Sub-Second vs Minute-Level Market Data: Why Granularity Matters
Why sub-second data granularity gives you an edge in prediction market analysis compared to minute-level snapshots.
Why Granularity Matters
In prediction markets, significant events can move prices in milliseconds. The difference between sub-second and minute-level data can be the difference between capturing a signal and missing it entirely.
Granularity Comparison
| Metric | Sub-Second (300ms) | Minute-Level (60s) |
|---|---|---|
| Snapshots per 5m market | ~1,000 | 5 |
| Spread dynamics | See spread open and close | Average spread only |
| Order book sweeps | Capture the event | Often missed entirely |
| Slippage modeling | Accurate fill simulation | Rough estimates only |
| Event response time | See market reaction unfold | See before and after |
| Scalping strategies | Viable to backtest | Not viable |
When Sub-Second Data Matters Most
- Short-duration markets (5m, 15m): A 5-minute market only lasts 300 seconds — minute-level data gives you only 5 data points
- Scalping and HFT strategies: These require order book state at the moment of decision, not a 60-second average
- Market microstructure research: Studying spread formation, depth dynamics, and order flow requires sub-second resolution
- Realistic backtesting: Simulating limit order fills requires knowing the exact order book state at each decision point
When Minute-Level Is Sufficient
- Long-duration market analysis (4h, 24h timeframes)
- Trend-following strategies with holding periods of hours
- General market sentiment analysis
PolyHistorical's Granularity
PolyHistorical captures order book snapshots at 300ms intervals for all BTC, ETH, and SOL Up/Down markets. This is the highest granularity available for Polymarket data — 200x more detailed than minute-level providers.