Convert rest of calcuate file to generic multi contracts
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James Grugett
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26717295b8
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58afde2772
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@ -28,7 +28,7 @@ export function getProbabilityAfterBet(
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const shares = calculateShares(totalShares, bet, outcome)
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const prevShares = totalShares[outcome] ?? 0
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const newTotalShares = { ...totalShares, outcome: prevShares + shares }
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const newTotalShares = { ...totalShares, [outcome]: prevShares + shares }
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return getOutcomeProbability(newTotalShares, outcome)
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}
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@ -48,54 +48,49 @@ export function calculateShares(
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return Math.sqrt(bet ** 2 + shares ** 2 + c) - shares
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}
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export function calculateEstimatedWinnings(
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totalShares: { YES: number; NO: number },
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shares: number,
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betChoice: 'YES' | 'NO'
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) {
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const ind = betChoice === 'YES' ? 1 : 0
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const yesShares = totalShares.YES + ind * shares
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const noShares = totalShares.NO + (1 - ind) * shares
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const estPool = Math.sqrt(yesShares ** 2 + noShares ** 2)
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const total = ind * yesShares + (1 - ind) * noShares
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return ((1 - FEES) * (shares * estPool)) / total
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}
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export function calculateRawShareValue(
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totalShares: { YES: number; NO: number },
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totalShares: {
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[outcome: string]: number
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},
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shares: number,
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betChoice: 'YES' | 'NO'
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betChoice: string
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) {
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const [yesShares, noShares] = [totalShares.YES, totalShares.NO]
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const currentValue = Math.sqrt(yesShares ** 2 + noShares ** 2)
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const currentValue = Math.sqrt(
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_.sumBy(Object.values(totalShares), (shares) => shares ** 2)
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)
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const postSaleValue =
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betChoice === 'YES'
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? Math.sqrt(Math.max(0, yesShares - shares) ** 2 + noShares ** 2)
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: Math.sqrt(yesShares ** 2 + Math.max(0, noShares - shares) ** 2)
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const postSaleValue = Math.sqrt(
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_.sumBy(Object.keys(totalShares), (outcome) =>
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outcome === betChoice
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? Math.max(0, totalShares[outcome] - shares) ** 2
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: totalShares[outcome] ** 2
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)
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)
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return currentValue - postSaleValue
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}
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export function calculateMoneyRatio(
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contract: Contract,
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bet: Bet,
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export function calculateMoneyRatio<T extends 'BINARY' | 'MULTI'>(
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contract: Contract<T>,
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bet: Bet<T>,
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shareValue: number
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) {
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const { totalShares, pool } = contract
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const { totalShares, totalBets, pool } = contract
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const { outcome, amount } = bet
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const p = getProbability(totalShares)
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const p = getOutcomeProbability(totalShares, outcome)
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const actual = pool.YES + pool.NO - shareValue
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const betAmount =
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bet.outcome === 'YES' ? p * bet.amount : (1 - p) * bet.amount
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const betAmount = p * amount
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const expected =
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p * contract.totalBets.YES + (1 - p) * contract.totalBets.NO - betAmount
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_.sumBy(
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Object.keys(totalBets),
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(outcome) =>
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getOutcomeProbability(totalShares, outcome) *
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(totalBets as { [outcome: string]: number })[outcome]
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) - betAmount
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if (actual <= 0 || expected <= 0) return 0
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@ -103,14 +98,13 @@ export function calculateMoneyRatio(
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}
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export function calculateShareValue(contract: Contract, bet: Bet) {
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const shareValue = calculateRawShareValue(
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contract.totalShares,
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bet.shares,
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bet.outcome
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)
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const { pool, totalShares } = contract
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const { shares, outcome } = bet
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const shareValue = calculateRawShareValue(totalShares, shares, outcome)
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const f = calculateMoneyRatio(contract, bet, shareValue)
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const myPool = contract.pool[bet.outcome]
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const myPool = pool[outcome]
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const adjShareValue = Math.min(Math.min(1, f) * shareValue, myPool)
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return adjShareValue
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}
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@ -133,10 +127,11 @@ export function calculatePayout(
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}
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export function calculateCancelPayout(contract: Contract, bet: Bet) {
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const totalBets = contract.totalBets.YES + contract.totalBets.NO
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const pool = contract.pool.YES + contract.pool.NO
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const { totalBets, pool } = contract
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const betTotal = _.sum(Object.values(totalBets))
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const poolTotal = _.sum(Object.values(pool))
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return (bet.amount / totalBets) * pool
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return (bet.amount / betTotal) * poolTotal
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}
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export function calculateStandardPayout(
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@ -152,7 +147,8 @@ export function calculateStandardPayout(
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const pool = _.sum(Object.values(totalShares))
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const total = totalShares[outcome] - phantomShares[outcome]
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const total =
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totalShares[outcome] - (phantomShares ? phantomShares[outcome] : 0)
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const winnings = (shares / total) * pool
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// profit can be negative if using phantom shares
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@ -161,45 +157,55 @@ export function calculateStandardPayout(
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export function calculatePayoutAfterCorrectBet(contract: Contract, bet: Bet) {
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const { totalShares, pool, totalBets } = contract
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const ind = bet.outcome === 'YES' ? 1 : 0
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const { shares, amount } = bet
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const { shares, amount, outcome } = bet
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const newContract = {
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...contract,
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totalShares: {
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YES: totalShares.YES + ind * shares,
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NO: totalShares.NO + (1 - ind) * shares,
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...totalShares,
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[outcome]: totalShares[outcome] + shares,
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},
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pool: {
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YES: pool.YES + ind * amount,
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NO: pool.NO + (1 - ind) * amount,
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...pool,
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[outcome]: pool[outcome] + amount,
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},
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totalBets: {
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YES: totalBets.YES + ind * amount,
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NO: totalBets.NO + (1 - ind) * amount,
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...totalBets,
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[outcome]: totalBets[outcome] + amount,
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},
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}
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return calculateStandardPayout(newContract, bet, bet.outcome)
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return calculateStandardPayout(newContract, bet, outcome)
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}
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function calculateMktPayout(contract: Contract, bet: Bet) {
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const p =
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contract.resolutionProbability !== undefined
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? contract.resolutionProbability
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: getProbability(contract.totalShares)
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const { resolutionProbability, totalShares, pool, phantomShares } = contract
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const pool = contract.pool.YES + contract.pool.NO
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const totalPool = _.sum(Object.values(pool))
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const squareSum = _.sumBy(Object.values(totalShares), (shares) => shares ** 2)
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const weightedShareTotal =
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p * (contract.totalShares.YES - contract.phantomShares.YES) +
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(1 - p) * (contract.totalShares.NO - contract.phantomShares.NO)
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let weightedShareTotal = _.sumBy(Object.keys(totalShares), (outcome) => {
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const shareTotals = totalShares as { [outcome: string]: number }
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// Avoid O(n^2) by reusing squareSum for prob.
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const prob = shareTotals[outcome] ** 2 / squareSum
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const shares =
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shareTotals[outcome] -
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(phantomShares ? phantomShares[outcome as 'YES' | 'NO'] : 0)
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return prob * shares
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})
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// Compute binary case if resolutionProbability provided.
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if (resolutionProbability !== undefined) {
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weightedShareTotal =
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resolutionProbability * (totalShares.YES - phantomShares.YES) +
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(1 - resolutionProbability) * (totalShares.NO - phantomShares.NO)
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}
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const { outcome, amount, shares } = bet
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const betP = outcome === 'YES' ? p : 1 - p
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const winnings = ((betP * shares) / weightedShareTotal) * pool
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const betP = getOutcomeProbability(totalShares, outcome)
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const winnings = ((betP * shares) / weightedShareTotal) * totalPool
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return deductFees(amount, winnings)
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}
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@ -210,15 +216,6 @@ export function resolvedPayout(contract: Contract, bet: Bet) {
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throw new Error('Contract was not resolved')
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}
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// deprecated use MKT payout
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export function currentValue(contract: Contract, bet: Bet) {
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const prob = getProbability(contract.pool)
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const yesPayout = calculatePayout(contract, bet, 'YES')
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const noPayout = calculatePayout(contract, bet, 'NO')
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return prob * yesPayout + (1 - prob) * noPayout
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}
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export const deductFees = (betAmount: number, winnings: number) => {
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return winnings > betAmount
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? betAmount + (1 - FEES) * (winnings - betAmount)
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@ -67,15 +67,15 @@ export const getNewMultiBetInfo = (
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const { pool, totalShares, totalBets } = contract
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const prevOutcomePool = pool[outcome] ?? 0
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const newPool = { ...pool, outcome: prevOutcomePool + amount }
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const newPool = { ...pool, [outcome]: prevOutcomePool + amount }
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const shares = calculateShares(contract.totalShares, amount, outcome)
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const prevShares = totalShares[outcome] ?? 0
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const newTotalShares = { ...totalShares, outcome: prevShares + shares }
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const newTotalShares = { ...totalShares, [outcome]: prevShares + shares }
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const prevTotalBets = totalBets[outcome] ?? 0
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const newTotalBets = { ...totalBets, outcome: prevTotalBets + amount }
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const newTotalBets = { ...totalBets, [outcome]: prevTotalBets + amount }
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const probBefore = getOutcomeProbability(totalShares, outcome)
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const probAfter = getOutcomeProbability(newTotalShares, outcome)
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