Definition
Order book
The list of resting bids and asks at each price level on an exchange.
Order book
An order book is the list of resting bids and asks at each price level on an exchange. It shows active limit orders waiting to be matched: bids are offers to buy at or below a given price, asks are offers to sell at or above a given price, and the book’s top levels determine the market’s best bid and best ask.
In context
On Polymarket the order book is provided by the CLOB API. The CLOB surface exposes depth at price levels, the best_bid_ask feed, and historical trade ticks suited for short‑lived opportunities like intra‑market arbitrage. Polymarket markets use a Central Limit Order Book (CLOB) matching engine; makers post limit orders (maker fees are zero) and takers consume liquidity (taker fees vary by category). The WebSocket market feed (wss://ws-subscriptions-clob.polymarket.com/ws/market) publishes real‑time book updates, best_bid_ask events, last_trade_price, and tick_size_change notifications.
How traders use it
- Discover opportunities: Compare best asks across outcomes to compute an arbitrage edge (for binary markets, bestAsk(YES)+bestAsk(NO) versus $1.00; for multi‑outcome, sum best asks across all outcomes).
- Measure liquidity: Book depth at each price shows how large a trade can execute without moving the price.
- Estimate execution risk: Thin top of book implies higher slippage and a greater chance of partial fills for market (FAK) orders.
Practical notes
- Tick size affects visible levels: Polymarket commonly uses $0.01 ticks, tightening to $0.001 near price extremes; tick_size_change events appear on the market WebSocket.
- Midpoint and spread: The midpoint is the average of best bid and best ask; spread is their difference — both are directly derived from the order book.
- API limits: When polling the REST surfaces, prefer the CLOB reads and the market WebSocket for real‑time book state rather than high‑frequency REST requests.
See also
- clob