marketlens 1.1.1

Python SDK for Polymarket order book data and backtesting. Tick-level L2 snapshots, billions of deltas, full book reconstruction, and a strategy backtesting engine with realistic execution.

marketlens

Backtest prediction market strategies on tick-level L2 order book data from Polymarket.

pip install marketlens

Backtest

Define a strategy, run it against any market or series — the engine replays full L2 book state tick-by-tick with realistic execution.

from marketlens import MarketLens
from marketlens.backtest import Strategy

class OpeningFader(Strategy):
    def on_market_start(self, ctx, market, book):
        self._entered = False

    def on_book(self, ctx, market, book):
        if self._entered or book.midpoint is None:
            return
        if float(book.midpoint) < 0.50:
            ctx.buy_yes(size="200")
        else:
            ctx.buy_no(size="200")
        self._entered = True

client = MarketLens()  # uses MARKETLENS_API_KEY env var
result = client.backtest(
    OpeningFader(), "btc-up-or-down-5m",
    initial_cash="10000",
    after="2026-04-15T01:45:00Z", before="2026-04-15T02:00:00Z",
)
print(result.summary())

Pass a market ID, series slug, or a list of series for multi-asset portfolios:

Always pass after/before — series and multi-strike runs are otherwise unbounded.

# Single market — replays the full lifetime of the market by default
result = client.backtest(strategy, market_id, initial_cash="10000")

# Rolling series — walks every market in [after, before)
result = client.backtest(strategy, "btc-up-or-down-5m", initial_cash="10000",
                         after="2026-04-15T01:45:00Z",
                         before="2026-04-15T02:00:00Z")

# Multi-asset portfolio — shared capital across series
result = client.backtest(strategy,
    ["btc-up-or-down-5m", "eth-up-or-down-5m", "sol-up-or-down-5m"],
    initial_cash="10000",
    after="2026-04-15T01:45:00Z", before="2026-04-15T02:00:00Z")

# Structured product — replays every strike market in the matched event(s).
# Pass `after` to pick a single recent event; events are typically week-long,
# so a wide window can pull millions of book events.
result = client.backtest(strategy, "btc-multi-strikes-weekly",
                         initial_cash="10000",
                         after="2026-05-08T00:00:00Z")

Execution realism

Parameter	Default	Description
latency_ms	50	Order-to-fill delay in milliseconds
queue_position	False	CLOB queue modeling — fills only when queue-ahead is drained by trades
limit_fill_rate	0.1	Fraction of trade size filling your limit (ignored when queue_position=True)
slippage_bps	0	Extra price penalty on market order fills
fees	"polymarket"	Auto-detects crypto vs sports fee schedule; None for zero fees
max_fill_fraction	1.0	Max fraction of each book level consumed per order
include_trades	True	Fetch trade data (required for limit fills and on_trade)
settlement_delay_ms	5000	Delay before filled tokens become sellable (on-chain settlement)

The portfolio automatically handles CTF merge (opposite-side netting): buying NO while holding YES nets matched pairs at $1 per share. No explicit merge call needed in backtests.

Strategy hooks

Hook	Called when
on_book(ctx, market, book)	Every book state change (snapshot or delta)
on_trade(ctx, market, book, trade)	Every executed trade
on_fill(ctx, market, fill)	Your order is filled
on_market_start(ctx, market, book)	A new market begins
on_market_end(ctx, market)	A market ends, before settlement

ctx provides: buy_yes(), sell_yes(), buy_no(), sell_no(), cancel_order(), cancel_all_orders(), position(), open_orders, books (all active order books), and reference_price() (Binance spot for crypto underlyings).

Results

result.total_pnl            # net P&L
result.total_return         # as decimal (0.12 = 12%)
result.win_rate             # fraction of profitable settlements
result.sharpe_ratio         # per-settlement Sharpe
result.sortino_ratio        # downside-adjusted
result.max_drawdown         # peak-to-trough as fraction
result.profit_factor        # gross wins / gross losses
result.expectancy           # avg net P&L per settlement

result.trades_df()          # per-fill DataFrame
result.orders_df()          # per-order DataFrame
result.settlements_df()     # per-market settlement P&L
result.equity_df()          # equity curve time series
result.by_series()          # per-series P&L attribution

Persist a result to disk and reload it later:

from marketlens.backtest import BacktestResult

result.save("runs/spread-timer")            # or overwrite=True
loaded = BacktestResult.load("runs/spread-timer")
loaded.config, loaded.targets               # config + run inputs preserved

The directory holds a JSON manifest plus four Parquet files (trades, orders, settlements, equity) — readable directly from pandas/duckdb.

Data

All list methods return auto-paginating iterators with .to_list() and .to_dataframe().

Order book replay

walk() replays full L2 book state for any market or series. Pass a market ID, series slug, or condition ID — the same interface for everything.

walk = client.orderbook.walk(
    "btc-up-or-down-5m",
    after="2026-04-15T01:45:00Z", before="2026-04-15T01:50:00Z",
)
for market, book in walk:
    print(market.question, book.midpoint, book.spread_bps())

# As a DataFrame
df = client.orderbook.walk(
    market_id, after=start, before=end,
).to_dataframe()

Candles, trades, markets

candles = client.markets.candles(
    market_id, resolution="1m",
    after="2026-04-15T01:45:00Z", before="2026-04-15T01:50:00Z",
).to_dataframe()
trades = client.markets.trades(
    market_id,
    after="2026-04-15T01:45:00Z", before="2026-04-15T01:50:00Z",
).to_list()
active = client.markets.list(status="active", sort="-volume", take=10)

Bulk export

Download full history as Parquet — snapshots, deltas, trades, and reference prices.

# Single market (includes reference trades for the underlying)
data_dir = client.exports.download(market_id)

# All markets in a series
data_dir = client.exports.download_series(
    "btc-up-or-down-5m", after="2026-03-01", before="2026-03-08")

Offline backtesting

Download once, run many backtests without API calls:

data_dir = client.exports.download_series(
    "btc-up-or-down-5m", after="2026-03-01", before="2026-03-08")

result = client.backtest(
    strategy, "btc-up-or-down-5m",
    data_dir=data_dir,
    after="2026-03-01", before="2026-03-08",
    initial_cash="10000",
)

Structured Products & Surfaces

For multi-strike series (survival, density, barrier), all sibling markets replay in parallel. walk.books holds the latest book for every strike, and walk.surface() fits the implied probability distribution at each tick.

walk = client.orderbook.walk(
    "btc-multi-strikes-weekly",
    after="2026-05-08T00:00:00Z",  # picks the next event ending after this
)
for market, book in walk:
    surface = walk.surface()
    if surface:
        for s in surface.survival_strikes():
            print(f"${s.strike:,.0f} P(above)={s.fitted_prob:.3f}")
        print(f"implied_mean=${float(surface.implied_mean):,.0f}")
        break  # the loop fires per book tick — break to print one fit

Type	Source	Stats
survival	"above $X" multi-strike markets	implied_mean, implied_cv, implied_skew
density	Neg-risk range + tail markets	implied_mean, implied_cv, implied_skew
barrier	Hit-price reach/dip markets	implied_peak, implied_trough

Pre-computed surfaces updated every 5 minutes are also available via client.signals.surfaces().

OrderBook

Every OrderBook instance — live or replayed — carries analytical methods:

book.microprice()              # size-weighted mid from best level
book.weighted_midpoint(n=3)    # n-level weighted mid
book.spread_bps()              # spread in basis points
book.imbalance(levels=3)       # bid/ask imbalance [-1, 1]
book.impact("BUY", "1000")     # VWAP for $1k market buy
book.slippage("BUY", "1000")   # slippage from mid
book.depth_within("0.02")      # (bid, ask) depth within 2c of mid

Reference Prices

Binance spot at 1-second resolution for crypto underlyings (BTC, ETH, SOL, XRP, etc.). Available directly or inside backtests via ctx.reference_price().

candles = client.reference.candles(
    "BTC",
    after="2026-04-15T01:45:00Z", before="2026-04-15T01:50:00Z",
    resolution="1s",
)
for candle in candles:
    print(candle.timestamp, candle.close)

API Reference

Resource	Methods
client.markets	list() get() trades() candles()
client.events	list() get() markets()
client.series	list() get() markets() walk() events()
client.orderbook	get() history() metrics() walk()
client.signals	surfaces() surface() history()
client.reference	candles() trades()
client.exports	download() download_series()

Async: use AsyncMarketLens — every method has an async counterpart.

Examples

Example	Description
backtest_basic.py	Spread-timing strategy on a rolling series
backtest_limit_orders.py	Market-making with CLOB queue position simulation
backtest_surface.py	Surface mispricing with spot-distance filtering
backtest_portfolio.py	Multi-series portfolio with shared capital
execution_cost.py	Book depth, spread, impact and slippage
microstructure.py	Feature matrix — does imbalance predict outcome?
implied_surfaces.py	Survival, density, and barrier surfaces
event_strikes.py	Structured product walk with live surface fitting

License

MIT