Expiry Day Prediction Market Data
Analyze prediction market expiry-day data with order book depth, final-window spreads, liquidity decay, and settlement-aware replay.
Expiry day prediction market data is where many strategies either prove themselves or fall apart. As a market approaches settlement, spreads can widen, liquidity can disappear, and prices can converge quickly toward the final outcome.
What to Measure Near Expiry
- Spread width by minutes remaining.
- Depth at the best bid and ask for both tokens.
- Probability drift versus reference price movement.
- Trade size, partial fills, and final settlement PnL.
Why Historical Depth Matters
Expiry behavior cannot be reconstructed from final prices alone. You need the historical book to know whether an exit was available, whether the strategy crossed a wide spread, and whether the market had enough size to support the simulated position.