Market Microstructure Analytics

Order book depth, spreads, and liquidity scores for top Polymarket markets

Hourly snapshots of order book microstructure for the top 100 active Polymarket markets. Includes bid/ask depth within 10% of midpoint, spread tracking, and a composite liquidity score. Identify thin markets, detect liquidity shifts, and optimize execution timing.

x402 API — $0.003-$0.005/query Snowflake — $0.0045-$0.0075/query Databricks — $0.0036-$0.006/query

How customers use this

Thin market liquidity provision

Find markets with wide spreads where you can profitably provide liquidity. Thin books mean your orders get filled at favorable prices, and you earn the spread that others are leaving on the table.

Slippage estimation before large orders

Check book depth before placing a large order to estimate execution cost. Know exactly how much your order will move the price so you can split it across time or accept the slippage upfront.

Market manipulation detection

Spot sudden liquidity withdrawal that precedes large price moves. When resting orders disappear from the book right before a big trade, it often signals coordinated manipulation or informed trading.

Sample data

Example responses from the API. Each query returns structured JSON.

GET /api/v1/pm/micro/abc123

{
  "market_id": "abc123",
  "question": "Will BTC exceed $150k by March 2026?",
  "best_bid": 0.62,
  "best_ask": 0.65,
  "spread": 0.03,
  "depth_bid_usd": 142000,
  "depth_ask_usd": 98000,
  "updated_at": "2025-12-01T14:30:00Z"
}

GET /api/v1/pm/micro/thin?threshold=50

{
  "thin_markets": [
    { "market_id": "xyz789", "question": "Will ETH flip BTC by 2026?", "spread": 0.14, "total_depth_usd": 8200, "volume_24h_usd": 1200 },
    { "market_id": "mno456", "question": "US recession in 2026?", "spread": 0.09, "total_depth_usd": 23400, "volume_24h_usd": 4100 }
  ],
  "total_thin_markets": 187
}

GET /api/v1/pm/micro/stats

{
  "markets_tracked": 4821,
  "avg_spread": 0.047,
  "median_depth_usd": 34200,
  "thin_book_pct": 38.8,
  "last_updated": "2025-12-01T14:30:00Z"
}

Use cases

✓ Identify illiquid markets with wide spreads
✓ Optimize trade execution and minimize slippage
✓ Detect liquidity withdrawals before major events
✓ Build market-making strategies on Polymarket
✓ Screen for markets with sufficient depth

Response fields

Field	Type	Description
market_id	string	Polymarket condition ID
token_id	string	CLOB token ID for the outcome
question	string	Market question text
midpoint	number	Current midpoint price (0-1)
spread	number	Current bid-ask spread
bid_depth_10pct	number	Total bid size within 10% of midpoint
ask_depth_10pct	number	Total ask size within 10% of midpoint
liquidity_score	number	Composite liquidity score (higher = more liquid)

Example queries