Polymarket Clob Microstructure

Analyzes Polymarket CLOB order books to score liquidity gaps, order imbalance, whale activity, and fake breakouts, generating trading signals and fading fake...

CLOB Microstructure Scanner

Structural alpha from Polymarket order book analysis. Nobody else on Simmer does this.

What It Does

Pulls raw order book data from Polymarket's CLOB API and scores each market on four microstructure dimensions:

Dimension	What It Measures
Liquidity Gaps	Thin zones in the book where price can jump
Order Book Imbalance	Bid vs ask weight asymmetry
Whale Activity	Large single orders relative to book depth
Fake Breakout Detection	Sudden moves on thin volume that revert

Each dimension scores 0-25, combined into a 0-100 inefficiency score.

Signals

• ENTRY_OK — Normal conditions, standard sizing
• REDUCE_SIZE — Elevated microstructure risk, cut position size
• SKIP — Too dangerous, stay out
• MEAN_REVERT — Fake breakout detected, fade the move

The bot only trades on MEAN_REVERT signals, fading fake breakouts via SimmerClient.

Configuration

• Runs every 5 minutes via cron
• Defaults to dry-run; pass --live for real execution
• Requires SIMMER_API_KEY environment variable

Usage

# Dry run (default)
python clob_microstructure.py

# Live trading
python clob_microstructure.py --live

# Quiet mode for cron
python clob_microstructure.py --live --quiet

🧪 Remixable Template — Fork this skill and tweak the scoring weights, signal thresholds, or add your own microstructure indicators. The modular scoring system makes it easy to extend.