Execution Price (Slippage)

Compute realistic fill price by walking historical orderbook depth.

GET /v1/execution-price

Execution Price (Slippage)

cURL

curl --request GET \
  --url https://api.polydata.live/v1/execution-price

200

{
  "data.requested_amount": 123,
  "data.filled_amount": 123,
  "data.average_price": 123,
  "data.best_price": 123,
  "data.slippage": 123,
  "data.slippage_bps": 123,
  "data.fully_filled": true,
  "data.fills": [
    {}
  ]
}

Returns the volume-weighted average price (VWAP) for a hypothetical order at a historical moment. Walks the full orderbook, level by level, until the order is filled.

Query Parameters

asset_id · string · required

Outcome token ID

side · string · required

BUY (eats asks) or SELL (eats bids)

amount · number · required

Order size to simulate

timestamp · number · required

Simulate at this time (Unix ms)

Response

data.requested_amount · number

Original order size

data.filled_amount · number

Actually filled (may be less if liquidity ran out)

data.average_price · number

VWAP across all fills

data.best_price · number

Best price (top of book)

data.slippage · number

average_price - best_price

data.slippage_bps · number

Slippage in basis points

data.fully_filled · boolean

Whether the entire order was filled

data.fills · array

First 10 levels: {price, size}

Example

curl "https://api.polydata.live/v1/execution-price?asset_id=xxx&side=BUY&amount=1000&timestamp=1776241000000" \
  -H "Authorization: Bearer pd_live_xxxxx"

{
  "success": true,
  "data": {
    "side": "BUY",
    "requested_amount": 1000,
    "filled_amount": 1000,
    "average_price": 0.5034,
    "best_price": 0.5000,
    "slippage": 0.0034,
    "slippage_bps": 68.0,
    "fully_filled": true,
    "fills": [
      { "price": 0.500, "size": 200 },
      { "price": 0.502, "size": 350 },
      { "price": 0.505, "size": 450 }
    ]
  }
}

See the Slippage Simulation Guide for practical use cases.