Polymarket Orderbook Snapshots: Historical Bid/Ask Depth
Learn what Polymarket orderbook snapshots contain, why snapshot granularity matters, and how to use them for spread, liquidity, and backtesting research.
Polymarket orderbook snapshots capture the state of the bid and ask ladders at a point in time. Instead of only storing the best price or final trade, a snapshot preserves the depth that was actually available for both outcomes.
What a Snapshot Should Include
- Timestamp for the snapshot
- Best bid and best ask for the outcome token
- Full bid and ask ladders with price and size
- Reference price for the underlying asset when relevant
- Market metadata such as open time, close time, and resolution status
Why Snapshots Beat Candles
Candles summarize price movement. Orderbook snapshots show whether a backtest could have actually entered or exited at a given price, how much size was available, and how quickly liquidity moved.
Common Uses
| Use case | Snapshot field needed |
|---|---|
| Slippage modeling | Full ask ladder for buys and bid ladder for sells |
| Spread analysis | Best bid and best ask through time |
| Liquidity filters | Depth near midpoint |
| Strategy replay | Chronological snapshots for resolved markets |