a Tj@sdZddlZddlZddlZddlZddlZejddejddddlZ ddl Z ddl m Z mZddd Zd d Zd d ZddZedkredS)aCharge favourites more than draws: does the book balance, or just stop filling? Favourites fill at 49.6% and draws at 17.7% (queue-aware, at the touch). That imbalance is the whole loss mechanism: the favourite goes first, the draw never comes, and we are left short the leg most likely to win. Today that cost -78c against completions worth +2 to +4c. If favourites fill twice as easily, we are underpricing them. Charging a premium on the favourite alone would, in principle, do two good things at once: collect more, and slow the favourite down so the legs finish together instead of the easy one running ahead. The counter-argument is the strongest single result in the fill data: cents above the touch is the best predictor of not filling (AUC 0.690). A premium may simply stop the favourite filling at all, which does not balance the book, it empties it. So measure fill rate against premium SEPARATELY BY LEG TYPE. The question is whether the favourite's fill curve is flatter than the draw's -- if it is, there is a premium that equalises them; if both collapse together, there is not. Queue-aware fills from real Kalshi prints throughout. NzE:\soccer\mainzE:\soccer\research) load_legsCACHE?c CsHz*t|}||kr|kr&nn|ndWSttfyBYdS0dS)N)float TypeError ValueError)xlohivr +E:\soccer\research\mm_asymmetric_pricing.py_f!s "rcCsi}tdddd}t|D]|}|d}|r||vs|dpDdsLqt|dt|d }}|d pvd}|r|r|d vr|||f||<qWd n1s0Y|S) zC{leg: (touch, our_ask, side)} at the first quote with depth logged.z&E:\soccer\research\mm_paper_quotes.csvutf-8replace)encodingerrorsZ leg_tickerZask_sizeZk_askZour_askside)homedrawZawayN)opencsvZ DictReadergetstriprlower)outZfhrtkorr r r load_cols)s .r"c Cs||vr dSd}||D]z\}}}t|} | s4q| jdu|jdukrd| jrV| n | j|jd} | |krpq||dkr||7}||krdSqdS)Nr)tzinfog& .>TF)SZ_ptr#Z astimezoner) tradeskeyZpricequeuekoZcumZts_spctsr r r filled_at9s   r,c stt}}tttdd}d}g}|D]\}}||vrBq0||\}}} |d|d} | |vrpq0| |d} d} |D]P} || d}|d krd } qt|| ||d |d }|durd } q|| | <q| r0| | q0t |d kr t dt |ddSt t |dt ddddddd dd|Dddddddd}i}|D]x\}fdd|Dt dkrqlfd d|D}|||<t |ddt ddd d!d|Dqld"|vrd#|vr|d"|d#}t d$|d%d&d'|d(d&d)|d(t d*|d%d+d,t d-d%d&d.tfd/dt||Dd}|durt d0|d1t d2|d3nt d4|d(d5t d6t d7t d8t |d9kr|d#d%gd%d}|d:|d"d%d}d}t||d"gD]x\} }|d||}|d;| d<}|dur^|n|}t d=| d>|d<d?d@d;| dAdB|dCdD||dEdF q(t dGt dHt||d"gD]:\} }|ddI||}t d=| dJ|d<dKd.qdS)LNr)r)r|r+)rtouchTY@gGz?Fr'r(zonly z legs -- too fewz. legs, queue-aware, priced at touch + premium zleg typez>10 legsz>6css"|]}dt|ddVqdS)+r*z>8N)str).0r*r r r pzmain..cSs|ddko|ddkSNrrr1g?r rr r rqr:zmain..cSs|ddko|ddkSr;r r<r r rr=rr:cSs |ddkS)Nrrr r<r r rr=sr:) favouritemid H/Arcsg|]}|r|qSr r r8r)selr r vr:zmain..(cs.g|]&dtfddDtqS)r2c3s|]}|rdVqdS)r-Nr r@r*r rr9yr:z"main...)sumlen)r8)grDrrByr:css|]}|ddVqdS)z>7.1f%Nr )r8r r r rr9|r:r>rz favourite decay 0->+3c : rz.1fz% -> z% (g?z.2fz x retained)z draw at the touch : rHc3s"|]\}}|dkr|VqdS)rNr )r8r*r )rr rr9r:z. -> favourite fill rate meets the draw's at +r*z which would add zc to every completed bookz -> even at +zBc the favourite still fills faster than the draw does at the touchz! === what it does to the BOOK ===zD A premium only helps if books still complete. Completion needs allz< three legs, so it is the PRODUCT of the three fill rates. r.r?g@dz favourite +zc: completion ~z>5.2fz % book pays z>4.1fzc -> z>6.3fzc per book quoted (z+.3fz c vs touch)rz; and what it does to the STRANDING that actually cost us:r-z)c: P(short a favourite, book unfinished) z>5.1f)rr"jsonloadrritemsZ isoformatr,appendrFprintjoinmaxnextzipr)r5Zcolsr%ZpremsZrowsrr r1_rr&rZokr*ZpxfgroupsZcurvesnameZcurZfavmatchdZmid0baseZcompvalZstrandr )rrGrArmainLs        r\__main__)rr)__doc__r collectionsrKZ statisticssyspathinsertZ mm_settler$Z mm_maker_liveZMLZmm_volatility_cleanrrrr"r,r\__name__r r r rs( Z