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Pass fees to Kelly #507

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merged 8 commits into from
Oct 17, 2024
Merged

Pass fees to Kelly #507

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2e8bb2f
Rethink fees
kongzii Oct 17, 2024
e12126c
Pass fees to Kelly
kongzii Oct 17, 2024
36185a2
missing default value
kongzii Oct 17, 2024
0759a21
some more missing fees
kongzii Oct 17, 2024
4aea606
Merge branch 'peter/rethink-fees' into peter/kelly-fees
kongzii Oct 17, 2024
d5e86b8
remove todos
kongzii Oct 17, 2024
bc09396
Merge branch 'main' into peter/kelly-fees
kongzii Oct 17, 2024
e20bed2
Update betting_strategy.py
kongzii Oct 17, 2024
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63 changes: 23 additions & 40 deletions prediction_market_agent_tooling/deploy/betting_strategy.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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
Expand Down Expand Up @@ -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(
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Open to opinions here 😄

A few lines above, outcome_token_pool = check_not_none(market.outcome_token_pool) is used, which means that get_kelly_bet_simplified was never going to be used.

Also get_kelly_bet_simplified doesn't accept fees which goes against this PR, but then if someones is going to create markets with huge fees, this other PR should solve that #488

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Makes sense, no objections your honour!

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
Expand Down Expand Up @@ -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.

Expand Down Expand Up @@ -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 = {
Expand Down
2 changes: 1 addition & 1 deletion prediction_market_agent_tooling/tools/betting_strategies/kelly_criterion.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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.
Expand Down
4 changes: 2 additions & 2 deletions tests_integration/markets/omen/test_kelly.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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(
Expand All @@ -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
Expand Down
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