Add NautilusTrader Polymarket execution layer

- Full NautilusTrader integration using BinaryOption instruments - Polymarket CLOB data client (L2 order book, WebSocket deltas) - Polymarket CLOB execution client (limit orders, market orders, batch ops) - PolymarketWeatherStrategy with auto market discovery, order book subscription, weather model signal generation, Kelly sizing, and order placement - Proper Polymarket precision: tick sizes, GTC/GTD limit orders, FAK/IOC market orders - Weather category fee model (0.05% taker, 25% maker rebate) - Paper trading mode (real market data, simulated execution) - Live trading mode with PK/funder/env credential support - 30s disconnection timeout + 30s post-stop delay per Polymarket docs Run: python -m execution.runner --paper
2026-08-10 17:29:23 +08:00
parent 314168dfa2
commit 533939d178
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+"""NautilusTrader Polymarket execution layer for HK weather prediction markets.
+
+Key characteristics per Polymarket + Nautilus docs:
+  - BinaryOption instruments (outcome tokens, pay 0 or 1 at resolution)
+  - pUSD collateral, 6 decimals, no leverage
+  - Tick sizes: 0.001 to 0.1 (dictates price + size precision)
+  - Market orders: FAK (IOC) or FOK only; GTC/GTD for resting limits
+  - Market BUY must use quote_quantity=True (pUSD notional)
+  - SELL quantities truncated to 2 decimal places
+  - Weather category: 0.05% taker fee + 25% maker rebate
+  - Recommended: 30s disconnection timeout + 30s post-stop delay
+"""
+
+import os
+from dataclasses import dataclass
+from typing import Optional
+
+from dotenv import load_dotenv
+
+load_dotenv()
+
+from nautilus_trader.adapters.polymarket.common.constants import POLYMARKET_VENUE
+from nautilus_trader.adapters.polymarket.config import PolymarketDataClientConfig, PolymarketExecClientConfig
+from nautilus_trader.common.config import InstrumentProviderConfig
+from nautilus_trader.config import TradingNodeConfig
+
+
+@dataclass
+class WeatherMarketConfig:
+    """Configuration for the weather prediction market strategy."""
+
+    # Credentials
+    private_key: str = ""
+    funder: str = ""
+    api_key: str = ""
+    api_secret: str = ""
+    passphrase: str = ""
+    signature_type: int = 0       # 0=EOA, 3=DepositWallet
+
+    # Strategy
+    bankroll_pusd: float = 1000.0
+    min_edge_bps: int = 200
+    max_position_per_market_pusd: float = 500.0
+    kelly_fraction: float = 0.25
+    forecast_interval_mins: int = 360  # 6h
+
+    # Market discovery
+    search_tags: tuple = ("weather", "temperature", "hong kong", "typhoon", "precipitation", "climate")
+    min_liquidity_usdc: float = 100.0
+
+    # Risk
+    disconnect_timeout_secs: int = 30
+    post_stop_delay_secs: int = 30
+
+    @classmethod
+    def from_env(cls) -> "WeatherMarketConfig":
+        return cls(
+            private_key=os.getenv("POLYMARKET_PK", ""),
+            funder=os.getenv("POLYMARKET_FUNDER", ""),
+            api_key=os.getenv("POLYMARKET_API_KEY", ""),
+            api_secret=os.getenv("POLYMARKET_API_SECRET", ""),
+            passphrase=os.getenv("POLYMARKET_PASSPHRASE", ""),
+            signature_type=int(os.getenv("POLYMARKET_SIGNATURE_TYPE", "0")),
+            bankroll_pusd=float(os.getenv("BANKROLL_PUSD", "1000.0")),
+            min_edge_bps=int(os.getenv("MIN_EDGE_BPS", "200")),
+            kelly_fraction=float(os.getenv("KELLY_FRACTION", "0.25")),
+        )
+
+
+def _env_or_none(key: str) -> str | None:
+    """Get env var or None if not set."""
+    val = os.getenv(key, "")
+    return val if val else None
+
+
+def build_data_client_config(cfg: WeatherMarketConfig) -> PolymarketDataClientConfig:
+    """Build Polymarket market data client configuration."""
+    return PolymarketDataClientConfig(
+        venue=POLYMARKET_VENUE,
+        private_key=cfg.private_key or _env_or_none("POLYMARKET_PK"),
+        funder=cfg.funder or _env_or_none("POLYMARKET_FUNDER"),
+        api_key=cfg.api_key or _env_or_none("POLYMARKET_API_KEY"),
+        api_secret=cfg.api_secret or _env_or_none("POLYMARKET_API_SECRET"),
+        passphrase=cfg.passphrase or _env_or_none("POLYMARKET_PASSPHRASE"),
+        signature_type=cfg.signature_type,
+        instrument_provider=InstrumentProviderConfig(load_ids=[]),
+        update_instrument_interval_mins=30,
+    )
+
+
+def build_exec_client_config(cfg: WeatherMarketConfig) -> PolymarketExecClientConfig:
+    """Build Polymarket execution client configuration."""
+    return PolymarketExecClientConfig(
+        venue=POLYMARKET_VENUE,
+        private_key=cfg.private_key or _env_or_none("POLYMARKET_PK"),
+        funder=cfg.funder or _env_or_none("POLYMARKET_FUNDER"),
+        api_key=cfg.api_key or _env_or_none("POLYMARKET_API_KEY"),
+        api_secret=cfg.api_secret or _env_or_none("POLYMARKET_API_SECRET"),
+        passphrase=cfg.passphrase or _env_or_none("POLYMARKET_PASSPHRASE"),
+        signature_type=cfg.signature_type,
+        max_retries=3,
+        retry_delay=1.0,
+        instrument_provider=InstrumentProviderConfig(load_ids=[]),
+    )
+
+
+def build_node_config(cfg: WeatherMarketConfig) -> TradingNodeConfig:
+    """Build TradingNode configuration for Polymarket + weather strategy."""
+    return TradingNodeConfig(
+        timeout_disconnection=cfg.disconnect_timeout_secs,
+        timeout_post_stop=cfg.post_stop_delay_secs,
+        timeout_reconciliation=30.0,
+    )