Add max_price_impact parameter to KellyBettingStrategy

examples/monitor/match_bets_with_langfuse_traces.py

@@ -8,12 +8,13 @@
 from prediction_market_agent_tooling.config import APIKeys
 from prediction_market_agent_tooling.deploy.betting_strategy import (
     BettingStrategy,
-    KellyBettingStrategy,
-    MaxAccuracyBettingStrategy,
-    MaxAccuracyWithKellyScaledBetsStrategy,
-    MaxExpectedValueBettingStrategy,
     ProbabilisticAnswer,
     TradeType,
+    KellyMaxSlippageBettingStrategy,
+    MaxExpectedValueBettingStrategy,
+    MaxAccuracyWithKellyScaledBetsStrategy,
+    KellyBettingStrategy,
+    MaxAccuracyBettingStrategy,
 )
 from prediction_market_agent_tooling.markets.data_models import ResolvedBet
 from prediction_market_agent_tooling.markets.omen.omen import OmenAgentMarket
@@ -84,16 +85,18 @@ def get_outcome_for_trace(
     # Get the private keys for the agents from GCP Secret Manager
     agent_gcp_secret_map = {
         "DeployablePredictionProphetGPT4TurboFinalAgent": "pma-prophetgpt4turbo-final",
-        "DeployablePredictionProphetGPT4TurboPreviewAgent": "pma-prophetgpt4",
-        "DeployablePredictionProphetGPT4oAgent": "pma-prophetgpt3",
-        "DeployableOlasEmbeddingOAAgent": "pma-evo-olas-embeddingoa",
+        # "DeployablePredictionProphetGPT4TurboPreviewAgent": "pma-prophetgpt4",
+        # "DeployablePredictionProphetGPT4oAgent": "pma-prophetgpt3",
+        # "DeployableOlasEmbeddingOAAgent": "pma-evo-olas-embeddingoa",
         # "DeployableThinkThoroughlyAgent": "pma-think-thoroughly",  # no bets!
         # "DeployableThinkThoroughlyProphetResearchAgent": "pma-think-thoroughly-prophet-research",  # no bets!
-        "DeployableKnownOutcomeAgent": "pma-knownoutcome",
+        # "DeployableKnownOutcomeAgent": "pma-knownoutcome",
     }
+
     agent_pkey_map = {
         k: get_private_key_from_gcp_secret(v) for k, v in agent_gcp_secret_map.items()
     }
+
     # Define strategies we want to test out
     strategies = [
         MaxAccuracyBettingStrategy(bet_amount=1),
@@ -108,6 +111,19 @@ def get_outcome_for_trace(
         MaxExpectedValueBettingStrategy(bet_amount=1),
         MaxExpectedValueBettingStrategy(bet_amount=2),
         MaxExpectedValueBettingStrategy(bet_amount=25),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=2, max_slippage=0.01),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=2, max_slippage=0.05),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=2, max_slippage=0.1),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=2, max_slippage=0.15),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=2, max_slippage=0.2),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=2, max_slippage=0.25),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=2, max_slippage=0.3),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=5, max_slippage=0.1),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=5, max_slippage=0.15),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=5, max_slippage=0.2),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=25, max_slippage=0.1),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=25, max_slippage=0.15),
+        KellyMaxSlippageBettingStrategy(max_bet_amount=25, max_slippage=0.2),
     ]
 
     print("# Agent Bet vs Simulated Bet Comparison")
@@ -145,16 +161,17 @@ def get_outcome_for_trace(
         # All bets should have a trace, but not all traces should have a bet
         # (e.g. if all markets are deemed unpredictable), so iterate over bets
         bets_with_traces: list[ResolvedBetWithTrace] = []
+        missing_bets = []
         for bet in bets:
             trace = get_trace_for_bet(bet, process_market_traces)
             if trace:
                 bets_with_traces.append(ResolvedBetWithTrace(bet=bet, trace=trace))
+            else:
+                missing_bets.append(bet)
 
         print(f"Number of bets since {start_time}: {len(bets_with_traces)}\n")
-        if len(bets_with_traces) != len(bets):
-            raise ValueError(
-                f"{len(bets) - len(bets_with_traces)} bets do not have a corresponding trace"
-            )
+        if missing_bets:
+            print(f"Bets without traces : {missing_bets}")
 
         simulations: list[dict[str, Any]] = []
 
@@ -207,4 +224,6 @@ def get_outcome_for_trace(
                 }
             )
 
-        print(pd.DataFrame.from_records(simulations).to_markdown(index=False))
+        simulations_df = pd.DataFrame.from_records(simulations)
+        simulations_df.to_csv("simulations.csv")
+        print(simulations_df.to_markdown(index=False))