What exactly is order-book depth data?

Every bid and ask price level with its size, captured at each change. Not just the last traded price or the top of book, but the full ladder, so you can measure spreads, slippage, and real liquidity.

How is this different from free hourly archives?

Hourly snapshots are useless for a 5-minute market. On Polymarket we record every book and price-change event in real time over the CLOB websocket; on Kalshi we poll the full depth continuously (roughly every 1.5s). Either way it is orders of magnitude finer than hourly archives, so short-dated markets stay backtestable.

What format is the data delivered in?

The full book ships as whole-day, zstd-compressed Parquet — the exact columns you reconstruct a book from: bid/ask price and size arrays plus exchange and receive timestamps in epoch-millis. A REST API (Bearer key) handles market discovery and metadata. Bulk pulls have no rate-limit surprises.

Can I cancel anytime?

Yes. Paid plans are month to month, and the free Explorer tier needs no card to start. Cancel anytime from the dashboard.

Polymarket backtesting data, down to the order book.

Full bid/ask depth on Polymarket up/down markets, captured sub-second. Backtest fills, spreads, and slippage with real liquidity.

Start free See the data

Why depth beats the last price Read the API docs

BTC up · 5m

spread 0.003full book

0.598mid 0.61350.631

bidsize

0.6122.3k

0.6103.2k

0.6074.0k

0.6042.9k

0.6014.7k

asksize

0.6152.1k

0.6183.0k

0.6212.6k

0.6244.2k

0.6273.4k

event-driven · full book, both sidesexch_ts → recv_ts

Captured first-hand from the source

PolymarketKalshiBinanceChainlink

Backtests are only honest on real depth. A mid-price hides the spread, the size resting at each level, and the slippage your order would actually pay. DepthFeed keeps the whole book.

assets

BTC · ETH · SOL · XRP · DOGE · BNB · HYPE

market windows

5m · 15m · 1h · 4h · 24h

100%

of book changes

every book + price-change event

Full

book depth

every level, both sides

01What you get

The book, not just the last price.

Full bid/ask book depth

Every price level with its size, on both sides, at every change. Measure real slippage and liquidity, not a single mid-price.

sub-sec

Event-driven cadence

Recorded on every book and price-change event, not sampled. Short-dated markets stay backtestable.

API + Parquet bulk

Query recent windows over REST, or pull whole-day zstd Parquet for bulk backtests.

Underlying price, time-synced

A high-frequency reference price series — Binance spot/futures plus Chainlink settlement marks — that joins to any Polymarket snapshot by epoch-millis timestamp, so you can line up book state with the spot move that drove it.

02Coverage

Polymarket coverage, growing with demand.

We collect what matters for short-dated markets: the full book across the assets and time windows traders actually use.

Assets

BTCETHSOLXRPDOGEBNBHYPE

Market windows

5m15m1h4h24h

03Quickstart

From key to backtest in minutes.

Pull a whole day of full-depth book as zstd Parquet, or hit the REST API to discover live markets. Clean columnar schema, epoch-millis timestamps, no scraping.

Stable columnar schema
Exchange + receive timestamps
No rate-limit surprises on bulk

quickstart.sh

# 1 · Discover live markets — REST API, Bearer key
$ curl -s "https://api.depthfeed.com/v3/btc/markets?type=5m" \
    -H "Authorization: Bearer $DEPTHFEED_KEY"
# {"data":[{"slug":"btc-updown-5m-1780824900",
#           "market_type":"5m","clob_token_up":"0x…"}], …}

# 2 · Backtest on the full book — whole-day zstd Parquet
import pandas as pd

book = pd.read_parquet("polymarket_book/btc/5m/2026-06-05.parquet")
book["best_bid"] = book["bid_prices"].str[0]   # full ladder in bid_prices[]
book["best_ask"] = book["ask_prices"].str[0]
book["spread"]   = book["best_ask"] - book["best_bid"]

print(book[["exch_ts_ms", "best_bid", "best_ask", "spread"]].head())

What Polymarket backtesting data actually needs

Most Polymarket data you can find is the last trade price, sampled once an hour. That is fine for a chart and useless for a backtest. To know whether a strategy would have filled — and at what price — you need the order book it would have traded against.

Depth, not just the mid-price

A single mid-price hides the spread and the size resting at each level. DepthFeed records the full Polymarket bid/ask book on every change, so you can measure the slippage a real order would have paid and the liquidity that was genuinely there — the difference between a backtest that lies and one you can trade on.

Resolution that matches the market

Polymarket's up/down crypto markets settle in 5 to 60 minutes, so hourly snapshots miss the entire life of a short-dated market. Our event-driven capture records every book snapshot and price-change tick straight from the Polymarket CLOB websocket, keeping 5m, 15m, 1h, 4h, and 24h markets fully backtestable.

From historical data to a live edge

Every Polymarket snapshot carries exchange and receive timestamps and joins to a high-frequency underlying price, so you can line up book state with the spot move that drove it. Pull a whole day of historical order-book data as Parquet, replay it, and size your strategy on real depth before risking a dollar.

04Pricing

Simple plans. Start without a card.

Explorer

$0free, no card

Kick the tires on real depth data.

31-day rolling history
Read-only API, 1 req/sec
Sub-second event-driven snapshots
BTC markets (latest, capped)

Start free

Quant

Popular

$29per month

For traders building a real track record.

60-day rolling history, all assets
Both venues: Polymarket + Kalshi
Full bid/ask book depth
API 25 req/sec, 1,000 req/min + Parquet bulk
Underlying price stamped per snapshot

Choose Quant

Desk

$200per month

Dedicated throughput for systematic desks.

Everything in Quant
90-day rolling history
Dedicated infrastructure, 100 req/sec
S3 / R2 direct bulk delivery
Priority backfill requests

Choose Desk

Questions, answered.

Up/down crypto markets across 5m, 15m, 1h, 4h, and 24h windows for BTC, ETH, SOL, XRP, DOGE, BNB, and HYPE — captured from the Polymarket CLOB websocket, recording every book snapshot and price-change event with the complete bid/ask ladder.

Start backtesting Polymarket on real depth.

Free to start, no card. Upgrade when your strategy is ready for the full book.

Start free