Phase 0.2: Fee-Modell-Fundament (FeeModel + MarketData.TakerFeeBps + BUY-Fee-Log)
- FeeModel (pure, getestet): Kategorie-Fallback-Bps (Sports 75 / Politics-Finance 100 / Crypto 180 / Geopolitics 0 / Default 100) + FeeUsd(notional, bps). - MarketData.TakerFeeBps (Core) + Migration AddMarketTakerFeeBps (auf MySQL angewendet). Speichert den echten API-Satz, sobald verfuegbar; 0 = Fallback. - CopyTradingEngine loggt beim BUY die erwartete Taker-Fee (TakerFeeBps aus MarketCache, sonst Kategorie-Fallback) -> Akzeptanz "Fee im TradeReasoning". - FeeModelTests (Kategorie-Mapping case-insensitive, FeeUsd, 0-Faelle). 183 Tests gruen. Build/Smoke gruen. OFFEN (API-abhaengig, erst im Zielland verifizierbar): echtes fee_rate_bps-Feld aus der CLOB/Gamma-API lesen; Fee-basierter Edge-Discard; PnL-Fee-Korrektur. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Richard
co-authored by
Claude Opus 4.8
Claude Opus 4.8
parent
395caad11a
commit
cda5b055aa
@@ -17,5 +17,11 @@ namespace PolyTraderSharp.Models
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public string Outcomes { get; set; } = string.Empty; // e.g. "[\"Yes\", \"No\"]"
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public bool NegRisk { get; set; }
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/// <summary>
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/// Taker-Fee dieses Marktes in Basispunkten (100 = 1,0 %). 0 = keine/unbekannt.
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/// Wird beim Markt-Sync gesetzt (API-Feld bevorzugt, sonst Kategorie-Fallback via FeeModel).
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/// </summary>
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public int TakerFeeBps { get; set; }
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}
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}
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Generated
+313
@@ -0,0 +1,313 @@
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// <auto-generated />
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using System;
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using Microsoft.EntityFrameworkCore;
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using Microsoft.EntityFrameworkCore.Infrastructure;
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using Microsoft.EntityFrameworkCore.Metadata;
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using Microsoft.EntityFrameworkCore.Migrations;
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using Microsoft.EntityFrameworkCore.Storage.ValueConversion;
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using PolyTrader.Core.Persistence.Ef;
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#nullable disable
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namespace PolyTrader.Core.Persistence.Ef.Migrations
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{
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[DbContext(typeof(CoreDbContext))]
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[Migration("20260707155613_AddMarketTakerFeeBps")]
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partial class AddMarketTakerFeeBps
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{
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/// <inheritdoc />
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protected override void BuildTargetModel(ModelBuilder modelBuilder)
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{
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#pragma warning disable 612, 618
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modelBuilder
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.HasAnnotation("ProductVersion", "8.0.13")
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.HasAnnotation("Relational:MaxIdentifierLength", 64);
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MySqlModelBuilderExtensions.AutoIncrementColumns(modelBuilder);
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modelBuilder.Entity("PolyTraderSharp.Models.AccountState", b =>
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{
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b.Property<int>("AccountId")
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.HasColumnType("int");
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b.Property<string>("ApiKey")
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.IsRequired()
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.HasMaxLength(256)
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.HasColumnType("varchar(256)");
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b.Property<string>("ApiPassphrase")
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.IsRequired()
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.HasMaxLength(256)
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.HasColumnType("varchar(256)");
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b.Property<string>("ApiSecret")
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.IsRequired()
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.HasMaxLength(256)
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.HasColumnType("varchar(256)");
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b.Property<decimal>("AvailableBalance")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<bool>("CloseOnlyMode")
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.HasColumnType("tinyint(1)");
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b.Property<bool>("HasOpenLimitOrders")
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.HasColumnType("tinyint(1)");
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b.Property<bool>("IsActive")
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.HasColumnType("tinyint(1)");
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b.Property<bool>("IsDemo")
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.HasColumnType("tinyint(1)");
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b.Property<string>("Name")
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.IsRequired()
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.HasMaxLength(200)
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.HasColumnType("varchar(200)");
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b.Property<string>("PayoutAddress")
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.IsRequired()
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.HasMaxLength(128)
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.HasColumnType("varchar(128)");
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b.Property<decimal>("PayoutLimitUsd")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<string>("PrivateKey")
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.IsRequired()
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.HasMaxLength(256)
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.HasColumnType("varchar(256)");
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b.Property<decimal>("TotalBalance")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<string>("WalletAddress")
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.IsRequired()
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.HasMaxLength(128)
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.HasColumnType("varchar(128)");
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b.HasKey("AccountId");
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b.ToTable("core_accounts", (string)null);
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});
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modelBuilder.Entity("PolyTraderSharp.Models.MarketData", b =>
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{
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b.Property<string>("Id")
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.HasMaxLength(120)
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.HasColumnType("varchar(120)");
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b.Property<bool>("Active")
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.HasColumnType("tinyint(1)");
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b.Property<string>("Category")
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.IsRequired()
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.HasMaxLength(200)
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.HasColumnType("varchar(200)");
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b.Property<string>("ClobTokenIds")
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.IsRequired()
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.HasColumnType("text");
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b.Property<bool>("Closed")
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.HasColumnType("tinyint(1)");
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b.Property<string>("ConditionId")
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.IsRequired()
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.HasMaxLength(120)
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.HasColumnType("varchar(120)");
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b.Property<DateTime?>("EndDate")
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.HasColumnType("datetime(6)");
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b.Property<bool>("NegRisk")
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.HasColumnType("tinyint(1)");
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b.Property<string>("Outcomes")
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.IsRequired()
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.HasColumnType("text");
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b.Property<string>("Question")
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.IsRequired()
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.HasMaxLength(1000)
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.HasColumnType("varchar(1000)");
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b.Property<string>("Slug")
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.IsRequired()
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.HasMaxLength(300)
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.HasColumnType("varchar(300)");
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b.Property<int>("TakerFeeBps")
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.HasColumnType("int");
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b.HasKey("Id");
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b.ToTable("core_markets", (string)null);
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});
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modelBuilder.Entity("PolyTraderSharp.Models.Position", b =>
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{
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b.Property<int>("AccountId")
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.HasColumnType("int");
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b.Property<bool>("IsDemo")
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.HasColumnType("tinyint(1)");
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b.Property<string>("TokenId")
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.HasMaxLength(120)
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.HasColumnType("varchar(120)");
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b.Property<decimal>("AmountUsd")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<string>("ConditionId")
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.IsRequired()
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.HasMaxLength(120)
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.HasColumnType("varchar(120)");
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b.Property<decimal>("CurrentPrice")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<decimal>("CurrentValueUsd")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<decimal>("EntryPrice")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<DateTime?>("ExpiryDate")
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.HasColumnType("datetime(6)");
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b.Property<string>("MarketQuestion")
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.IsRequired()
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.HasMaxLength(1000)
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.HasColumnType("varchar(1000)");
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b.Property<string>("MarketSlug")
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.IsRequired()
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.HasMaxLength(300)
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.HasColumnType("varchar(300)");
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b.Property<DateTime>("OpenedAt")
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.HasColumnType("datetime(6)");
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b.Property<string>("Outcome")
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.IsRequired()
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.HasMaxLength(200)
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.HasColumnType("varchar(200)");
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b.Property<string>("Side")
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.IsRequired()
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.HasMaxLength(10)
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.HasColumnType("varchar(10)");
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b.Property<decimal>("Size")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<string>("SourceTraderAddress")
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.IsRequired()
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.HasMaxLength(128)
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.HasColumnType("varchar(128)");
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b.Property<int>("SourceTraderId")
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.HasColumnType("int");
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b.Property<string>("SourceTraderName")
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.IsRequired()
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.HasMaxLength(200)
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.HasColumnType("varchar(200)");
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b.HasKey("AccountId", "IsDemo", "TokenId");
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b.ToTable("core_positions", (string)null);
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});
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modelBuilder.Entity("PolyTraderSharp.Models.TradeRecord", b =>
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{
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b.Property<string>("Id")
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.HasMaxLength(64)
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.HasColumnType("varchar(64)");
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b.Property<int>("AccountId")
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.HasColumnType("int");
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b.Property<DateTime>("ClosedAt")
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.HasColumnType("datetime(6)");
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b.Property<decimal>("EntryPrice")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<decimal>("ExitPrice")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<string>("ExitReason")
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.IsRequired()
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.HasMaxLength(200)
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.HasColumnType("varchar(200)");
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b.Property<bool>("IsDemo")
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.HasColumnType("tinyint(1)");
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b.Property<string>("MarketQuestion")
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.IsRequired()
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.HasMaxLength(1000)
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.HasColumnType("varchar(1000)");
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b.Property<string>("ModuleName")
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.IsRequired()
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.HasMaxLength(64)
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.HasColumnType("varchar(64)");
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b.Property<DateTime>("OpenedAt")
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.HasColumnType("datetime(6)");
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b.Property<string>("Outcome")
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.IsRequired()
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.HasMaxLength(200)
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.HasColumnType("varchar(200)");
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b.Property<decimal>("PnlPercent")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<decimal>("RealizedPnl")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<string>("Side")
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.IsRequired()
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.HasMaxLength(10)
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.HasColumnType("varchar(10)");
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b.Property<decimal>("Size")
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.HasPrecision(18, 6)
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.HasColumnType("decimal(18,6)");
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b.Property<string>("TokenId")
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.IsRequired()
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.HasMaxLength(120)
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.HasColumnType("varchar(120)");
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b.HasKey("Id");
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b.HasIndex("AccountId");
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b.HasIndex("ClosedAt");
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b.HasIndex("ModuleName");
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b.ToTable("core_trade_log", (string)null);
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});
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#pragma warning restore 612, 618
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}
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}
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}
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@@ -0,0 +1,29 @@
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using Microsoft.EntityFrameworkCore.Migrations;
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#nullable disable
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namespace PolyTrader.Core.Persistence.Ef.Migrations
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{
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/// <inheritdoc />
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public partial class AddMarketTakerFeeBps : Migration
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{
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/// <inheritdoc />
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protected override void Up(MigrationBuilder migrationBuilder)
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{
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migrationBuilder.AddColumn<int>(
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name: "TakerFeeBps",
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table: "core_markets",
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type: "int",
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nullable: false,
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defaultValue: 0);
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}
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/// <inheritdoc />
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protected override void Down(MigrationBuilder migrationBuilder)
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{
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migrationBuilder.DropColumn(
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name: "TakerFeeBps",
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table: "core_markets");
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}
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}
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}
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@@ -137,6 +137,9 @@ namespace PolyTrader.Core.Persistence.Ef.Migrations
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.HasMaxLength(300)
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.HasColumnType("varchar(300)");
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b.Property<int>("TakerFeeBps")
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.HasColumnType("int");
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b.HasKey("Id");
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b.ToTable("core_markets", (string)null);
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@@ -0,0 +1,41 @@
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namespace PolyTrader.Modules.CopyTrading.Logic
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{
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/// <summary>
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/// Reine Fee-Logik (Phase 0.2). Polymarket erhebt seit März 2026 Taker-Fees (Maker zahlen 0).
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/// Der reale Satz kommt idealerweise vom Markt-Objekt der CLOB-/Gamma-API (Feldname im Zielland
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/// anhand https://docs.polymarket.com/trading/fees verifizieren); bis dahin greift die
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/// Kategorie-Fallback-Tabelle. Werte in Basispunkten (bps): 100 bps = 1,0 %.
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/// </summary>
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public static class FeeModel
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{
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public const int MakerBps = 0;
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// Fallback-Sätze je Kategorie (Taker, bps) – Näherung laut Plan, im Zielland verifizieren.
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public const int SportsBps = 75; // 0,75 %
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public const int PoliticsFinanceBps = 100; // 1,0 %
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public const int CryptoBps = 180; // 1,8 %
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public const int GeopoliticsBps = 0; // 0 %
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public const int DefaultBps = 100; // konservativer Default
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/// <summary>
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/// Fallback-Taker-Fee (bps) anhand der Markt-Kategorie, wenn die API keinen Satz liefert.
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/// Robust gegen unbekannte/leere Kategorien (→ konservativer Default).
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/// </summary>
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public static int FallbackBps(string? category)
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{
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string c = (category ?? string.Empty).ToLowerInvariant();
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if (c.Contains("sport")) return SportsBps;
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if (c.Contains("crypto")) return CryptoBps;
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if (c.Contains("geopolit")) return GeopoliticsBps;
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if (c.Contains("politic") || c.Contains("finance") || c.Contains("econom")) return PoliticsFinanceBps;
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return DefaultBps;
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}
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/// <summary>Taker-Fee in USDC für ein Notional (Preis × Shares) bei gegebenem Satz.</summary>
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public static decimal FeeUsd(decimal notionalUsd, int feeBps)
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{
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if (feeBps <= 0 || notionalUsd <= 0m) return 0m;
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return notionalUsd * feeBps / 10000m;
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}
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}
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}
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@@ -396,6 +396,14 @@ namespace PolyTraderSharp.Services
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exactShares = exact.shares;
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exactUsdc = exact.usdc;
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// Phase 0.2: erwartete Taker-Fee transparent loggen (API-Satz bevorzugt,
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// sonst Kategorie-Fallback). Wird im Zielland gegen echte API-Fees verifiziert.
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int feeBps = _state.MarketCache.TryGetValue(signal.TokenId, out var feeMd)
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? (feeMd.TakerFeeBps > 0 ? feeMd.TakerFeeBps : FeeModel.FallbackBps(feeMd.Category))
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: FeeModel.FallbackBps(null);
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decimal expectedFee = FeeModel.FeeUsd(exactUsdc, feeBps);
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_logger.TradeReasoning($"💸 [FEE] {account.Name} | {signal.MarketQuestion}: erwartete Taker-Fee ~${expectedFee:F4} ({feeBps} bps auf ${exactUsdc:F2}).");
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}
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else if (signal.Side == "SELL")
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{
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@@ -0,0 +1,44 @@
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using PolyTrader.Modules.CopyTrading.Logic;
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using Xunit;
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using static PolyTrader.Modules.CopyTrading.Logic.FeeModel;
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namespace PolyTrader.Tests
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{
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/// <summary>
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/// Sicherheitsnetz für die Fee-Logik (Phase 0.2): Kategorie-Fallback + Fee-Berechnung.
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/// </summary>
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public class FeeModelTests
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{
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[Theory]
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[InlineData("Sports", 75)]
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[InlineData("SPORTS", 75)] // case-insensitive
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[InlineData("Crypto", 180)]
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[InlineData("Geopolitics", 0)]
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[InlineData("Politics", 100)]
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[InlineData("Finance", 100)]
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[InlineData("Economics", 100)]
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[InlineData("Weird-Unknown", 100)] // konservativer Default
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[InlineData("", 100)]
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[InlineData(null, 100)]
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public void FallbackBps_maps_category(string? category, int expected)
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{
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Assert.Equal(expected, FallbackBps(category));
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}
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[Fact]
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public void FeeUsd_is_notional_times_bps()
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{
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Assert.Equal(1.0m, FeeUsd(100m, 100)); // 1,0 % von 100
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Assert.Equal(0.9m, FeeUsd(50m, 180)); // 1,8 % von 50
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}
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[Theory]
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[InlineData(100, 0)] // kein Satz
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[InlineData(0, 100)] // kein Notional
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[InlineData(-5, 100)] // negatives Notional
|
||||
public void FeeUsd_zero_cases(double notional, int bps)
|
||||
{
|
||||
Assert.Equal(0m, FeeUsd((decimal)notional, bps));
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user