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Convert rest of calcuate file to generic multi contracts

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This commit is contained in:
James Grugett 2022-02-14 17:03:59 -06:00
parent 26717295b8
commit 58afde2772
2 changed files with 72 additions and 75 deletions
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141
common/calculate.ts
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@ -28,7 +28,7 @@ export function getProbabilityAfterBet(
const shares = calculateShares(totalShares, bet, outcome) const shares = calculateShares(totalShares, bet, outcome)
const prevShares = totalShares[outcome] ?? 0 const prevShares = totalShares[outcome] ?? 0
const newTotalShares = { ...totalShares, outcome: prevShares + shares } const newTotalShares = { ...totalShares, [outcome]: prevShares + shares }
return getOutcomeProbability(newTotalShares, outcome) return getOutcomeProbability(newTotalShares, outcome)
} }
@ -48,54 +48,49 @@ export function calculateShares(
return Math.sqrt(bet ** 2 + shares ** 2 + c) - shares return Math.sqrt(bet ** 2 + shares ** 2 + c) - shares
} }
export function calculateEstimatedWinnings(
totalShares: { YES: number; NO: number },
shares: number,
betChoice: 'YES' | 'NO'
) {
const ind = betChoice === 'YES' ? 1 : 0
const yesShares = totalShares.YES + ind * shares
const noShares = totalShares.NO + (1 - ind) * shares
const estPool = Math.sqrt(yesShares ** 2 + noShares ** 2)
const total = ind * yesShares + (1 - ind) * noShares
return ((1 - FEES) * (shares * estPool)) / total
}
export function calculateRawShareValue( export function calculateRawShareValue(
totalShares: { YES: number; NO: number }, totalShares: {
[outcome: string]: number
},
shares: number, shares: number,
betChoice: 'YES' | 'NO' betChoice: string
) { ) {
const [yesShares, noShares] = [totalShares.YES, totalShares.NO] const currentValue = Math.sqrt(
const currentValue = Math.sqrt(yesShares ** 2 + noShares ** 2) _.sumBy(Object.values(totalShares), (shares) => shares ** 2)
)
const postSaleValue = const postSaleValue = Math.sqrt(
betChoice === 'YES' _.sumBy(Object.keys(totalShares), (outcome) =>
? Math.sqrt(Math.max(0, yesShares - shares) ** 2 + noShares ** 2) outcome === betChoice
: Math.sqrt(yesShares ** 2 + Math.max(0, noShares - shares) ** 2) ? Math.max(0, totalShares[outcome] - shares) ** 2
: totalShares[outcome] ** 2
)
)
return currentValue - postSaleValue return currentValue - postSaleValue
} }
export function calculateMoneyRatio( export function calculateMoneyRatio<T extends 'BINARY' | 'MULTI'>(
contract: Contract, contract: Contract<T>,
bet: Bet, bet: Bet<T>,
shareValue: number shareValue: number
) { ) {
const { totalShares, pool } = contract const { totalShares, totalBets, pool } = contract
const { outcome, amount } = bet
const p = getProbability(totalShares) const p = getOutcomeProbability(totalShares, outcome)
const actual = pool.YES + pool.NO - shareValue const actual = pool.YES + pool.NO - shareValue
const betAmount = const betAmount = p * amount
bet.outcome === 'YES' ? p * bet.amount : (1 - p) * bet.amount
const expected = const expected =
p * contract.totalBets.YES + (1 - p) * contract.totalBets.NO - betAmount _.sumBy(
Object.keys(totalBets),
(outcome) =>
getOutcomeProbability(totalShares, outcome) *
(totalBets as { [outcome: string]: number })[outcome]
) - betAmount
if (actual <= 0 || expected <= 0) return 0 if (actual <= 0 || expected <= 0) return 0
@ -103,14 +98,13 @@ export function calculateMoneyRatio(
} }
export function calculateShareValue(contract: Contract, bet: Bet) { export function calculateShareValue(contract: Contract, bet: Bet) {
const shareValue = calculateRawShareValue( const { pool, totalShares } = contract
contract.totalShares, const { shares, outcome } = bet
bet.shares,
bet.outcome const shareValue = calculateRawShareValue(totalShares, shares, outcome)
)
const f = calculateMoneyRatio(contract, bet, shareValue) const f = calculateMoneyRatio(contract, bet, shareValue)
const myPool = contract.pool[bet.outcome] const myPool = pool[outcome]
const adjShareValue = Math.min(Math.min(1, f) * shareValue, myPool) const adjShareValue = Math.min(Math.min(1, f) * shareValue, myPool)
return adjShareValue return adjShareValue
} }
@ -133,10 +127,11 @@ export function calculatePayout(
} }
export function calculateCancelPayout(contract: Contract, bet: Bet) { export function calculateCancelPayout(contract: Contract, bet: Bet) {
const totalBets = contract.totalBets.YES + contract.totalBets.NO const { totalBets, pool } = contract
const pool = contract.pool.YES + contract.pool.NO const betTotal = _.sum(Object.values(totalBets))
const poolTotal = _.sum(Object.values(pool))
return (bet.amount / totalBets) * pool return (bet.amount / betTotal) * poolTotal
} }
export function calculateStandardPayout( export function calculateStandardPayout(
@ -152,7 +147,8 @@ export function calculateStandardPayout(
const pool = _.sum(Object.values(totalShares)) const pool = _.sum(Object.values(totalShares))
const total = totalShares[outcome] - phantomShares[outcome] const total =
totalShares[outcome] - (phantomShares ? phantomShares[outcome] : 0)
const winnings = (shares / total) * pool const winnings = (shares / total) * pool
// profit can be negative if using phantom shares // profit can be negative if using phantom shares
@ -161,45 +157,55 @@ export function calculateStandardPayout(
export function calculatePayoutAfterCorrectBet(contract: Contract, bet: Bet) { export function calculatePayoutAfterCorrectBet(contract: Contract, bet: Bet) {
const { totalShares, pool, totalBets } = contract const { totalShares, pool, totalBets } = contract
const { shares, amount, outcome } = bet
const ind = bet.outcome === 'YES' ? 1 : 0
const { shares, amount } = bet
const newContract = { const newContract = {
...contract, ...contract,
totalShares: { totalShares: {
YES: totalShares.YES + ind * shares, ...totalShares,
NO: totalShares.NO + (1 - ind) * shares, [outcome]: totalShares[outcome] + shares,
}, },
pool: { pool: {
YES: pool.YES + ind * amount, ...pool,
NO: pool.NO + (1 - ind) * amount, [outcome]: pool[outcome] + amount,
}, },
totalBets: { totalBets: {
YES: totalBets.YES + ind * amount, ...totalBets,
NO: totalBets.NO + (1 - ind) * amount, [outcome]: totalBets[outcome] + amount,
}, },
} }
return calculateStandardPayout(newContract, bet, bet.outcome) return calculateStandardPayout(newContract, bet, outcome)
} }
function calculateMktPayout(contract: Contract, bet: Bet) { function calculateMktPayout(contract: Contract, bet: Bet) {
const p = const { resolutionProbability, totalShares, pool, phantomShares } = contract
contract.resolutionProbability !== undefined
? contract.resolutionProbability
: getProbability(contract.totalShares)
const pool = contract.pool.YES + contract.pool.NO const totalPool = _.sum(Object.values(pool))
const squareSum = _.sumBy(Object.values(totalShares), (shares) => shares ** 2)
const weightedShareTotal = let weightedShareTotal = _.sumBy(Object.keys(totalShares), (outcome) => {
p * (contract.totalShares.YES - contract.phantomShares.YES) + const shareTotals = totalShares as { [outcome: string]: number }
(1 - p) * (contract.totalShares.NO - contract.phantomShares.NO)
// Avoid O(n^2) by reusing squareSum for prob.
const prob = shareTotals[outcome] ** 2 / squareSum
const shares =
shareTotals[outcome] -
(phantomShares ? phantomShares[outcome as 'YES' | 'NO'] : 0)
return prob * shares
})
// Compute binary case if resolutionProbability provided.
if (resolutionProbability !== undefined) {
weightedShareTotal =
resolutionProbability * (totalShares.YES - phantomShares.YES) +
(1 - resolutionProbability) * (totalShares.NO - phantomShares.NO)
}
const { outcome, amount, shares } = bet const { outcome, amount, shares } = bet
const betP = outcome === 'YES' ? p : 1 - p const betP = getOutcomeProbability(totalShares, outcome)
const winnings = ((betP * shares) / weightedShareTotal) * pool const winnings = ((betP * shares) / weightedShareTotal) * totalPool
return deductFees(amount, winnings) return deductFees(amount, winnings)
} }
@ -210,15 +216,6 @@ export function resolvedPayout(contract: Contract, bet: Bet) {
throw new Error('Contract was not resolved') throw new Error('Contract was not resolved')
} }
// deprecated use MKT payout
export function currentValue(contract: Contract, bet: Bet) {
const prob = getProbability(contract.pool)
const yesPayout = calculatePayout(contract, bet, 'YES')
const noPayout = calculatePayout(contract, bet, 'NO')
return prob * yesPayout + (1 - prob) * noPayout
}
export const deductFees = (betAmount: number, winnings: number) => { export const deductFees = (betAmount: number, winnings: number) => {
return winnings > betAmount return winnings > betAmount
? betAmount + (1 - FEES) * (winnings - betAmount) ? betAmount + (1 - FEES) * (winnings - betAmount)

6
common/new-bet.ts
View File

@ -67,15 +67,15 @@ export const getNewMultiBetInfo = (
const { pool, totalShares, totalBets } = contract const { pool, totalShares, totalBets } = contract
const prevOutcomePool = pool[outcome] ?? 0 const prevOutcomePool = pool[outcome] ?? 0
const newPool = { ...pool, outcome: prevOutcomePool + amount } const newPool = { ...pool, [outcome]: prevOutcomePool + amount }
const shares = calculateShares(contract.totalShares, amount, outcome) const shares = calculateShares(contract.totalShares, amount, outcome)
const prevShares = totalShares[outcome] ?? 0 const prevShares = totalShares[outcome] ?? 0
const newTotalShares = { ...totalShares, outcome: prevShares + shares } const newTotalShares = { ...totalShares, [outcome]: prevShares + shares }
const prevTotalBets = totalBets[outcome] ?? 0 const prevTotalBets = totalBets[outcome] ?? 0
const newTotalBets = { ...totalBets, outcome: prevTotalBets + amount } const newTotalBets = { ...totalBets, [outcome]: prevTotalBets + amount }
const probBefore = getOutcomeProbability(totalShares, outcome) const probBefore = getOutcomeProbability(totalShares, outcome)
const probAfter = getOutcomeProbability(newTotalShares, outcome) const probAfter = getOutcomeProbability(newTotalShares, outcome)