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fix(collector): exclude noncausal Polymarket research trades #113

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Merged
proerror77 merged 1 commit into from
Jul 17, 2026
Merged

fix(collector): exclude noncausal Polymarket research trades #113

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166 changes: 163 additions & 3 deletions rust_hft/tools/collector/src/polymarket_research_normalize.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -294,7 +294,15 @@ fn trade_rows(
pending.line
);
}
let trade_ts = required(&pending.update, "trade_ts")?.to_owned();
let trade_ts = required(&pending.update, "trade_ts")?;
let received_at = required(&pending.update, "received_at")?;
let source_clock = timestamp(trade_ts, "trade_ts")?;
let received_clock = timestamp(received_at, "received_at")?;
let recorded_clock = timestamp(&pending.recorded_at, "recorded_at")?;
if received_clock < source_clock || recorded_clock < source_clock {
continue;
}
let trade_ts = trade_ts.to_owned();
let mut value = base(contract, "polymarket_trade");
insert(
&mut value,
Expand All @@ -312,8 +320,8 @@ fn trade_rows(
"transaction_hash": required(&pending.update, "transaction_hash")?,
"proxy_wallet": required(&pending.update, "proxy_wallet")?,
"source": required(&pending.update, "source")?,
"received_at": required(&pending.update, "received_at")?,
"available_at": latest(required(&pending.update, "received_at")?, &pending.recorded_at)?,
"received_at": received_at,
"available_at": latest(received_at, &pending.recorded_at)?,
"recorded_at": pending.recorded_at,
"source_sequence": pending.sequence,
"source_dataset": "crypto_expiry_reference"
Expand Down Expand Up @@ -646,6 +654,7 @@ pub fn normalize_polymarket_evidence(
mod tests {
use super::*;
use crate::polymarket_research_select::SelectedMetadata;
use crate::polymarket_upload::derived_trade_record_id;
use std::fs;

fn selected_contract() -> SelectedContract {
Expand Down Expand Up @@ -723,6 +732,58 @@ mod tests {
rows
}

fn trade_pending(
sequence: u64,
trade_ts: &str,
trade_ts_unix: i64,
received_at: &str,
recorded_at: &str,
) -> Pending {
let trade = json!({
"transactionHash": format!("0xtx-{sequence}"),
"conditionId": "condition",
"asset": "up",
"side": "BUY",
"timestamp": trade_ts_unix,
"proxyWallet": "0xwallet",
"size": "10",
"price": "0.5",
"outcome": "Up",
"outcomeIndex": 0,
});
let record_id = derived_trade_record_id(trade.as_object().unwrap());
Pending {
line: usize::try_from(sequence).unwrap(),
sequence,
recorded_at: recorded_at.to_owned(),
update: json!({
"kind": "polymarket_trade",
"record_id": record_id,
"record_id_version": "v2",
"market_id": "market",
"condition_id": "condition",
"token_id": "up",
"symbol": "BTCUSDT",
"market_window_secs": 300,
"side": "BUY",
"size": "10",
"price": "0.5",
"trade_ts": trade_ts,
"trade_ts_unix": trade_ts_unix,
"transaction_hash": format!("0xtx-{sequence}"),
"proxy_wallet": "0xwallet",
"outcome": "Up",
"outcome_index": 0,
"source": "polymarket_data_api",
"received_at": received_at,
"trade": trade,
})
.as_object()
.unwrap()
.clone(),
}
}

#[test]
fn selected_reference_ignores_unrelated_assets_but_rejects_wrong_btc_source() {
let unrelated = json!({"symbol": "hype/usd"});
Expand Down Expand Up @@ -897,6 +958,105 @@ mod tests {
assert_eq!(rows[0].value["ask_size"], "10");
}

#[test]
fn noncausal_trade_clock_is_not_published_as_evidence() {
let contract = selected_contract();
let contracts = BTreeMap::from([(contract.market_id.clone(), contract)]);
let mut rows = Vec::new();
let mut counts = BTreeMap::new();
trade_rows(
vec![
trade_pending(
1,
"2026-07-17T05:30:03Z",
1_784_266_203,
"2026-07-17T05:30:02Z",
"2026-07-17T05:30:04Z",
),
trade_pending(
2,
"2026-07-17T05:30:03Z",
1_784_266_203,
"2026-07-17T05:30:04Z",
"2026-07-17T05:30:02Z",
),
trade_pending(
3,
"2026-07-17T05:30:03Z",
1_784_266_203,
"2026-07-17T05:30:04Z",
"2026-07-17T05:30:05Z",
),
],
&contracts,
&mut rows,
&mut counts,
)
.unwrap();

assert_eq!(rows.len(), 1);
assert_eq!(rows[0].value["source_sequence"], 3);
assert_eq!(counts.get("market"), Some(&1));
}

#[test]
fn noncausal_trades_do_not_satisfy_event_completeness() {
let contract = selected_contract();
let contracts = BTreeMap::from([(contract.market_id.clone(), contract.clone())]);
let mut rows = Vec::new();
let mut trades = BTreeMap::new();
trade_rows(
vec![trade_pending(
1,
"2026-07-17T05:30:03Z",
1_784_266_203,
"2026-07-17T05:30:02Z",
"2026-07-17T05:30:04Z",
)],
&contracts,
&mut rows,
&mut trades,
)
.unwrap();

let books = BTreeMap::from([(
"market".to_owned(),
BTreeSet::from(["up".to_owned(), "down".to_owned()]),
)]);
let references = BTreeMap::from([("market".to_owned(), 1)]);
let settlements = BTreeMap::from([("market".to_owned(), "digest".to_owned())]);
assert!(rows.is_empty());
assert!(trades.is_empty());
assert!(!has_all_surfaces(
&contract,
&books,
&references,
&trades,
&settlements
));
}

#[test]
fn malformed_recorded_at_fails_even_when_received_at_is_noncausal() {
let contract = selected_contract();
let contracts = BTreeMap::from([(contract.market_id.clone(), contract)]);
let error = trade_rows(
vec![trade_pending(
1,
"2026-07-17T05:30:03Z",
1_784_266_203,
"2026-07-17T05:30:02Z",
"not-a-timestamp",
)],
&contracts,
&mut Vec::new(),
&mut BTreeMap::new(),
)
.unwrap_err();

assert!(error.to_string().contains("recorded_at"), "{error:#}");
}

#[test]
fn only_pre_open_reference_satisfies_surface_completeness() {
let (contract, _, fresh) = reference_rows("2026-07-17T05:29:30Z");
Expand Down
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