Datasets:

gude
/

polymarket-wallet-activity

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:

2026-03-16 through 2026-03-30
2026-06-01 through 2026-06-30

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

The March test block downloaded:

Series: btc-5m
Dates: 2026-03-16 through 2026-03-30
Data types: poly_l2, polygon_trades
Local disk usage: about 6.3G
poly_l2 rows: 479,568,786
polygon_trades rows: 60,718,994
All 30 expected ZIPs exist.
All ZIP integrity checks pass.

Detailed reports:

reports/pmdata_btc_5m_20260316_20260330.md
reports/pmdata_btc_5m_20260316_20260330_audit.json
reports/pmdata_btc_5m_20260316_20260330_download_manifest.json

The June full-month block downloaded:

Series: btc-5m
Dates: 2026-06-01 through 2026-06-30
Data types: poly_l2, polygon_trades
Local disk usage for data/pmdata/btc-5m: about 22G including March and June
ZIP bytes: 16,828,236,641
poly_l2 rows: 1,534,252,982
polygon_trades rows: 70,121,307
All 60 expected ZIPs exist.
All ZIP integrity checks pass.

Detailed reports:

reports/pmdata_btc_5m_20260601_20260630.md
reports/pmdata_btc_5m_20260601_20260630_audit.json
reports/pmdata_btc_5m_20260601_20260615_download_manifest.json
reports/pmdata_btc_5m_20260616_20260630_download_manifest.json

Known Data Quality Caveats

The March block has two short archives after retry:

2026-03-20 polygon_trades: missing 3 five-minute files from 01:45-02:00 UTC.
2026-03-23 poly_l2: missing 98 five-minute files across 02:20-11:50 UTC blocks.

The March 23 L2 gap matters for execution backtesting. Those windows must be excluded, patched from DOME, or explicitly labeled as fallback windows. Do not forward-fill through these gaps for fill-quality tests.

The June block has 12 short archives after retry:

poly_l2: 2026-06-06, 2026-06-17, 2026-06-20
polygon_trades: 2026-06-03, 2026-06-06, 2026-06-10, 2026-06-11, 2026-06-12, 2026-06-17, 2026-06-19, 2026-06-20, 2026-06-22

Use the generated missing-window catalog for exact five-minute gaps before running PMData-only execution 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.