Trade Simulation With Real Liquidity Data
Simulate Polymarket trades with real historical liquidity data instead of midpoint assumptions for more realistic backtests.
Trade simulation with real liquidity data means testing orders against historical bid and ask ladders. This is more realistic than assuming every trade fills at midpoint or last price.
What Real Liquidity Adds
- Actual spread at the time of entry
- Available size at each price level
- Estimated slippage for your position size
- Liquidity changes during exits
- More honest drawdown and PnL estimates
Backtest Rule
If a historical order book did not have enough depth at your target price, the simulation should either fill partially, walk the book, or skip the trade. That discipline keeps research closer to live trading conditions.