stevekeyharvey/Polymarket
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stevekeyharvey
2026-04-01 17:37:19 +00:00
parent 8d7d99d749
commit 259ea93479
21 changed files with 2900 additions and 436 deletions
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142
ws_clob.py
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@@ -14,22 +14,34 @@ from sqlalchemy.ext.asyncio import create_async_engine
from sqlalchemy import text
import valkey
import os
from dotenv import load_dotenv
### Database ###
USE_DB: bool = True
USE_VK: bool = True
VK_CHANNEL = 'poly_5min_btcusd'
VK_CHANNEL_DOWN = 'poly_5min_btcusd_down'
CON: AsyncContextManager | None = None
VAL_KEY = None
### Logging ###
LOG_FILEPATH: str = '/root/logs/Polymarket_5min.log'
load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Polymarket_5min.log'
WSS_URL = "wss://ws-subscriptions-clob.polymarket.com/ws/market"
SLUG_END_TIME = 0
HIST_TRADES = np.empty((0, 2))
HIST_TRADES_DOWN = np.empty((0, 2))
MIN_TICK_SIZE = 0.01
NEG_RISK = False
TARGET_PX = 0
TARGET_ASSET_ID = None
TARGET_ASSET_ID_DOWN = None
def format_timestamp(total_seconds) -> str:
minutes, seconds = divmod(total_seconds, 60)
@@ -86,7 +98,8 @@ async def create_poly_btcusd_trades_table(
timestamp_value BIGINT,
price DOUBLE,
qty DOUBLE,
side_taker VARCHAR(8)
side_taker VARCHAR(8),
up_or_down VARCHAR(8)
);
"""))
await CON.commit()
@@ -100,6 +113,7 @@ async def insert_poly_btcusd_trades_table(
price: float,
qty: float,
side_taker: str,
up_or_down: str,
CON: AsyncContextManager,
engine: str = 'mysql', # mysql | duckdb
) -> None:
@@ -110,6 +124,7 @@ async def insert_poly_btcusd_trades_table(
'price': price,
'qty': qty,
'side_taker': side_taker,
'up_or_down': up_or_down,
}
if CON is None:
logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
@@ -123,7 +138,8 @@ async def insert_poly_btcusd_trades_table(
timestamp_value,
price,
qty,
side_taker
side_taker,
up_or_down
)
VALUES
(
@@ -132,7 +148,8 @@ async def insert_poly_btcusd_trades_table(
:timestamp_value,
:price,
:qty,
:side_taker
:side_taker,
:up_or_down
)
"""),
parameters=params
@@ -146,24 +163,33 @@ async def polymarket_stream():
global SLUG_END_TIME
global TARGET_PX
global HIST_TRADES
global HIST_TRADES_DOWN
global MIN_TICK_SIZE
global NEG_RISK
global TARGET_ASSET_ID
global TARGET_ASSET_ID_DOWN
slug_full = gen_slug()
market_details, market = get_mkt_details_by_slug(slug_full)
market_details, _ = get_mkt_details_by_slug(slug_full)
CONDITION_ID = market_details['ConditionId']
TARGET_ASSET_ID = market_details['Up']
TARGET_ASSET_ID_DOWN = market_details['Down']
MIN_TICK_SIZE = market_details['MinTickSize']
NEG_RISK = market_details['isNegRisk']
SLUG_END_TIME = round(datetime.strptime(market_details['EndDateTime'], '%Y-%m-%dT%H:%M:%SZ').replace(tzinfo=timezone.utc).timestamp())
print(f'********* NEW MKT - END DATETIME: {pd.to_datetime(SLUG_END_TIME, unit='s')} *********')
async with websockets.connect(WSS_URL) as websocket:
async for websocket in websockets.connect(WSS_URL):
print(f"Connected to {WSS_URL}")
subscribe_msg = {
"assets_ids": [TARGET_ASSET_ID],
"assets_ids": [TARGET_ASSET_ID, TARGET_ASSET_ID_DOWN],
"type": "market",
"custom_feature_enabled": True
"custom_feature_enabled": False
}
await websocket.send(json.dumps(subscribe_msg))
print(f"Subscribed to Asset: {TARGET_ASSET_ID}")
print(f"Subscribed to Assets: Up {TARGET_ASSET_ID}; Down: {TARGET_ASSET_ID_DOWN}")
try:
async for message in websocket:
@@ -178,21 +204,25 @@ async def polymarket_stream():
print('*** Attempting to unsub from past 5min')
update_unsub_msg = {
"operation": 'unsubscribe',
"assets_ids": [TARGET_ASSET_ID],
"custom_feature_enabled": True
"assets_ids": [TARGET_ASSET_ID, TARGET_ASSET_ID_DOWN],
"custom_feature_enabled": False
}
await websocket.send(json.dumps(update_unsub_msg))
print('*** Attempting to SUB to new 5min')
slug_full = gen_slug()
market_details, market = get_mkt_details_by_slug(slug_full)
CONDITION_ID = market_details['ConditionId']
TARGET_ASSET_ID = market_details['Up']
TARGET_ASSET_ID_DOWN = market_details['Down']
MIN_TICK_SIZE = market_details['MinTickSize']
NEG_RISK = market_details['isNegRisk']
SLUG_END_TIME = round(datetime.strptime(market_details['EndDateTime'], '%Y-%m-%dT%H:%M:%SZ').replace(tzinfo=timezone.utc).timestamp())
update_sub_msg = {
"operation": 'subscribe',
"assets_ids": [TARGET_ASSET_ID],
"custom_feature_enabled": True
"assets_ids": [TARGET_ASSET_ID, TARGET_ASSET_ID_DOWN],
"custom_feature_enabled": False
}
await websocket.send(json.dumps(update_sub_msg))
@@ -208,34 +238,65 @@ async def polymarket_stream():
if event_type == "price_change":
# print("📈 Price Change")
# print(pd.DataFrame(data['price_changes']))
pass
continue
elif event_type == "best_bid_ask":
# print(pd.DataFrame([data]))
pass
continue
elif event_type == "last_trade_price":
token_id = data['asset_id']
ts_msg = int(data['timestamp'])
ts_value = int(ts_msg)
px = float(data['price'])
qty = float(data['size'])
side_taker = data['side']
HIST_TRADES = np.append(HIST_TRADES, np.array([[px, qty]]), axis=0)
# SMA = talib.ROC(HIST_TRADES[:,0], timeperiod=10)[-1]
# print(f"✨ Last Px: {px:.2f}; ROC: {SMA:.4f}; Qty: {qty:6.2f}; Sec Left: {sec_remaining}")
print(f"✨ Last Px: {px:.2f}; Qty: {qty:6.2f}; Sec Left: {sec_remaining}")
if USE_VK:
VAL_KEY_OBJ = json.dumps({
'timestamp_arrival': ts_arrival,
'timestamp_msg': ts_msg,
'timestamp_value': ts_value,
'price': px,
'qty': qty,
'side_taker': side_taker,
'sec_remaining': sec_remaining,
'target_price': TARGET_PX
})
VAL_KEY.publish(VK_CHANNEL, VAL_KEY_OBJ)
VAL_KEY.set(VK_CHANNEL, VAL_KEY_OBJ)
if token_id == TARGET_ASSET_ID:
up_or_down = 'UP'
HIST_TRADES = np.append(HIST_TRADES, np.array([[px, qty]]), axis=0)
# print(f"✨ Last Px: {px:.2f}; Qty: {qty:6.2f}; Sec Left: {sec_remaining}")
# print(f'Up: {TARGET_ASSET_ID}')
# print(f'Down: {TARGET_ASSET_ID_DOWN}')
# SMA = talib.ROC(HIST_TRADES[:,0], timeperiod=10)[-1]
# print(f"✨ Last Px: {px:.2f}; ROC: {SMA:.4f}; Qty: {qty:6.2f}; Sec Left: {sec_remaining}")
if USE_VK:
VAL_KEY_OBJ = json.dumps({
'timestamp_arrival': ts_arrival,
'timestamp_msg': ts_msg,
'timestamp_value': ts_value,
'price': px,
'qty': qty,
'side_taker': side_taker,
'sec_remaining': sec_remaining,
'target_price': TARGET_PX,
'condition_id': CONDITION_ID,
'token_id_up': TARGET_ASSET_ID,
'token_id_down': TARGET_ASSET_ID_DOWN,
'tick_size': MIN_TICK_SIZE,
'neg_risk': NEG_RISK,
})
VAL_KEY.set(VK_CHANNEL, VAL_KEY_OBJ)
elif token_id == TARGET_ASSET_ID_DOWN:
up_or_down = 'DOWN'
HIST_TRADES_DOWN = np.append(HIST_TRADES_DOWN, np.array([[px, qty]]), axis=0)
if USE_VK:
VAL_KEY_OBJ = json.dumps({
'timestamp_arrival': ts_arrival,
'timestamp_msg': ts_msg,
'timestamp_value': ts_value,
'price': px,
'qty': qty,
'side_taker': side_taker,
'sec_remaining': sec_remaining,
'target_price': TARGET_PX,
'condition_id': CONDITION_ID,
'token_id_up': TARGET_ASSET_ID,
'token_id_down': TARGET_ASSET_ID_DOWN,
'tick_size': MIN_TICK_SIZE,
'neg_risk': NEG_RISK,
})
VAL_KEY.set(VK_CHANNEL_DOWN, VAL_KEY_OBJ)
else:
logging.warning('Token Id from Market Does Not Match Pricing Data Id')
if USE_DB:
await insert_poly_btcusd_trades_table(
CON=CON,
@@ -245,29 +306,34 @@ async def polymarket_stream():
price=px,
qty=qty,
side_taker=side_taker,
up_or_down=up_or_down
)
elif event_type == "book":
pass
continue
elif event_type == "new_market":
print('Received new_market')
continue
elif event_type == "market_resolved":
print(f"Received: {event_type}")
print(data)
continue
elif event_type == "tick_size_change": # may want for CLOB order routing
print(f"Received: {event_type}")
print(data)
continue
else:
print(f"*********** REC UNMAPPED EVENT: {event_type}")
print(data)
continue
elif isinstance(data, dict):
# print(data.get("event_type", None))
pass
continue
else:
raise ValueError(f'Type: {type(data)} not expected: {message}')
except websockets.ConnectionClosed as e:
print(f"Connection closed by server. Exception: {e}")
continue
async def main():
global VAL_KEY
@@ -275,8 +341,8 @@ async def main():
if USE_VK:
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
published_count = VAL_KEY.publish(VK_CHANNEL,f"Hola, starting to publish to valkey: {VK_CHANNEL} @ {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
logging.info(f"Valkey message published to {published_count} subscribers of {VK_CHANNEL}")
# published_count = VAL_KEY.publish(VK_CHANNEL,f"Hola, starting to publish to valkey: {VK_CHANNEL} @ {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
# logging.info(f"Valkey message published to {published_count} subscribers of {VK_CHANNEL}")
else:
VAL_KEY = None
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")