Hướng Dẫn Quant CLOB Polymarket: Triển Khai Bot Sao Chép Giao Dịch Cá Voi & Maker Phí 0% với py-clob-client

import os
from py_clob_client.client import ClobClient
from py_clob_client.clob_types import OrderArgs, OrderType
from py_clob_client.order_builder.constants import BUY

# 1. 初始化 Polygon 主网 (chain_id=137) CLOB 客户端
HOST = "https://clob.polymarket.com"
CHAIN_ID = 137
PRIVATE_KEY = os.environ["POLY_PRIVATE_KEY"]      # 仅存放于本地 .env，严禁硬编码上传 GitHub
FUNDER_ADDR = os.environ["POLY_PROXY_WALLET"]     # Polymarket 代理合约钱包地址

client = ClobClient(HOST, key=PRIVATE_KEY, chain_id=CHAIN_ID, signature_type=1, funder=FUNDER_ADDR)
client.set_api_creds(client.create_or_derive_api_creds())

# 2. 半凯利公式 (Half-Kelly) 动态计算正期望值 (+EV) 下单份额
def compute_half_kelly_shares(bankroll_usdc: float, mkt_price: float, true_prob: float, max_cap: float = 0.15) -> float:
    if true_prob <= mkt_price + 0.03:  # 要求至少 +3% Alpha 安全边际才出手
        return 0.0
    full_kelly = (true_prob - mkt_price) / (1.0 - mkt_price)
    alloc_pct = min(max_cap, 0.5 * full_kelly)
    stake_usdc = bankroll_usdc * alloc_pct
    return round(stake_usdc / mkt_price, 2)

# 3. 读取订单簿最优买一价并挂出 0% 手续费 Maker 限价单
TOKEN_ID = "21742633143463906290569050155826241533067272736897614950488156847949938836455"
book = client.get_order_book(TOKEN_ID)
best_bid = float(book.bids[0].price) if book.bids else 0.35
true_p = 0.52  # 来自 JEV / LLM 校准后的真实发生概率

shares = compute_half_kelly_shares(bankroll_usdc=1000.0, mkt_price=best_bid, true_prob=true_p)
if shares >= 5.0:
    order_args = OrderArgs(price=best_bid, size=shares, side=BUY, token_id=TOKEN_ID)
    signed_order = client.create_order(order_args)
    resp = client.post_order(signed_order, OrderType.GTC)
    print(f"[CLOB Maker] 挂单成功: price={best_bid:.2f} size={shares} resp={resp}")