Order Book

Understanding L2 orderbook data on Polymarket.

What is an order book?

An order book is a list of all open buy (bid) and sell (ask) orders for a particular asset, sorted by price. Polymarket uses a Central Limit Order Book (CLOB) where market makers post limit orders and takers fill them.

Each market in Polymarket has two sides:

• YES outcome
• NO outcome

Each side has its own order book.

L1 vs L2 vs L3

Level	What’s included	Use case
L1	Best bid + best ask only	Display the current price
L2	All price levels with aggregated size	Backtesting, depth analysis
L3	Every individual order with order ID	Market microstructure research

PolyData provides L2 data — the same depth view you see on Polymarket’s website, but historical and queryable.

Example

{
  "market": "0xa0f4c4924ea1a8b410b4ce821c2a9955fad21a1b19bdcfde90816732278b3dd5",
  "asset_id": "13915689317269078219168496739008737517740566192006337297676041270492637394586",
  "timestamp": 1776241000000,
  "best_bid": 0.019,
  "best_ask": 0.020,
  "bids": [
    { "price": 0.019, "size": 145.5 },
    { "price": 0.018, "size": 200 },
    { "price": 0.017, "size": 350 }
  ],
  "asks": [
    { "price": 0.020, "size": 80 },
    { "price": 0.021, "size": 120 },
    { "price": 0.022, "size": 500 }
  ]
}

• best_bid = highest price someone is willing to buy at
• best_ask = lowest price someone is willing to sell at
• bids[] = sorted descending (highest first)
• asks[] = sorted ascending (lowest first)
• (best_ask - best_bid) = spread
• (best_bid + best_ask) / 2 = midpoint

Reconstructing historical state

PolyData stores two types of records:

1. Snapshots (book events) — Full orderbook at a moment in time
2. Changes (price_change events) — Incremental updates to specific price levels

To get the orderbook at any timestamp, we find the latest snapshot ≤ that timestamp. For maximum precision, you can apply subsequent price_change events on top.

The /v1/orderbook?timestamp=... endpoint handles this automatically — you just specify a timestamp and get back the full reconstructed book.

Tick size and price grid

Polymarket prices are in the range [0, 1] (probability of YES outcome). Tick sizes are typically:

• 0.001 (1/10 of a cent)
• 0.01 (1 cent) — for less liquid markets

Be aware that tick size can change during a market’s lifetime when prices approach 0 or 1.

See also

• API Reference: Order Book
• Slippage Simulation Guide