Polymarket Order Book Depth API: Full Bid/Ask Levels
Fetch Polymarket order book depth through an API built for historical analysis, with full bid/ask levels, 300ms snapshots, and realistic slippage modeling.
The Polymarket order book depth API from PolyHistorical exposes historical bid and ask levels so developers can measure liquidity and simulate execution. Depth matters whenever your order size is larger than the best available quote.
What Order Book Depth Means
Depth is the available size at each price level. In a prediction market, the difference between buying 100 shares and 5,000 shares can be large if the ask side is thin. Historical depth lets you calculate that difference at each point in time.
Depth API Use Cases
- Calculate volume available within 1%, 2%, or 5% of midpoint
- Estimate average fill price for different order sizes
- Reject trades when available depth is below a threshold
- Study liquidity before and after reference-price moves
- Build market-making and quoting models from past books
Endpoint Pattern
GET /v1/markets/{slug}/snapshots?include_orderbook=trueWhen order book data is included, each snapshot can include bid and ask ladders for both UP and DOWN outcome tokens. Your application can then aggregate depth, walk the book, or compute imbalance metrics.
Depth Metrics to Compute
| Metric | Purpose |
|---|---|
| Best bid/ask | Top-of-book spread and executable quote |
| Total bid depth | Buy-side support across levels |
| Total ask depth | Sell-side supply across levels |
| Book imbalance | Directional pressure from relative depth |
| Slippage curve | Expected fill price by order size |