CLOB Microstructure Scanner

Structural alpha from Polymarket order book analysis. Nobody else on Simmer does this.

What It Does

Pulls raw order book data from Polymarket's CLOB API and scores each market on four microstructure dimensions:

| Dimension | What It Measures | |-----------|-----------------| | Liquidity Gaps | Thin zones in the book where price can jump | | Order Book Imbalance | Bid vs ask weight asymmetry | | Whale Activity | Large single orders relative to book depth | | Fake Breakout Detection | Sudden moves on thin volume that revert |

Each dimension scores 0-25, combined into a 0-100 inefficiency score.

Signals

• ENTRY_OK — Normal conditions, standard sizing
• REDUCE_SIZE — Elevated microstructure risk, cut position size
• SKIP — Too dangerous, stay out
• MEAN_REVERT — Fake breakout detected, fade the move

The bot only trades on MEAN_REVERT signals, fading fake breakouts via SimmerClient.

Configuration

• Runs every 5 minutes via cron
• Defaults to dry-run; pass --live for real execution
• Requires SIMMER_API_KEY environment variable

Usage

# Dry run (default)
python clob_microstructure.py

# Live trading
python clob_microstructure.py --live

# Quiet mode for cron
python clob_microstructure.py --live --quiet

🧪 Remixable Template — Fork this skill and tweak the scoring weights, signal thresholds, or add your own microstructure indicators. The modular scoring system makes it easy to extend.