a N~j]T @sdZddlZddlZddlZddlmZddlmZej ddddl Z edZ edZgdZejd d d d d dejjdZejd d ddddejjdZd)ddZddZddZd*ddZddZddZd d!Zd"d#Zd$d%Zd+d&d'Zed(kredS),a Settle the PAPER market-maker quotes logged by mm_quoter.py, and email results. Places nothing, cancels nothing, touches no money. HOW A FILL IS DECIDED (fill_from_quotes): a MANAGED resting order that cancels and reposts every quoting cycle. Walks a leg's full quote history and, for the ask we were showing during each interval, checks whether any REAL trade printed at or above it -- strictly BEFORE kickoff, since we cancel at kickoff (user decision, 2026-07-26) rather than leave orders resting through the match. THIS REPLACES A BROKEN EARLIER VERSION, kept here as a warning: the original test used only the FIRST logged ask with no time bound, comparing timestamp STRINGS (which mixed +00:00/Z/-04:00 suffixes and silently matched almost nothing correctly). Combined, those two bugs first UNDER-counted fills to near-zero, then, once one was fixed without the other, OVER-counted by including in-play trades -- a stale ask getting lifted after a goal, by someone watching the match. Reported fill rate swung 13% -> 83% across those bugs before landing at a real ~19% (fixed-margin ask) to ~61% (ask capped at the market's own ask) once both were corrected. Verify against research/mm_decile_by_volume.py's sanity checks before trusting any number this script prints. STILL DELIBERATELY OPTIMISTIC, and the number to keep distrusting: this ignores queue position. In reality several makers may sit at the same price and the buyer takes whoever is first, so the realised fill rate would be lower and plausibly skewed toward the fills nobody else wanted. Capture is the ONE question history cannot answer (see [[project_market_making_early_edge]]) -- this measures a ceiling, and the gap between it and a live test is the thing worth knowing. P&L per contract sold = our_ask - settlement (1 if that outcome happened, 0 otherwise). Makers pay no Kalshi fee -- verified on a real maker fill (7.8 contracts @ 0.36, fee_cost 0.0000). Usage: python main\mm_settle.py [--email] N) defaultdict)PathzE:\soccer\mainz&E:\soccer\research\mm_paper_quotes.csvz'E:\soccer\research\mm_paper_results.csv)tsdivmatch leg_tickersideour_ask competitivefilledfill_pxsettled pnl_centssizeregimevolumei92)Ztzinfo cCs8|r|St|}|durdS|tkr(dS|tkr4dSdS)zCRegime for a row. Prefers the `regime` column written at post time.Nv1v3v2)_ptREGIME_V3_STARTREGIME_V2_START)Zts_strZtaggedtr!E:\soccer\main\mm_settle.py regime_ofYsr#cCs4ztjt|ddWSty.YdS0dS)aParse any of our timestamp flavours to an aware datetime. Quote times are UTC with +00:00, kickoffs are ET with -04:00, Kalshi trades are UTC with Z. Comparing these as STRINGS is meaningless and silently filtered out every trade at one point -- always parse. Zz+00:00N)dtdatetimeZ fromisoformatstrreplace Exception)sr!r!r"res rc Cstdd|Dddd}t|D]\}}t|d}|dusF||krJq|dt|krnt||ddn|}|dus||kr|}zt|d }WnttfyYq"Yn0|D]>\} } || kr|krnq| |d krd || fSqq"d S) awSimulate a MANAGED resting order: cancel-and-repost every cycle. Walks the leg's quote history in order. For each interval between consecutive quotes (bounded above by kickoff), asks whether any trade printed at or above the ask WE WERE SHOWING during that interval. First hit is the fill. WHY THIS AND NOT "did anything ever trade above our first ask": - the old test used only the FIRST ask and no upper time bound, so it modelled an order posted once and abandoned, and counted IN-PLAY trades. That reported an 83% fill rate; the true pre-kickoff figure was 13%. - a real maker re-quotes as fair value drifts. If fair moves 27c -> 25c and we repost, an order that was hopeless at 29c becomes live. The static model never sees that and under-counts genuine fills. - we CANCEL AT KICKOFF (user decision, 2026-07-26). Leaving orders resting through a match is a different strategy and was measured at -$23.60: prices jump on goals and stale asks get lifted by people watching. Returns (filled: bool, fill_px: float|None, fill_ts: datetime|None). cSsg|]}|dr|qS)r get).0rr!r!r" z$fill_from_quotes..cSs t|dSNrr')r.r!r!r"r0z"fill_from_quotes..keyrNr g& .>T)FNN)sorted enumeraterlenfloat TypeError ValueError) quote_rowstradeskickoffrowsir.startendZaskr pxr!r!r"fill_from_quotesrs$ (  $rE@c Csgd}}t||kr|dd}|r,||d<ztd|}WntyRYqYn0|dg}||7}|d}|r|s|qtdd|Ddd }|r |r ||kr qq g} |D]`} t| d } | r|r| |krz | | t| d pd fWqt t fy YqYq0q| S) a Every trade on this leg after `since_dt`, as (datetime, price) tuples. No upper time bound is applied here -- fill_from_quotes()'s own interval logic (each interval capped at kickoff) already excludes in-play trades, so fetching everything after the first quote and letting that function filter is simpler and cannot reintroduce the in-play-counted-as-a-fill bug. PAGINATE UNTIL WE REACH since_dt, don't stop at a fixed count (fixed 2026-07-27). The API returns trades NEWEST FIRST, and soccer legs take thousands of in-play trades in the minutes around a goal -- Pachuca had 17,999. The old cap=2000 therefore filled entirely with post-kickoff activity and never reached back to the pre-kickoff window, so every pre-KO fill on a busy leg was invisible. That made the settler report 10 of 21 legs filled (and a -$9.77 day built from phantom naked legs) when the true count was far higher. Stop when the oldest trade fetched predates since_dt; `cap` is now only a runaway guard. N)tickerlimitcursorz/markets/tradesr>css*|]"}t|drt|dVqdS) created_timeN)rr,r-xr!r!r" sz trades_tuples..)defaultrKZyes_price_dollarsr) r9ktZ_getr)r,minrappendr:r;r<) rHZsince_dtZcapoutrJpdZtrZoldestZkeeprMr r!r!r" trades_tupless8         rVcCsTz z distinct legs (z completed at bid)r Q?r6drhomez vs Zawayrhedgerrrr)rrrrrr r r r r rrrrr?cSs|dSr1r!)rMr!r!r"r3 r0zmain..r4r w)Z fieldnamesz--email) send_emailzPaper market-maker resultsz
z
Zemailedzemail failed: )%QUOTESexistsprintlistcsvZ DictReaderopenr setdefaultr'r, startswithrRsetr9rYr:dictroundr#rrQrVrEintRESULTSZ DictWriterRFIELDSZ writeheaderZwriterowbackfill_completion summarisesysargvZ daily_signalsrer))r@by_legZ completionmetar.klegsrSZlegr*Zcomp_rowrDfee_cZqrowsZr0r?Zfirst_tsr>r Z_ftspnlZfhrdohedgedbodyreer!r!r"mains              .     rc Cstt}|D]}||d|q tt}|D]}||d|df|q0g}|D]R\\}}} t| dkr|| 7}q\dd| D} t| dkstdd | Dr|| 7}q\| d } t|| dgd d d } | s|| 7}q\zt| dd} Wn$t t fy || 7}Yq\Yn0d | kr:dksFn|| 7}q\d| d| d}| D]P}|| urt || d| dt | |dd|dd}||n ||q^q\|S)aWhat the CURRENT completion rule would have produced on legacy books. Books settled before mm_quoter learned to complete are left unhedged in the recorded results. This applies the rule retroactively so the rule can be judged -- and returns a SEPARATE list rather than editing `out`, because overwriting recorded P&L with a later rule is how track records become unfalsifiable. LEGITIMATE because the rule is outcome-independent: "if exactly one of three legs is unfilled, sell it into the bid" never looks at who won. It is not dropping losing bets; it is closing an implementation gap. THE ONE REAL CAVEAT: the bid used is the LAST one we logged before kickoff. Hedging live would happen at whatever bid existed at the decision moment, plausibly a cent or two worse. So this is optimistic, and the gap between it and future live-rule results is the honest measure of that optimism. rrrcSsg|]}|ds|qSr r!rLr!r!r"r/Jr0z'backfill_completion..r6css|]}|ddvVqdS)r )rahedge(backfill)Nr!rLr!r!r"rNKsz&backfill_completion..rcSs|dSr1r!)yr!r!r"r3Pr0z%backfill_completion..r4Zk_bidr^r_rr rb)r r r r r) rrirRitemsr9anyr7r,r:r;r<rorp)rSr=rxr.Zby_matchr~rrrr{ZunfZtgtr@Zbidr|rMrr!r!r"rt,sP     rtcCs@dd|D}tdd|D}tdd|D}t|||fS)NcSsg|]}|dr|qSrr!r-r~r!r!r"r/ir0z_totals..css|]}t|dpdVqdSrrNr:rr!r!r"rNjr0z_totals..css&|]}|dt|dpdVqdSrrrNrrr!r!r"rNkr0)sumr9)r@fctsr}r!r!r"_totalshsrc Cst|}|s||ddg7}dSdd|D}tdd|D}||d|d |d ||d d d dt|d t||d d d g7}|rtdd|D}tdd|D}|d|dd|d ddg7}|r|d||ddtdd}|D]Z} || dd| dt| dp,d7<|| ddt| dpTd7<q|d t|d!dd"D]<\} \} } | r~|d#| d$d%| d&d'| | d(d)q~|ddS)*z'Render one regime's stats into `lines`.z (no settled legs yet)rZNcSsg|]}|dr|qSrr!rr!r!r"r/ur0z_block..css"|]}t|ddkrdVqdS)r 1r6Nr2rr!r!r"rNvr0z_block..z legs quoted : z competitive : z (r_z.0fz%)z would have filled : css&|]}|dt|dpdVqdSrrrr!r!r"rN|r0css|]}t|dpdVqdSrrrr!r!r"rN}r0z contracts sold : z,.0fz P&L : z+,.2f dollarsz per contract : z+.2fz centscSsddgS)Nrcr!r!r!r!r"r3r0z_block..rrrrr6z by league:cSs|dd S)Nr6rr!)Zkvr!r!r"r3r0r4z Z6s z8,.0fz contracts z+7.2f c/contract)r9rrRrr:r7r) r@titlelinesnfillsZcompZtotrZbyr~rUrTcr!r!r"_blockos8"  .*  ,rcssdSd}fdd|Dfdd|D\}}}}tddDt|}d d g}t|d ||d |d t|d ||r|d |d |dt|d ||r|gd7}t|d ||D]2|d ddg7}tfddDd |qt} ddD} |rt\} } } t|\}}}t|| dkr|d ddddd| rd| dd| ddd | | d!d"nd |rd#|dd|ddd ||d!d"nd d$|| ddd%g 7}|gd&7}d'|S)(NziPAPER MARKET MAKER No settled paper quotes yet. Results appear after the next batch of matches finishes.)v4rrrcs i|]fddDqS)csg|]}|dkr|qSrr+rgr!r"r/r0z(summarise...r!)r-)rSrr" r0zsummarise..c3s|]}|VqdS)Nr!)r-r)by_regr!r"rNr0zsummarise..cSsh|]}|dpdqS)r?r+rr!r!r" r0zsummarise..u$PAPER MARKET MAKER — Kalshi soccerrZzzv4 CURRENT RULE (v3 plus the MIN_LEG_VOLUME liquidity gate: quote only books whose thinnest leg has traded volume >= gate)>--------------------------------------------------------------uJv3 (delayed completion, NO liquidity gate) — DIFFERENT RULE, DO NOT POOLuYv2 (crossed to complete IMMEDIATELY at 2-of-3, ~9h early) — DIFFERENT RULE, DO NOT POOL)ru<v1 LEGACY — DIFFERENT STRATEGY, DO NOT POOL WITH THE ABOVEzC(flat fair+2c, uncapped so it sat above the market on ~86% of legs,z1 3h window, 5-min cron. Kept only for reference.)u8 — UNRECOGNISED REGIME, not described in mm_settle.py.z@Add a labelled block for it; do not pool it with anything above.csg|]}|dkr|qSrr+rrr!r"r/r0zsummarise..cSsg|]}|dr|qSrr!rr!r!r"r/r0g?z:----------------------------------------------------------z0WITH THE COMPLETION RULE APPLIED TO LEGACY BOOKSz=(books that settled before mm_quoter could hedge; the rule isz> outcome-independent, so this is a fair retrospective, but thez6 bid used is the LAST one logged, so it is OPTIMISTIC)z as recorded : Z3dz fills r_z+8.2fz dollars z+6.2frz rule applied : z difference : r)rZz@CAVEAT: fills assume we win every trade that printed at or abovezAour ask. Real queue position would give fewer and worse fills, soz+treat this as the CEILING, not an estimate. )r7rnrrRr9rabsjoin)rSrZknownrrrrZstrayLrrZnaZcaZpaZnhZchZphr!)rrrSr"rush           ru__main__)N)rF)N)__doc__rvrjr&r% collectionsrpathlibrpathinsertZ kalshi_traderrPrfrrrstimezoneZutcrrr#rrErVrYrrtrrru__name__r!r!r!r"s0$     ( 0 U< E