-token', DEFAULT_CONFIG.noTokenId)!;
-  const TOTAL_CAPITAL = getArg('total') ? parseFloat(getArg('total')!) : undefined;
-  const USDC_RATIO = parseFloat(getArg('usdc-ratio', '0.5')!);
-  const CHECK_INTERVAL = parseInt(getArg('interval', '5000')!);
-  const REBALANCE_THRESHOLD = parseFloat(getArg('threshold', '0.2')!);
-  const IMBALANCE_THRESHOLD = parseFloat(getArg('imbalance-threshold', '5')!);
-  const DRY_RUN = args.includes('--dry-run');
-  
-  // Token ratio: YES and NO should each equal the non-USDC portion
-  // Because: 1 USDC = 1 YES + 1 NO, so paired tokens (N YES + N NO) = N USDC value
-  // Example with 1000u total and 50% USDC:
-  //   - 500 USDC
-  //   - 500 YES + 500 NO (paired value = 500 USDC)
-  //   - Total value = 500 + 500 = 1000 USDC
-  const TOKEN_RATIO = 1 - USDC_RATIO;
-  
-  // Minimum amounts
-  const MIN_REBALANCE_AMOUNT = 5;
-  const MIN_SELL_AMOUNT = 5;
-  
-  // ============== State ==============
-  interface Balance {
-    usdc: number;
-    yes: number;
-    no: number;
-    total: number;
-  }
-  
-  type ActionType = 'split' | 'merge' | 'sell_yes' | 'sell_no' | 'none';
-  
-  interface RebalanceAction {
-    type: ActionType;
-    amount: number;
-    reason: string;
-    priority: number; // Higher = more urgent
-  }
-  
-  // ============== Main ==============
-  async function main() {
-    console.log('╔════════════════════════════════════════════════════════════════╗');
-    console.log('║              TOKEN REBALANCER V2 (with Risk Control)           ║');
-    console.log('╚════════════════════════════════════════════════════════════════╝');
-    console.log();
-  
-    // Initialize clients
-    const privateKey = process.env.POLY_PRIVKEY;
-    if (!privateKey) {
-      console.error('Error: POLY_PRIVKEY environment variable is required');
-      process.exit(1);
-    }
-  
-    const ctf = new CTFClient({
-      privateKey,
-      rpcUrl: 'https://polygon-rpc.com',
-    });
-  
-    // Initialize trading client for selling excess tokens
-    const rateLimiter = new RateLimiter();
-    const tradingClient = new TradingClient(rateLimiter, {
-      privateKey,
-      chainId: 137,
-    });
-    await tradingClient.initialize();
-  
-    console.log(`Wallet: ${ctf.getAddress()}`);
-    console.log(`Condition: ${CONDITION_ID.slice(0, 20)}...`);
-    console.log(`Target: ${(USDC_RATIO * 100).toFixed(0)}% USDC + ${(TOKEN_RATIO * 100).toFixed(0)}% Tokens (${(TOKEN_RATIO * 100).toFixed(0)} YES + ${(TOKEN_RATIO * 100).toFixed(0)} NO paired)`);
-    console.log(`Rebalance Threshold: ${(REBALANCE_THRESHOLD * 100).toFixed(0)}%`);
-    console.log(`Imbalance Threshold: ${IMBALANCE_THRESHOLD} tokens (YES must equal NO)`);
-    console.log(`Check Interval: ${CHECK_INTERVAL}ms`);
-    console.log(`Mode: ${DRY_RUN ? 'DRY RUN (no execution)' : 'LIVE'}`);
-    console.log();
-  
-    // Get initial balance
-    const balance = await getBalance(ctf, tradingClient);
-    const totalCapital = TOTAL_CAPITAL || balance.total;
-  
-    console.log(`Total Capital: $${totalCapital.toFixed(2)}`);
-    console.log(`Initial: USDC=${balance.usdc.toFixed(2)} YES=${balance.yes.toFixed(2)} NO=${balance.no.toFixed(2)}`);
-  
-    const initialImbalance = Math.abs(balance.yes - balance.no);
-    if (initialImbalance > IMBALANCE_THRESHOLD) {
-      console.log(`\n⚠️  WARNING: Token imbalance detected! YES-NO=${(balance.yes - balance.no).toFixed(2)}`);
-      console.log(`   This creates risk exposure. Will auto-fix by selling excess tokens.`);
-    }
-  
-    console.log();
-    console.log('═══════════════════════════════════════════════════════════════');
-    console.log('Starting rebalancer loop...');
-    console.log();
-  
-    // Main loop
-    let lastActionTime = 0;
-    const MIN_ACTION_INTERVAL = 10000; // Wait at least 10s between actions
-    const CONFIRM_DELAY = 5000; // Wait 5s before confirming imbalance action
-    const BALANCE_CHANGE_THRESHOLD = 1; // If balance changes by more than this, reset confirmation
-    let pendingImbalanceAction: RebalanceAction | null = null;
-    let pendingImbalanceTime = 0;
-    let lastConfirmBalance: Balance | null = null;
-  
-    while (true) {
-      try {
-        const currentBalance = await getBalance(ctf, tradingClient);
-        const actions = calculateRebalanceActions(currentBalance, totalCapital);
-  
-        // Get highest priority action
-        const action = actions.sort((a, b) => b.priority - a.priority)[0];
-  
-        // Display status
-        const usdcPct = (currentBalance.usdc / totalCapital * 100).toFixed(1);
-        const yesPct = (currentBalance.yes / totalCapital * 100).toFixed(1);
-        const noPct = (currentBalance.no / totalCapital * 100).toFixed(1);
-        const imbalance = currentBalance.yes - currentBalance.no;
-        const imbalanceStr = imbalance >= 0 ? `+${imbalance.toFixed(1)}` : imbalance.toFixed(1);
-  
-        const timestamp = new Date().toLocaleTimeString('en-US', { hour12: false });
-        const statusLine = `[${timestamp}] USDC: $${currentBalance.usdc.toFixed(0)} (${usdcPct}%) | YES: ${currentBalance.yes.toFixed(0)} (${yesPct}%) | NO: ${currentBalance.no.toFixed(0)} (${noPct}%) | Δ: ${imbalanceStr} | ${action.type}`;
-  
-        process.stdout.write(`\r${statusLine.padEnd(130)}`);
-  
-        // Execute action if needed
-        if (action.type !== 'none' && action.amount >= MIN_SELL_AMOUNT) {
-          const now = Date.now();
-          if (now - lastActionTime < MIN_ACTION_INTERVAL) {
-            await sleep(CHECK_INTERVAL);
-            continue;
-          }
-  
-          // For imbalance actions (sell_yes/sell_no), require confirmation after delay
-          // This prevents reacting to temporary imbalance during CLOB settlement
-          if (action.type === 'sell_yes' || action.type === 'sell_no') {
-            // Check if balance has changed significantly since last check
-            const balanceChanged = lastConfirmBalance && (
-              Math.abs(currentBalance.yes - lastConfirmBalance.yes) > BALANCE_CHANGE_THRESHOLD ||
-              Math.abs(currentBalance.no - lastConfirmBalance.no) > BALANCE_CHANGE_THRESHOLD
-            );
-  
-            if (!pendingImbalanceAction || pendingImbalanceAction.type !== action.type || balanceChanged) {
-              // New imbalance detected or balance changed, (re)start waiting
-              if (balanceChanged && pendingImbalanceAction) {
-                console.log(`\n⚠️ Balance changed during confirmation, restarting ${CONFIRM_DELAY/1000}s wait...`);
-              } else if (!pendingImbalanceAction) {
-                console.log(`\n⏳ Imbalance detected (${action.type}), waiting ${CONFIRM_DELAY/1000}s to confirm...`);
-              }
-              pendingImbalanceAction = action;
-              pendingImbalanceTime = now;
-              lastConfirmBalance = { ...currentBalance };
-              await sleep(CHECK_INTERVAL);
-              continue;
-            } else if (now - pendingImbalanceTime < CONFIRM_DELAY) {
-              // Still waiting for confirmation
-              await sleep(CHECK_INTERVAL);
-              continue;
-            }
-            // Confirmed - imbalance persisted for CONFIRM_DELAY with stable balance, proceed with action
-            console.log(`\n✓ Imbalance confirmed after ${CONFIRM_DELAY/1000}s delay (balance stable)`);
-            pendingImbalanceAction = null;
-            lastConfirmBalance = null;
-          }
-  
-          console.log(); // New line for action log
-          console.log(`\n🔄 Action: ${action.type.toUpperCase()} ${action.amount.toFixed(2)}`);
-          console.log(`   Reason: ${action.reason}`);
-          console.log(`   Priority: ${action.priority}`);
-  
-          if (!DRY_RUN) {
-            try {
-              let success = false;
-  
-              switch (action.type) {
-                case 'split':
-                  const splitResult = await ctf.split(CONDITION_ID, action.amount.toString());
-                  console.log(`   ✅ Split TX: ${splitResult.txHash}`);
-                  success = true;
-                  break;
-  
-                case 'merge':
-                  const mergeResult = await ctf.merge(CONDITION_ID, action.amount.toString());
-                  console.log(`   ✅ Merge TX: ${mergeResult.txHash}`);
-                  success = true;
-                  break;
-  
-                case 'sell_yes':
-                  const sellYesResult = await tradingClient.createMarketOrder({
-                    tokenId: YES_TOKEN_ID,
-                    side: 'SELL',
-                    amount: action.amount,
-                    orderType: 'FOK',
-                  });
-                  if (sellYesResult.success) {
-                    console.log(`   ✅ Sold ${action.amount.toFixed(2)} YES tokens`);
-                    success = true;
-                  } else {
-                    console.log(`   ❌ Sell YES failed: ${sellYesResult.errorMsg || 'unknown error'}`);
-                  }
-                  break;
-  
-                case 'sell_no':
-                  const sellNoResult = await tradingClient.createMarketOrder({
-                    tokenId: NO_TOKEN_ID,
-                    side: 'SELL',
-                    amount: action.amount,
-                    orderType: 'FOK',
-                  });
-                  if (sellNoResult.success) {
-                    console.log(`   ✅ Sold ${action.amount.toFixed(2)} NO tokens`);
-                    success = true;
-                  } else {
-                    console.log(`   ❌ Sell NO failed: ${sellNoResult.errorMsg || 'unknown error'}`);
-                  }
-                  break;
-              }
-  
-              if (success) {
-                lastActionTime = now;
-              }
-            } catch (error: any) {
-              console.log(`   ❌ Failed: ${error.message}`);
-            }
-          } else {
-            console.log(`   [DRY RUN] Would execute ${action.type}`);
-          }
-          console.log();
-        }
-  
-        await sleep(CHECK_INTERVAL);
-      } catch (error: any) {
-        console.error(`\nError: ${error.message}`);
-        await sleep(CHECK_INTERVAL);
-      }
-    }
-  }
-  
-  async function getBalance(ctf: CTFClient, _tradingClient: TradingClient): Promise<Balance> {
-    // Get USDC.e balance
-    const usdcBalance = await ctf.getUsdcBalance();
-    const usdc = parseFloat(usdcBalance);
-  
-    // Get token balances using getPositionBalanceByTokenIds
-    const tokenIds = { yesTokenId: YES_TOKEN_ID, noTokenId: NO_TOKEN_ID };
-    const positions = await ctf.getPositionBalanceByTokenIds(CONDITION_ID, tokenIds);
-  
-    const yes = parseFloat(positions.yesBalance);
-    const no = parseFloat(positions.noBalance);
-  
-    // Total = USDC + min(YES, NO) as paired tokens
-    const pairedTokens = Math.min(yes, no);
-    const total = usdc + pairedTokens;
-  
-    return { usdc, yes, no, total };
-  }
-  
-  function calculateRebalanceActions(balance: Balance, totalCapital: number): RebalanceAction[] {
-    const actions: RebalanceAction[] = [];
-  
-    const targetUsdc = totalCapital * USDC_RATIO;
-    const targetToken = totalCapital * TOKEN_RATIO;
-  
-    const usdcDiff = balance.usdc - targetUsdc;
-    const yesDiff = balance.yes - targetToken;
-    const noDiff = balance.no - targetToken;
-    const tokenImbalance = balance.yes - balance.no;
-  
-    // ============================================
-    // PRIORITY 1: Fix YES/NO imbalance (HIGHEST)
-    // This is critical for risk management!
-    // ============================================
-    if (Math.abs(tokenImbalance) > IMBALANCE_THRESHOLD) {
-      if (tokenImbalance > 0) {
-        // YES > NO, sell excess YES
-        const sellAmount = Math.floor(Math.min(tokenImbalance, balance.yes * 0.5) * 1e6) / 1e6;
-        if (sellAmount >= MIN_SELL_AMOUNT) {
-          actions.push({
-            type: 'sell_yes',
-            amount: sellAmount,
-            reason: `⚠️ RISK: YES > NO by ${tokenImbalance.toFixed(2)}. Selling excess YES to balance.`,
-            priority: 100, // Highest priority
-          });
-        }
-      } else {
-        // NO > YES, sell excess NO
-        const sellAmount = Math.floor(Math.min(-tokenImbalance, balance.no * 0.5) * 1e6) / 1e6;
-        if (sellAmount >= MIN_SELL_AMOUNT) {
-          actions.push({
-            type: 'sell_no',
-            amount: sellAmount,
-            reason: `⚠️ RISK: NO > YES by ${(-tokenImbalance).toFixed(2)}. Selling excess NO to balance.`,
-            priority: 100, // Highest priority
-          });
-        }
-      }
-    }
-  
-    // ============================================
-    // PRIORITY 2: Merge excess paired tokens
-    // ============================================
-    const pairedTokens = Math.min(balance.yes, balance.no);
-    const excessPairs = pairedTokens - targetToken;
-  
-    if (excessPairs > MIN_REBALANCE_AMOUNT && usdcDiff < 0) {
-      const mergeAmount = Math.floor(Math.min(excessPairs * 0.5, Math.abs(usdcDiff)) * 100) / 100;
-      if (mergeAmount >= MIN_REBALANCE_AMOUNT) {
-        actions.push({
-          type: 'merge',
-          amount: mergeAmount,
-          reason: `Excess token pairs (${pairedTokens.toFixed(0)} > ${targetToken.toFixed(0)}), USDC low`,
-          priority: 50,
-        });
-      }
-    }
-  
-    // ============================================
-    // PRIORITY 3: Split to create more tokens
-    // ============================================
-    const usdcDeviation = Math.abs(usdcDiff) / targetUsdc;
-  
-    if (usdcDeviation > REBALANCE_THRESHOLD && usdcDiff > 0) {
-      // Check if both tokens are low
-      if (yesDiff < 0 && noDiff < 0) {
-        const splitAmount = Math.floor(Math.min(
-          usdcDiff * 0.5,
-          Math.abs(Math.min(yesDiff, noDiff)),
-          balance.usdc * 0.3
-        ) * 100) / 100;
-  
-        if (splitAmount >= MIN_REBALANCE_AMOUNT) {
-          actions.push({
-            type: 'split',
-            amount: splitAmount,
-            reason: `USDC high (${(usdcDeviation * 100).toFixed(0)}% over), tokens low`,
-            priority: 30,
-          });
-        }
-      }
-    }
-  
-    // Default: no action needed
-    if (actions.length === 0) {
-      actions.push({
-        type: 'none',
-        amount: 0,
-        reason: 'Balanced',
-        priority: 0,
-      });
-    }
-  
-    return actions;
-  }
-  
-  function sleep(ms: number): Promise<void> {
-    return new Promise(resolve => setTimeout(resolve, ms));
-  }
-  
-  // Run
-  main().catch(console.error);