API Cross-Venue Data Merging Guide for Polymarket and Binance
Merge Polymarket order book snapshots with Binance spot and futures depth for timestamp-aligned BTC strategy research.
API cross-venue data merging is the process of aligning prediction-market order books with exchange-market depth. For BTC research, that usually means Polymarket UP/DOWN books plus Binance BTC/USDT spot and futures depth.
Merge Keys
- Timestamp or nearest snapshot time
- Underlying asset, such as BTC
- Market interval, such as 5m or 15m
- Venue type, such as Polymarket, Binance Spot, or Binance Futures
Common Pitfalls
- Mixing exchange timestamps and ingestion timestamps without labeling them.
- Joining on candles instead of order book snapshots.
- Ignoring missing snapshots during volatile periods.
- Assuming spot and futures books always move together.