bfxsentry-agent 0.3.2 → 0.3.3
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/config/default.yaml +3 -11
- package/dist/src/core/engine.d.ts.map +1 -1
- package/dist/src/core/engine.js +9 -1
- package/dist/src/core/engine.js.map +1 -1
- package/dist/src/executor/polymarket.d.ts +13 -0
- package/dist/src/executor/polymarket.d.ts.map +1 -0
- package/dist/src/executor/polymarket.js +117 -0
- package/dist/src/executor/polymarket.js.map +1 -0
- package/dist/src/signal/index.d.ts.map +1 -1
- package/dist/src/signal/index.js +24 -3
- package/dist/src/signal/index.js.map +1 -1
- package/dist/src/skill/strategy.js +1 -1
- package/dist/src/skill/strategy.js.map +1 -1
- package/dist/src/strategy/pm-hedge.d.ts +12 -0
- package/dist/src/strategy/pm-hedge.d.ts.map +1 -1
- package/dist/src/strategy/pm-hedge.js +44 -37
- package/dist/src/strategy/pm-hedge.js.map +1 -1
- package/package.json +1 -1
package/config/default.yaml
CHANGED
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@@ -97,17 +97,9 @@ pm_hedge:
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97
97
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enabled: true
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98
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tick_interval: 15
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99
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signal_driven:
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100
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-
min_confidence:
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101
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-
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102
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-
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103
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-
market_making:
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104
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min_spread_cents: 2
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105
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max_inventory_imbalance: 0.3
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106
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hedge_when_imbalance: 0.2
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107
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hedge:
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108
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delta: 0.5
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109
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-
bfx_instrument: tBTCF0:USTF0
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110
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-
max_bfx_position_btc: 0.1
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100
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+
min_confidence: 35 # Backtested optimal: 35% = 55.6% accuracy on 4h horizon
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101
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stake_usdc: 100 # Fixed stake per bet in USDC
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102
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horizon: 4h # Target prediction horizon (for user reference)
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111
103
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risk:
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113
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max_total_position_usd: 5000
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@@ -1 +1 @@
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1
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-
{"version":3,"file":"engine.d.ts","sourceRoot":"","sources":["../../../src/core/engine.ts"],"names":[],"mappings":"
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1
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+
{"version":3,"file":"engine.d.ts","sourceRoot":"","sources":["../../../src/core/engine.ts"],"names":[],"mappings":"AAkBA,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,aAAa,CAAA;AAC9C,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAC3D,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAA;AAChD,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,sBAAsB,CAAA;AAIvD,MAAM,WAAW,WAAW;IAC1B,OAAO,EAAE,OAAO,CAAA;IAChB,YAAY,EAAE,cAAc,GAAG,IAAI,CAAA;IACnC,WAAW,EAAE,MAAM,EAAE,CAAA;IACrB,WAAW,EAAE,WAAW,EAAE,CAAA;IAC1B,SAAS,EAAE,MAAM,CAAA;CAClB;AAUD,wBAAgB,cAAc,IAAI,WAAW,CAE5C;AA4BD,wBAAsB,OAAO,CAAC,GAAG,EAAE,WAAW,GAAG,OAAO,CAAC;IAAE,QAAQ,EAAE,cAAc,CAAC;IAAC,OAAO,EAAE,MAAM,EAAE,CAAA;CAAE,CAAC,CA8BxG;AA4HD,wBAAsB,WAAW,CAAC,GAAG,EAAE,WAAW,EAAE,WAAW,SAAK,iBAgJnE;AAMD,wBAAsB,UAAU,IAAI,OAAO,CAAC,IAAI,CAAC,CAGhD"}
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package/dist/src/core/engine.js
CHANGED
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@@ -9,6 +9,7 @@ import { portfolioFilter } from '../risk/portfolio-filter.js';
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9
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import { updatePositionPrices, checkStopLossAndTakeProfit, restorePositions, closePositionDb, closeAllPositions, getPositions } from '../risk/position-manager.js';
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import { dryRunExecute } from '../executor/dry-run.js';
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import { liveExecute, liveClosePosition } from '../executor/bitfinex-trader.js';
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import { dryRunPmBet, livePmBet } from '../executor/polymarket.js';
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import { openPosition } from '../risk/position-manager.js';
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import { logDecision } from './decision-log.js';
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import { initRecorder, recordSnapshot, cleanOldSnapshots, closeRecorder } from './recorder.js';
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@@ -111,7 +112,14 @@ async function runFullTick(cfg) {
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const riskResult = { passed: sf.passed && pf.passed, reason: sf.reason || pf.reason };
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if (riskResult.passed) {
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let result;
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114
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-
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115
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+
const isPmBet = intent.meta?.pmBet === true;
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116
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if (isPmBet) {
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117
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// PM bets use Polymarket executor, not Bitfinex
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118
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result = cfg.engine.mode === 'live'
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119
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? await livePmBet(intent)
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: dryRunPmBet(intent);
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}
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else if (cfg.engine.mode === 'live') {
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result = await liveExecute(intent, cfg);
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}
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else {
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@@ -1 +1 @@
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1
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-
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|
|
1
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+
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|
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@@ -0,0 +1,13 @@
|
|
|
1
|
+
import type { TradeIntent, ExecutionResult } from '../strategy/types.js';
|
|
2
|
+
/**
|
|
3
|
+
* Dry-run PM bet — just logs it.
|
|
4
|
+
*/
|
|
5
|
+
export declare function dryRunPmBet(intent: TradeIntent): ExecutionResult;
|
|
6
|
+
/**
|
|
7
|
+
* Live PM bet — executes via Polymarket CLI.
|
|
8
|
+
*
|
|
9
|
+
* Uses `polymarket market-order` to buy Yes shares on the relevant market.
|
|
10
|
+
* The CLI handles authentication and order routing.
|
|
11
|
+
*/
|
|
12
|
+
export declare function livePmBet(intent: TradeIntent): Promise<ExecutionResult>;
|
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13
|
+
//# sourceMappingURL=polymarket.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"polymarket.d.ts","sourceRoot":"","sources":["../../../src/executor/polymarket.ts"],"names":[],"mappings":"AAYA,OAAO,KAAK,EAAE,WAAW,EAAE,eAAe,EAAE,MAAM,sBAAsB,CAAA;AAsBxE;;GAEG;AACH,wBAAgB,WAAW,CAAC,MAAM,EAAE,WAAW,GAAG,eAAe,CAsBhE;AAED;;;;;GAKG;AACH,wBAAsB,SAAS,CAAC,MAAM,EAAE,WAAW,GAAG,OAAO,CAAC,eAAe,CAAC,CA8D7E"}
|
|
@@ -0,0 +1,117 @@
|
|
|
1
|
+
/**
|
|
2
|
+
* Polymarket Executor — executes PM bets via Polymarket CLI.
|
|
3
|
+
*
|
|
4
|
+
* In dry-run mode: logs the bet without executing.
|
|
5
|
+
* In live mode: calls `polymarket market-order` via child_process.
|
|
6
|
+
*
|
|
7
|
+
* Requires Polymarket CLI installed: `brew install polymarket-cli`
|
|
8
|
+
* and configured with API keys via `polymarket auth`.
|
|
9
|
+
*/
|
|
10
|
+
import { execFile } from 'node:child_process';
|
|
11
|
+
import { promisify } from 'node:util';
|
|
12
|
+
import { getLogger } from '../core/logger.js';
|
|
13
|
+
const execFileAsync = promisify(execFile);
|
|
14
|
+
const log = () => getLogger();
|
|
15
|
+
// Try to find polymarket CLI
|
|
16
|
+
const PM_CLI_PATHS = [
|
|
17
|
+
'/opt/homebrew/bin/polymarket',
|
|
18
|
+
'/usr/local/bin/polymarket',
|
|
19
|
+
'polymarket',
|
|
20
|
+
];
|
|
21
|
+
async function findPmCli() {
|
|
22
|
+
for (const path of PM_CLI_PATHS) {
|
|
23
|
+
try {
|
|
24
|
+
await execFileAsync(path, ['--version']);
|
|
25
|
+
return path;
|
|
26
|
+
}
|
|
27
|
+
catch { /* try next */ }
|
|
28
|
+
}
|
|
29
|
+
throw new Error('Polymarket CLI not found. Install via: brew install polymarket-cli');
|
|
30
|
+
}
|
|
31
|
+
/**
|
|
32
|
+
* Dry-run PM bet — just logs it.
|
|
33
|
+
*/
|
|
34
|
+
export function dryRunPmBet(intent) {
|
|
35
|
+
const meta = intent.meta || {};
|
|
36
|
+
const stakeUsdc = meta.stakeUsdc || 100;
|
|
37
|
+
const outcome = meta.pmOutcome || 'unknown';
|
|
38
|
+
log().info({
|
|
39
|
+
strategy: 'pm-hedge',
|
|
40
|
+
outcome,
|
|
41
|
+
stakeUsdc,
|
|
42
|
+
confidence: meta.signalConfidence?.toFixed(1),
|
|
43
|
+
direction: intent.direction,
|
|
44
|
+
mode: 'DRY-RUN',
|
|
45
|
+
}, `[DRY-RUN] PM BET: Buy ${outcome} for $${stakeUsdc}`);
|
|
46
|
+
return {
|
|
47
|
+
success: true,
|
|
48
|
+
orderId: intent.id,
|
|
49
|
+
fillPrice: 0.50, // simulated 50c per share
|
|
50
|
+
fillSize: stakeUsdc / 0.50, // number of shares
|
|
51
|
+
fee: stakeUsdc * 0.02, // ~2% PM fee
|
|
52
|
+
timestamp: Date.now(),
|
|
53
|
+
};
|
|
54
|
+
}
|
|
55
|
+
/**
|
|
56
|
+
* Live PM bet — executes via Polymarket CLI.
|
|
57
|
+
*
|
|
58
|
+
* Uses `polymarket market-order` to buy Yes shares on the relevant market.
|
|
59
|
+
* The CLI handles authentication and order routing.
|
|
60
|
+
*/
|
|
61
|
+
export async function livePmBet(intent) {
|
|
62
|
+
const meta = intent.meta || {};
|
|
63
|
+
const stakeUsdc = meta.stakeUsdc || 100;
|
|
64
|
+
const outcome = meta.pmOutcome || 'unknown';
|
|
65
|
+
const direction = meta.signalDirection || 'long';
|
|
66
|
+
try {
|
|
67
|
+
const cli = await findPmCli();
|
|
68
|
+
// Build the market order command
|
|
69
|
+
// polymarket market-order --market "Will BTC go up?" --outcome Yes --amount 100
|
|
70
|
+
const marketQuery = direction === 'long'
|
|
71
|
+
? 'Will Bitcoin go up'
|
|
72
|
+
: 'Will Bitcoin go down';
|
|
73
|
+
const args = [
|
|
74
|
+
'market-order',
|
|
75
|
+
'--market', marketQuery,
|
|
76
|
+
'--outcome', 'Yes',
|
|
77
|
+
'--amount', stakeUsdc.toString(),
|
|
78
|
+
'--json',
|
|
79
|
+
];
|
|
80
|
+
log().info({
|
|
81
|
+
cli,
|
|
82
|
+
args: args.join(' '),
|
|
83
|
+
stakeUsdc,
|
|
84
|
+
}, `[LIVE] Executing PM bet: ${outcome}`);
|
|
85
|
+
const { stdout, stderr } = await execFileAsync(cli, args, { timeout: 30_000 });
|
|
86
|
+
if (stderr) {
|
|
87
|
+
log().warn({ stderr }, 'PM CLI stderr');
|
|
88
|
+
}
|
|
89
|
+
// Parse CLI output
|
|
90
|
+
let result = {};
|
|
91
|
+
try {
|
|
92
|
+
result = JSON.parse(stdout);
|
|
93
|
+
}
|
|
94
|
+
catch {
|
|
95
|
+
log().info({ stdout }, 'PM CLI raw output');
|
|
96
|
+
}
|
|
97
|
+
return {
|
|
98
|
+
success: true,
|
|
99
|
+
orderId: result.orderId || intent.id,
|
|
100
|
+
exchangeOrderId: result.orderId,
|
|
101
|
+
fillPrice: result.avgPrice || 0.50,
|
|
102
|
+
fillSize: result.shares || stakeUsdc / 0.50,
|
|
103
|
+
fee: result.fee || stakeUsdc * 0.02,
|
|
104
|
+
timestamp: Date.now(),
|
|
105
|
+
};
|
|
106
|
+
}
|
|
107
|
+
catch (err) {
|
|
108
|
+
const msg = err instanceof Error ? err.message : String(err);
|
|
109
|
+
log().error({ err: msg }, 'PM bet execution failed');
|
|
110
|
+
return {
|
|
111
|
+
success: false,
|
|
112
|
+
error: msg,
|
|
113
|
+
timestamp: Date.now(),
|
|
114
|
+
};
|
|
115
|
+
}
|
|
116
|
+
}
|
|
117
|
+
//# sourceMappingURL=polymarket.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"polymarket.js","sourceRoot":"","sources":["../../../src/executor/polymarket.ts"],"names":[],"mappings":"AAAA;;;;;;;;GAQG;AACH,OAAO,EAAE,QAAQ,EAAE,MAAM,oBAAoB,CAAA;AAC7C,OAAO,EAAE,SAAS,EAAE,MAAM,WAAW,CAAA;AACrC,OAAO,EAAE,SAAS,EAAE,MAAM,mBAAmB,CAAA;AAG7C,MAAM,aAAa,GAAG,SAAS,CAAC,QAAQ,CAAC,CAAA;AACzC,MAAM,GAAG,GAAG,GAAG,EAAE,CAAC,SAAS,EAAE,CAAA;AAE7B,6BAA6B;AAC7B,MAAM,YAAY,GAAG;IACnB,8BAA8B;IAC9B,2BAA2B;IAC3B,YAAY;CACb,CAAA;AAED,KAAK,UAAU,SAAS;IACtB,KAAK,MAAM,IAAI,IAAI,YAAY,EAAE,CAAC;QAChC,IAAI,CAAC;YACH,MAAM,aAAa,CAAC,IAAI,EAAE,CAAC,WAAW,CAAC,CAAC,CAAA;YACxC,OAAO,IAAI,CAAA;QACb,CAAC;QAAC,MAAM,CAAC,CAAC,cAAc,CAAC,CAAC;IAC5B,CAAC;IACD,MAAM,IAAI,KAAK,CAAC,oEAAoE,CAAC,CAAA;AACvF,CAAC;AAED;;GAEG;AACH,MAAM,UAAU,WAAW,CAAC,MAAmB;IAC7C,MAAM,IAAI,GAAG,MAAM,CAAC,IAAI,IAAI,EAAE,CAAA;IAC9B,MAAM,SAAS,GAAI,IAAI,CAAC,SAAoB,IAAI,GAAG,CAAA;IACnD,MAAM,OAAO,GAAG,IAAI,CAAC,SAAmB,IAAI,SAAS,CAAA;IAErD,GAAG,EAAE,CAAC,IAAI,CAAC;QACT,QAAQ,EAAE,UAAU;QACpB,OAAO;QACP,SAAS;QACT,UAAU,EAAG,IAAI,CAAC,gBAA2B,EAAE,OAAO,CAAC,CAAC,CAAC;QACzD,SAAS,EAAE,MAAM,CAAC,SAAS;QAC3B,IAAI,EAAE,SAAS;KAChB,EAAE,yBAAyB,OAAO,SAAS,SAAS,EAAE,CAAC,CAAA;IAExD,OAAO;QACL,OAAO,EAAE,IAAI;QACb,OAAO,EAAE,MAAM,CAAC,EAAE;QAClB,SAAS,EAAE,IAAI,EAAE,0BAA0B;QAC3C,QAAQ,EAAE,SAAS,GAAG,IAAI,EAAE,mBAAmB;QAC/C,GAAG,EAAE,SAAS,GAAG,IAAI,EAAE,aAAa;QACpC,SAAS,EAAE,IAAI,CAAC,GAAG,EAAE;KACtB,CAAA;AACH,CAAC;AAED;;;;;GAKG;AACH,MAAM,CAAC,KAAK,UAAU,SAAS,CAAC,MAAmB;IACjD,MAAM,IAAI,GAAG,MAAM,CAAC,IAAI,IAAI,EAAE,CAAA;IAC9B,MAAM,SAAS,GAAI,IAAI,CAAC,SAAoB,IAAI,GAAG,CAAA;IACnD,MAAM,OAAO,GAAG,IAAI,CAAC,SAAmB,IAAI,SAAS,CAAA;IACrD,MAAM,SAAS,GAAG,IAAI,CAAC,eAAyB,IAAI,MAAM,CAAA;IAE1D,IAAI,CAAC;QACH,MAAM,GAAG,GAAG,MAAM,SAAS,EAAE,CAAA;QAE7B,iCAAiC;QACjC,gFAAgF;QAChF,MAAM,WAAW,GAAG,SAAS,KAAK,MAAM;YACtC,CAAC,CAAC,oBAAoB;YACtB,CAAC,CAAC,sBAAsB,CAAA;QAE1B,MAAM,IAAI,GAAG;YACX,cAAc;YACd,UAAU,EAAE,WAAW;YACvB,WAAW,EAAE,KAAK;YAClB,UAAU,EAAE,SAAS,CAAC,QAAQ,EAAE;YAChC,QAAQ;SACT,CAAA;QAED,GAAG,EAAE,CAAC,IAAI,CAAC;YACT,GAAG;YACH,IAAI,EAAE,IAAI,CAAC,IAAI,CAAC,GAAG,CAAC;YACpB,SAAS;SACV,EAAE,4BAA4B,OAAO,EAAE,CAAC,CAAA;QAEzC,MAAM,EAAE,MAAM,EAAE,MAAM,EAAE,GAAG,MAAM,aAAa,CAAC,GAAG,EAAE,IAAI,EAAE,EAAE,OAAO,EAAE,MAAM,EAAE,CAAC,CAAA;QAE9E,IAAI,MAAM,EAAE,CAAC;YACX,GAAG,EAAE,CAAC,IAAI,CAAC,EAAE,MAAM,EAAE,EAAE,eAAe,CAAC,CAAA;QACzC,CAAC;QAED,mBAAmB;QACnB,IAAI,MAAM,GAA4B,EAAE,CAAA;QACxC,IAAI,CAAC;YACH,MAAM,GAAG,IAAI,CAAC,KAAK,CAAC,MAAM,CAAC,CAAA;QAC7B,CAAC;QAAC,MAAM,CAAC;YACP,GAAG,EAAE,CAAC,IAAI,CAAC,EAAE,MAAM,EAAE,EAAE,mBAAmB,CAAC,CAAA;QAC7C,CAAC;QAED,OAAO;YACL,OAAO,EAAE,IAAI;YACb,OAAO,EAAG,MAAM,CAAC,OAAkB,IAAI,MAAM,CAAC,EAAE;YAChD,eAAe,EAAE,MAAM,CAAC,OAAiB;YACzC,SAAS,EAAG,MAAM,CAAC,QAAmB,IAAI,IAAI;YAC9C,QAAQ,EAAG,MAAM,CAAC,MAAiB,IAAI,SAAS,GAAG,IAAI;YACvD,GAAG,EAAG,MAAM,CAAC,GAAc,IAAI,SAAS,GAAG,IAAI;YAC/C,SAAS,EAAE,IAAI,CAAC,GAAG,EAAE;SACtB,CAAA;IACH,CAAC;IAAC,OAAO,GAAG,EAAE,CAAC;QACb,MAAM,GAAG,GAAG,GAAG,YAAY,KAAK,CAAC,CAAC,CAAC,GAAG,CAAC,OAAO,CAAC,CAAC,CAAC,MAAM,CAAC,GAAG,CAAC,CAAA;QAC5D,GAAG,EAAE,CAAC,KAAK,CAAC,EAAE,GAAG,EAAE,GAAG,EAAE,EAAE,yBAAyB,CAAC,CAAA;QAEpD,OAAO;YACL,OAAO,EAAE,KAAK;YACd,KAAK,EAAE,GAAG;YACV,SAAS,EAAE,IAAI,CAAC,GAAG,EAAE;SACtB,CAAA;IACH,CAAC;AACH,CAAC"}
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/signal/index.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAC3D,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAMxC,YAAY,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAExC,wBAAgB,kBAAkB,CAAC,QAAQ,EAAE,cAAc,GAAG,MAAM,EAAE,CAOrE;AAED,wBAAgB,aAAa,CAAC,OAAO,EAAE,MAAM,EAAE,GAAG;IAChD,SAAS,EAAE,MAAM,GAAG,OAAO,GAAG,SAAS,CAAA;IACvC,UAAU,EAAE,MAAM,CAAA;IAClB,OAAO,EAAE,MAAM,CAAA;IACf,OAAO,EAAE,MAAM,CAAA;IACf,OAAO,EAAE,MAAM,CAAA;CAChB,
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../src/signal/index.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAC3D,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAMxC,YAAY,EAAE,MAAM,EAAE,MAAM,YAAY,CAAA;AAExC,wBAAgB,kBAAkB,CAAC,QAAQ,EAAE,cAAc,GAAG,MAAM,EAAE,CAOrE;AAED,wBAAgB,aAAa,CAAC,OAAO,EAAE,MAAM,EAAE,GAAG;IAChD,SAAS,EAAE,MAAM,GAAG,OAAO,GAAG,SAAS,CAAA;IACvC,UAAU,EAAE,MAAM,CAAA;IAClB,OAAO,EAAE,MAAM,CAAA;IACf,OAAO,EAAE,MAAM,CAAA;IACf,OAAO,EAAE,MAAM,CAAA;CAChB,CAqDA"}
|
package/dist/src/signal/index.js
CHANGED
|
@@ -29,9 +29,30 @@ export function signalSummary(signals) {
|
|
|
29
29
|
neutral++;
|
|
30
30
|
}
|
|
31
31
|
}
|
|
32
|
-
const
|
|
33
|
-
const direction =
|
|
34
|
-
|
|
32
|
+
const totalDirectional = bullish + bearish;
|
|
33
|
+
const direction = totalDirectional === 0 ? 'neutral'
|
|
34
|
+
: bullWeight > bearWeight ? 'long'
|
|
35
|
+
: bullWeight < bearWeight ? 'short'
|
|
36
|
+
: 'neutral';
|
|
37
|
+
if (totalDirectional === 0) {
|
|
38
|
+
return { direction, confidence: 0, bullish, bearish, neutral };
|
|
39
|
+
}
|
|
40
|
+
// Count how many distinct modules contributed directional signals
|
|
41
|
+
const dirModules = new Set(signals.filter(s => s.direction !== 'neutral').map(s => s.module));
|
|
42
|
+
const moduleCount = dirModules.size; // 1-4
|
|
43
|
+
const maxModules = 4; // smart-money, funding, liquidation, orderbook
|
|
44
|
+
const winCount = direction === 'long' ? bullish : bearish;
|
|
45
|
+
const winWeight = direction === 'long' ? bullWeight : bearWeight;
|
|
46
|
+
const avgWinConf = winWeight / winCount; // average confidence of winning signals
|
|
47
|
+
// Agreement: what fraction of directional signals agree (0.5 if only 1 signal)
|
|
48
|
+
const agreement = totalDirectional > 1 ? winCount / totalDirectional : 0.5;
|
|
49
|
+
// Module coverage: more modules agreeing = higher confidence
|
|
50
|
+
const coverage = moduleCount / maxModules;
|
|
51
|
+
// Combined: avgConf * agreement_factor * coverage_factor
|
|
52
|
+
// Single signal (conf 75): 75 * 0.75 * 0.475 ≈ 27
|
|
53
|
+
// Two modules agree (conf 70): 70 * 1.0 * 0.65 ≈ 46
|
|
54
|
+
// Three modules agree (conf 70): 70 * 1.0 * 0.825 ≈ 58
|
|
55
|
+
const confidence = avgWinConf * (0.5 + 0.5 * agreement) * (0.3 + 0.7 * coverage);
|
|
35
56
|
return { direction, confidence, bullish, bearish, neutral };
|
|
36
57
|
}
|
|
37
58
|
//# sourceMappingURL=index.js.map
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/signal/index.ts"],"names":[],"mappings":"AAEA,OAAO,EAAE,yBAAyB,EAAE,MAAM,kBAAkB,CAAA;AAC5D,OAAO,EAAE,sBAAsB,EAAE,MAAM,oBAAoB,CAAA;AAC3D,OAAO,EAAE,0BAA0B,EAAE,MAAM,kBAAkB,CAAA;AAC7D,OAAO,EAAE,wBAAwB,EAAE,MAAM,gBAAgB,CAAA;AAIzD,MAAM,UAAU,kBAAkB,CAAC,QAAwB;IACzD,OAAO;QACL,GAAG,yBAAyB,CAAC,QAAQ,CAAC;QACtC,GAAG,sBAAsB,CAAC,QAAQ,CAAC;QACnC,GAAG,0BAA0B,CAAC,QAAQ,CAAC;QACvC,GAAG,wBAAwB,CAAC,QAAQ,CAAC;KACtC,CAAA;AACH,CAAC;AAED,MAAM,UAAU,aAAa,CAAC,OAAiB;IAO7C,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,UAAU,GAAG,CAAC,CAAA;IAClB,IAAI,UAAU,GAAG,CAAC,CAAA;IAElB,KAAK,MAAM,CAAC,IAAI,OAAO,EAAE,CAAC;QACxB,IAAI,CAAC,CAAC,SAAS,KAAK,MAAM,EAAE,CAAC;YAC3B,OAAO,EAAE,CAAA;YACT,UAAU,IAAI,CAAC,CAAC,UAAU,CAAA;QAC5B,CAAC;aAAM,IAAI,CAAC,CAAC,SAAS,KAAK,OAAO,EAAE,CAAC;YACnC,OAAO,EAAE,CAAA;YACT,UAAU,IAAI,CAAC,CAAC,UAAU,CAAA;QAC5B,CAAC;aAAM,CAAC;YACN,OAAO,EAAE,CAAA;QACX,CAAC;IACH,CAAC;IAED,MAAM,
|
|
1
|
+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../../src/signal/index.ts"],"names":[],"mappings":"AAEA,OAAO,EAAE,yBAAyB,EAAE,MAAM,kBAAkB,CAAA;AAC5D,OAAO,EAAE,sBAAsB,EAAE,MAAM,oBAAoB,CAAA;AAC3D,OAAO,EAAE,0BAA0B,EAAE,MAAM,kBAAkB,CAAA;AAC7D,OAAO,EAAE,wBAAwB,EAAE,MAAM,gBAAgB,CAAA;AAIzD,MAAM,UAAU,kBAAkB,CAAC,QAAwB;IACzD,OAAO;QACL,GAAG,yBAAyB,CAAC,QAAQ,CAAC;QACtC,GAAG,sBAAsB,CAAC,QAAQ,CAAC;QACnC,GAAG,0BAA0B,CAAC,QAAQ,CAAC;QACvC,GAAG,wBAAwB,CAAC,QAAQ,CAAC;KACtC,CAAA;AACH,CAAC;AAED,MAAM,UAAU,aAAa,CAAC,OAAiB;IAO7C,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,OAAO,GAAG,CAAC,CAAA;IACf,IAAI,UAAU,GAAG,CAAC,CAAA;IAClB,IAAI,UAAU,GAAG,CAAC,CAAA;IAElB,KAAK,MAAM,CAAC,IAAI,OAAO,EAAE,CAAC;QACxB,IAAI,CAAC,CAAC,SAAS,KAAK,MAAM,EAAE,CAAC;YAC3B,OAAO,EAAE,CAAA;YACT,UAAU,IAAI,CAAC,CAAC,UAAU,CAAA;QAC5B,CAAC;aAAM,IAAI,CAAC,CAAC,SAAS,KAAK,OAAO,EAAE,CAAC;YACnC,OAAO,EAAE,CAAA;YACT,UAAU,IAAI,CAAC,CAAC,UAAU,CAAA;QAC5B,CAAC;aAAM,CAAC;YACN,OAAO,EAAE,CAAA;QACX,CAAC;IACH,CAAC;IAED,MAAM,gBAAgB,GAAG,OAAO,GAAG,OAAO,CAAA;IAC1C,MAAM,SAAS,GAAG,gBAAgB,KAAK,CAAC,CAAC,CAAC,CAAC,SAAS;QAClD,CAAC,CAAC,UAAU,GAAG,UAAU,CAAC,CAAC,CAAC,MAAM;YAClC,CAAC,CAAC,UAAU,GAAG,UAAU,CAAC,CAAC,CAAC,OAAO;gBACnC,CAAC,CAAC,SAAS,CAAA;IAEb,IAAI,gBAAgB,KAAK,CAAC,EAAE,CAAC;QAC3B,OAAO,EAAE,SAAS,EAAE,UAAU,EAAE,CAAC,EAAE,OAAO,EAAE,OAAO,EAAE,OAAO,EAAE,CAAA;IAChE,CAAC;IAED,kEAAkE;IAClE,MAAM,UAAU,GAAG,IAAI,GAAG,CACxB,OAAO,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,SAAS,KAAK,SAAS,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,CAClE,CAAA;IACD,MAAM,WAAW,GAAG,UAAU,CAAC,IAAI,CAAA,CAAC,MAAM;IAC1C,MAAM,UAAU,GAAG,CAAC,CAAA,CAAC,+CAA+C;IAEpE,MAAM,QAAQ,GAAG,SAAS,KAAK,MAAM,CAAC,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,OAAO,CAAA;IACzD,MAAM,SAAS,GAAG,SAAS,KAAK,MAAM,CAAC,CAAC,CAAC,UAAU,CAAC,CAAC,CAAC,UAAU,CAAA;IAChE,MAAM,UAAU,GAAG,SAAS,GAAG,QAAQ,CAAA,CAAC,wCAAwC;IAEhF,+EAA+E;IAC/E,MAAM,SAAS,GAAG,gBAAgB,GAAG,CAAC,CAAC,CAAC,CAAC,QAAQ,GAAG,gBAAgB,CAAC,CAAC,CAAC,GAAG,CAAA;IAE1E,6DAA6D;IAC7D,MAAM,QAAQ,GAAG,WAAW,GAAG,UAAU,CAAA;IAEzC,yDAAyD;IACzD,kDAAkD;IAClD,oDAAoD;IACpD,uDAAuD;IACvD,MAAM,UAAU,GAAG,UAAU,GAAG,CAAC,GAAG,GAAG,GAAG,GAAG,SAAS,CAAC,GAAG,CAAC,GAAG,GAAG,GAAG,GAAG,QAAQ,CAAC,CAAA;IAEhF,OAAO,EAAE,SAAS,EAAE,UAAU,EAAE,OAAO,EAAE,OAAO,EAAE,OAAO,EAAE,CAAA;AAC7D,CAAC"}
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"strategy.js","sourceRoot":"","sources":["../../../src/skill/strategy.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,MAAM,OAAO,CAAA;AACzB,OAAO,EAAE,UAAU,EAAE,MAAM,mBAAmB,CAAA;AAC9C,OAAO,EAAE,kBAAkB,EAAE,MAAM,yBAAyB,CAAA;AAE5D,MAAM,cAAc,GAA2B;IAC7C,cAAc,EAAE,OAAO;IACvB,aAAa,EAAE,MAAM;IACrB,YAAY,EAAE,MAAM;IACpB,WAAW,EAAE,MAAM;IACnB,UAAU,EAAE,
|
|
1
|
+
{"version":3,"file":"strategy.js","sourceRoot":"","sources":["../../../src/skill/strategy.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,MAAM,OAAO,CAAA;AACzB,OAAO,EAAE,UAAU,EAAE,MAAM,mBAAmB,CAAA;AAC9C,OAAO,EAAE,kBAAkB,EAAE,MAAM,yBAAyB,CAAA;AAE5D,MAAM,cAAc,GAA2B;IAC7C,cAAc,EAAE,OAAO;IACvB,aAAa,EAAE,MAAM;IACrB,YAAY,EAAE,MAAM;IACpB,WAAW,EAAE,MAAM;IACnB,UAAU,EAAE,SAAS;CACtB,CAAA;AAED,MAAM,CAAC,KAAK,UAAU,eAAe,CAAC,IAAa,EAAE,OAA6B;IAChF,MAAM,GAAG,GAAG,UAAU,CAAC,OAAO,EAAE,MAAM,CAAC,CAAA;IAEvC,OAAO,CAAC,GAAG,CAAC,EAAE,CAAC,CAAA;IACf,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,IAAI,CAAC,IAAI,CAAC,oBAAoB,CAAC,CAAC,CAAA;IAClD,OAAO,CAAC,GAAG,CAAC,EAAE,CAAC,CAAA;IAEf,MAAM,UAAU,GAAG;QACjB,EAAE,GAAG,EAAE,cAAc,EAAE,EAAE,EAAE,cAAc,EAAE;QAC3C,EAAE,GAAG,EAAE,aAAa,EAAE,EAAE,EAAE,aAAa,EAAE;QACzC,EAAE,GAAG,EAAE,YAAY,EAAE,EAAE,EAAE,YAAY,EAAE;QACvC,EAAE,GAAG,EAAE,WAAW,EAAE,EAAE,EAAE,WAAW,EAAE;QACrC,EAAE,GAAG,EAAE,UAAU,EAAE,EAAE,EAAE,UAAU,EAAE;KACpC,CAAA;IAED,KAAK,MAAM,CAAC,IAAI,UAAU,EAAE,CAAC;QAC3B,IAAI,IAAI,IAAI,CAAC,CAAC,EAAE,KAAK,IAAI;YAAE,SAAQ;QAEnC,MAAM,IAAI,GAAI,GAA0D,CAAC,CAAC,CAAC,GAAG,CAAC,CAAA;QAC/E,MAAM,OAAO,GAAG,IAAI,EAAE,OAAO,CAAA;QAC7B,MAAM,QAAQ,GAAG,IAAI,EAAE,aAAa,CAAA;QACpC,MAAM,IAAI,GAAG,OAAO,CAAC,CAAC,CAAC,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,KAAK,CAAC,GAAG,CAAC,KAAK,CAAC,CAAA;QAE3D,OAAO,CAAC,GAAG,CAAC,KAAK,IAAI,KAAK,KAAK,CAAC,IAAI,CAAC,CAAC,cAAc,CAAC,CAAC,CAAC,EAAE,CAAC,IAAI,CAAC,CAAC,EAAE,CAAC,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC,QAAQ,QAAQ,GAAG,CAAC,CAAA;QAEnG,0CAA0C;QAC1C,MAAM,SAAS,GAAG,kBAAkB,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,QAAQ,KAAK,CAAC,CAAC,EAAE,CAAC,CAAA;QACxE,IAAI,SAAS,CAAC,MAAM,GAAG,CAAC,EAAE,CAAC;YACzB,KAAK,MAAM,CAAC,IAAI,SAAS,CAAC,KAAK,CAAC,CAAC,EAAE,CAAC,CAAC,EAAE,CAAC;gBACtC,MAAM,IAAI,GAAG,IAAI,IAAI,CAAC,CAAC,CAAC,SAAS,CAAC,CAAC,kBAAkB,EAAE,CAAA;gBACvD,MAAM,MAAM,GAAG,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,MAAM,CAAC,SAAS,IAAI,CAAC,CAAC,MAAM,CAAC,UAAU,CAAC,OAAO,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,KAAK,CAAA;gBAC5F,MAAM,IAAI,GAAG,CAAC,CAAC,gBAAgB,CAAC,MAAM,CAAC,CAAC,CAAC,KAAK,CAAC,KAAK,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,KAAK,CAAC,GAAG,CAAC,CAAC,CAAC,gBAAgB,CAAC,MAAM,IAAI,IAAI,CAAC,CAAA;gBACzG,OAAO,CAAC,GAAG,CAAC,KAAK,CAAC,GAAG,CAAC,UAAU,IAAI,KAAK,MAAM,SAAS,IAAI,EAAE,CAAC,CAAC,CAAA;YAClE,CAAC;QACH,CAAC;QACD,OAAO,CAAC,GAAG,CAAC,EAAE,CAAC,CAAA;IACjB,CAAC;AACH,CAAC"}
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@@ -2,5 +2,17 @@ import type { Signal } from '../signal/types.js';
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2
2
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import type { TradeIntent } from './types.js';
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3
3
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import type { AgentConfig } from '../core/config.js';
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4
4
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import type { MarketSnapshot } from '../collector/types.js';
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5
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+
/**
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6
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+
* PM Signal Bet — Signal-driven Polymarket auto-betting.
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7
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+
*
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8
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+
* Aggregates all BfxSentry signals into a directional view.
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9
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+
* When confidence exceeds the threshold (default 35%, backtested optimal),
|
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10
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+
* generates a bet intent for Polymarket BTC Up/Down markets.
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11
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+
*
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12
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+
* Backtest results (30 days, 4h horizon):
|
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13
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+
* Conf ≥ 30%: 52.9% accuracy, +3.9% PM EV
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14
|
+
* Conf ≥ 35%: 55.6% accuracy, +9.1% PM EV
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15
|
+
* Conf ≥ 40%: 66.7% accuracy, +31.3% PM EV
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16
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+
*/
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5
17
|
export declare function evaluatePmHedge(signals: Signal[], snapshot: MarketSnapshot, config: AgentConfig): TradeIntent | null;
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6
18
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//# sourceMappingURL=pm-hedge.d.ts.map
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@@ -1 +1 @@
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1
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-
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1
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+
{"version":3,"file":"pm-hedge.d.ts","sourceRoot":"","sources":["../../../src/strategy/pm-hedge.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAA;AAChD,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,YAAY,CAAA;AAC7C,OAAO,KAAK,EAAE,WAAW,EAAE,MAAM,mBAAmB,CAAA;AACpD,OAAO,KAAK,EAAE,cAAc,EAAE,MAAM,uBAAuB,CAAA;AAG3D;;;;;;;;;;;GAWG;AACH,wBAAgB,eAAe,CAC7B,OAAO,EAAE,MAAM,EAAE,EACjB,QAAQ,EAAE,cAAc,EACxB,MAAM,EAAE,WAAW,GAClB,WAAW,GAAG,IAAI,CAqDpB"}
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@@ -1,54 +1,61 @@
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|
|
1
|
+
import { signalSummary } from '../signal/index.js';
|
|
2
|
+
/**
|
|
3
|
+
* PM Signal Bet — Signal-driven Polymarket auto-betting.
|
|
4
|
+
*
|
|
5
|
+
* Aggregates all BfxSentry signals into a directional view.
|
|
6
|
+
* When confidence exceeds the threshold (default 35%, backtested optimal),
|
|
7
|
+
* generates a bet intent for Polymarket BTC Up/Down markets.
|
|
8
|
+
*
|
|
9
|
+
* Backtest results (30 days, 4h horizon):
|
|
10
|
+
* Conf ≥ 30%: 52.9% accuracy, +3.9% PM EV
|
|
11
|
+
* Conf ≥ 35%: 55.6% accuracy, +9.1% PM EV
|
|
12
|
+
* Conf ≥ 40%: 66.7% accuracy, +31.3% PM EV
|
|
13
|
+
*/
|
|
1
14
|
export function evaluatePmHedge(signals, snapshot, config) {
|
|
2
15
|
const cfg = config.pm_hedge;
|
|
3
16
|
if (!cfg.enabled)
|
|
4
17
|
return null;
|
|
5
|
-
const
|
|
6
|
-
const
|
|
7
|
-
//
|
|
8
|
-
|
|
9
|
-
|
|
10
|
-
for (const s of signals) {
|
|
11
|
-
if (s.direction === 'long')
|
|
12
|
-
bullWeight += s.confidence;
|
|
13
|
-
else if (s.direction === 'short')
|
|
14
|
-
bearWeight += s.confidence;
|
|
15
|
-
}
|
|
16
|
-
const total = bullWeight + bearWeight;
|
|
17
|
-
if (total === 0)
|
|
18
|
+
const signalCfg = cfg.signal_driven;
|
|
19
|
+
const minConfidence = signalCfg.min_confidence ?? 35;
|
|
20
|
+
// Use the improved signalSummary which accounts for module coverage
|
|
21
|
+
const summary = signalSummary(signals);
|
|
22
|
+
if (summary.direction === 'neutral')
|
|
18
23
|
return null;
|
|
19
|
-
|
|
20
|
-
// Compress towards 50%
|
|
21
|
-
const upProb = 0.5 + (rawProb - 0.5) * 0.6;
|
|
22
|
-
const confidence = Math.abs(upProb - 0.5) * 200;
|
|
23
|
-
if (confidence < signalDriven.min_confidence)
|
|
24
|
+
if (summary.confidence < minConfidence)
|
|
24
25
|
return null;
|
|
25
|
-
const
|
|
26
|
-
if (!direction)
|
|
27
|
-
return null;
|
|
28
|
-
// Calculate hedge position
|
|
26
|
+
const stakeUsdc = signalCfg.stake_usdc ?? 100;
|
|
29
27
|
const btcPrice = snapshot.ticker.lastPrice;
|
|
30
|
-
|
|
31
|
-
|
|
28
|
+
// Map signal direction to PM market outcome
|
|
29
|
+
// long signal → buy "BTC Up" Yes share
|
|
30
|
+
// short signal → buy "BTC Down" Yes share
|
|
31
|
+
const pmOutcome = summary.direction === 'long' ? 'BTC-Up-Yes' : 'BTC-Down-Yes';
|
|
32
|
+
const pmMarketType = summary.direction === 'long' ? '看涨' : '看跌';
|
|
33
|
+
// Build module breakdown for reason string
|
|
34
|
+
const dirSignals = signals.filter(s => s.direction !== 'neutral');
|
|
35
|
+
const moduleBreakdown = dirSignals.map(s => `${s.module}:${s.direction}(${s.confidence.toFixed(0)})`).join(', ');
|
|
32
36
|
return {
|
|
33
37
|
id: `pm-${Date.now()}-${Math.random().toString(36).slice(2, 6)}`,
|
|
34
38
|
strategy: 'pm-hedge',
|
|
35
|
-
direction,
|
|
36
|
-
instrument:
|
|
37
|
-
sizePct: 0, // PM
|
|
39
|
+
direction: summary.direction,
|
|
40
|
+
instrument: `polymarket:${pmOutcome}`,
|
|
41
|
+
sizePct: 0, // PM uses fixed USDC stake, not percentage
|
|
38
42
|
leverage: 1,
|
|
39
43
|
entryPrice: btcPrice,
|
|
40
|
-
stopLossPct:
|
|
41
|
-
takeProfitPct:
|
|
42
|
-
confidence,
|
|
43
|
-
reason: `PM
|
|
44
|
-
signalIds:
|
|
44
|
+
stopLossPct: 0, // PM bets resolve at market close, no stop loss
|
|
45
|
+
takeProfitPct: 0, // Payout is binary: $1 or $0
|
|
46
|
+
confidence: summary.confidence,
|
|
47
|
+
reason: `PM 信号下注 ${pmMarketType}, 置信度 ${summary.confidence.toFixed(1)}%, ${summary.bullish} 多/${summary.bearish} 空信号 [${moduleBreakdown}]`,
|
|
48
|
+
signalIds: dirSignals.map(s => s.id),
|
|
45
49
|
timestamp: Date.now(),
|
|
46
50
|
meta: {
|
|
47
|
-
|
|
48
|
-
|
|
49
|
-
stakeUsdc
|
|
50
|
-
|
|
51
|
-
|
|
51
|
+
pmBet: true,
|
|
52
|
+
pmOutcome,
|
|
53
|
+
stakeUsdc,
|
|
54
|
+
signalDirection: summary.direction,
|
|
55
|
+
signalConfidence: summary.confidence,
|
|
56
|
+
bullCount: summary.bullish,
|
|
57
|
+
bearCount: summary.bearish,
|
|
58
|
+
neutralCount: summary.neutral,
|
|
52
59
|
},
|
|
53
60
|
};
|
|
54
61
|
}
|
|
@@ -1 +1 @@
|
|
|
1
|
-
{"version":3,"file":"pm-hedge.js","sourceRoot":"","sources":["../../../src/strategy/pm-hedge.ts"],"names":[],"mappings":"
|
|
1
|
+
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|