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Improved Market Filters

See original GitHub issue

We now have an idea for a filter to filter markets by spread, the algorithm is below. This’ll filter out illiquid markets from a spread perspective but also ones that’re doing validity arbitrage at really bad prices (i.e. the markets that’re referred to on reddit as being ones to watch out for). So it solves a big problem right now for helping people avoid markets with bad prices that expire before they should.

UI wise this should be just like the fees filter where you can filter by Fee < X %, but instead Spread < X %.

So we need the:

  • Design for this (simple + functional / not overthought, it’ll be redone when we do the markets listing page)
  • AN endpoints for this
  • UI dev for this
So the algo would be:

Spread = []
outcomes = 0
For outcome in market (if binary or scalar, just for yes outcome):
      10_percent_shares = max(sum(ask_quantities), sum(bid_quantities)) * 0.10
      smallest_side_amount = min(sum(ask_quantities), sum(bid_quantities))
      num_shares = min(10_percent_shares, smallest_side_amount)
      bid_value = 0
      ask_value = 0

      // the getters return a dictionary of orders w/ quantity and price, returns an empty one if num_shares is 0
      bid_quantity = 0
      quantity_gotten = 0
      for order in get_orders_up_to_num_shares_quantity(bids, num_shares):
            if(order.quantity + quantity_gotten > num_shares):
                 order.quantity = num_shares - quantity_gotten
            bid_value += order.quantity * order.price
            quantity_gotten += order.quantity
      bid_quantity = quantity_gotten
      quantity_gotten = 0
      for order in get_orders_up_to_num_shares_quantity(asks, num_shares):
            if(order.quantity + quantity_gotten > num_shares):
                 order.quantity = num_shares - quantity_gotten
            ask_value += order.quantity * order.price
            quantity_gotten += order.quantity
      ask_quantity = quantity_gotten

      if (numShares == 0) {
        // one or both sides of order book was empty; we'll pretend instead
        // it/each had 1 share to facilitate calculating spreadPercent.
        numShares = 1;
        if (totalBidQuantity == 0) {
          // bid side of order book was empty
          bidValue = minPrice
          askValue = ask_value / ask_quantity
        // note this isn't an "else if" anymore so that both bid/bask set to min/max if entire book empty
        if (totalAskQuantity == 0) {
          // ask side of order book was empty
          askValue = maxPrice
          BidValue = bid_value / bid_quantity

      Spread[outcomes] = (ask_value - bid_value) / ((max - min)*num_shares)
      outcomes += 1

// max spread across all outcomes
spread_percent = max(Spread)

Filter out markets by spread % < x

This should be part of the markets listing epic (on mobile so can’t add it to it atm)

Issue Analytics

  • State:closed
  • Created 4 years ago
  • Reactions:1
  • Comments:27 (19 by maintainers)

github_iconTop GitHub Comments

joeykrugcommented, May 5, 2019

Spread filter is the same as above.

This idea would be a separate feature called the Experimental Invalid Filter (checked by default):

if best bid <= range/num_outcomes+min + oi_fee/4 and best ask >= range/num_outcomes+min - oi_fee/4 For any of the outcomes in a market then a market is filtered out, else it appears

bthailecommented, May 3, 2019

@ryanberckmans yes, coordinate changes with @phoebemirman , she is running the UI portion.

Read more comments on GitHub >

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