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Mkt resolution 2: Enable MKT resolution (#16)

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* new standard resolution; contract.totalBets; MKT resolution

* recalculate script

* enable resolve MKT

* different approach to resolve MKT

* comment out init

* Count payouts for bets with exluded sales

Co-authored-by: jahooma <jahooma@gmail.com>
This commit is contained in:
mantikoros 2022-01-02 00:27:58 -06:00 committed by GitHub
parent a9e8b4c1e7
commit 907acec601
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GPG Key ID: 4AEE18F83AFDEB23
8 changed files with 201 additions and 36 deletions
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53
functions/src/resolve-market.ts
View File

@ -26,7 +26,7 @@ export const resolveMarket = functions
const { outcome, contractId } = data
if (!['YES', 'NO', 'CANCEL'].includes(outcome))
if (!['YES', 'NO', 'MKT', 'CANCEL'].includes(outcome))
return { status: 'error', message: 'Invalid outcome' }
const contractDoc = firestore.doc(`contracts/${contractId}`)
@ -155,7 +155,6 @@ const getStandardPayouts = (
const shareDifferenceSum = _.sumBy(winningBets, (b) => b.shares - b.amount)
const winningsPool = truePool - betSum
const fees = PLATFORM_FEE + CREATOR_FEE
const winnerPayouts = winningBets.map((bet) => ({
userId: bet.userId,
@ -173,11 +172,53 @@ const getStandardPayouts = (
const getMktPayouts = (truePool: number, contract: Contract, bets: Bet[]) => {
const p =
contract.pool.YES ** 2 / (contract.pool.YES ** 2 + contract.pool.NO ** 2)
console.log('Resolved MKT at p=', p)
console.log('Resolved MKT at p=', p, 'pool: $M', truePool)
const [yesBets, noBets] = _.partition(bets, (bet) => bet.outcome === 'YES')
const weightedBetTotal =
p * _.sumBy(yesBets, (b) => b.amount) +
(1 - p) * _.sumBy(noBets, (b) => b.amount)
if (weightedBetTotal >= truePool) {
return bets.map((bet) => ({
userId: bet.userId,
payout:
(((bet.outcome === 'YES' ? p : 1 - p) * bet.amount) /
weightedBetTotal) *
truePool,
}))
}
const winningsPool = truePool - weightedBetTotal
const weightedShareTotal =
p * _.sumBy(yesBets, (b) => b.shares - b.amount) +
(1 - p) * _.sumBy(noBets, (b) => b.shares - b.amount)
const yesPayouts = yesBets.map((bet) => ({
userId: bet.userId,
payout:
(1 - fees) *
(p * bet.amount +
((p * (bet.shares - bet.amount)) / weightedShareTotal) * winningsPool),
}))
const noPayouts = noBets.map((bet) => ({
userId: bet.userId,
payout:
(1 - fees) *
((1 - p) * bet.amount +
(((1 - p) * (bet.shares - bet.amount)) / weightedShareTotal) *
winningsPool),
}))
const creatorPayout = CREATOR_FEE * truePool
return [
...getStandardPayouts('YES', p * truePool, contract, bets),
...getStandardPayouts('NO', (1 - p) * truePool, contract, bets),
...yesPayouts,
...noPayouts,
{ userId: contract.creatorId, payout: creatorPayout },
]
}
@ -192,3 +233,5 @@ const payUser = ([userId, payout]: [string, number]) => {
transaction.update(userDoc, { balance: newUserBalance })
})
}
const fees = PLATFORM_FEE + CREATOR_FEE

61
functions/src/scripts/recalculate.ts Normal file
View File

@ -0,0 +1,61 @@
import * as admin from 'firebase-admin'
import * as _ from 'lodash'
import { Bet } from '../types/bet'
import { Contract } from '../types/contract'
type DocRef = admin.firestore.DocumentReference
// Generate your own private key, and set the path below:
// https://console.firebase.google.com/u/0/project/mantic-markets/settings/serviceaccounts/adminsdk
const serviceAccount = require('../../../../Downloads/dev-mantic-markets-firebase-adminsdk-sir5m-b2d27f8970.json')
admin.initializeApp({
credential: admin.credential.cert(serviceAccount),
})
const firestore = admin.firestore()
async function recalculateContract(contractRef: DocRef, contract: Contract) {
const bets = await contractRef
.collection('bets')
.get()
.then((snap) => snap.docs.map((bet) => bet.data() as Bet))
const openBets = bets.filter((b) => !b.isSold && !b.sale)
const totalShares = {
YES: _.sumBy(openBets, (bet) => (bet.outcome === 'YES' ? bet.shares : 0)),
NO: _.sumBy(openBets, (bet) => (bet.outcome === 'NO' ? bet.shares : 0)),
}
const totalBets = {
YES: _.sumBy(openBets, (bet) => (bet.outcome === 'YES' ? bet.amount : 0)),
NO: _.sumBy(openBets, (bet) => (bet.outcome === 'NO' ? bet.amount : 0)),
}
await contractRef.update({ totalShares, totalBets })
console.log(
'calculating totals for "',
contract.question,
'" total bets:',
totalBets
)
console.log()
}
async function migrateContracts() {
console.log('Recalculating contract info')
const snapshot = await firestore.collection('contracts').get()
const contracts = snapshot.docs.map((doc) => doc.data() as Contract)
console.log('Loaded', contracts.length, 'contracts')
for (const contract of contracts) {
const contractRef = firestore.doc(`contracts/${contract.id}`)
await recalculateContract(contractRef, contract)
}
}
if (require.main === module) migrateContracts().then(() => process.exit())

9
web/components/bets-list.tsx
View File

@ -191,7 +191,7 @@ export function MyBetsSummary(props: {
const betsTotal = _.sumBy(excludeSales, (bet) => bet.amount)
const betsPayout = resolution
? _.sumBy(bets, (bet) => resolvedPayout(contract, bet))
? _.sumBy(excludeSales, (bet) => resolvedPayout(contract, bet))
: 0
const yesWinnings = _.sumBy(excludeSales, (bet) =>
@ -357,11 +357,12 @@ function SellButton(props: { contract: Contract; bet: Bet }) {
)
}
function OutcomeLabel(props: { outcome: 'YES' | 'NO' | 'CANCEL' }) {
function OutcomeLabel(props: { outcome: 'YES' | 'NO' | 'CANCEL' | 'MKT' }) {
const { outcome } = props
if (outcome === 'YES') return <YesLabel />
if (outcome === 'NO') return <NoLabel />
if (outcome === 'MKT') return <MarketLabel />
return <CancelLabel />
}
@ -376,3 +377,7 @@ function NoLabel() {
function CancelLabel() {
return <span className="text-yellow-400">N/A</span>
}
function MarketLabel() {
return <span className="text-blue-400">MKT</span>
}

1
web/components/contract-overview.tsx
View File

@ -98,6 +98,7 @@ export const ContractOverview = (props: {
const resolutionColor = {
YES: 'text-primary',
NO: 'text-red-400',
MKT: 'text-blue-400',
CANCEL: 'text-yellow-400',
'': '', // Empty if unresolved
}[contract.resolution || '']

2
web/components/contracts-list.tsx
View File

@ -44,6 +44,7 @@ function ContractCard(props: { contract: Contract }) {
const resolutionColor = {
YES: 'text-primary',
NO: 'text-red-400',
MKT: 'text-blue-400',
CANCEL: 'text-yellow-400',
'': '', // Empty if unresolved
}[contract.resolution || '']
@ -51,6 +52,7 @@ function ContractCard(props: { contract: Contract }) {
const resolutionText = {
YES: 'YES',
NO: 'NO',
MKT: 'MKT',
CANCEL: 'N/A',
'': '',
}[contract.resolution || '']

11
web/components/resolution-panel.tsx
View File

@ -20,7 +20,9 @@ export function ResolutionPanel(props: {
}) {
const { contract, className } = props
const [outcome, setOutcome] = useState<'YES' | 'NO' | 'CANCEL' | undefined>()
const [outcome, setOutcome] = useState<
'YES' | 'NO' | 'MKT' | 'CANCEL' | undefined
>()
const [isSubmitting, setIsSubmitting] = useState(false)
const [error, setError] = useState<string | undefined>(undefined)
@ -48,6 +50,8 @@ export function ResolutionPanel(props: {
? 'bg-red-400 hover:bg-red-500'
: outcome === 'CANCEL'
? 'bg-yellow-400 hover:bg-yellow-500'
: outcome === 'MKT'
? 'bg-blue-400 hover:bg-blue-500'
: 'btn-disabled'
return (
@ -74,6 +78,11 @@ export function ResolutionPanel(props: {
<>Winnings will be paid out to NO bettors. You earn 1% of the pool.</>
) : outcome === 'CANCEL' ? (
<>The pool will be returned to traders with no fees.</>
) : outcome === 'MKT' ? (
<>
Traders will be paid out at the current implied probability. You
earn 1% of the pool.
</>
) : (
<>Resolving this market will immediately pay out traders.</>
)}

26
web/components/yes-no-selector.tsx
View File

@ -1,5 +1,6 @@
import clsx from 'clsx'
import React from 'react'
import { Col } from './layout/col'
import { Row } from './layout/row'
export function YesNoSelector(props: {
@ -29,17 +30,18 @@ export function YesNoSelector(props: {
}
export function YesNoCancelSelector(props: {
selected: 'YES' | 'NO' | 'CANCEL' | undefined
onSelect: (selected: 'YES' | 'NO' | 'CANCEL') => void
selected: 'YES' | 'NO' | 'MKT' | 'CANCEL' | undefined
onSelect: (selected: 'YES' | 'NO' | 'MKT' | 'CANCEL') => void
className?: string
btnClassName?: string
}) {
const { selected, onSelect, className } = props
const btnClassName = clsx('px-6', props.btnClassName)
const btnClassName = clsx('px-6 flex-1', props.btnClassName)
return (
<Row className={clsx('space-x-3', className)}>
<Col>
<Row className={clsx('space-x-3 w-full', className)}>
<Button
color={selected === 'YES' ? 'green' : 'gray'}
onClick={() => onSelect('YES')}
@ -55,22 +57,33 @@ export function YesNoCancelSelector(props: {
>
NO
</Button>
</Row>
<Row className={clsx('space-x-3 w-full', className)}>
<Button
color={selected === 'MKT' ? 'blue' : 'gray'}
onClick={() => onSelect('MKT')}
className={clsx(btnClassName, 'btn-sm')}
>
MKT
</Button>
<Button
color={selected === 'CANCEL' ? 'yellow' : 'gray'}
onClick={() => onSelect('CANCEL')}
className={btnClassName}
className={clsx(btnClassName, 'btn-sm')}
>
N/A
</Button>
</Row>
</Col>
)
}
function Button(props: {
className?: string
onClick?: () => void
color: 'green' | 'red' | 'yellow' | 'gray'
color: 'green' | 'red' | 'blue' | 'yellow' | 'gray'
children?: any
}) {
const { className, onClick, children, color } = props
@ -83,6 +96,7 @@ function Button(props: {
color === 'green' && 'btn-primary',
color === 'red' && 'bg-red-400 hover:bg-red-500',
color === 'yellow' && 'bg-yellow-400 hover:bg-yellow-500',
color === 'blue' && 'bg-blue-400 hover:bg-blue-500',
color === 'gray' && 'text-gray-700 bg-gray-300 hover:bg-gray-400',
className
)}

32
web/lib/calculate.ts
View File

@ -37,11 +37,13 @@ export function calculateShares(
export function calculatePayout(
contract: Contract,
bet: Bet,
outcome: 'YES' | 'NO' | 'CANCEL'
outcome: 'YES' | 'NO' | 'CANCEL' | 'MKT'
) {
const { amount, outcome: betOutcome, shares } = bet
if (outcome === 'CANCEL') return amount
if (outcome === 'MKT') return calculateMktPayout(contract, bet)
if (betOutcome !== outcome) return 0
const { totalShares, totalBets } = contract
@ -60,6 +62,34 @@ export function calculatePayout(
return (1 - fees) * (amount + ((shares - amount) / total) * winningsPool)
}
function calculateMktPayout(contract: Contract, bet: Bet) {
const p =
contract.pool.YES ** 2 / (contract.pool.YES ** 2 + contract.pool.NO ** 2)
const weightedTotal =
p * contract.totalBets.YES + (1 - p) * contract.totalBets.NO
const startPool = contract.startPool.YES + contract.startPool.NO
const truePool = contract.pool.YES + contract.pool.NO - startPool
const betP = bet.outcome === 'YES' ? p : 1 - p
if (weightedTotal >= truePool) {
return ((betP * bet.amount) / weightedTotal) * truePool
}
const winningsPool = truePool - weightedTotal
const weightedShareTotal =
p * (contract.totalShares.YES - contract.totalBets.YES) +
(1 - p) * (contract.totalShares.NO - contract.totalBets.NO)
return (
(1 - fees) *
(betP * bet.amount +
((betP * (bet.shares - bet.amount)) / weightedShareTotal) * winningsPool)
)
}
export function resolvedPayout(contract: Contract, bet: Bet) {
if (contract.resolution)
return calculatePayout(contract, bet, contract.resolution)