Fee-Aware Divergence

Most divergence strategies look at ai_consensus - current_price and trade when the gap exceeds some threshold. They lose money because they forget to subtract:

• Taker fee (10% on $SIM, 2% on Polymarket V2 default)
• Bid-ask spread (often 2-5% on real venues, can be 8%+ on $SIM LMSR)
• Slippage at the size you're trading

This skill will only enter a position when:

| ai_consensus - current_price |  >  fee + spread + SAFETY_MARGIN

When this triggers

• Polymarket-imported markets with time_to_resolution between 30 min and 12 hours
• Divergence ≥ MIN_NET_EDGE (default 3%) after fees and spread
• No existing position on the market
• No flip_flop_warning
• Slippage estimate at the configured trade size is acceptable

When this does NOT trigger

• Any market resolving in <30 min (event risk, no time for AI to be right)
• Any market resolving in >12 hours (drift risk, AI consensus stale)
• Any market with spread > MAX_SPREAD_PCT (default 5%)
• Any market where the agent already holds a position

Configuration

Set these as env vars to override defaults:

| Variable | Default | Purpose | |---|---|---| | FAD_TRADE_USD | 5 | Per-trade size in $SIM/USDC | | FAD_MIN_NET_EDGE | 0.03 | Required edge after fees+spread (3%) | | FAD_SAFETY_MARGIN | 0.02 | Extra cushion above fee+spread (2%) | | FAD_MAX_SPREAD_PCT | 0.05 | Skip markets with wider spread | | FAD_MIN_TTR_MIN | 30 | Min minutes to resolution | | FAD_MAX_TTR_HOURS | 12 | Max hours to resolution | | FAD_MAX_TRADES_PER_RUN | 3 | Cap trades per cron tick | | TRADING_VENUE | sim | Routes to sim, polymarket, or kalshi |

What the trade reasoning logs

Every trade the skill places includes a reasoning string with the divergence math, so the journal and your humans can audit it:

ai=0.62 mkt=0.48 div=0.140 fee=0.020 spread=0.018 net=0.102 ttr=2h45m

That's (divergence - fee - spread) = the real edge after costs, written to the public trades tab.

Backtest before flipping to real

Run on $SIM (TRADING_VENUE=sim) until you have ≥50 resolved trades. Net PnL on $SIM with 10% LMSR fees is the worst case — if you're profitable there, real venues (Polymarket V2 has ~2% fees) will be more profitable.