Polymarket Clob Microstructure

CLOB Microstructure 扫描器

Structural alpha from Polymarket order book analysis. Nobody else on Simmer does this.

What It Does

Pulls raw order book data from Polymarket's CLOB API and scores each market on four microstructure dimensions:

Dimension What It Measures Liquidity Gaps Thin zones in the book where price can jump Order Book Imbalance Bid vs ask weight asymmetry Whale Activity Large single orders relative to book depth Fake Breakout 检测ion Sudden moves on thin volume that revert

Each dimension scores 0-25, combined into a 0-100 inefficiency score.

签名als ENTRY_OK — Normal conditions, standard sizing REDUCE_SIZE — Elevated microstructure risk, cut position size SKIP — Too dangerous, stay out MEAN_REVERT — Fake breakout 检测ed, fade the move

The 机器人 only trades on MEAN_REVERT 签名als, fading fake breakouts via Simmer命令行工具ent.

Configuration 运行s every 5 minutes via cron Defaults to dry-运行; pass --live for real execution Requires SIMMER_API_KEY 环境 variable Usage # Dry 运行 (default) python clob_microstructure.py

# Live trading python clob_microstructure.py --live

# Quiet mode for cron python clob_microstructure.py --live --quiet

🧪 Remixable Template — Fork this 技能 and tweak the scoring weights, 签名al thresholds, or 添加 your own microstructure indicators. The modular scoring 系统 makes it easy to extend.