订单簿

读取订单簿、价格、价差和中间价

订单簿是公开端点——无需身份验证。你可以使用 SDK 或直接通过 REST API 读取价格和流动性。

import { ClobClient } from "@polymarket/clob-client-v2";

const client = new ClobClient({ host: "https://clob.polymarket.com", chain: 137 });

from py_clob_client_v2 import ClobClient

client = ClobClient("https://clob.polymarket.com", chain_id=137)

# Base URL for all orderbook endpoints
https://clob.polymarket.com

获取订单簿

获取代币的完整订单簿,包括所有待成交的买单和卖单价位:

const book = await client.getOrderBook("TOKEN_ID");

console.log("Best bid:", book.bids[0]);
console.log("Best ask:", book.asks[0]);
console.log("Tick size:", book.tick_size);

book = client.get_order_book("TOKEN_ID")

print("Best bid:", book["bids"][0])
print("Best ask:", book["asks"][0])
print("Tick size:", book["tick_size"])

curl "https://clob.polymarket.com/book?token_id=TOKEN_ID"

响应

{
  "market": "0xbd31dc8a...",
  "asset_id": "52114319501245...",
  "timestamp": "2023-10-21T08:00:00Z",
  "bids": [
    { "price": "0.48", "size": "1000" },
    { "price": "0.47", "size": "2500" }
  ],
  "asks": [
    { "price": "0.52", "size": "800" },
    { "price": "0.53", "size": "1500" }
  ],
  "min_order_size": "5",
  "tick_size": "0.01",
  "neg_risk": false,
  "hash": "0xabc123..."
}

字段	描述
`market`	市场的条件 ID
`asset_id`	代币 ID
`bids`	买单按价格排序(最高价优先)
`asks`	卖单按价格排序(最低价优先)
`tick_size`	此市场的最小价格增量
`min_order_size`	此市场的最小订单大小
`neg_risk`	是否为多结果(负风险)市场
`hash`	订单簿状态的哈希值——用于检测变化

价格

获取买入或卖出代币的最佳可用价格:

const buyPrice = await client.getPrice("TOKEN_ID", "BUY");
console.log("Best ask:", buyPrice.price); // Price you'd pay to buy

const sellPrice = await client.getPrice("TOKEN_ID", "SELL");
console.log("Best bid:", sellPrice.price); // Price you'd receive to sell

buy_price = client.get_price("TOKEN_ID", "BUY")
print("Best ask:", buy_price["price"])

sell_price = client.get_price("TOKEN_ID", "SELL")
print("Best bid:", sell_price["price"])

# Best price for buying (lowest ask)
curl "https://clob.polymarket.com/price?token_id=TOKEN_ID&side=BUY"

# Best price for selling (highest bid)
curl "https://clob.polymarket.com/price?token_id=TOKEN_ID&side=SELL"

中间价

中间价是最佳买价和最佳卖价的平均值。这是 Polymarket 上显示为市场隐含概率的价格。

const midpoint = await client.getMidpoint("TOKEN_ID");
console.log("Midpoint:", midpoint.mid); // e.g., "0.50"

midpoint = client.get_midpoint("TOKEN_ID")
print("Midpoint:", midpoint["mid"])

curl "https://clob.polymarket.com/midpoint?token_id=TOKEN_ID"

如果买卖价差超过 $0.10,Polymarket 会显示最后成交价而不是中间价。

价差

价差是最佳卖价和最佳买价之间的差额。价差越小表示市场流动性越好。

const spread = await client.getSpread("TOKEN_ID");
console.log("Spread:", spread.spread); // e.g., "0.04"

spread = client.get_spread("TOKEN_ID")
print("Spread:", spread["spread"])

# Spreads use POST for batch requests
curl -X POST "https://clob.polymarket.com/spreads" \
  -H "Content-Type: application/json" \
  -d '[{"token_id": "TOKEN_ID"}]'

价格历史

获取代币在各个时间间隔内的历史价格数据:

import { PriceHistoryInterval } from "@polymarket/clob-client-v2";

const history = await client.getPricesHistory({
  market: "TOKEN_ID", // Note: this param is named "market" but takes a token ID
  interval: PriceHistoryInterval.ONE_DAY,
  fidelity: 60, // Data points every 60 minutes
});

// Each entry: { t: timestamp, p: price }
history.forEach((point) => {
  console.log(`${new Date(point.t * 1000).toISOString()}: ${point.p}`);
});

history = client.get_prices_history(
    market="TOKEN_ID",  # Note: this param is named "market" but takes a token ID
    interval="1d",
    fidelity=60,  # Data points every 60 minutes
)

for point in history:
    print(f"{point['t']}: {point['p']}")

# By interval (relative to now)
curl "https://clob.polymarket.com/prices-history?market=TOKEN_ID&interval=1d&fidelity=60"

# By timestamp range
curl "https://clob.polymarket.com/prices-history?market=TOKEN_ID&startTs=1697875200&endTs=1697961600"

时间间隔	描述
`1h`	最近一小时
`6h`	最近 6 小时
`1d`	最近一天
`1w`	最近一周
`1m`	最近一个月
`max`	所有可用数据

interval 是相对于当前时间的。使用 startTs / endTs 表示绝对时间范围。它们是互斥的——不要将它们组合使用。

估算成交价格

计算给定大小的市价单的有效成交价格,考虑订单簿深度:

import { Side, OrderType } from "@polymarket/clob-client-v2";

// What price would I pay to buy $500 worth?
const price = await client.calculateMarketPrice(
  "TOKEN_ID",
  Side.BUY,
  500, // dollar amount
  OrderType.FOK,
);

console.log("Estimated fill price:", price);

from py_clob_client_v2 import OrderType

price = client.calculate_market_price(
    token_id="TOKEN_ID",
    side="BUY",
    amount=500,
    order_type=OrderType.FOK,
)

print("Estimated fill price:", price)

这会遍历订单簿来估算滑点。在提交市价单之前确定订单大小时很有用。

批量请求

所有订单簿查询都有批量变体,可在单个请求中获取多个代币的数据(最多 500 个代币):

单个	批量	REST
`getOrderBook()`	`getOrderBooks()`	`POST /books`
`getPrice()`	`getPrices()`	`POST /prices`
`getMidpoint()`	`getMidpoints()`	`POST /midpoints`
`getSpread()`	`getSpreads()`	`POST /spreads`
`getLastTradePrice()`	`getLastTradesPrices()`	—

批量订单簿请求的 BookParams 接受 token_id 和可选的 side 参数来按买价或卖价方向过滤。

import { Side } from "@polymarket/clob-client-v2";

// Fetch prices for multiple tokens
const prices = await client.getPrices([
  { token_id: "TOKEN_A", side: Side.BUY },
  { token_id: "TOKEN_B", side: Side.BUY },
]);
// Returns: { "TOKEN_A": { "BUY": "0.52" }, "TOKEN_B": { "BUY": "0.74" } }

prices = client.get_prices([
    {"token_id": "TOKEN_A", "side": "BUY"},
    {"token_id": "TOKEN_B", "side": "BUY"},
])

curl -X POST "https://clob.polymarket.com/prices" \
  -H "Content-Type: application/json" \
  -d '[
    {"token_id": "TOKEN_A", "side": "BUY"},
    {"token_id": "TOKEN_B", "side": "BUY"}
  ]'

最后成交价格

获取代币最近一笔交易的价格和方向:

const lastTrade = await client.getLastTradePrice("TOKEN_ID");
console.log(lastTrade.price, lastTrade.side);
// e.g., "0.52", "BUY"

last_trade = client.get_last_trade_price("TOKEN_ID")
print(last_trade["price"], last_trade["side"])

实时更新

对于实时订单簿数据,使用 WebSocket API 而不是轮询。market 频道实时推送订单簿变化、价格更新和交易事件。

连接

const ws = new WebSocket(
  "wss://ws-subscriptions-clob.polymarket.com/ws/market",
);

ws.onopen = () => {
  ws.send(
    JSON.stringify({
      type: "market",
      assets_ids: ["TOKEN_ID"],
      custom_feature_enabled: true, // enables best_bid_ask, new_market, market_resolved events
    }),
  );
};

ws.onmessage = (event) => {
  const data = JSON.parse(event.data);
  switch (data.event_type) {
    case "book": // full orderbook snapshot
    case "price_change": // individual price level update
    case "last_trade_price": // new trade executed
    case "tick_size_change": // market tick size changed
    case "best_bid_ask": // top-of-book update (requires custom_feature_enabled)
    case "new_market": // new market created (requires custom_feature_enabled)
    case "market_resolved": // market resolved (requires custom_feature_enabled)
  }
};

动态订阅和取消订阅

连接后,你可以在不重新连接的情况下更改订阅:

// Subscribe to additional tokens
ws.send(
  JSON.stringify({
    assets_ids: ["NEW_TOKEN_ID"],
    operation: "subscribe",
  }),
);

// Unsubscribe from tokens
ws.send(
  JSON.stringify({
    assets_ids: ["OLD_TOKEN_ID"],
    operation: "unsubscribe",
  }),
);

事件类型

事件	触发时机	关键字段
`book`	订阅时 + 当交易影响订单簿时	`bids[]`, `asks[]`, `hash`, `timestamp`
`price_change`	新订单下达或订单取消时	`price_changes[]` with `price`, `size`, `side`, `best_bid`, `best_ask`
`last_trade_price`	交易执行时	`price`, `side`, `size`, `fee_rate_bps`
`tick_size_change`	价格达到 >0.96 或 < 0.04 时	`old_tick_size`, `new_tick_size`
`best_bid_ask`	最优买卖价变化时	`best_bid`, `best_ask`, `spread`
`new_market`	市场创建时	`question`, `assets_ids`, `outcomes`
`market_resolved`	市场结算时	`winning_asset_id`, `winning_outcome`

best_bid_ask、new_market 和 market_resolved 需要在订阅消息中设置 custom_feature_enabled: true。

tick_size_change 事件对交易机器人至关重要。如果价格增量发生变化而你继续使用旧的价格增量,你的订单将被拒绝。

入门指南

核心概念

市场数据

交易

订单簿

订单簿

获取订单簿

响应

价格

中间价

价差

价格历史

估算成交价格

批量请求

最后成交价格

实时更新

连接

动态订阅和取消订阅

事件类型

下一步

下单

获取市场

​订单簿

​获取订单簿

​响应

​价格

​中间价

​价差

​价格历史

​估算成交价格

​批量请求

​最后成交价格

​实时更新

​连接

​动态订阅和取消订阅

​事件类型

​下一步

下单

获取市场

订单簿

获取订单簿

响应

价格

中间价

价差

价格历史

估算成交价格

批量请求

最后成交价格

实时更新

连接

动态订阅和取消订阅

事件类型

下一步