Add Polymarket fee commission tests and update py-clob-client

- Add tests for taker/maker commission calculation with non-zero fees
- Verify fee handling for Polymarket 15-minute crypto prediction markets
- Upgrade `py-clob-client`

Author: cjdsellers

pyproject.toml

@@ -88,7 +88,7 @@ dydx = [
   "bip-utils>=2.10.0,<3.0.0; python_version < '3.14'",
   "pycryptodome>=3.20.0,<4.0.0; python_version < '3.14'",
 ]
-polymarket = ["py-clob-client==0.34.1,<1.0.0"]
+polymarket = ["py-clob-client>=0.34.4,<1.0.0"]
 visualization = ["plotly>=6.3.1,<7.0.0"]
 
 [dependency-groups]

tests/integration_tests/adapters/polymarket/test_parsing.py

@@ -43,6 +43,7 @@
 from nautilus_trader.config import BacktestEngineConfig
 from nautilus_trader.config import LoggingConfig
 from nautilus_trader.model.currencies import USDC
+from nautilus_trader.model.currencies import USDC_POS
 from nautilus_trader.model.data import OrderBookDeltas
 from nautilus_trader.model.data import TradeTick
 from nautilus_trader.model.enums import AccountType
@@ -554,6 +555,201 @@ def test_parse_user_trade_to_fill_report_ts_event() -> None:
     assert fill_report.ts_event == 1725958681000000000  # September 10, 2024
 
 
+def test_parse_user_trade_taker_commission_with_fees() -> None:
+    """
+    Test that taker commission is correctly calculated from fee_rate_bps.
+
+    This test uses a taker trade with 200 bps (2%) fees, as documented for Polymarket
+    15-minute crypto prediction markets.
+
+    Commission = size * price * (fee_rate_bps / 10000)          = 100 * 0.50 * (200 /
+    10000)          = 50 * 0.02 = 1.0 USDC
+
+    """
+    # Arrange
+    trade_data = {
+        "event_type": "trade",
+        "asset_id": "21742633143463906290569050155826241533067272736897614950488156847949938836455",
+        "bucket_index": 0,
+        "fee_rate_bps": "200",  # 2% taker fee (Polymarket 15-min crypto markets)
+        "id": "test-taker-trade-001",
+        "last_update": "1725958681",
+        "maker_address": "0x1234567890123456789012345678901234567890",
+        "maker_orders": [
+            {
+                "asset_id": "21742633143463906290569050155826241533067272736897614950488156847949938836455",
+                "fee_rate_bps": "0",
+                "maker_address": "0x1234567890123456789012345678901234567890",
+                "matched_amount": "100",
+                "order_id": "0xmaker_order_id",
+                "outcome": "Yes",
+                "owner": "maker-owner-id",
+                "price": "0.50",
+            },
+        ],
+        "market": "0xdd22472e552920b8438158ea7238bfadfa4f736aa4cee91a6b86c39ead110917",
+        "match_time": "1725958681",
+        "outcome": "Yes",
+        "owner": "taker-owner-id",
+        "price": "0.50",
+        "side": "BUY",
+        "size": "100",
+        "status": "MINED",
+        "taker_order_id": "0xtaker_order_id",
+        "timestamp": "1725958681000",
+        "trade_owner": "taker-owner-id",
+        "trader_side": "TAKER",
+        "type": "TRADE",
+    }
+
+    decoder = msgspec.json.Decoder(PolymarketUserTrade)
+    msg = decoder.decode(msgspec.json.encode(trade_data))
+    instrument = TestInstrumentProvider.binary_option()
+    account_id = AccountId("POLYMARKET-001")
+
+    # Act
+    fill_report = msg.parse_to_fill_report(
+        account_id=account_id,
+        instrument=instrument,
+        client_order_id=None,
+        ts_init=0,
+        filled_user_order_id=msg.taker_order_id,
+    )
+
+    # Assert
+    # Commission = 100 * 0.50 * (200 / 10000) = 1.0 USDC.e
+    assert fill_report.commission == Money(1.0, USDC_POS)
+
+
+def test_parse_user_trade_maker_commission_with_fees() -> None:
+    """
+    Test that maker commission is correctly calculated from maker order's fee_rate_bps.
+
+    For maker fills, the fee_rate_bps is taken from the individual maker_order, not from
+    the top-level trade message.
+
+    Commission = matched_amount * price * (fee_rate_bps / 10000)          = 50 * 0.60 *
+    (100 / 10000)          = 30 * 0.01 = 0.30 USDC
+
+    """
+    # Arrange
+    maker_owner = "maker-owner-id"
+    maker_order_id = "0xmy_maker_order_id"
+    trade_data = {
+        "event_type": "trade",
+        "asset_id": "21742633143463906290569050155826241533067272736897614950488156847949938836455",
+        "bucket_index": 0,
+        "fee_rate_bps": "200",  # Taker's fee (not used for maker calculation)
+        "id": "test-maker-trade-001",
+        "last_update": "1725958681",
+        "maker_address": "0x1234567890123456789012345678901234567890",
+        "maker_orders": [
+            {
+                "asset_id": "21742633143463906290569050155826241533067272736897614950488156847949938836455",
+                "fee_rate_bps": "100",  # 1% maker fee
+                "maker_address": "0x1234567890123456789012345678901234567890",
+                "matched_amount": "50",
+                "order_id": maker_order_id,
+                "outcome": "Yes",
+                "owner": maker_owner,
+                "price": "0.60",
+            },
+        ],
+        "market": "0xdd22472e552920b8438158ea7238bfadfa4f736aa4cee91a6b86c39ead110917",
+        "match_time": "1725958681",
+        "outcome": "Yes",
+        "owner": maker_owner,
+        "price": "0.60",
+        "side": "SELL",
+        "size": "50",
+        "status": "MINED",
+        "taker_order_id": "0xtaker_order_id",
+        "timestamp": "1725958681000",
+        "trade_owner": maker_owner,
+        "trader_side": "MAKER",
+        "type": "TRADE",
+    }
+
+    decoder = msgspec.json.Decoder(PolymarketUserTrade)
+    msg = decoder.decode(msgspec.json.encode(trade_data))
+    instrument = TestInstrumentProvider.binary_option()
+    account_id = AccountId("POLYMARKET-001")
+
+    # Act
+    fill_report = msg.parse_to_fill_report(
+        account_id=account_id,
+        instrument=instrument,
+        client_order_id=None,
+        ts_init=0,
+        filled_user_order_id=maker_order_id,
+    )
+
+    # Assert
+    # Commission = 50 * 0.60 * (100 / 10000) = 0.30 USDC.e
+    assert fill_report.commission == Money(0.30, USDC_POS)
+
+
+def test_parse_user_trade_zero_commission_with_no_fees() -> None:
+    """
+    Test that commission is zero when fee_rate_bps is "0".
+
+    This verifies the baseline case where no fees apply (most Polymarket markets).
+
+    """
+    # Arrange
+    trade_data = {
+        "event_type": "trade",
+        "asset_id": "21742633143463906290569050155826241533067272736897614950488156847949938836455",
+        "bucket_index": 0,
+        "fee_rate_bps": "0",
+        "id": "test-no-fee-trade-001",
+        "last_update": "1725958681",
+        "maker_address": "0x1234567890123456789012345678901234567890",
+        "maker_orders": [
+            {
+                "asset_id": "21742633143463906290569050155826241533067272736897614950488156847949938836455",
+                "fee_rate_bps": "0",
+                "maker_address": "0x1234567890123456789012345678901234567890",
+                "matched_amount": "100",
+                "order_id": "0xmaker_order_id",
+                "outcome": "Yes",
+                "owner": "maker-owner-id",
+                "price": "0.50",
+            },
+        ],
+        "market": "0xdd22472e552920b8438158ea7238bfadfa4f736aa4cee91a6b86c39ead110917",
+        "match_time": "1725958681",
+        "outcome": "Yes",
+        "owner": "taker-owner-id",
+        "price": "0.50",
+        "side": "BUY",
+        "size": "100",
+        "status": "MINED",
+        "taker_order_id": "0xtaker_order_id",
+        "timestamp": "1725958681000",
+        "trade_owner": "taker-owner-id",
+        "trader_side": "TAKER",
+        "type": "TRADE",
+    }
+
+    decoder = msgspec.json.Decoder(PolymarketUserTrade)
+    msg = decoder.decode(msgspec.json.encode(trade_data))
+    instrument = TestInstrumentProvider.binary_option()
+    account_id = AccountId("POLYMARKET-001")
+
+    # Act
+    fill_report = msg.parse_to_fill_report(
+        account_id=account_id,
+        instrument=instrument,
+        client_order_id=None,
+        ts_init=0,
+        filled_user_order_id=msg.taker_order_id,
+    )
+
+    # Assert
+    assert fill_report.commission == Money(0.0, USDC_POS)
+
+
 def test_parse_empty_book_snapshot_in_backtest_engine():
     """
     Integration test: empty book snapshots should not crash the backtest engine.