a āj@sdZddlZddlZddlZddlZddlZejddejddddlZ dZ dddd Z d Z d d Z d dZddZddZedkredS)aIn-play swings: how big, and what would they do to a resting ask? Clarification from the user: "volatility" meant the GAME swinging -- a goal, an equaliser, a winner in stoppage time -- not the pre-kickoff price drift I had been measuring. That is a different regime entirely, and one the maker has never touched: both quoters require `0 < hrs`, so everything stops at kickoff. Two things decide whether it is worth going there. SIZE -- how much bigger are in-play moves than pre-match ones? If a goal reprices a leg by 20c, a resting ask is certain to be reached. POISON -- and that is exactly the problem. A leg fills BECAUSE the goal made it more likely, so we sell at the old price into the new truth. Pre-match that adverse selection is worth fractions of a cent; a goal is worth tens. Measured here as: after a leg trades up through a level, where does it settle? The three-leg structure is the only reason this could work at all -- a completed book does not care who scores. But it takes one leg filling on a goal, with the other two left behind, to lose more than a hundred completed books earn. NzE:\soccer\mainzE:\soccer\researchzE:\soccer\live_dataZkalshi_home_midZkalshi_draw_midZkalshi_away_mid)homeZdrawawayc CsHz*t|}d|krdkr&nn|ndWSttfyBYdS0dS)Nr)float TypeError ValueError)xvr &E:\soccer\research\mm_inplay_swings.py_f#s "r c CsRtddttDt d}tdd}|D]}ttj t|ddd}t |D]}t |d}|d }|dus^|d vrq^z t|}WntyYq^Yn0|d |d |d f}tD]R\}} t|| } | durq|||f} |dkr| dn| d|| fqq^Wdq41sB0Yq4|S)Ncss|]}|dr|VqdS)z.csvN)endswith).0fr r r ,zload..cSs ggdS)N)preliver r r r r -rzload..zutf-8replace)encodingerrorsZ timestampelapsed)NZ game_daterrrrr)sortedoslistdirLIVE_DIRDAYS collections defaultdictopenpathjoincsvZ DictReaderSZ_ptgetrrSIDESitemsr append) fileslegsfnZfhrZtsZelbaseZsidecolmdr r r load+s0"     Jr3cCs$t|}ddt||ddDS)z.Absolute snapshot-to-snapshot moves, in cents.cSs(g|] \\}}\}}t||dqS)d)abs)r_abr r r Grzmoves..rN)rzip)Zseriessr r r movesDsr<c Cst}gg}}g}|D]\}}t|ddkrD|t|d7}t|d}t|dkr|t|7}tt|dD]^}||dd||dd}|dkrx||dd||ddd} ||| fqxqtt|ddt|dd d |fd |ffD]\} } | sq t| } t| } td d | D}t| dd| | ddd| t | ddd| t | ddd| ddd tddd|dd| ddd|| ddq |r|rtd t|t t|dt d!t|t t|dd"d#|r td$t|dd%td&d |D} t| } td'td(| | dd)d*| | d+d)d,| d-| d+d)dtd.d | D}td/|dd0| ddd|| ddtd1td2td3t d4d |D}td5|d"d6dS)7Nrrrr4,z pre-match moves, z in-play moves z PRE-MATCHzIN-PLAYcss|]}|dkrdVqdS)r=rNr )rr r r r rarzmain..z>10z : median z.2fzc p90 g?zc p99 gGz?zc max z.0fcrz moves >= 5c: z of z (gY@z%)z in-play p99 is g{Gz?z.1fzx the pre-match p99z === the poison: z# in-play up-moves of 5c or more ===css|]\}}|VqdSNr )rr6r7r r r rlrz? where the price went in the NEXT ~5 snapshots, after jumping:z median z+.2fzc p25 zc p75 css|]}|dkrdVqdS)rArNr )rr7r r r rqrz held or kept rising: /z? A resting ask is lifted BY that jump, at the pre-jump price.z@ If the price then holds, the seller is short a leg that is nowz: worth much more than they got. That is the cost to beat.css|]\}}|VqdSrCr )rjr6r r r rvrz mean jump size z,c -- against a completed book that nets ~2c.) r3r)lenr<rranger*printsumintmax statisticsZmean)r,Zpre_mZlive_mZjumpskeyr2r;iZjumpZafterZlabelr1Zm2nZbigZheldZavg_jumpr r r mainJs\     $ . 4 6 $ *rR__main__)__doc__r%r rrNsysr#insertZ mm_settler&rr(rr r3r<rR__name__r r r r s(1