prediction-market-agent-tooling 0.64.12.dev660__py3-none-any.whl → 0.65.0__py3-none-any.whl

prediction_market_agent_tooling/deploy/betting_strategy.py

@@ -1,14 +1,25 @@
 from abc import ABC, abstractmethod
+from typing import Sequence
 
 from scipy.optimize import minimize_scalar
 
-from prediction_market_agent_tooling.gtypes import USD, CollateralToken, OutcomeToken
+from prediction_market_agent_tooling.benchmark.utils import get_most_probable_outcome
+from prediction_market_agent_tooling.deploy.constants import (
+    INVALID_OUTCOME_LOWERCASE_IDENTIFIER,
+)
+from prediction_market_agent_tooling.gtypes import (
+    USD,
+    CollateralToken,
+    OutcomeStr,
+    OutcomeWei,
+    Probability,
+)
 from prediction_market_agent_tooling.loggers import logger
 from prediction_market_agent_tooling.markets.agent_market import AgentMarket, MarketFees
 from prediction_market_agent_tooling.markets.data_models import (
+    CategoricalProbabilisticAnswer,
     ExistingPosition,
     Position,
-    ProbabilisticAnswer,
     Trade,
     TradeType,
 )
@@ -17,6 +28,7 @@ from prediction_market_agent_tooling.markets.omen.omen import (
 )
 from prediction_market_agent_tooling.tools.betting_strategies.kelly_criterion import (
     get_kelly_bet_full,
+    get_kelly_bet_simplified,
 )
 from prediction_market_agent_tooling.tools.betting_strategies.utils import SimpleBet
 from prediction_market_agent_tooling.tools.utils import check_not_none
@@ -31,7 +43,7 @@ class BettingStrategy(ABC):
     def calculate_trades(
         self,
         existing_position: ExistingPosition | None,
-        answer: ProbabilisticAnswer,
+        answer: CategoricalProbabilisticAnswer,
         market: AgentMarket,
     ) -> list[Trade]:
         raise NotImplementedError("Subclass should implement this.")
@@ -41,7 +53,8 @@ class BettingStrategy(ABC):
     def maximum_possible_bet_amount(self) -> USD:
         raise NotImplementedError("Subclass should implement this.")
 
-    def build_zero_usd_amount(self) -> USD:
+    @staticmethod
+    def build_zero_usd_amount() -> USD:
         return USD(0)
 
     @staticmethod
@@ -95,27 +108,43 @@ class BettingStrategy(ABC):
             Trade(outcome=0, amount=10, trade_type=TradeType.BUY),
             Trade(outcome=1, amount=5, trade_type=TradeType.SELL)
         ]
-        Note that we order the trades to first buy then sell, in order to minimally tilt the odds so that
-        sell price is higher.
+        Note that we order the trades to first buy then sell, in order to minimally tilt the odds so that sell price is higher.
         """
+
+        existing_amounts = (
+            {
+                outcome.lower(): amount
+                for outcome, amount in existing_position.amounts_current.items()
+            }
+            if existing_position
+            else {}
+        )
+        target_amounts = (
+            {
+                outcome.lower(): amount
+                for outcome, amount in target_position.amounts_current.items()
+            }
+            if target_position
+            else {}
+        )
+
         trades = []
-        for outcome_bool in [True, False]:
-            outcome = market.get_outcome_str_from_bool(outcome_bool)
-            prev_amount = (
-                existing_position.amounts_current[outcome]
-                if existing_position and outcome in existing_position.amounts_current
-                else self.build_zero_usd_amount()
+        for outcome in market.outcomes:
+            existing_amount = existing_amounts.get(
+                outcome.lower(), self.build_zero_usd_amount()
             )
-            new_amount = target_position.amounts_current.get(
-                outcome, self.build_zero_usd_amount()
+            target_amount = target_amounts.get(
+                outcome.lower(), self.build_zero_usd_amount()
             )
-            diff_amount = new_amount - prev_amount
+
+            diff_amount = target_amount - existing_amount
             if diff_amount == 0:
                 continue
+
             trade_type = TradeType.SELL if diff_amount < 0 else TradeType.BUY
             trade = Trade(
                 amount=abs(diff_amount),
-                outcome=outcome_bool,
+                outcome=outcome,
                 trade_type=trade_type,
             )
 
@@ -130,7 +159,7 @@ class BettingStrategy(ABC):
         return trades
 
 
-class MaxAccuracyBettingStrategy(BettingStrategy):
+class MultiCategoricalMaxAccuracyBettingStrategy(BettingStrategy):
     def __init__(self, bet_amount: USD):
         self.bet_amount = bet_amount
 
@@ -138,38 +167,89 @@ class MaxAccuracyBettingStrategy(BettingStrategy):
     def maximum_possible_bet_amount(self) -> USD:
         return self.bet_amount
 
+    @staticmethod
+    def calculate_direction(
+        market: AgentMarket, answer: CategoricalProbabilisticAnswer
+    ) -> OutcomeStr:
+        # We place a bet on the most likely outcome
+        most_likely_outcome = max(
+            answer.probabilities.items(),
+            key=lambda item: item[1],
+        )[0]
+
+        return market.market_outcome_for_probability_key(most_likely_outcome)
+
+    @staticmethod
+    def get_other_direction(
+        outcomes: Sequence[OutcomeStr], direction: OutcomeStr
+    ) -> OutcomeStr:
+        # We get the first direction which is != direction.
+        other_direction = [i for i in outcomes if i.lower() != direction.lower()][0]
+        if INVALID_OUTCOME_LOWERCASE_IDENTIFIER in other_direction.lower():
+            raise ValueError("Invalid outcome found as opposite direction. Exitting.")
+        return other_direction
+
     def calculate_trades(
         self,
         existing_position: ExistingPosition | None,
-        answer: ProbabilisticAnswer,
+        answer: CategoricalProbabilisticAnswer,
         market: AgentMarket,
     ) -> list[Trade]:
-        direction = self.calculate_direction(market.current_p_yes, answer.p_yes)
+        """We place bet on only one outcome."""
 
-        amounts = {
-            market.get_outcome_str_from_bool(direction): self.bet_amount,
-        }
-        target_position = Position(market_id=market.id, amounts_current=amounts)
+        outcome_to_bet_on = self.calculate_direction(market, answer)
+
+        target_position = Position(
+            market_id=market.id, amounts_current={outcome_to_bet_on: self.bet_amount}
+        )
         trades = self._build_rebalance_trades_from_positions(
-            existing_position, target_position, market=market
+            existing_position=existing_position,
+            target_position=target_position,
+            market=market,
         )
         return trades
 
+
+class MaxExpectedValueBettingStrategy(MultiCategoricalMaxAccuracyBettingStrategy):
     @staticmethod
-    def calculate_direction(market_p_yes: float, estimate_p_yes: float) -> bool:
-        return estimate_p_yes >= 0.5
+    def calculate_direction(
+        market: AgentMarket, answer: CategoricalProbabilisticAnswer
+    ) -> OutcomeStr:
+        """
+        Returns the index of the outcome with the highest expected value.
+        """
 
-    def __repr__(self) -> str:
-        return f"{self.__class__.__name__}(bet_amount={self.bet_amount})"
+        missing_outcomes = set([i.lower() for i in market.outcomes]) - set(
+            [i.lower() for i in market.probabilities.keys()]
+        )
 
+        if missing_outcomes:
+            raise ValueError(
+                f"Outcomes {missing_outcomes} not found in answer probabilities {answer.probabilities}"
+            )
 
-class MaxExpectedValueBettingStrategy(MaxAccuracyBettingStrategy):
-    @staticmethod
-    def calculate_direction(market_p_yes: float, estimate_p_yes: float) -> bool:
-        # If estimate_p_yes >= market.current_p_yes, then bet TRUE, else bet FALSE.
-        # This is equivalent to saying EXPECTED_VALUE = (estimate_p_yes * num_tokens_obtained_by_betting_yes) -
-        # ((1 - estimate_p_yes) * num_tokens_obtained_by_betting_no) >= 0
-        return estimate_p_yes >= market_p_yes
+        best_outcome = None
+        best_ev = float("-inf")
+        for market_outcome in market.outcomes:
+            if market.probability_for_market_outcome(market_outcome) == Probability(
+                0.0
+            ):
+                # avoid division by 0
+                continue
+
+            ev = answer.probability_for_market_outcome(
+                market_outcome
+            ) / market.probability_for_market_outcome(market_outcome)
+            if ev > best_ev:
+                best_ev = ev
+                best_outcome = market_outcome
+
+        if best_outcome is None:
+            raise ValueError(
+                "Cannot determine best outcome - all market probabilities are zero"
+            )
+
+        return best_outcome
 
 
 class KellyBettingStrategy(BettingStrategy):
@@ -181,40 +261,85 @@ class KellyBettingStrategy(BettingStrategy):
     def maximum_possible_bet_amount(self) -> USD:
         return self.max_bet_amount
 
+    @staticmethod
+    def get_kelly_bet(
+        market: AgentMarket,
+        max_bet_amount: USD,
+        direction: OutcomeStr,
+        other_direction: OutcomeStr,
+        answer: CategoricalProbabilisticAnswer,
+        override_p_yes: float | None = None,
+    ) -> SimpleBet:
+        estimated_p_yes = (
+            answer.probability_for_market_outcome(direction)
+            if not override_p_yes
+            else override_p_yes
+        )
+
+        if not market.is_binary:
+            # use Kelly simple, since Kelly full only supports 2 outcomes
+
+            kelly_bet = get_kelly_bet_simplified(
+                max_bet=market.get_usd_in_token(max_bet_amount),
+                market_p_yes=market.probability_for_market_outcome(direction),
+                estimated_p_yes=estimated_p_yes,
+                confidence=answer.confidence,
+            )
+        else:
+            # We consider only binary markets, since the Kelly strategy is not yet implemented
+            # for markets with more than 2 outcomes (https://github.com/gnosis/prediction-market-agent-tooling/issues/671).
+            direction_to_bet_pool_size = market.get_outcome_token_pool_by_outcome(
+                direction
+            )
+            other_direction_pool_size = market.get_outcome_token_pool_by_outcome(
+                other_direction
+            )
+            kelly_bet = get_kelly_bet_full(
+                yes_outcome_pool_size=direction_to_bet_pool_size,
+                no_outcome_pool_size=other_direction_pool_size,
+                estimated_p_yes=estimated_p_yes,
+                max_bet=market.get_usd_in_token(max_bet_amount),
+                confidence=answer.confidence,
+                fees=market.fees,
+            )
+        return kelly_bet
+
     def calculate_trades(
         self,
         existing_position: ExistingPosition | None,
-        answer: ProbabilisticAnswer,
+        answer: CategoricalProbabilisticAnswer,
         market: AgentMarket,
     ) -> list[Trade]:
-        outcome_token_pool = check_not_none(market.outcome_token_pool)
-        kelly_bet = get_kelly_bet_full(
-            yes_outcome_pool_size=outcome_token_pool[
-                market.get_outcome_str_from_bool(True)
-            ],
-            no_outcome_pool_size=outcome_token_pool[
-                market.get_outcome_str_from_bool(False)
-            ],
-            estimated_p_yes=answer.p_yes,
-            max_bet=market.get_usd_in_token(self.max_bet_amount),
-            confidence=answer.confidence,
-            fees=market.fees,
+        # We consider the p_yes as the direction with highest probability.
+        direction = MultiCategoricalMaxAccuracyBettingStrategy.calculate_direction(
+            market, answer
+        )
+        # We get the first direction which is != direction.
+        other_direction = [i for i in market.outcomes if i != direction][0]
+        if INVALID_OUTCOME_LOWERCASE_IDENTIFIER in other_direction.lower():
+            raise ValueError("Invalid outcome found as opposite direction. Exitting.")
+
+        kelly_bet = self.get_kelly_bet(
+            market=market,
+            max_bet_amount=self.max_bet_amount,
+            direction=direction,
+            other_direction=other_direction,
+            answer=answer,
         )
 
         kelly_bet_size = kelly_bet.size
         if self.max_price_impact:
             # Adjust amount
             max_price_impact_bet_amount = self.calculate_bet_amount_for_price_impact(
-                market, kelly_bet
+                market, kelly_bet, direction=direction
             )
 
             # We just don't want Kelly size to extrapolate price_impact - hence we take the min.
             kelly_bet_size = min(kelly_bet.size, max_price_impact_bet_amount)
 
+        bet_outcome = direction if kelly_bet.direction else other_direction
         amounts = {
-            market.get_outcome_str_from_bool(
-                kelly_bet.direction
-            ): market.get_token_in_usd(kelly_bet_size),
+            bet_outcome: market.get_token_in_usd(kelly_bet_size),
         }
         target_position = Position(market_id=market.id, amounts_current=amounts)
         trades = self._build_rebalance_trades_from_positions(
@@ -224,19 +349,16 @@ class KellyBettingStrategy(BettingStrategy):
 
     def calculate_price_impact_for_bet_amount(
         self,
-        buy_direction: bool,
+        outcome_idx: int,
         bet_amount: CollateralToken,
-        yes: OutcomeToken,
-        no: OutcomeToken,
+        pool_balances: list[OutcomeWei],
         fees: MarketFees,
     ) -> float:
-        total_outcome_tokens = yes + no
-        expected_price = (
-            no / total_outcome_tokens if buy_direction else yes / total_outcome_tokens
-        )
+        prices = AgentMarket.compute_fpmm_probabilities(pool_balances)
+        expected_price = prices[outcome_idx]
 
         tokens_to_buy = get_buy_outcome_token_amount(
-            bet_amount, buy_direction, yes, no, fees
+            bet_amount, outcome_idx, [i.as_outcome_token for i in pool_balances], fees
         )
 
         actual_price = bet_amount.value / tokens_to_buy.value
@@ -245,19 +367,17 @@ class KellyBettingStrategy(BettingStrategy):
         return price_impact
 
     def calculate_bet_amount_for_price_impact(
-        self,
-        market: AgentMarket,
-        kelly_bet: SimpleBet,
+        self, market: AgentMarket, kelly_bet: SimpleBet, direction: OutcomeStr
     ) -> CollateralToken:
         def calculate_price_impact_deviation_from_target_price_impact(
             bet_amount_usd: float,  # Needs to be float because it's used in minimize_scalar internally.
         ) -> float:
+            outcome_idx = market.get_outcome_index(direction)
             price_impact = self.calculate_price_impact_for_bet_amount(
-                kelly_bet.direction,
-                market.get_usd_in_token(USD(bet_amount_usd)),
-                yes_outcome_pool_size,
-                no_outcome_pool_size,
-                market.fees,
+                outcome_idx=outcome_idx,
+                bet_amount=market.get_usd_in_token(USD(bet_amount_usd)),
+                pool_balances=pool_balances,
+                fees=market.fees,
             )
             # We return abs for the algorithm to converge to 0 instead of the min (and possibly negative) value.
 
@@ -270,17 +390,14 @@ class KellyBettingStrategy(BettingStrategy):
             )
             return kelly_bet.size
 
-        yes_outcome_pool_size = market.outcome_token_pool[
-            market.get_outcome_str_from_bool(True)
-        ]
-        no_outcome_pool_size = market.outcome_token_pool[
-            market.get_outcome_str_from_bool(False)
-        ]
+        pool_balances = [i.as_outcome_wei for i in market.outcome_token_pool.values()]
+        # stay float for compatibility with `minimize_scalar`
+        total_pool_balance = sum([i.value for i in market.outcome_token_pool.values()])
 
         # The bounds below have been found to work heuristically.
         optimized_bet_amount = minimize_scalar(
             calculate_price_impact_deviation_from_target_price_impact,
-            bounds=(0, 1000 * (yes_outcome_pool_size + no_outcome_pool_size).value),
+            bounds=(0, 1000 * total_pool_balance),
             method="bounded",
             tol=1e-11,
             options={"maxiter": 10000},
@@ -310,37 +427,46 @@ class MaxAccuracyWithKellyScaledBetsStrategy(BettingStrategy):
     def calculate_trades(
         self,
         existing_position: ExistingPosition | None,
-        answer: ProbabilisticAnswer,
+        answer: CategoricalProbabilisticAnswer,
         market: AgentMarket,
     ) -> list[Trade]:
         adjusted_bet_amount_usd = self.adjust_bet_amount(existing_position, market)
-        adjusted_bet_amount_token = market.get_usd_in_token(adjusted_bet_amount_usd)
-        outcome_token_pool = check_not_none(market.outcome_token_pool)
-
-        # Fixed direction of bet, only use Kelly to adjust the bet size based on market's outcome pool size.
-        estimated_p_yes = float(answer.p_yes > 0.5)
-        confidence = 1.0
-
-        kelly_bet = get_kelly_bet_full(
-            yes_outcome_pool_size=outcome_token_pool[
-                market.get_outcome_str_from_bool(True)
-            ],
-            no_outcome_pool_size=outcome_token_pool[
-                market.get_outcome_str_from_bool(False)
-            ],
-            estimated_p_yes=estimated_p_yes,
-            max_bet=adjusted_bet_amount_token,
-            confidence=confidence,
-            fees=market.fees,
+
+        outcome = get_most_probable_outcome(answer.probabilities)
+
+        direction = MultiCategoricalMaxAccuracyBettingStrategy.calculate_direction(
+            market, answer
+        )
+        # We get the first direction which is != direction.
+        other_direction = (
+            MultiCategoricalMaxAccuracyBettingStrategy.get_other_direction(
+                outcomes=market.outcomes, direction=direction
+            )
+        )
+
+        # We ignore the direction nudge given by Kelly, hence we assume we have a perfect prediction.
+        estimated_p_yes = 1.0
+
+        kelly_bet = KellyBettingStrategy.get_kelly_bet(
+            market=market,
+            max_bet_amount=adjusted_bet_amount_usd,
+            direction=direction,
+            other_direction=other_direction,
+            answer=answer,
+            override_p_yes=estimated_p_yes,
         )
+
         kelly_bet_size_usd = market.get_token_in_usd(kelly_bet.size)
 
         amounts = {
-            market.get_outcome_str_from_bool(kelly_bet.direction): kelly_bet_size_usd,
+            outcome: kelly_bet_size_usd,
         }
         target_position = Position(market_id=market.id, amounts_current=amounts)
+
         trades = self._build_rebalance_trades_from_positions(
-            existing_position, target_position, market=market
+            existing_position=existing_position,
+            target_position=target_position,
+            market=market,
         )
         return trades
 

prediction_market_agent_tooling/deploy/constants.py

@@ -1,3 +1,7 @@
 MARKET_TYPE_KEY = "market_type"
 REPOSITORY_KEY = "repository"
 OWNER_KEY = "owner"
+INVALID_OUTCOME_LOWERCASE_IDENTIFIER = "invalid"
+# Market-agnostic outcome identifiers
+YES_OUTCOME_LOWERCASE_IDENTIFIER = "yes"
+NO_OUTCOME_LOWERCASE_IDENTIFIER = "no"

prediction_market_agent_tooling/jobs/jobs_models.py

@@ -3,12 +3,18 @@ from abc import ABC, abstractmethod
 
 from pydantic import BaseModel
 
-from prediction_market_agent_tooling.deploy.betting_strategy import ProbabilisticAnswer
+from prediction_market_agent_tooling.deploy.betting_strategy import (
+    CategoricalProbabilisticAnswer,
+)
 from prediction_market_agent_tooling.gtypes import USD, Probability
 from prediction_market_agent_tooling.markets.agent_market import (
     AgentMarket,
     ProcessedTradedMarket,
 )
+from prediction_market_agent_tooling.markets.omen.data_models import (
+    OMEN_FALSE_OUTCOME,
+    OMEN_TRUE_OUTCOME,
+)
 from prediction_market_agent_tooling.markets.omen.omen_subgraph_handler import (
     FilterBy,
     SortBy,
@@ -69,8 +75,13 @@ class JobAgentMarket(AgentMarket, ABC):
             deadline=self.deadline,
         )
 
-    def get_job_answer(self, result: str) -> ProbabilisticAnswer:
+    def get_job_answer(self, result: str) -> CategoricalProbabilisticAnswer:
         # Just return 100% yes with 100% confidence, because we assume the job is completed correctly.
-        return ProbabilisticAnswer(
-            p_yes=Probability(1.0), confidence=1.0, reasoning=result
+        return CategoricalProbabilisticAnswer(
+            probabilities={
+                OMEN_TRUE_OUTCOME: Probability(1.0),
+                OMEN_FALSE_OUTCOME: Probability(0.0),
+            },
+            confidence=1.0,
+            reasoning=result,
         )

prediction_market_agent_tooling/jobs/omen/omen_jobs.py

@@ -42,7 +42,7 @@ class OmenJobAgentMarket(OmenAgentMarket, JobAgentMarket):
             self.get_token_in_usd(
                 self.get_buy_token_amount(
                     bet_amount=trade.amount,
-                    direction=trade.outcome,
+                    outcome=trade.outcome,
                 ).as_token
             )
             - trade.amount
@@ -56,7 +56,7 @@ class OmenJobAgentMarket(OmenAgentMarket, JobAgentMarket):
         filter_by: FilterBy = FilterBy.OPEN,
         sort_by: SortBy = SortBy.CLOSING_SOONEST,
     ) -> t.Sequence["OmenJobAgentMarket"]:
-        markets = OmenSubgraphHandler().get_omen_binary_markets_simple(
+        markets = OmenSubgraphHandler().get_omen_markets_simple(
             limit=limit,
             filter_by=filter_by,
             sort_by=sort_by,
@@ -124,7 +124,7 @@ class OmenJobAgentMarket(OmenAgentMarket, JobAgentMarket):
             resolution=market.resolution,
             created_time=market.created_time,
             close_time=market.close_time,
-            current_p_yes=market.current_p_yes,
+            probabilities=market.probabilities,
             url=market.url,
             volume=market.volume,
             creator=market.creator,