a j9@sdZddlZddlZddlZddlZddlmZejej e Z ej de ej dej e ddej e dZej e dZdZdd d Zd d ZddZddZddZddZddZddZddZedkreedS)aIs market making on Poly-US worth it? Settle the LIVE maker's books. WHAT THIS ANSWERS. project_mm_completion_arithmetic reduces a maker to one number: the completion rate, against a break-even set by what a complete book pays versus what a partial one costs. That was measured on KALSHI. Poly-US has different economics -- it CREDITS the maker 0.0125*p(1-p) where Kalshi CHARGES 0.0175*p(1-p) -- so the break-even is its own number and has never been measured on live fills. The paper-era scorer (main/mm_settle_polyus.py, regime `pus-v1`) inferred fills from the tape. This does not: it reads the LIVE maker's own state, where a leg is marked filled only from a real position, so every book here is real money. METHOD. For each event the maker sold at least one leg of: P&L = sum(prices of legs SOLD) - (1.00 if the winning outcome was one we sold, else 0.00) + maker rebate A COMPLETE book always sells the winner, so it is deterministically sum(px) - 1.00. A PARTIAL book is a coin flip on whether the outcome it is short actually lands -- which is the whole risk of the strategy. Read-only. Run: python research/pus_maker_pnl.py N) defaultdict..mainzpus_live_state.jsonzpus_live_legs.csvg?c Cs*z t|WSttfy$|YS0dSN)float TypeError ValueError)xdr research/pus_maker_pnl.py_f's rc Cs0z.tjdtjtddddl}ddl}Wn@tyn}z(t dt |j d|WYd}~dSd}~00t t dd}}}z\|dkrdd i}|r||d <|j|jd |d d |d d}|jdkrt|jd|jdd|}|dpgD]} | ddkrq| dp,i} | d} | dpFi| dpTi} } t| d}| r|sxqt| dpid}| dd\}}||f|||<q|d|d}}|r|drqqWnDty&}z*t dt |j d|d WYd}~dSd}~00t |S)!aevent -> {leg: (net, realized)} from Poly-US's OWN settlement record. REPLACES the state-derived version (2026-08-28). pus_live_state.json is written by detect_fills, which reads positions and prints 'positions unreadable, not marking fills' on every 503 -- and this venue 503s for hours at a time. Fills that landed while it was blind were simply never recorded, so the state undercounts BOOKS badly: 16 settled books in state against 62 the venue has resolved. The same class of bug was found on Kalshi the same day, where a lossy local join reported 45 complete books against the exchange's 115. Completion is the number this strategy is judged on; it cannot come from a local record that stops writing when a venue hiccups. ACTIVITY_TYPE_POSITION_RESOLUTION carries beforePosition.netPosition (what we held into settlement) and afterPosition.realized (what the venue paid or took). Using the venue's own realized figure removes the need to reconstruct P&L from prices and outcomes at all -- no fixture lookup, no side mapping, no result join. Returns None if activities cannot be read. rrrNz# [warn] poly-US auth unavailable: z: (limitdcursorz/v1/portfolio/activitiesZGET)ZheadersparamsZtimeoutxZ activitiestypeZ!ACTIVITY_TYPE_POSITION_RESOLUTIONZpositionResolutionZ marketSlugZbeforePositionZ afterPositionZ netPositionrealizedvalue-Z nextCursoreofz [warn] activities unreadable ())syspathinsertosjoinHEREZ poly_us_authrequests Exceptionprintr__name__rdictgetZAPI_BASEZ _auth_headersZ status_code RuntimeErrortextjsonrrsplit)Zpar$eoutrZpagesrrr aZprslugZbpZapZnetrealevZlegr r r settled_books.sN      "  r5cCsvi}ttdddP}t|D]4}|dp.d}|dr|r|||d<qWdn1sh0Y|S)z3slug -> 'home' | 'draw' | 'away', from the leg log.utf-8newlineencodingZsider2N)openLEGScsv DictReaderr)striplower)r/fhr0sr r r side_mapms,rCcCsi}ttdddn}t|D]R}|dp.d}|s6q|ddd}||vrPqt|dd }|d ur|||<qWd n1s0Y|S) aevent slug -> gross_c the FIRST time the book was quoted. The gate (GROSS_GATE_C, 2.0c) decides which books open, and the 2026-08-24 read found 16 of 18 risked books opened at exactly the gate minimum and completed 50% -- against a 74.2% break-even. A book opened on 2c of overround has almost nothing to spread across the remaining legs once one fills, so the ratchet holds out near the touch and strands. FIRST row, not min or mean: the question is what the book was worth when the decision to open it was made. Later rows carry the ratchet's own repricing, which is a consequence of that decision, not an input to it. r6r7r8r2rrrZgross_cN)r;r<r=r>r)r-r)r/rAr0r2r4gr r r opening_grossxs (rEcCspddl}i}|jddD]R}|dr0|ddni}|d|d}}|r|r|d|||f<q|S) z6(home, away) -> 'H'/'D'/'A' for every settled fixture.rNT)Zrequire_resultZprehomeawayftr)Zforward_test_unique_bookZ load_fixturesr)r?)Fr/ZfxZr0hr1r r r results_mapsrKc Cst}znttdddL}t|D]0}|dp2d}d|vr"||dddq"Wdn1sh0YWn6ty}zt d |d WYd}~dSd}~00|S) a/Event prefixes the MAKER actually quoted, from its own leg log. WHY THIS FILTER IS NOT OPTIONAL. /v1/portfolio/activities is the ACCOUNT's history, not the maker's: it carries manual bets, xlow-era trades and World Cup futures going back to June, while the live maker only started 2026-08-22. Without this, `tec-f-wc-2026-07-19-groupd-winner` lands in a market-making completion rate as a 1-leg 'partial book' worth -$1.00. The leg log is the record of what this maker offered, so an event absent from it was never its book. r6r7r8r2rrrNz [warn] leg log unreadable (z); cannot filter to maker books) setr;r<r=r>r)addr-OSErrorr&)r/rAr0r2r.r r r maker_eventss :rOcsft}|durXtrPt|}fdd|D}td|dt|dt|StdtS)Ncsi|]\}}|vr||qSr r ).0r.vZquotedr r zmain..zvenue settled books: z -> z9 the maker actually quoted (rest are manual/xlow/futures)z> falling back to the local state file -- expect undercounting)r5rOlenitemsr&report_exchangemain_from_state)Zbooks_exZbeforer rRr rsc Cs|g}|D]B\}}tdd|D}||t||dt|dkdq |s`tddSdd |D}d d |D}td d|D}td t|d t|dt|dttddddddt|dddddD]4}td|dddd|dd|d d!qtd"t|d#ddd$dD]6}td|dddd|dd|d d!qDtd%d&} | d'|| d(|| d)|ttd*d+t|t|d,d-|rJ|rJtd.d|Dt|} td/d|Dt|} | | krJtd0| | | d+d,d1| d2d3| d2d4ttd5|dd2d6t|d7td8dS)9z>Completion and P&L straight off the venue's settlement record.css|]\}}|dur|VqdSrr )rP_r0r r r rTz"report_exchange..Y@)r4npnl_ccompletezno settled books yetrcSsg|]}|dr|qSr_r rPr0r r r rTz#report_exchange..cSsg|]}|ds|qSr`r rar r r rbrTcss|]}|dVqdSr^Nr rar r r rZrTzsettled books (venue record): (complete , partial rbookz<46legs>5P&L c>10cSs|dSNr^r r r r r rTz!report_exchange..keyN  r4i<44r]r^z>10.2fz ...cSs|dSrkr rlr r r rmrTc Ssp|st|dddStdd|Dt|}t|ddt|dd|dd td d|Dd d dS) N<26 (none)css|]}|dVqdSrcr rPr r r r rZrTz.report_exchange.._s.. n=>3 mean z>+8.2fc/book total css|]}|dVqdSrcr rvr r r rZrTz>+9.1fcr&sumrUZlabelZxsmr r r _sszreport_exchange.._sCOMPLETE books PARTIAL books ALL bookscompletion rate: r.1f%css|]}|dVqdSrcr rvr r r rZrTcss|]}|dVqdSrcr rvr r r rZrTbreak-even completion rate: % (complete +.2f c vs partial c)zREALISED (venue-reported): $ over  booksz\P&L is afterPosition.realized summed per book -- the venue own number, not a reconstruction.)rVr}valuesappendrUr&sorted) booksrowsr4rgrcompparttotr0rcgpcr r r rWsX  24   "    rWc( stttdd}tt}tt}i}|D]j\}}t |tsFq2| ddd}| drl|d||<t | d}|dkr2|t | df|||<q2gg}} |D](\}} | |d } d | vr| || t| fqd d | d dD\} } | | | f}|dur,| || t| fqd ddd|}tdd| D}tdd| D}fdd| D}||vrdnd}tdd| D}|||d}| || t| ||||t| dkdq|stddSdd |D}dd |D}tdd|D}td t|d!t|d"t|d#td$t| ttd%d&d'd(d)d*d+d,d-d.t|d/d0d1D]J}td2|d3dd4d5|d6d(|d)d7|d+d8|d9d:qtd;d<}|d=||d>||d?|t|r*t|t|d@nd}tdA|dBdC|r|rtdDd|Dt|}tdEd|Dt|}||kr| ||d@}tdF|dBdG|dHdI|dHdJttdK|ddLdMdN|d|ddLdHdOt|dPt}gdQ} dRdS| D}!d}"|D]}| |dT}#|#durL|"d7}"q$| D]x\} }$}%|$|#krr|%krPnnP|!| }&|&d6d7<|&dU|dVrdnd7<|&dW|d97<q$qPq$ttdXtd2dYdZd6d[dVd\d]d^d_d`| D]\} }'}'|!| }&|&d6sPtd2| dZdd[dad\dad^dad`qtd2| dZ|&d6d[|&dUd\d@|&dU|&d6dbdC|&dW|&d6dcq|"rtdd|"detdftdgdS)hNr7)r:rrrZeventZfill_qtyZfill_pxr6z vs cSsg|] }|qSr )r?rvr r r rbrTz#main_from_state..rFZdrawrG)HDAcss|]\}}|VqdSrr rPrYZpxr r r rZrTz"main_from_state..css|]\}}|VqdSrr )rPqrYr r r rZrTcsh|]}|qSr )r))rPrBZsidesr r rTz"main_from_state..g?rcss"|]\}}t|d|VqdS)rN) MAKER_REBATErr r r rZrTr[r\)r4namer]qty collectedpaidr^r_zno settled live books yetcSsg|]}|dr|qSr`r rar r r rb%rTcSsg|]}|ds|qSr`r rar r r rb&rTcss|]}|dVqdSrcr rar r r rZ'rTzsettled live books: rdrerzunsettled / unmatched: rfrrrgrhrz>11rz>7riz>9cSs|dSrkr rlr r r rm.rTz!main_from_state..rnrqr*z<42r]z>11.2fz>7.2fr^z>9.2fc Ssp|st|dddStdd|Dt|}t|ddt|dd|dd td d|Dd d dS) Nrtrucss|]}|dVqdSrcr rvr r r rZ7rTz.main_from_state.._s..rwrxryz>+7.2frzcss|]}|dVqdSrcr rvr r r rZ9rTz>+8.1fr{r|r~r r r r3szmain_from_state.._srrrrrrrcss|]}|dVqdSrcr rvr r r rZBrTcss|]}|dVqdSrcr rvr r r rZCrTrrrrrz REALISED, at rz.0fz contract(s)/leg: $rr))z2-3cg@@)z3-5cr@)z5-8cr @)z8c+rgeAcSsi|]}|dddddqS)rr)r]rpnlr )rPbr r r rSUrTz#main_from_state..r4rr_rz4COMPLETION AND P&L BY OPENING GROSS (settled books):Zgrossz<7z>4rjratez>8z mean c/bookz>13u—z>7.1fz>+13.2fz (z' book(s) had no opening gross recorded)zD NOTE: a single-book bucket is not evidence. The gate only moves ifzG a POPULATED wider bucket clears break-even while 2-3c does not.)r,loadr;STATErCrKrr(rV isinstancer-r)rrrUsplitr}rmaxr&rrE)(stresrnamesr2rQr4rrZ unmatchedrgrrFrGrHZwantrrZ sold_sidesrZrebater^rrrr0rrrrZbeZogZbucketsZaggZmissingrDlohir1rYr rr rXs        &*          ( ( rX__main__)r)__doc__r=r,r!r collectionsrrdirnameabspath__file__r#r r"rr<rrr5rCrErKrOrrWrXr'exitr r r r s,  ?  3z