ramseshk
533939d178
- 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
114 lines
4.3 KiB
Python
114 lines
4.3 KiB
Python
"""NautilusTrader Polymarket execution layer for HK weather prediction markets.
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Key characteristics per Polymarket + Nautilus docs:
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- BinaryOption instruments (outcome tokens, pay 0 or 1 at resolution)
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- pUSD collateral, 6 decimals, no leverage
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- Tick sizes: 0.001 to 0.1 (dictates price + size precision)
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- Market orders: FAK (IOC) or FOK only; GTC/GTD for resting limits
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- Market BUY must use quote_quantity=True (pUSD notional)
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- SELL quantities truncated to 2 decimal places
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- Weather category: 0.05% taker fee + 25% maker rebate
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- Recommended: 30s disconnection timeout + 30s post-stop delay
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"""
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import os
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from dataclasses import dataclass
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from typing import Optional
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from dotenv import load_dotenv
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load_dotenv()
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from nautilus_trader.adapters.polymarket.common.constants import POLYMARKET_VENUE
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from nautilus_trader.adapters.polymarket.config import PolymarketDataClientConfig, PolymarketExecClientConfig
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from nautilus_trader.common.config import InstrumentProviderConfig
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from nautilus_trader.config import TradingNodeConfig
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@dataclass
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class WeatherMarketConfig:
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"""Configuration for the weather prediction market strategy."""
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# Credentials
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private_key: str = ""
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funder: str = ""
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api_key: str = ""
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api_secret: str = ""
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passphrase: str = ""
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signature_type: int = 0 # 0=EOA, 3=DepositWallet
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# Strategy
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bankroll_pusd: float = 1000.0
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min_edge_bps: int = 200
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max_position_per_market_pusd: float = 500.0
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kelly_fraction: float = 0.25
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forecast_interval_mins: int = 360 # 6h
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# Market discovery
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search_tags: tuple = ("weather", "temperature", "hong kong", "typhoon", "precipitation", "climate")
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min_liquidity_usdc: float = 100.0
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# Risk
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disconnect_timeout_secs: int = 30
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post_stop_delay_secs: int = 30
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@classmethod
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def from_env(cls) -> "WeatherMarketConfig":
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return cls(
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private_key=os.getenv("POLYMARKET_PK", ""),
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funder=os.getenv("POLYMARKET_FUNDER", ""),
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api_key=os.getenv("POLYMARKET_API_KEY", ""),
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api_secret=os.getenv("POLYMARKET_API_SECRET", ""),
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passphrase=os.getenv("POLYMARKET_PASSPHRASE", ""),
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signature_type=int(os.getenv("POLYMARKET_SIGNATURE_TYPE", "0")),
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bankroll_pusd=float(os.getenv("BANKROLL_PUSD", "1000.0")),
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min_edge_bps=int(os.getenv("MIN_EDGE_BPS", "200")),
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kelly_fraction=float(os.getenv("KELLY_FRACTION", "0.25")),
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)
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def _env_or_none(key: str) -> str | None:
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"""Get env var or None if not set."""
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val = os.getenv(key, "")
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return val if val else None
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def build_data_client_config(cfg: WeatherMarketConfig) -> PolymarketDataClientConfig:
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"""Build Polymarket market data client configuration."""
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return PolymarketDataClientConfig(
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venue=POLYMARKET_VENUE,
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private_key=cfg.private_key or _env_or_none("POLYMARKET_PK"),
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funder=cfg.funder or _env_or_none("POLYMARKET_FUNDER"),
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api_key=cfg.api_key or _env_or_none("POLYMARKET_API_KEY"),
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api_secret=cfg.api_secret or _env_or_none("POLYMARKET_API_SECRET"),
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passphrase=cfg.passphrase or _env_or_none("POLYMARKET_PASSPHRASE"),
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signature_type=cfg.signature_type,
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instrument_provider=InstrumentProviderConfig(load_ids=[]),
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update_instrument_interval_mins=30,
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)
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def build_exec_client_config(cfg: WeatherMarketConfig) -> PolymarketExecClientConfig:
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"""Build Polymarket execution client configuration."""
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return PolymarketExecClientConfig(
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venue=POLYMARKET_VENUE,
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private_key=cfg.private_key or _env_or_none("POLYMARKET_PK"),
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funder=cfg.funder or _env_or_none("POLYMARKET_FUNDER"),
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api_key=cfg.api_key or _env_or_none("POLYMARKET_API_KEY"),
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api_secret=cfg.api_secret or _env_or_none("POLYMARKET_API_SECRET"),
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passphrase=cfg.passphrase or _env_or_none("POLYMARKET_PASSPHRASE"),
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signature_type=cfg.signature_type,
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max_retries=3,
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retry_delay=1.0,
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instrument_provider=InstrumentProviderConfig(load_ids=[]),
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)
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def build_node_config(cfg: WeatherMarketConfig) -> TradingNodeConfig:
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"""Build TradingNode configuration for Polymarket + weather strategy."""
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return TradingNodeConfig(
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timeout_disconnection=cfg.disconnect_timeout_secs,
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timeout_post_stop=cfg.post_stop_delay_secs,
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timeout_reconciliation=30.0,
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)
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