docs/source_two_pmdata.md

Source Two: PMData Archive

Prepared: 2026-07-03 UTC

Purpose

PMData is the preferred source for the new execution-quality backtesting path because it provides daily ZIP archives of Polymarket market data with sub-second L2 event rows and trade-related events. It is the right primary input for the planned YES/NO ladder adapter and fill simulator.

Current local root:

/home/Data_Collection_v2/data/pmdata

Current downloaded series:

data/pmdata/btc-5m/YYYY-MM-DD/

Current downloaded ranges:

2026-02-14 through 2026-06-30, with whole-day gaps documented from 2026-02-15 through 2026-07-03

Data Types Downloaded

poly_l2

This is the main backtesting source.

Observed properties:

• Daily ZIP archive by series/date.
• One parquet file per five-minute market when present.
• Event-level rows with book updates and trade-price events.
• Millisecond timestamps and local receive timestamps.
• Columns observed in the sample include market slug, event type, timestamps, book levels, best bid/ask, trade price/size/side, mirror fields, and winning outcome fields.

Use poly_l2 for:

• Sub-second book replay.
• YES/NO ladder reconstruction.
• Maker queue and adverse-selection simulation.
• Strict taker VWAP walks against displayed depth.
• Markout and latency tests.
• Strategy backtests where fill quality matters.

polygon_trades

This is an audit/reconciliation source, not the primary L2 replay source.

Use polygon_trades for:

• On-chain or wallet-level reconciliation.
• Activity sanity checks.
• Cross-checking market participation and realized trade activity.
• Investigating settlement and account behavior.

Do not use polygon_trades alone to simulate queue-aware maker fills. It does not replace the L2 book event stream.

Current Downloads

Current local catalog:

• Series: btc-5m
• Data types: poly_l2, polygon_trades
• Catalog range: 2026-02-14 through 2026-06-30
• Covered PMData dates: 135
• ZIP files: 270
• ZIP bytes: 60,511,509,311
• Audited rows: 5,512,940,370
• Whole-day gaps in the 2026-02-15..2026-07-03 operating scope: 2026-03-31, 2026-05-01, 2026-07-01, 2026-07-02, 2026-07-03

All cataloged daily ZIP files exist and pass ZIP integrity checks.

Detailed reports:

reports/pmdata_btc_5m_coverage_20260215_20260703.md
reports/pmdata_btc_5m_20260214_20260531_staggered_download.md
reports/pmdata_btc_5m_20260301_20260315_gap_fill.md
reports/pmdata_btc_5m_20260401_20260516_gap_fill.md
reports/pmdata_btc_5m_20260316_20260330.md
reports/pmdata_btc_5m_20260601_20260630.md

Known Data Quality Caveats

Some source archives are short: the daily ZIP is valid, but one or more expected five-minute parquet files are absent from the PMData archive. These are tracked as 25 date/type short archive groups in the current catalog.

Use the generated missing-window catalog for exact five-minute gaps before running PMData-only execution tests. Do not forward-fill through these gaps for fill-quality tests.

The generated missing-window list is maintained in:

catalog/pmdata_missing_windows.csv

Strengths

PMData is strong for execution simulation:

• Sub-second event density.
• Daily archive structure.
• Parquet format suitable for fast selective reads.
• Includes book and last-trade-price events in one clock.
• Local receive timestamps allow latency assumptions to be tested.
• Better fit for queue-aware maker/taker simulation than 1 Hz reconstructed frames.

Limitations

PMData still needs an adapter before it becomes the backtester input:

• The strategy wants explicit YES and NO ladders; PMData needs normalization into that internal representation.
• Full-depth behavior must be validated across complete days, not only one sample window.
• Missing archive windows must be part of the run mask.
• It does not directly replace DOME labels, Chainlink/Binance joins, and older reconstructed-frame tooling.
• Redistribution should remain private/internal unless the data provider terms explicitly permit public release.

Strategy Role

Use PMData as the primary source for:

• data/subsecond.py
• fill simulation
• latency and markout analysis
• queue/hazard calibration
• production-grade backtest campaigns

Keep DOME as:

• baseline
• independent audit
• fallback for known gaps
• compatibility source for old loaders and labels

Final rule: PMData is the best execution source, but it is not a blind drop-in until the YES/NO ladder adapter and daily full-depth validation pass.