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single-pot no-refund payoff; bet selling

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This commit is contained in:
mantikoros 2021-12-20 17:35:59 -06:00
parent 1b4dd90ec5
commit 3a43663b89
15 changed files with 150 additions and 137 deletions
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2
functions/src/index.ts
View File

@ -2,7 +2,7 @@ import * as admin from 'firebase-admin'
admin.initializeApp()
export * from './keep-awake'
// export * from './keep-awake'
export * from './place-bet'
export * from './resolve-market'
export * from './sell-bet'

33
functions/src/place-bet.ts
View File

@ -43,7 +43,7 @@ export const placeBet = functions.runWith({ minInstances: 1 }).https.onCall(
.collection(`contracts/${contractId}/bets`)
.doc()
const { newBet, newPool, newDpmWeights, newBalance } = getNewBetInfo(
const { newBet, newPool, newTotalShares, newBalance } = getNewBetInfo(
user,
outcome,
amount,
@ -54,7 +54,7 @@ export const placeBet = functions.runWith({ minInstances: 1 }).https.onCall(
transaction.create(newBetDoc, newBet)
transaction.update(contractDoc, {
pool: newPool,
dpmWeights: newDpmWeights,
totalShares: newTotalShares,
})
transaction.update(userDoc, { balance: newBalance })
@ -79,29 +79,19 @@ const getNewBetInfo = (
? { YES: yesPool + amount, NO: noPool }
: { YES: yesPool, NO: noPool + amount }
const dpmWeight =
const shares =
outcome === 'YES'
? (amount * noPool ** 2) / (yesPool ** 2 + amount * yesPool)
: (amount * yesPool ** 2) / (noPool ** 2 + amount * noPool)
? amount + (amount * noPool ** 2) / (yesPool ** 2 + amount * yesPool)
: amount + (amount * yesPool ** 2) / (noPool ** 2 + amount * noPool)
const { YES: yesWeight, NO: noWeight } = contract.dpmWeights || {
YES: 0,
NO: 0,
} // only nesc for old contracts
const { YES: yesShares, NO: noShares } = contract.totalShares
const newDpmWeights =
const newTotalShares =
outcome === 'YES'
? { YES: yesWeight + dpmWeight, NO: noWeight }
: { YES: yesWeight, NO: noWeight + dpmWeight }
? { YES: yesShares + shares, NO: noShares }
: { YES: yesShares, NO: noShares + shares }
const probBefore = yesPool ** 2 / (yesPool ** 2 + noPool ** 2)
const probAverage =
(amount +
noPool * Math.atan(yesPool / noPool) -
noPool * Math.atan((amount + yesPool) / noPool)) /
amount
const probAfter = newPool.YES ** 2 / (newPool.YES ** 2 + newPool.NO ** 2)
const newBet: Bet = {
@ -109,15 +99,14 @@ const getNewBetInfo = (
userId: user.id,
contractId: contract.id,
amount,
dpmWeight,
shares,
outcome,
probBefore,
probAverage,
probAfter,
createdTime: Date.now(),
}
const newBalance = user.balance - amount
return { newBet, newPool, newDpmWeights, newBalance }
return { newBet, newPool, newTotalShares, newBalance }
}

23
functions/src/resolve-market.ts
View File

@ -78,22 +78,27 @@ export const resolveMarket = functions
const firestore = admin.firestore()
const getPayouts = (outcome: string, contract: Contract, bets: Bet[]) => {
const [yesBets, noBets] = _.partition(bets, (bet) => bet.outcome === 'YES')
const openBets = bets.filter((b) => !b.isSold && !b.sale)
const [yesBets, noBets] = _.partition(
openBets,
(bet) => bet.outcome === 'YES'
)
const [pool, winningBets] =
const startPool = contract.startPool.YES + contract.startPool.NO
const truePool = contract.pool.YES + contract.pool.NO - startPool
const [totalShares, winningBets] =
outcome === 'YES'
? [contract.pool.NO - contract.startPool.NO, yesBets]
: [contract.pool.YES - contract.startPool.YES, noBets]
? [contract.totalShares.YES, yesBets]
: [contract.totalShares.NO, noBets]
const finalPool = (1 - PLATFORM_FEE - CREATOR_FEE) * pool
const creatorPayout = CREATOR_FEE * pool
const finalPool = (1 - PLATFORM_FEE - CREATOR_FEE) * truePool
const creatorPayout = CREATOR_FEE * truePool
console.log('final pool:', finalPool, 'creator fee:', creatorPayout)
const sumWeights = _.sumBy(winningBets, (bet) => bet.dpmWeight)
const winnerPayouts = winningBets.map((bet) => ({
userId: bet.userId,
payout: bet.amount + (bet.dpmWeight / sumWeights) * finalPool,
payout: (bet.shares / totalShares) * finalPool,
}))
return winnerPayouts.concat([

115
functions/src/sell-bet.ts
View File

@ -35,23 +35,17 @@ export const sellBet = functions.runWith({ minInstances: 1 }).https.onCall(
const betDoc = firestore.doc(`contracts/${contractId}/bets/${betId}`)
const betSnap = await transaction.get(betDoc)
if (!betSnap.exists)
return { status: 'error', message: 'Invalid bet' }
if (!betSnap.exists) return { status: 'error', message: 'Invalid bet' }
const bet = betSnap.data() as Bet
if (bet.isSold)
return { status: 'error', message: 'Bet already sold' }
if (bet.isSold) return { status: 'error', message: 'Bet already sold' }
const newBetDoc = firestore
.collection(`contracts/${contractId}/bets`)
.doc()
const { newBet, newPool, newDpmWeights, newBalance, creatorFee } = getSellBetInfo(
user,
bet,
contract,
newBetDoc.id
)
const { newBet, newPool, newTotalShares, newBalance, creatorFee } =
getSellBetInfo(user, bet, contract, newBetDoc.id)
const creatorDoc = firestore.doc(`users/${contract.creatorId}`)
const creatorSnap = await transaction.get(creatorDoc)
@ -65,7 +59,7 @@ export const sellBet = functions.runWith({ minInstances: 1 }).https.onCall(
transaction.create(newBetDoc, newBet)
transaction.update(contractDoc, {
pool: newPool,
dpmWeights: newDpmWeights,
totalShares: newTotalShares,
})
transaction.update(userDoc, { balance: newBalance })
@ -82,69 +76,86 @@ const getSellBetInfo = (
contract: Contract,
newBetId: string
) => {
const { id: betId, amount, dpmWeight, outcome } = bet
const { id: betId, amount, shares, outcome } = bet
const { YES: yesPool, NO: noPool } = contract.pool
const { YES: yesWeights, NO: noWeights } = contract.dpmWeights
const { YES: yesStart, NO: noStart } = contract.startPool
const { YES: yesShares, NO: noShares } = contract.totalShares
// average implied probability after selling bet position
const p = outcome === 'YES'
? (amount +
noPool * Math.atan((yesPool - amount) / noPool) -
noPool * Math.atan(yesPool / noPool)) /
amount
const [y, n, s] = [yesPool, noPool, shares]
: yesPool * (Math.atan((amount - noPool) / yesPool) + Math.atan(noPool / yesPool)) /
amount
const [sellYesAmount, sellNoAmount] = outcome === 'YES'
? [
p * amount,
p * dpmWeight / yesWeights * noPool,
]
: [
p * dpmWeight / noWeights * yesPool,
p * amount,
]
const newPool = { YES: yesPool - sellYesAmount, NO: noPool - sellNoAmount }
const newDpmWeights =
const shareValue =
outcome === 'YES'
? { YES: yesWeights - dpmWeight, NO: noWeights }
: { YES: yesWeights, NO: noWeights - dpmWeight }
? // https://www.wolframalpha.com/input/?i=b+%2B+%28b+n%5E2%29%2F%28y+%28-b+%2B+y%29%29+%3D+c+solve+b
(n ** 2 +
s * y +
y ** 2 -
Math.sqrt(
n ** 4 + (s - y) ** 2 * y ** 2 + 2 * n ** 2 * y * (s + y)
)) /
(2 * y)
: (y ** 2 +
s * n +
n ** 2 -
Math.sqrt(
y ** 4 + (s - n) ** 2 * n ** 2 + 2 * y ** 2 * n * (s + n)
)) /
(2 * n)
const startPool = yesStart + noStart
const pool = yesPool + noPool - startPool
const f = outcome === 'YES' ? pool / yesShares : pool / noShares
const myPool = outcome === 'YES' ? yesPool - yesStart : noPool - noStart
const adjShareValue = Math.min(Math.min(1, f) * shareValue, myPool)
const newPool =
outcome === 'YES'
? { YES: yesPool - adjShareValue, NO: noPool }
: { YES: yesPool, NO: noPool - adjShareValue }
const newTotalShares =
outcome === 'YES'
? { YES: yesShares - shares, NO: noShares }
: { YES: yesShares, NO: noShares - shares }
const probBefore = yesPool ** 2 / (yesPool ** 2 + noPool ** 2)
const probAverage = p
const probAfter = newPool.YES ** 2 / (newPool.YES ** 2 + newPool.NO ** 2)
const keep = 1 - CREATOR_FEE - PLATFORM_FEE
const creatorFee = CREATOR_FEE * adjShareValue
const saleAmount = (1 - CREATOR_FEE - PLATFORM_FEE) * adjShareValue
const [saleAmount, creatorFee] = outcome === 'YES'
? [{ YES: sellYesAmount, NO: keep * sellNoAmount }, CREATOR_FEE * sellNoAmount]
: [{ YES: keep * sellYesAmount, NO: sellNoAmount }, CREATOR_FEE * sellYesAmount]
console.log('SELL M$', amount, outcome, 'at', p, 'prob', 'for M$', saleAmount.YES + saleAmount.NO, 'creator fee: M$', creatorFee)
console.log(
'SELL M$',
amount,
outcome,
'for M$',
saleAmount,
'M$/share:',
f,
'creator fee: M$',
creatorFee
)
const newBet: Bet = {
id: newBetId,
userId: user.id,
contractId: contract.id,
amount: -amount,
dpmWeight: -dpmWeight,
amount: -adjShareValue,
shares: -shares,
outcome,
probBefore,
probAverage,
probAfter,
createdTime: Date.now(),
sale: {
amount: saleAmount,
betId
}
betId,
},
}
const newBalance = user.balance + sellYesAmount + sellNoAmount
const newBalance = user.balance + saleAmount
return { newBet, newPool, newDpmWeights, newBalance, creatorFee }
return { newBet, newPool, newTotalShares, newBalance, creatorFee }
}

11
functions/src/types/bet.ts
View File

@ -5,18 +5,17 @@ export type Bet = {
amount: number // bet size; negative if SELL bet
outcome: 'YES' | 'NO'
dpmWeight: number // dynamic parimutuel pool weight; negative if SELL bet
shares: number // dynamic parimutuel pool weight; negative if SELL bet
probBefore: number
probAverage: number
probAfter: number
sale?: {
amount: { YES: number, NO: number } // amount user makes from YES and NO pools from sale
amount: number // amount user makes from sale
betId: string // id of bet being sold
}
isSold?: boolean // true if this BUY bet has been sold
isSold?: boolean // true if this BUY bet has been sold
createdTime: number
}
}

2
functions/src/types/contract.ts
View File

@ -12,7 +12,7 @@ export type Contract = {
startPool: { YES: number; NO: number }
pool: { YES: number; NO: number }
dpmWeights: { YES: number; NO: number }
totalShares: { YES: number; NO: number }
createdTime: number // Milliseconds since epoch
lastUpdatedTime: number // If the question or description was changed

6
web/components/bet-panel.tsx
View File

@ -12,7 +12,7 @@ import { formatMoney, formatPercent } from '../lib/util/format'
import { Title } from './title'
import {
getProbability,
getDpmWeight,
calculateShares,
getProbabilityAfterBet,
} from '../lib/calculation/contract'
import { firebaseLogin } from '../lib/firebase/users'
@ -84,9 +84,9 @@ export function BetPanel(props: { contract: Contract; className?: string }) {
betChoice,
betAmount ?? 0
)
const dpmWeight = getDpmWeight(contract.pool, betAmount ?? 0, betChoice)
const shares = calculateShares(contract.pool, betAmount ?? 0, betChoice)
const estimatedWinnings = Math.floor((betAmount ?? 0) + dpmWeight)
const estimatedWinnings = Math.floor(shares)
const estimatedReturn = betAmount
? (estimatedWinnings - betAmount) / betAmount
: 0

30
web/components/bets-list.tsx
View File

@ -257,7 +257,16 @@ export function ContractBetsTable(props: {
function BetRow(props: { bet: Bet; contract: Contract }) {
const { bet, contract } = props
const { amount, outcome, createdTime, probBefore, probAfter, dpmWeight, sale, isSold } = bet
const {
amount,
outcome,
createdTime,
probBefore,
probAfter,
shares,
sale,
isSold,
} = bet
const { isResolved } = contract
return (
@ -270,7 +279,7 @@ function BetRow(props: { bet: Bet; contract: Contract }) {
<td>
{formatPercent(probBefore)} → {formatPercent(probAfter)}
</td>
{!isResolved && <td>{formatMoney(amount + dpmWeight)}</td>}
{!isResolved && <td>{formatMoney(shares)}</td>}
<td>
{formatMoney(
isResolved
@ -279,14 +288,19 @@ function BetRow(props: { bet: Bet; contract: Contract }) {
)}
</td>
{!isResolved && !sale && !isSold &&
{!isResolved && !sale && !isSold && (
<td>
<button className='btn' onClick={async e => {
e.preventDefault()
await sellBet({ contractId: contract.id, betId: bet.id })
}}>Sell</button>
<button
className="btn"
onClick={async (e) => {
e.preventDefault()
await sellBet({ contractId: contract.id, betId: bet.id })
}}
>
Sell
</button>
</td>
}
)}
</tr>
)
}

4
web/components/contract-overview.tsx
View File

@ -90,7 +90,7 @@ export const ContractOverview = (props: {
}) => {
const { contract, className } = props
const { resolution, creatorId } = contract
const { probPercent, volume } = compute(contract)
const { probPercent, truePool } = compute(contract)
const user = useUser()
const isCreator = user?.id === creatorId
@ -140,7 +140,7 @@ export const ContractOverview = (props: {
<ContractDescription contract={contract} isCreator={isCreator} />
{/* Show a delete button for contracts without any trading */}
{isCreator && volume === 0 && (
{isCreator && truePool === 0 && (
<>
<Spacer h={8} />
<button

14
web/components/contracts-list.tsx
View File

@ -17,7 +17,7 @@ import { Linkify } from './linkify'
export function ContractDetails(props: { contract: Contract }) {
const { contract } = props
const { volume, createdDate, resolvedDate } = compute(contract)
const { truePool, createdDate, resolvedDate } = compute(contract)
return (
<Row className="flex-wrap text-sm text-gray-500">
@ -29,7 +29,7 @@ export function ContractDetails(props: { contract: Contract }) {
{resolvedDate ? `${createdDate} - ${resolvedDate}` : createdDate}
</div>
<div className="mx-2">•</div>
<div className="whitespace-nowrap">{formatMoney(volume)} volume</div>
<div className="whitespace-nowrap">{formatMoney(truePool)} pool</div>
</Row>
)
}
@ -110,14 +110,14 @@ function ContractsGrid(props: { contracts: Contract[] }) {
)
}
type Sort = 'createdTime' | 'volume' | 'resolved' | 'all'
type Sort = 'createdTime' | 'pool' | 'resolved' | 'all'
export function SearchableGrid(props: {
contracts: Contract[]
defaultSort?: Sort
}) {
const { contracts, defaultSort } = props
const [query, setQuery] = useState('')
const [sort, setSort] = useState(defaultSort || 'volume')
const [sort, setSort] = useState(defaultSort || 'pool')
function check(corpus: String) {
return corpus.toLowerCase().includes(query.toLowerCase())
@ -132,8 +132,8 @@ export function SearchableGrid(props: {
if (sort === 'createdTime' || sort === 'resolved' || sort === 'all') {
matches.sort((a, b) => b.createdTime - a.createdTime)
} else if (sort === 'volume') {
matches.sort((a, b) => compute(b).volume - compute(a).volume)
} else if (sort === 'pool') {
matches.sort((a, b) => compute(b).truePool - compute(a).truePool)
}
if (sort !== 'all') {
@ -159,7 +159,7 @@ export function SearchableGrid(props: {
value={sort}
onChange={(e) => setSort(e.target.value as Sort)}
>
<option value="volume">Most traded</option>
<option value="pool">Most traded</option>
<option value="createdTime">Newest first</option>
<option value="resolved">Resolved</option>
<option value="all">All markets</option>

21
web/lib/calculation/contract.ts
View File

@ -22,7 +22,7 @@ export function getProbabilityAfterBet(
return getProbability({ YES, NO })
}
export function getDpmWeight(
export function calculateShares(
pool: { YES: number; NO: number },
bet: number,
betChoice: 'YES' | 'NO'
@ -30,8 +30,8 @@ export function getDpmWeight(
const [yesPool, noPool] = [pool.YES, pool.NO]
return betChoice === 'YES'
? (bet * Math.pow(noPool, 2)) / (Math.pow(yesPool, 2) + bet * yesPool)
: (bet * Math.pow(yesPool, 2)) / (Math.pow(noPool, 2) + bet * noPool)
? bet + (bet * noPool ** 2) / (yesPool ** 2 + bet * yesPool)
: bet + (bet * yesPool ** 2) / (noPool ** 2 + bet * noPool)
}
export function calculatePayout(
@ -39,23 +39,20 @@ export function calculatePayout(
bet: Bet,
outcome: 'YES' | 'NO' | 'CANCEL'
) {
const { amount, outcome: betOutcome, dpmWeight } = bet
const { amount, outcome: betOutcome, shares } = bet
if (outcome === 'CANCEL') return amount
if (betOutcome !== outcome) return 0
let { dpmWeights, pool, startPool } = contract
let { totalShares } = contract
// Fake data if not set.
if (!dpmWeights) dpmWeights = { YES: 100, NO: 100 }
// if (!totalShares) totalShares = { YES: 100, NO: 100 }
// Fake data if not set.
if (!pool) pool = { YES: 100, NO: 100 }
const startPool = contract.startPool.YES + contract.startPool.NO
const pool = contract.pool.YES + contract.pool.NO - startPool
const otherOutcome = outcome === 'YES' ? 'NO' : 'YES'
const poolSize = pool[otherOutcome] - startPool[otherOutcome]
return (1 - fees) * (dpmWeight / dpmWeights[outcome]) * poolSize + amount
return (1 - fees) * (shares / totalShares[outcome]) * pool
}
export function resolvedPayout(contract: Contract, bet: Bet) {
if (contract.resolution)

9
web/lib/firebase/bets.ts
View File

@ -14,18 +14,17 @@ export type Bet = {
amount: number // bet size; negative if SELL bet
outcome: 'YES' | 'NO'
dpmWeight: number // dynamic parimutuel pool weight; negative if SELL bet
shares: number // dynamic parimutuel pool weight; negative if SELL bet
probBefore: number
probAverage: number
probAfter: number
sale?: {
amount: { YES: number, NO: number } // amount user makes from YES and NO pools from sale
amount: number // amount user makes from sale
betId: string // id of bet being sold
}
isSold?: boolean // true if this BUY bet has been sold
isSold?: boolean // true if this BUY bet has been sold
createdTime: number
}

6
web/lib/firebase/contracts.ts
View File

@ -30,7 +30,7 @@ export type Contract = {
startPool: { YES: number; NO: number }
pool: { YES: number; NO: number }
dpmWeights: { YES: number; NO: number }
totalShares: { YES: number; NO: number }
createdTime: number // Milliseconds since epoch
lastUpdatedTime: number // If the question or description was changed
@ -48,14 +48,14 @@ export function path(contract: Contract) {
export function compute(contract: Contract) {
const { pool, startPool, createdTime, resolutionTime, isResolved } = contract
const volume = pool.YES + pool.NO - startPool.YES - startPool.NO
const truePool = pool.YES + pool.NO - startPool.YES - startPool.NO
const prob = pool.YES ** 2 / (pool.YES ** 2 + pool.NO ** 2)
const probPercent = Math.round(prob * 100) + '%'
const createdDate = dayjs(createdTime).format('MMM D')
const resolvedDate = isResolved
? dayjs(resolutionTime).format('MMM D')
: undefined
return { volume, probPercent, createdDate, resolvedDate }
return { truePool, probPercent, createdDate, resolvedDate }
}
const db = getFirestore(app)

7
web/lib/service/create-contract.ts
View File

@ -2,7 +2,6 @@ import {
Contract,
getContractFromSlug,
pushNewContract,
setContract,
} from '../firebase/contracts'
import { User } from '../firebase/users'
import { randomString } from '../util/random-string'
@ -38,7 +37,7 @@ export async function createContract(
startPool: { YES: startYes, NO: startNo },
pool: { YES: startYes, NO: startNo },
dpmWeights: { YES: 0, NO: 0 },
totalShares: { YES: 0, NO: 0 },
isResolved: false,
// TODO: Set create time to Firestore timestamp
@ -49,8 +48,8 @@ export async function createContract(
return await pushNewContract(contract)
}
export function calcStartPool(initialProb: number, initialCapital = 200) {
const p = initialProb / 100.0
export function calcStartPool(initialProbInt: number, initialCapital = 200) {
const p = initialProbInt / 100.0
const startYes =
p === 0.5

4
web/pages/about.tsx
View File

@ -162,8 +162,8 @@ function Contents() {
</p>
<h3 id="how-are-markets-resolved-">How are markets resolved?</h3>
<p>
The creator of the prediction market decides the outcome and earns 0.5%
of the trade volume for their effort.
The creator of the prediction market decides the outcome and earns 1% of
the betting pool for their effort.
</p>
<p>
This simple resolution mechanism has surprising benefits in allowing a