a ODjr@svdZddlZddlZddlZddlZddlZdZdZddZ ddZ d d Z d d Z d dZ ddZedkrredS)apWhy every completed book collected less than $1.00. Today's live maker completed three books and every one of them came in under the dollar it owed: SLAUNI 0.98, ALAGET 0.99, EXCPSV 1.00. The books were quoted when their three asks summed to ~1.02. So the money did not vanish at quote time, it vanished BETWEEN the first fill and the last. Two candidate explanations, and they have opposite remedies: DRIFT -- the overround decays with time-to-kickoff for everyone. Fixable by quoting later, closer to KO, where the decay is already spent. SELECTION -- a leg fills precisely when the market moves through it, and that same move makes the remaining legs worth less. Fixable ONLY by quoting wider than the expected move; waiting does nothing. This measures both, then prices the premium needed to survive whichever is real. Nz&E:\soccer\research\mm_paper_quotes.csvgQ?cCst|d|S)N?)MAKER_FEE_RATE)pr*E:\soccer\research\mm_adverse_selection.py maker_feesrc CsHz*t|}d|krdkr&nn|ndWSttfyBYdS0dS)Nr)float TypeError ValueError)xvrrr_fs "rc CsFdD]<}z tjt|dd|WSttfy>Yq0qdS)N)z%Y-%m-%d %H:%M:%Sz%Y-%m-%dT%H:%M:%Sz%Y-%m-%d %H:%M)dtdatetimestrptimestrr r )sfrrr_ts$s  rc Cstdd}i}ttddd}t|D]}|d|dpDd}}t|d }t |d }|r,|r,|r,|s|q,|||||<||vr,t |d }|r,|||<q,Wd n1s0Y||fS) z2{event: {ts: {side: ask}}} plus kickoff per event.cSs ttSN) collections defaultdictdictrrrr/zload..zutf-8replace)encodingerrorsZeventsideZk_askZtsZkickoffN) rropenQUOTEScsvZ DictReadergetlowerrr) bookskosZfhrevr atkrrrload-s(r.c Csg}|D]\}}||}|D]d\}}t|dkr|dd?t|dd@d,|t|d-dAtdB|d$d%dC|dd$d%dDdS)EN,z books, z snapshots with all three legs, z with a kickoff z;=== 1. Is the overround decaying as kickoff approaches? ===))iz>24h) r<z12-24h)r=z6-12h)r/r>z3-6h)rr/z1-3h)?rz30-60m)rr?z<30mZwindowz>8 nz>7z median sumz>11Zp25Zp75c3s:|]2\}}}}|dur|kr*krnq|VqdSrr).0_r9r)hilorr ]rzmain..2z>7,z>11.4fz>7.4fr/zC === 2. After one leg trades up, what happens to the other two? ===css"|]\}}t|dkr|VqdS)r/N)r1)rBr,r8rrrrFkrrics$g|]}||dkr|qS)g{Gz?rrBr)lalbrr przmain..rcsg|]}|kr|qSrrrI)hitrrrLtrc3s|]}|VqdSrrrI)rJrrrFurc3s|]}|VqdSrrrI)rKrrrFvrz events: z' median change in the other two legs: dz+.2fcz' mean : z' p25 / p75 : zc / css|]}|dkrdVqdS)rrNr)rBr rrrrFrz' share where the rest got CHEAPER : gY@z.1f%z> -> a maker who has sold one leg must now sell the other twoz? into this. Negative means the book is worth less than whenz@ it was quoted, and that gap is the loss per completed book.z3 === 3. Premium required to complete profitably ===cSsg|]\}}}}|qSrrrBrCrrrrrLrg@z median quoted sum : z.4fz fees on three legs : z.2fz adverse move after 1st fill: rz sum needed AT QUOTE TIME : z (= 1.00 + fees + the move)c3s"|]\}}}}|krdVqdS)rNrrQ)needrrrFrz snapshots clearing that bar: /z (z%)z premium over the touch : zc (z c per leg))r.r:printr1sorted statisticsZmedianr0zipr4r2r5r3Zmeanr)r'r(r7ZbucketsZlblr rAZdeltasZ base_sumsr*Z snaps_by_ttimesr+bZmovedrestZbeforeZafterdZworseZadverseZmed_sumZfee3Zokr)rDrMrJrKrErRrmainPs   .         r\__main__)__doc__r$rrVsysrrr#rrrrr.r:r\__name__rrrrs( J