完整的买卖盘订单簿深度
买卖双方的每一个价格档位及其挂单量，在每一次变动时全部记录。衡量真实的滑点与流动性，而非单一中间价。
只有基于真实深度，回测才诚实。 中间价掩盖了价差、每个档位上挂着的挂单量，以及你的订单实际要付出的滑点。DepthFeed 完整保留整个订单簿。
450M
order books captured
Polymarket, since January 2026
380K+
markets
distinct up/down crypto markets
7
assets
BTC · ETH · SOL · XRP · DOGE · BNB · HYPE
Full
book depth
every level, both sides
Backtest Lab
+
You should not need a data pipeline and a research notebook to find out whether an idea has an edge. The Backtest Lab runs the whole test in the browser, against the real recorded book.
Paper trading
+
A backtest is a claim about the past. Paper trading is where that claim meets markets that haven't happened yet — with virtual cash, real prices, and a track record you can't fake.
Most feeds stop at the last price.
A single number — the last trade or the mid. It tells you nothing about the size waiting to fill, or how far the price moves when you take it.
We capture every level, both sides.
The full bid/ask ladder with the size resting at each price — best quote through the deep book, asks above the spread and bids below it.
Recorded at every change, forever.
Order-book depth is forward-only — miss it live and it's gone. We store every frame, so a backtest fills against the liquidity that was really there.
01你能获得什么
是整本订单簿，而不只是最新价。
sub-sec
事件驱动的采集节奏
在每一次订单簿与价格变动事件上记录，而非抽样采样。短期到期市场依然可回测。
简洁的 REST API
通过 REST 获取最新与历史订单簿快照——JSON 格式、epoch-millis 时间戳、keyset 分页。
标的价格，时间同步
一条高频参考价格序列——Binance 现货/期货加上 Chainlink 结算标记——可按 epoch-millis 时间戳关联到任意 Polymarket 快照，让你将订单簿状态与驱动它的现货走势精准对齐。
02数据
Polymarket 与 Kalshi 的订单簿与价格数据。
如此精细的深度数据记录成本高昂、且无法事后回补，因此几乎无人保存。我们做到了——覆盖 Polymarket、Kalshi 与 Limitless 的完整订单簿与价格数据，买卖双方的每一个档位，逐笔（tick by tick）采集，并通过计量计费的 API 干净地提供。
每一档，双边都有
不是最新成交，也不是盘口顶部——而是完整的买卖盘阶梯，每个档位上挂着多少量，每次变动都记录。这才是真实订单实际成交所对的深度。
三个场馆，一套结构
Polymarket、Kalshi 与 Limitless 统一为一套稳定的 JSON 结构——Polymarket 与 Limitless 采用事件驱动采集，Kalshi 采用持续全深度轮询，每条都关联到一条高频标的价格。
无法回补的历史
订单簿深度只能向前采集——实时错过就永远消失。我们自 early 2026 起持续记录，因此你的套餐所购买的时间窗背后是已存储的数据，而非一句承诺。
03我们如何采集
真实的 Polymarket 深度，实测得出——而非宣传册上的数字。
DepthFeed 是一个独立项目（与各场馆 not affiliated），其存在的意义就是记录几乎无人保存的 Polymarket 订单簿。下方每一项数字都直接来自我们自己的实时采集实测，因此你可以基于真实流动性回测，并基于同一份数据交易。
450M
order books captured
since January 2026
380K+
distinct markets
up/down crypto markets
0.01
typical spread
BTC 5-minute markets, at the tick
7
assets
BTC · ETH · SOL · XRP · DOGE · BNB · HYPE
直接实测自 DepthFeed 的实时采集，June 21, 2026。
一份真实采集的快照
采集方式
- Captured event-driven from the Polymarket CLOB websocket — every book and price-change event, the full bid/ask ladder.
- Each snapshot is joined to a high-frequency Binance reference price by epoch-millis timestamp.
- Forward-only: order-book depth can't be backfilled, so we record it continuously and store every frame.
04覆盖范围
Polymarket 覆盖范围，随需求增长。
我们采集对短期到期市场真正重要的数据：交易者实际使用的资产与时间窗上的完整订单簿。
资产
BTCETHSOLXRPDOGEBNBHYPE
市场时间窗
5m15m1h4h24h
05快速上手
从密钥到回测，只需几分钟。
调用 REST API 发现实时市场并拉取完整的历史订单簿。干净的 JSON、epoch-millis 时间戳、keyset 分页——无需爬取。
- 稳定的 JSON 结构
- 交易所时间戳 + 接收时间戳
- Keyset 分页，按套餐限额
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":[{"market_id":"…","slug":"btc-updown-5m-1780824900",
# "market_type":"5m","clob_token_up":"0x…"}], …}
# 2 · Pull the full book to backtest — historical snapshots over REST
$ curl -s "https://api.depthfeed.com/v3/btc/markets/<market_id>/snapshots?include_orderbook=true" \
-H "Authorization: Bearer $DEPTHFEED_KEY"
# {"data":[{"time":"…","price_up":0.62,
# "orderbook_up":{"bids":[[0.61,120],…],"asks":[[0.63,80],…]}}], …}为什么 Polymarket 盘口数据值得你下载
深度盘口,而不只是最后成交价
每一条快照都带有完整的买卖(bid/ask)价格与挂单量数组,而非单一的最后成交价。二元结果按 0 到 1 定价,且 Down = 1 − Up,你能据此还原出涨方与跌方在每个时点的真实盘口分布,做滑点、深度和价差研究,而不是只看一根收盘价曲线。
事件驱动的毫秒级捕获精度
数据直接来自 Polymarket CLOB 的 WebSocket,按事件驱动捕获,实时分发中位延迟约 10 毫秒(实测)。覆盖 5 分钟、15 分钟、1 小时、4 小时、24 小时五种窗口,涵盖 BTC、ETH、SOL、XRP、DOGE、BNB、HYPE 共 7 个标的,自 2026 年 1 月起为密集历史。
历史与实时,一套代码通吃
REST(Bearer 密钥、keyset 分页)拉取历史,WebSocket(wss://api.depthfeed.com/v3/stream)接入实时,两端输出完全一致的 JSON 快照对象。每条都含交易所与接收双时间戳(epoch 毫秒)以及 ASOF 对齐的 Binance 现货/期货参考价。回测的代码,原封不动就能跑实盘。
06定价
套餐简单。无需信用卡即可开始。
Explorer
$0free, no card
Kick the tires on real depth data.
- 7-day rolling history
- Read-only API, 1 req/sec
- Sub-second event-driven snapshots
- BTC markets (latest, capped)
- Live WebSocket stream: 1 BTC subscription
- Backtest Lab + 1 paper-trading strategy
Quant
Most popular$29per month
For traders building a real track record.
- 30-day rolling history, all assets
- Polymarket + Kalshi order-book depth
- Full bid/ask book depth
- Any interval: 1m, 5m, 1h… or raw ticks
- API 25 req/sec, 1,000 req/min
- Underlying price stamped per snapshot
- Live WebSocket stream: 5 subscriptions, 1 connection, every venue
- Backtest Lab + 5 paper-trading strategies (webhook signals)
Desk Lite
$79per month
3× the history, 2× the throughput of Quant.
- 90-day rolling history (3× Quant)
- API 50 req/sec, 3,000 req/min
- Everything in Quant
- Polymarket + Kalshi, full book depth
- Live WebSocket stream: 25 subscriptions, every venue, 2 connections
- 15 paper-trading strategies
Desk
$200per month
Dedicated capacity for systematic desks.
- Full historical archive — our deepest window
- Realtime sports data included — live Polymarket & Kalshi books, sportsbook odds, scores & injuries
- Dedicated capacity, 100 req/sec
- 6,000 req/min sustained
- Everything in Desk Lite
- Priority backfill requests
- Live WebSocket stream: 100 subscriptions, 5 connections, venue-wide wildcards
- 40 paper-trading strategies
你的疑问，已解答。
不能。Polymarket 不对外提供自己的历史订单簿。DepthFeed 是独立研究项目,从 Polymarket CLOB 的 WebSocket 按事件驱动捕获并存档,目前已累计 5.66 亿条订单簿快照、覆盖 38 万+个不同的加密市场,自 2026 年 1 月起为密集历史。
继续阅读