From cc21ebf4c5c594bdf40bc1ba39a14c5335b2aa48 Mon Sep 17 00:00:00 2001
From: Peter Jung <peter@jung.ninja>
Date: Thu, 17 Oct 2024 14:50:38 +0200
Subject: [PATCH] Pass fees to Kelly (#507)

---
 .../deploy/betting_strategy.py                | 63 +++++++------------
 .../betting_strategies/kelly_criterion.py     |  2 +-
 tests_integration/markets/omen/test_kelly.py  |  4 +-
 3 files changed, 26 insertions(+), 43 deletions(-)

diff --git a/prediction_market_agent_tooling/deploy/betting_strategy.py b/prediction_market_agent_tooling/deploy/betting_strategy.py
index 35a9711d..07b04220 100644
--- a/prediction_market_agent_tooling/deploy/betting_strategy.py
+++ b/prediction_market_agent_tooling/deploy/betting_strategy.py
@@ -19,7 +19,6 @@
 )
 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
@@ -153,25 +152,17 @@ def calculate_trades(
         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=self.max_bet_amount,
-                confidence=answer.confidence,
-            )
-            if market.has_token_pool()
-            else get_kelly_bet_simplified(
-                self.max_bet_amount,
-                market.current_p_yes,
-                answer.p_yes,
-                answer.confidence,
-            )
+        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=self.max_bet_amount,
+            confidence=answer.confidence,
+            fees=market.fees,
         )
 
         kelly_bet_size = kelly_bet.size
@@ -230,7 +221,7 @@ def calculate_price_impact_deviation_from_target_price_impact(
                 bet_amount,
                 yes_outcome_pool_size,
                 no_outcome_pool_size,
-                MarketFees.get_zero_fees(),  # TODO: Use market.fees
+                market.fees,
             )
             # We return abs for the algorithm to converge to 0 instead of the min (and possibly negative) value.
 
@@ -289,25 +280,17 @@ def calculate_trades(
         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,
-                confidence=confidence,
-            )
-            if market.has_token_pool()
-            else get_kelly_bet_simplified(
-                adjusted_bet_amount,
-                market.current_p_yes,
-                estimated_p_yes,
-                confidence,
-            )
+        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,
+            confidence=confidence,
+            fees=market.fees,
         )
 
         amounts = {
diff --git a/prediction_market_agent_tooling/tools/betting_strategies/kelly_criterion.py b/prediction_market_agent_tooling/tools/betting_strategies/kelly_criterion.py
index 134cb2a0..c7ff990d 100644
--- a/prediction_market_agent_tooling/tools/betting_strategies/kelly_criterion.py
+++ b/prediction_market_agent_tooling/tools/betting_strategies/kelly_criterion.py
@@ -62,7 +62,7 @@ def get_kelly_bet_full(
     estimated_p_yes: float,
     confidence: float,
     max_bet: float,
-    fees: MarketFees = MarketFees.get_zero_fees(),  # TODO: Remove default value.
+    fees: MarketFees,
 ) -> SimpleBet:
     """
     Calculate the optimal bet amount using the Kelly Criterion for a binary outcome market.
diff --git a/tests_integration/markets/omen/test_kelly.py b/tests_integration/markets/omen/test_kelly.py
index 015a1d06..5b3f7717 100644
--- a/tests_integration/markets/omen/test_kelly.py
+++ b/tests_integration/markets/omen/test_kelly.py
@@ -91,7 +91,7 @@ def assert_price_impact_converges(
         estimated_p_yes=p_yes,
         max_bet=max_bet_amount,
         confidence=confidence,
-        # fees=omen_agent_market.fees, TODO: Uncomment
+        fees=omen_agent_market.fees,
     )
 
     kelly = KellyBettingStrategy(
@@ -106,7 +106,7 @@ def assert_price_impact_converges(
         bet_amount=max_price_impact_bet_amount,
         yes=yes_outcome_pool_size,
         no=no_outcome_pool_size,
-        fees=MarketFees.get_zero_fees(),  # TODO: Use fees=omen_agent_market.fees
+        fees=omen_agent_market.fees,
     )
 
     # assert convergence