mileswangs/polymarket-btc-updown-5m-orderbook-tick-data

Polymarket BTC Up/Down 5m Order Book Tick Data (L2) with Chainlink TWAP

Everything you need to research Polymarket BTC Up/Down 5m markets in one dataset: tick-level L2 order books, on-chain trades, and the Chainlink price they settle on.

14 consecutive days (2026-08-08 to 2026-08-21), all 4,032 BTC Up/Down 5m markets. Every order book update as Polymarket sent it, every trade and on-chain fill, plus Chainlink Data Streams and the 60s TWAP that decides each market. Collected colocated with Polymarket in AWS London at 4.6 ms median latency, over two redundant WebSocket connections per market. Free sample from PMData.

Polymarket's API returns the order book as it is now. There is no endpoint for the book as it was, so past depth exists only if someone recorded the WebSocket feed while the market was live. This dataset is that recording: two weeks of complete market lifecycles, from open to resolution, nothing sampled or aggregated, long enough to backtest a strategy across different days.

What makes it different

• Raw WebSocket messages, tick by tick. Every book and price_change message exactly as Polymarket sent it, so you can rebuild the book at any moment.
• Two timestamps on every row. Polymarket's event time and PMData's receive time, both at microsecond precision. Collected in AWS London (eu-west-2), colocated with Polymarket's exchange: 4.6 ms median collection latency on best bid/ask changes (method); across all price_change rows in this dataset the median is 4.9 ms. The collector clock is synced to AWS PHC, which AWS documents with a clock error bound typically under 40 µs.
• Redundant collection. Each market is recorded over two WebSocket connections on separate networks.
• The resolution price is included. Chainlink Data Streams prices and 60s TWAP for BTC/USD, collected directly from Chainlink rather than through the Polymarket proxy. From 2026-08-14 on, the TWAP reproduces 2,263 of 2,265 recorded outcomes (see Quick start).

Coverage

Series	btc-updown-5m (Bitcoin Up or Down, 5 minutes)
Days	2026-08-08 to 2026-08-21 UTC (14 consecutive days), by market start time
Markets	4,032 (288 a day); 3,990 with a recorded outcome (2,013 Up, 1,977 Down)
Order book events	456,962,342
Trades	6,706,897
On-chain fills	21,336,165
Chainlink BTC/USD	1,151,517 stream reports, 1,151,543 TWAP 60s reports
Size	5.6 GB, zstd-compressed Parquet, one file per table per day

Each market is complete from open to resolution, so a day's files run from a few minutes before 00:00 to a few minutes after 24:00 UTC.

Files

File	Rows	Contents
markets.parquet	4,032	One row per market: slug, start and end time, winning outcome
l2/date=YYYY-MM-DD/part-0.parquet	456,962,342	Order book events: book, price_change, tick_size_change, market_resolved
trades/date=YYYY-MM-DD/part-0.parquet	6,706,897	last_trade_price messages
onchain_fills/date=YYYY-MM-DD/part-0.parquet	21,336,165	Fills settled on Polygon, with maker and taker wallets
chainlink_streams/date=YYYY-MM-DD/BTCUSD.parquet	1,151,517	Chainlink Data Streams BTC/USD price, bid and ask
chainlink_streams_twap60s/date=YYYY-MM-DD/BTCUSD.parquet	1,151,543	Chainlink BTC/USD 60s TWAP

One file per table per UTC day; read a whole table with a glob such as l2/*/*.parquet.

Join tables on market_slug. The files use the same columns as the PMData API, so code written against this sample runs unchanged on the full archive. The only addition is market_slug in onchain_fills, which the API carries in the file name.

Schema

markets

Column	Type	Description
market_slug	string	Polymarket market slug, e.g. btc-updown-5m-1786147200 (the number is the start time in Unix seconds)
start_time	timestamp[us, UTC]	Market window start
end_time	timestamp[us, UTC]	Market window end (start + 5 minutes)
winning_outcome	string	yes (Up) or no (Down), from Polymarket's market_resolved message; null for 42 markets without that message
resolved_received_at	timestamp[us]	PMData receive time of the market_resolved message
l2_rows	int64	Number of l2 rows for the market

l2

Column	Type	Description
market_slug	string	Polymarket market slug
timestamp	timestamp[us]	Polymarket event timestamp
local_timestamp	timestamp[us]	PMData receive timestamp
event_type	string	book, price_change, tick_size_change or market_resolved
ask_prices	list	Ask prices, best first. book rows only
ask_sizes	list	Size at each price in ask_prices. book rows only
bid_prices	list	Bid prices, best first. book rows only
bid_sizes	list	Size at each price in bid_prices. book rows only
best_ask	float	Best ask after the change. price_change rows only
best_bid	float	Best bid after the change. price_change rows only
pc_price	float	Price level that changed. price_change rows only
pc_size	float	New total size at pc_price; 0 removes the level. price_change rows only
pc_side	string	BUY (bid) or SELL (ask). price_change rows only
new_tick_size	string	New minimum tick size. tick_size_change rows only
winning_outcome	string	Winning outcome. market_resolved rows only

trades

Column	Type	Description
market_slug	string	Polymarket market slug
timestamp	timestamp[us]	Polymarket event timestamp
local_timestamp	timestamp[us]	PMData receive timestamp
event_type	string	last_trade_price
outcome	string	Traded outcome: yes (Up) or no (Down)
price	float	Execution price from 0 to 1
size	float	Outcome tokens traded
side	string	Aggressor side: BUY or SELL

onchain_fills

Column	Type	Description
market_slug	string	Polymarket market slug
timestamp	timestamp[us]	Polygon block timestamp
maker	string	Maker wallet address
taker	string	Taker wallet address
outcome	string	Outcome token
maker_side	string	BUY or SELL
taker_side	string	BUY or SELL
price	float	Execution price
usd_amount	float	Notional in USD
token_amount	float	Outcome tokens transferred
transactionHash	string	Polygon transaction hash
_log_index	int64	Log index of the fill within the transaction

chainlink_streams and chainlink_streams_twap60s

Column	Type	Description
observationsTimestamp	timestamp[us]	Chainlink observation time
receiveMicrosecondTimestamp	timestamp[us]	PMData receive timestamp
price	string	Price (or 60s TWAP) scaled by 10^18. 63890200665000000000000 = 63,890.200665
bid	string	Bid scaled by 10^18; "none" for TWAP
ask	string	Ask scaled by 10^18; "none" for TWAP
validFromTimestamp	timestamp[us]	Report validity start
expiresAt	timestamp[us]	Report expiry
version	string	Chainlink report version

Quick start

import polars as pl

l2 = pl.scan_parquet("l2/*/*.parquet")
markets = pl.read_parquet("markets.parquet")

# 1. Collection latency: receive time minus Polymarket event time, on price changes.
latency_ms = (
    l2.filter(pl.col("event_type") == "price_change")
    .select(((pl.col("local_timestamp") - pl.col("timestamp")).dt.total_microseconds() / 1000).alias("ms"))
    .collect()
)
print(latency_ms.describe())

# 2. Rebuild one market's book at any moment: start from the last `book` snapshot,
#    then apply each `price_change` (pc_size = new total size at pc_price, 0 removes it).
slug = markets["market_slug"][144]
events = l2.filter(pl.col("market_slug") == slug).collect()

# 3. Reproduce the outcome from Chainlink 60s TWAP: Up wins if the TWAP at the end of the
#    window is at least the TWAP at the start. Use the last report at or before each time.
twap = (
    pl.read_parquet("chainlink_streams_twap60s/*/*.parquet")
    .select("observationsTimestamp", (pl.col("price").cast(pl.Float64) / 1e18).alias("twap"))
    .unique("observationsTimestamp", keep="last")
    .sort("observationsTimestamp")
)
m = markets.with_columns(
    pl.col("start_time").dt.replace_time_zone(None),
    pl.col("end_time").dt.replace_time_zone(None),
)
for col in ["start_time", "end_time"]:
    m = m.sort(col).join_asof(
        twap.rename({"observationsTimestamp": f"{col}_obs", "twap": f"{col}_twap"}),
        left_on=col, right_on=f"{col}_obs", strategy="backward",
    )
m = m.with_columns(
    pl.when(pl.col("end_time_twap") >= pl.col("start_time_twap")).then(pl.lit("yes")).otherwise(pl.lit("no")).alias("twap_outcome")
)
m = m.filter(pl.col("winning_outcome").is_not_null())
print(m.group_by(pl.col("start_time").dt.date()).agg((pl.col("twap_outcome") == pl.col("winning_outcome")).mean().alias("match")).sort("start_time"))

For fill-level backtests that model queue position and latency, see pm-hftbacktest, a Polymarket fork of hftbacktest. Across 547 BTC 5-minute markets, its backtests matched live trading in 95.32% of markets.

Collection

• Polymarket CLOB WebSocket, market channel; every message stored without modification.
• AWS eu-west-2 (London), the same region as Polymarket's exchange.
• Two WebSocket connections per market, in separate processes on separate networks.
• Chainlink Data Streams collected from Chainlink's WebSocket, not the Polymarket proxy.
• On-chain fills from Polygon OrderFilled events.

Limitations

• 14 days and one series only. For more days, coins (ETH, SOL, XRP, DOGE, BNB, HYPE, ZEC), timeframes (5m, 15m, 1h) and every other Polymarket market, see below.
• 42 markets have no market_resolved message, so winning_outcome is null for them.
• On-chain fills are absent for 32 markets: 2026-08-13 05:50 and 05:55 UTC, and 30 markets between 04:15 and 10:45 UTC on 2026-08-19.
• The TWAP rule in the Quick start matches 2,263 of 2,265 outcomes from 2026-08-14 on, and 1,621 of 1,725 (94%) on 2026-08-08 to 2026-08-13, the first days after the switch to TWAP resolution.
• Measure collection latency on price_change rows, as in the Quick start; book rows are full snapshots rather than single changes.
• The Chainlink TWAP series has a few one- or two-second gaps; use the last report at or before a given time, as in the Quick start.

More data

This sample comes from PMData, which records every Polymarket market tick by tick:

• All Polymarket markets since 2026-05-01; crypto Up/Down markets since 2026-02-01.
• L2 order books, trades, on-chain fills, Chainlink Data Streams and TWAP.
• Daily Parquet files over an HTTP API, or one ZIP per Up/Down series per day.
• Free trial with 600 downloads. Docs · Pricing · GitHub

License and citation

CC BY 4.0. Please credit PMData and link to https://pmdata.dev.

@misc{pmdata_polymarket_btc_updown_5m_2026_08,
  title  = {Polymarket BTC Up/Down 5m Order Book Tick Data (L2) with Chainlink TWAP},
  author = {PMData},
  year   = {2026},
  url    = {https://pmdata.dev}
}