Hi everyone,
I’m working on a Polymarket trading bot. The strategy looks decent in backtests/paper trading, but live P&L is negative. I’m fairly confident the signal isn’t the main problem — execution is. I’m looking for engineering feedback, not signals or financial advice.
Context:
Strategy: Latency Arbitrage
Markets: Bitcoin Up or Down 5m
Stack: [Node], Polymarket CLOB API, Polygon, USDC
Order type: [FOK]
Data: [polling / websocket / Gamma API / Data API]
Avg order size: [e.g. 5 SHARs]
Environment: [VPS / home server / local laptop]
Latency: [rough estimate if known]
What goes wrong live:
Expected price vs actual fill price gap is large
Partial fills leave me with bad inventory
Cancel/replace is too slow
I chase moves and get filled at worse prices
Backtest assumes fills that don’t happen live
API / gas / relayer / rate-limit errors during execution
What I’ve tried:
Limit orders instead of market orders
Smaller size
Wider price bands
Better logging
Retries and rate limiting
[anything else]
What I need help with:
How do you model realistic fill probability on Polymarket?
What’s the right order manager design for a CLOB? (quote, cancel, replace, inventory, risk)
How do you handle latency and partial fills?
How do you backtest with real order book data instead of assumed fills?
Any open-source examples or tools for Polymarket CLOB execution?
How do you measure execution quality — slippage, fill rate, adverse selection?
If you’ve built execution bots for Polymarket or similar CLOBs, I’d really appreciate pointers, code examples, docs, or a critique of my approach. I can share anonymized logs/code in the comments if that helps.
Thanks.
