Polymarket order book data

Polymarket Order Book Data

The mid-price hides the spread and the size resting at each level. DepthFeed captures Polymarket's full order book — the full bid/ask ladder on both sides at each stored observation — so you can measure the slippage a real order would have paid and the liquidity that was genuinely there.

Calculate slippage Get API access

Polymarket order book data is the Level-2 view of the market: resting bid and ask prices with their displayed sizes. DepthFeed records event-driven capture straight from the Polymarket CLOB websocket and serves the full ladder at each stored observation, allowing a backtest to walk recorded depth instead of assuming unlimited midpoint liquidity.

Polymarket order book data at a glance

Capture: Event-driven CLOB websocket
Persistence: Raw CLOB deltas + normalized book observations
Depth: Full bid/ask ladder, both sides
Market windows: 5m · 15m · 1h · 4h · 24h
Assets: 7 — BTC · ETH · SOL · XRP · DOGE · BNB · HYPE
Timestamps: Millisecond observation time; venue-specific source stamps
Underlying price: Nearest preceding Binance reference when available
History: 7/30/90-day windows + full archive (Desk)
Delivery: REST history + normalized live WebSocket frames
Resolution: Raw stored observations or ?interval= 1s–1d

Request a recorded full-depth Polymarket book

Start with discovery so the market identifier and metadata remain attached to the request. The snapshot route returns recorded observations; include_orderbook exposes the stored ladder and interval selects one recorded row per bucket.

Copyable requestshell

curl -s "https://api.depthfeed.com/v3/btc/markets?limit=5" \
  -H "Authorization: Bearer df_your_key"

curl -s "https://api.depthfeed.com/v3/btc/markets/<market_id>/snapshots?include_orderbook=true&interval=1m" \
  -H "Authorization: Bearer df_your_key"

Omit interval for raw stored resolution; downsampling selects a recorded observation and does not interpolate a missing book.
Follow the response cursor for the next page instead of constructing offset pagination.

Why full depth matters

Both sides, every level

Top-of-book or a single mid tells you almost nothing about execution. DepthFeed serves the full bid/ask ladder on both sides at each stored observation for polymarket, with bid/ask price and size arrays on each snapshot — the columns you actually reconstruct a book from. That is what lets you compute spread, queue position, and the slippage of a real-sized order.

Cadence is stated, not implied

A stored order book cannot describe activity between its observations. DepthFeed records full-book seeds plus CLOB price-change deltas; normalized book observations are stored at the configured persistence cadence; the API returns the timestamps actually present and never interpolates a missing book state.

Align the recorded book and reference series

API responses include a millisecond observation time and ASOF-align the nearest preceding Binance reference price when available. That supports timestamped research without claiming an exchange timestamp or reference value that the source did not provide.

Test the ladder at your intended order size

Use a recorded bid/ask ladder to calculate spread, VWAP, filled size and unfilled remainder before assuming midpoint execution.