BTC · Level 2 · Free Dataset

ORDERBOOK
DEPTH DATA

Full bid/ask depth snapshots from Polymarket's BTC prediction markets.
5-minute intervals. JSONL format. Free.

48+
Orderbook Files
BTC
Asset
5 Min
Interval
JSONL
Format
Browse Orderbook FilesView All Data

What Is Orderbook Data?

Unlike the Up/Down price summary data, the orderbook dataset captures the full depth of the market — every bid and ask level, with size, at each snapshot. This is Level 2 (L2) market data: you see not just where the market traded, but the full queue of orders waiting to be filled.

Snapshots are taken every 5 minutes from Polymarket's BTC Up/Down prediction markets. Each JSONL file contains the complete bid/ask depth at every timestamp during a single prediction round.

Why Orderbook Data?

  • ▸Market microstructure: Study how liquidity pools and drains around key probability levels in a prediction market.
  • ▸Spread analysis: Measure bid-ask spread over time — tighter spreads mean more confidence; wider spreads signal uncertainty.
  • ▸Order flow imbalance: Detect directional pressure before it moves the mid-price.
  • ▸Arbitrage research: Identify when orderbook depth creates exploitable mispricings between prediction and spot markets.

Data Format (JSONL)

Each file is JSONL (newline-delimited JSON). One JSON object per snapshot row:

{"timestamp":1739404500,"bids":[{"price":0.521,"size":350},{"price":0.518,"size":210},{"price":0.515,"size":180}],"asks":[{"price":0.524,"size":290},{"price":0.527,"size":160},{"price":0.531,"size":120}]}
{"timestamp":1739404800,"bids":[{"price":0.534,"size":420},{"price":0.531,"size":195},{"price":0.528,"size":150}],"asks":[{"price":0.537,"size":310},{"price":0.540,"size":175},{"price":0.543,"size":100}]}
timestamp
Unix timestamp (seconds UTC)
bids[].price
Bid price level (0–1 implied prob)
bids[].size
USDC size available at this bid
asks[].price
Ask price level (0–1 implied prob)
asks[].size
USDC size available at this ask

Orderbook Data vs Price Summary Data

Orderbook (JSONL)Price Summary (CSV)
FormatJSONLCSV
ContentFull bid/ask depth per snapshotMid-price, remaining time
File sizeLarger (~10–50 KB/file)Smaller (~3–8 KB/file)
Best forMicrostructure, spread, flowSentiment, ML training, backtesting
AssetsBTC onlyBTC + ETH

Research Use Cases

Market Making Strategy Backtesting

Simulate market-making in a prediction market using historical orderbook snapshots. Measure P&L, inventory risk, and fill rates against real historical depth.

Liquidity Analysis

Track how total liquidity in BTC prediction markets changes over the lifecycle of a round — typically thin early, thickening as the resolution approaches.

Price Impact Modeling

Estimate price impact of hypothetical trades at each snapshot using the recorded order queue. Build a price impact model for prediction market execution.

Event-Driven Research

Overlay BTC news events (Fed announcements, ETF flows) against orderbook depth changes to study how information hits prediction market liquidity.

FAQ

Is orderbook data available for ETH?
Currently only BTC orderbook data is collected. ETH may be added in the future.
How many levels of depth are recorded?
All visible bid and ask levels from the Polymarket API at each snapshot — typically 3–10 levels per side.
Can I use orderbook data alongside the price summary data?
Yes. Both datasets use the same Unix timestamp and match to the same prediction rounds, so they can be merged on timestamp.
How do I parse JSONL in Python?
Use: `import json; rows = [json.loads(line) for line in open("file.jsonl")]`. Each row is a dict with keys: timestamp, bids, asks.

Explore Orderbook Files

Switch to the BTC Beta tab to browse and preview orderbook snapshots.

Open Orderbook Explorer