Polymarket trading bot in Python: data, signal, backtest

[
  {
    "active": 1,
    "closed": 0,
    "condition_id": "0xa4dea4ae3cafa0c21d5026247807cdcd7929833e1089fc27917933b62278135f",
    "end_date": 1792948200000,
    "neg_risk": 1,
    "slug": "btc-updown-5m-1792947900",
    "tick_size": 0.01,
    "token_ids": [
      "71017960874711395588755286498180410277662891295563354128010828164009876221919",
      "15264935561093061531769473839831866712081495406158977870773121572402304828303"
    ]
  }
]

pip install requests
export VIKE_API_KEY=...
python pm-trading-bot.py             # real run: three polls, ten seconds apart
python pm-trading-bot.py --dry-run   # prints the requests it would make, calls nothing

"""The data side of a Polymarket trading bot: find the live 5-minute BTC market, poll its book and its prints, apply a rule, hand the order to your own executor.

Run:  VIKE_API_KEY=... python pm-trading-bot.py    (--dry-run lists the requests and makes none)
"""
import os
import sys
import time
from urllib.parse import urlencode

NAME = "pm-trading-bot"
BASE = "https://data.vike.io"
DRY = "--dry-run" in sys.argv
TICKS = 3  # polls per run; a real bot keeps looping and moves to the next window's slug at each close
POLL_S = 10  # two requests a tick: 12 a minute, far inside the 200 a minute a key allows
# The rule the backtest example tests: in the last 60 s of the window, buy Up at the ask when it is 0.55 to 0.90.
LAST_S, LOW, HIGH = 60, 0.55, 0.90
MAX_SHARES = 20  # the most one order buys
MAX_BOOK_AGE_MS = 5000  # never act on an older snapshot, as the backtest refuses a stale quote
SAMPLE_TOKENS = [  # --dry-run has no response to read: the Up and Down tokens of btc-updown-5m-1792947900
    "71017960874711395588755286498180410277662891295563354128010828164009876221919",
    "15264935561093061531769473839831866712081495406158977870773121572402304828303",
]


def fail(why):
    sys.exit(f"{NAME}: {why}")


def call(path, method="GET", **params):
    url = BASE + path + ("?" + urlencode(params) if params else "")
    if DRY:
        print(method, url)
        return None
    key = os.environ.get("VIKE_API_KEY") or fail("set VIKE_API_KEY")
    import requests

    r = requests.request(method, url, headers={"X-API-Key": key}, timeout=60)
    if r.status_code != 200:
        fail(f"{method} {path} answered HTTP {r.status_code}: {r.text[:200]}")
    return r.json()


def touch(book, side):
    """(price, size) at level 1 of one side, or None: a side can be empty, and a snapshot can repeat its rows."""
    top = [r for r in book if r["side"] == side and r["level"] == 1]
    return (top[0]["price"], top[0]["size"]) if top else None


def place_order(token_id, price, shares):
    """Execution is not this API's. Sign and send the order with Polymarket's official Python SDK
    (pip install polymarket-client, its SecureClient) from your own wallet. This stub only prints it."""
    print(f"  would BUY {shares:g} Up at {price} (token {token_id[:12]}...)")


def main():
    start = int(time.time()) // 300 * 300  # 5-minute windows start on multiples of 300 s; the slug ends in that start
    slug = f"btc-updown-5m-{start}"
    close_ms = (start + 300) * 1000
    rows = call("/v1/polymarket/markets", query=slug, limit=1)
    up, down = SAMPLE_TOKENS
    if not DRY:
        if not rows:
            fail(f"{slug} is not in the market directory")
        up, down = rows[0]["token_ids"]  # in the order of the outcomes: Up, then Down

    tape_from = int(time.time() * 1000) - 120_000
    for _ in range(1 if DRY else TICKS):
        now = int(time.time() * 1000)
        # The tape trails the clock: end each window a minute back and start the next exactly where it ended.
        tape_to = now - 60_000
        book = call("/v1/polymarket/orderbook", token_id=up, depth=5)
        tape = call("/v1/polymarket/events", token_ids=f"{up},{down}", event_type="trade",
                    from_ms=tape_from, to_ms=tape_to, limit=1000)  # a busy window can need `cursor`
        if DRY:
            return
        tape_from = tape_to
        if not book:
            fail(f"{slug}: no recorded book for the Up token")
        ask, bid = touch(book, "ask"), touch(book, "bid")
        age_ms = now - book[0]["as_of_ts"]
        left_s = (close_ms - now) / 1000
        prints = tape["events"]
        last = (f"last a {prints[-1]['side']} of {'Up' if prints[-1]['token_id'] == up else 'Down'} "
                f"at {prints[-1]['price']:.2f}") if prints else "none"
        quote = " / ".join(f"{name} {lvl[0]:.2f} x {lvl[1]:g}" if lvl else f"no {name}" for name, lvl in (("bid", bid), ("ask", ask)))
        print(f"{slug}: {left_s:.0f}s left, Up {quote}, book {age_ms / 1000:.1f}s old, {len(prints)} prints ({last})")
        if 0 < left_s <= LAST_S and ask and LOW <= ask[0] <= HIGH and age_ms <= MAX_BOOK_AGE_MS:
            place_order(up, ask[0], min(ask[1], MAX_SHARES))
        time.sleep(POLL_S)


if __name__ == "__main__":
    try:
        main()
    except Exception as e:  # a shape the example does not expect fails by name, not by traceback
        fail(f"{type(e).__name__}: {e}")

What are the best bid and ask of the Up token in Polymarket's current 5-minute BTC Up or Down market, and how old is that book?