--- 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 **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.