HK Weather Prediction Market Pipeline: WeatherNext + HKO + Polymarket
- Open-Meteo WeatherNext API client for HK forecasts - HKO public data client (current conditions, 9-day forecast, typhoon warnings) - HK-specific weather extraction and calibration - Polymarket market scanning, price discovery, and market creation proposals - Trading strategy engine: edge detection, Kelly criterion sizing, probability calibration - End-to-end pipeline with dry-run mode and scheduled runner - Interactive dashboard with live HK weather + forecasts + trading signals Dependencies: Python 3.10+, openmeteo-requests, pandas No API keys needed for dry-run mode. Polymarket trading requires private key in .env.
This commit is contained in:
ramseshk
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"""Trading execution engine for Polymarket weather markets.
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Handles order placement, position sizing, and risk management
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for the HK weather prediction market strategy.
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"""
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from datetime import datetime
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from typing import Optional, Dict, List, Tuple
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from dataclasses import dataclass, field
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from .polymarket_client import PolymarketClient
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from config import MIN_EDGE_BPS, MAX_POSITION_USDC, MIN_LIQUIDITY_USDC
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@dataclass
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class TradeSignal:
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"""A trading signal from the strategy engine."""
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market_id: str
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condition_id: str
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question: str
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outcome_index: int
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outcome_label: str
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model_probability: float # Our model-implied probability (0-100)
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market_probability: float # Market-implied probability (0-100)
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edge_bps: float # Edge in basis points
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recommended_size_usdc: float # Kelly-recommended bet size
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max_size_usdc: float # Maximum allowed position
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signal_type: str # "buy_yes", "buy_no", "pass"
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@dataclass
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class ExecutionResult:
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"""Result of a trade execution."""
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signal: TradeSignal
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success: bool
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order_id: Optional[str] = None
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filled_amount: float = 0.0
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avg_price: float = 0.0
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error: Optional[str] = None
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timestamp: str = field(default_factory=lambda: datetime.now().isoformat())
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class Trader:
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"""Execute trades based on strategy signals."""
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def __init__(
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self,
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client: PolymarketClient,
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private_key: str = "",
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funder_address: str = "",
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dry_run: bool = True,
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):
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self.client = client
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self.private_key = private_key
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self.funder_address = funder_address
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self.dry_run = dry_run
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self.clob = None
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self.positions: Dict[str, float] = {}
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self.trade_history: List[ExecutionResult] = []
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if not dry_run and private_key:
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self._init_clob()
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def _init_clob(self):
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"""Initialize CLOB client for live trading."""
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try:
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from py_clob_client.client import ClobClient
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from py_clob_client.clob_types import OrderArgs
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host = "https://clob.polymarket.com"
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chain_id = 137 # Polygon mainnet
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self.clob = ClobClient(
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host=host,
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key=self.private_key,
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chain_id=chain_id,
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funder=self.funder_address,
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signature_type=2,
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)
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print("CLOB client initialized for live trading")
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except Exception as e:
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print(f"CLOB init failed: {e}. Running in dry-run mode.")
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self.dry_run = True
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def execute_signal(self, signal: TradeSignal) -> ExecutionResult:
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"""Execute a single trade signal."""
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if signal.signal_type == "pass":
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return ExecutionResult(
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signal=signal,
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success=True,
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note="No trade: edge below threshold",
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)
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# Get token ID
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token_id = self.client.get_clob_token_id(
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signal.condition_id, signal.outcome_index
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)
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if not token_id:
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return ExecutionResult(
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signal=signal,
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success=False,
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error="Could not get token ID",
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)
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# Calculate number of shares at size (each share = $1 if correct)
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price = signal.market_probability / 100.0
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size = min(signal.recommended_size_usdc, signal.max_size_usdc)
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if size < 1.0:
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return ExecutionResult(
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signal=signal,
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success=False,
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error=f"Size too small: ${size:.2f}",
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)
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if self.dry_run:
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return self._execute_dry_run(signal, token_id, size, price)
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else:
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return self._execute_live(signal, token_id, size, price)
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def _execute_dry_run(
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self, signal: TradeSignal, token_id: str, size: float, price: float
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) -> ExecutionResult:
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"""Simulate trade execution for testing."""
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result = ExecutionResult(
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signal=signal,
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success=True,
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order_id=f"DRY_RUN_{datetime.now().timestamp()}",
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filled_amount=size,
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avg_price=price,
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)
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self.trade_history.append(result)
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position_key = f"{signal.condition_id}_{signal.outcome_index}"
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self.positions[position_key] = self.positions.get(position_key, 0) + size
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print(f" [DRY RUN] {signal.signal_type}: ${size:.2f} on '{signal.question}'"
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f" @ {price:.4f} (edge: {signal.edge_bps:.0f}bps)")
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return result
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def _execute_live(
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self, signal: TradeSignal, token_id: str, size: float, price: float
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) -> ExecutionResult:
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"""Execute real trade on Polymarket CLOB."""
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if not self.clob:
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return ExecutionResult(
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signal=signal,
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success=False,
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error="CLOB not initialized",
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)
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try:
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# Create a limit order (IOC to avoid partial fills on stale prices)
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order_args = {
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"token_id": token_id,
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"price": price,
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"size": size,
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"side": "BUY" if signal.signal_type == "buy_yes" else "SELL",
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}
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response = self.clob.create_and_post_order(
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order_args, orderType="GTC"
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)
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result = ExecutionResult(
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signal=signal,
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success=True,
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order_id=response.get("orderID", ""),
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filled_amount=float(response.get("filled_size", 0)),
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avg_price=float(response.get("avg_price", price)),
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)
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self.trade_history.append(result)
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print(f" [LIVE] {signal.signal_type}: ${size:.2f} on '{signal.question}'"
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f" @ {price:.4f} (edge: {signal.edge_bps:.0f}bps)")
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return result
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except Exception as e:
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return ExecutionResult(
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signal=signal,
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success=False,
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error=str(e),
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)
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def get_positions_summary(self) -> Dict:
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"""Get summary of current positions and P&L."""
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total_bet = sum(self.positions.values())
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open_trades = len([t for t in self.trade_history if t.success])
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return {
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"total_positions_value_usdc": total_bet,
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"num_open_trades": open_trades,
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"num_markets": len(self.positions),
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"positions": self.positions,
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"dry_run": self.dry_run,
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}
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def cancel_all_orders(self):
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"""Cancel all open orders. Only works in live mode."""
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if self.dry_run or not self.clob:
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print("Cannot cancel orders in dry-run mode")
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return
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try:
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self.clob.cancel_all()
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print("All orders cancelled")
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except Exception as e:
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print(f"Cancellation error: {e}")
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