fix: Polymarket spread ref = ticker mid_price - #1729
Merged
Conversation
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Polymarket's orderbook has outlier orders at the top of book that inflate
(bestBid+bestAsk)/2. This caused non-monotonic cost tiers: $10k costing more than $1M (53 bps vs 7 bps for ETH).Root cause: a stale/wide best ask shifts the computed mid far from fair value. A $1k order that barely moves from bestAsk gets an inflated spread, while larger orders fall into the dense cheap liquidity at mid-market.
Fix: use
mid_pricefrom the/tickersendpoint (already fetched for funding rate) as the spread reference. The exchange-published mid is computed from their matching engine and is immune to outlier book orders. Tickers fetch is moved to step 2 so the mid is available before the book walk.