| --- |
| license: cc-by-4.0 |
| language: |
| - en |
| tags: |
| - finance |
| - prediction-markets |
| - microstructure |
| - polymarket |
| - order-book |
| - adverse-selection |
| pretty_name: Polymarket Crypto Up/Down Microstructure (5m/15m) |
| size_categories: |
| - 1M<n<10M |
| configs: |
| - config_name: slots |
| data_files: parquet/slots.parquet |
| - config_name: book_snapshots |
| data_files: parquet/book_snapshots.parquet |
| - config_name: pm_trades |
| data_files: parquet/pm_trades.parquet |
| --- |
| |
| > **Format.** Three tables are published as **parquet** (under `parquet/`) for |
| > the Hub viewer and pandas/polars/`datasets` users — pick a table from the |
| > config dropdown above. The |
| > [`honest-backtest`](https://github.com/JohanAlvarado/honest-backtest) loader |
| > reads this `parquet/` directory directly via its parquet adapter |
| > (`adapters.parquet_pm.load_corpus`) for one-command reproduction of the |
| > paper's results — see **Reproduce the headline result** below. |
|
|
|
|
| # Dataset card — Polymarket crypto up/down microstructure (5m/15m) |
|
|
| Six weeks of real order-book microstructure, trade tape, and oracle-settled |
| resolutions for Polymarket's BTC/ETH/SOL/XRP **"Up or Down"** binary markets |
| (5-minute and 15-minute slots). Captured live, May 27 → Jun 24 2026. |
|
|
| Built following *Datasheets for Datasets* (Gebru et al.). |
|
|
| ## Motivation |
|
|
| Why does retail lose the near-close crypto up/down game even when their signal |
| "predicts"? The honest answer needs real microstructure: the book you saw, the |
| trades that actually printed, and the ground-truth outcome — at sub-second |
| resolution near the close. This dataset is that substrate, released so the |
| [`honest-backtest`](https://github.com/JohanAlvarado/honest-backtest) results |
| are reproducible and so others can study adverse selection on a real venue. |
|
|
| ## Composition |
|
|
| Three parquet tables; the schema is exactly what the `honest_backtest` |
| parquet adapter reads: |
|
|
| | table | one row per | key fields | |
| |---|---|---| |
| | `slots` | market (a single up/down slot) | `condition_id`, `coin`, `duration`, `open_ts`, `close_ts`, `strike`, `spot_at_open/close`, `yes_token_id`, `no_token_id`, **`resolved_side`**, `fee_rate` | |
| | `book_snapshots` | top-of-book sample (~30s steady, ~1Hz near close) | `ts_ms`, `secs_to_close`, `yes/no` best `bid/ask` + sizes, top-5 `ladder` strings, `spot`, `ds_spot` | |
| | `pm_trades` | a real trade print | `ts_ms`, `token_id`, `price`, `size`, `taker_buy` (1=buy/0=sell) | |
| |
| `condition_id`/`token_id`/`slug` are Polymarket-public market identifiers; they |
| map to real, already-closed markets. There is **no account, wallet, order, or |
| trade-of-ours information** of any kind (see Anonymization). |
| |
| ## Collection process |
| |
| A single always-on recorder subscribed to Polymarket's CLOB market WebSocket |
| (book + trades) and an independent spot/oracle feed. `book_snapshots` sampled |
| top-of-book on a cadence that tightens to ~1Hz inside the final ~5s of each |
| slot. `pm_trades` is the raw public trade tape. |
| |
| **Ground-truth resolution** (`slots.resolved_side`) comes ONLY from Polymarket's |
| gamma `outcomePrices` (the authoritative settlement oracle), backfilled by a |
| 15-minute cron — **never** inferred from spot. A YES token pays $1 iff |
| `resolved_side='Yes'`; a NO token pays $1 iff `'No'`. |
|
|
| ## Anonymization |
|
|
| The export whitelists three market-observation tables and a fixed column list. |
| Everything tied to the operator was excluded by construction: our orders, fills, |
| positions, round-trips, redemptions, on-chain tx hashes, strategy labels, and |
| maker/shadow decision logs. The exporter asserts: the output contains exactly |
| `{slots, book_snapshots, pm_trades}`, no column name matching |
| order/tx/wallet/strategy/pnl, and no wallet/tx-hash-shaped string in text fields. |
|
|
| ## Known caveats (read before modeling) |
|
|
| - **Crossed / phantom book (~98% of raw deltas; visible in snapshots too).** |
| Displayed ladders are frequently crossed (yes_ask + no_ask ≠ 1; sums < 1 seen |
| routinely). The *inside* market must be anchored on `pm_trades` (real |
| executions), not taken at face value from the book. This is the central data- |
| quality fact — a naive "buy at displayed ask" backtest is fiction. |
| - **Stale levels rarely removed.** Old ladder levels persist; depth grows over a |
| slot's life. Filter to recent/large sizes or anchor on the trade tape. |
| - **Window starts May 27 deliberately.** An earlier capture era (May 11–23) had |
| ~39% of *tight-market* `resolved_side` corrupted by a spot-based inference bug, |
| fixed by moving to gamma-only resolution. That era is **excluded** here. |
| - **`spot` is a Binance-frame consensus**, ~10bp off the data_streams oracle |
| Polymarket settles on. For cross-probability features, use spot *moves* vs |
| `spot_at_open`, not absolute spot-vs-strike. Grading uses `resolved_side` |
| regardless, so outcomes are unaffected. |
| - Order-side data is intentionally absent (only the public trade tape is here); |
| the order-rejection / fill-selection asymmetry is studied in the paper via the |
| operator's private ledger, not in this public release. |
|
|
| ## Recommended uses |
|
|
| Microstructure research; adverse-selection and execution-quality studies; |
| realistic backtesting with [`honest-backtest`](https://github.com/JohanAlvarado/honest-backtest); |
| calibration of fair-value models for short-horizon binary markets. **Not** a |
| source of a profitable trading signal — the accompanying paper shows realizable |
| edge is ~0 on this venue by construction. |
|
|
| ## Reproduce the headline result |
|
|
| ```bash |
| pip install "honest-backtest[parquet]" # numpy core + pandas/pyarrow for parquet |
| |
| # fetch the parquet tables from this dataset |
| huggingface-cli download kinzikdza/polymarket-updown-microstructure \ |
| --repo-type dataset --local-dir pm_data |
| |
| # run the calibration anchor against the parquet/ directory |
| python -m honest_backtest.examples.no_overpriced pm_data/parquet |
| # expect headline edge_real ~ 0 / negative (live anchor was -0.004) |
| ``` |
|
|
| ## License |
|
|
| CC BY 4.0. Polymarket market identifiers are public; this release adds no |
| proprietary or personal data. |
|
|
