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:

```text
/home/Data_Collection_v2/data/pmdata
```

Current downloaded series:

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

Current downloaded ranges:

```text
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:

```text
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:

```text
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.