feat(bot): 5-phase strategy upgrade — edge neto, families, GNews priority, regimes
CI/CD / build-and-push (push) Successful in 2m30s
CI/CD / build-and-push (push) Successful in 2m30s
Phase 1 — Edge neto real (paper.py, bayesian.py, risk/manager.py, db.py):
- Trade records now store edge_gross, edge_net, prior_prob, final_prob,
mid_price, spread_estimate, commission, family_key
- edge_net = edge_gross - SPREAD_ESTIMATE(0.02) - COMMISSION_RATE(0.02)
NOTE: both constants are heuristics, not exact Polymarket exchange costs
- Execution gate changed from edge_gross > MIN_EDGE to edge_net > regime_min_edge
Phase 2 — Market families (polymarket.py):
- market_family_key(market) groups related markets:
texas-republican-2026, fed-april-2026, openai-2026, etc.
- At most 1 trade per family per cycle; occupied_families propagated via main.py
- Family key logged on every TRADE and SKIP line
Phase 3 — GNews priority (news.py, bayesian.py, main.py):
- NewsClient.get_freshness() returns 1.0/0.75/0.40/0.10 by cache age
- gnews_priority(market, news) = uncertainty × volume_score × freshness
- Politics markets sorted by priority DESC before eval so best markets get
the 5-query/cycle GNews budget first
Phase 4 — Regime min-edge by category/horizon (bayesian.py):
- politics >60d → 0.12, 30-60d → 0.10, <30d → 0.08
- tech / crypto/finance → 0.10
- All thresholds applied to edge_net (not edge_gross)
Phase 5 — Observability (bayesian.py, main.py):
- Structured skip labels: SKIP_UNSUPPORTED, SKIP_NO_SIGNALS,
SKIP_PRIOR_EXTREME, SKIP_FAMILY, SKIP_GNEWS_PRIORITY, SKIP_EDGE_NET
- TRADE lines now include family_key, edge_gross, edge_net, regime_min, days
- schema.sql: 8 new cols on trades, 7 new cols on signals (via ALTER TABLE IF NOT EXISTS)
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
@@ -45,6 +45,17 @@ class Order:
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signal_edge: float
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signal_confidence: float
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reasoning: str
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# Phase 1 — edge neto audit fields (passed through from TradingSignal)
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edge_gross: float = 0.0
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edge_net: float = 0.0
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prior_prob: float = 0.0
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final_prob: float = 0.0
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mid_price: float = 0.0
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spread_estimate: float = 0.02
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# Phase 2 — market family
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family_key: str = ""
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# Phase 4 — regime threshold applied
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regime_min_edge: float = 0.10
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class RiskManager:
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@@ -125,4 +136,15 @@ class RiskManager:
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signal_edge=signal.edge,
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signal_confidence=signal.confidence,
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reasoning=signal.reasoning,
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# Phase 1 — pass audit fields through to executor
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edge_gross=signal.edge_gross,
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edge_net=signal.edge_net,
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prior_prob=signal.prior_prob,
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final_prob=signal.final_prob,
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mid_price=signal.mid_price,
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spread_estimate=signal.spread_estimate,
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# Phase 2 — family
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family_key=signal.family_key,
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# Phase 4 — regime
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regime_min_edge=signal.regime_min_edge,
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)
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