poly15m-v5 — Polymarket orderbook signal

What it does

poly15m-v5 trades from the Polymarket orderbook, not the Binance tape. When the Up/Down token mid-price has moved ≥3¢ off $0.50 and the bid/ask depth on the favored side clears the threshold, the bot fires a FOK taker at $0.52 in the direction the market-makers are already leaning.

The edge

Binance moves are public information that everyone has equal access to. The Polymarket book reflects a tighter signal: it's where market-makers have committed capital after watching Binance plus everything else they have access to (futures basis, options skew, CVD, on-chain flow). Following the MM-aggregated consensus is "free alpha" in the sense that someone else paid for the signal generation.

The trade-off is that v5 enters later than v1 because it waits for the book to commit. Later entries at slightly worse prices, but with a higher hit rate.

How it works

1. Connect to Binance + Coinbase + Kraken WebSockets (used only for resolution sanity-check, not entry signal)
2. Book refresh: poll the Polymarket REST orderbook every 30 seconds (POLY_BOOK_REFRESH_SEC)
3. Compute: book mid (midpoint of best bid + best ask on the favored side), and depth imbalance (bid_size − ask_size as a fraction)
4. Signal: book mid ≥ $0.53 OR ≤ $0.47 (3¢ deviation, POLY_MID_THRESHOLD = 0.03) AND depth imbalance ≥ POLY_DEPTH_THRESHOLD (0.10)
5. Trend filter: look at the last 5 resolved outcomes; if 3 or more went one direction, double the required mid-deviation when going against the streak (TREND_CONTRA_MULTIPLIER = 2.0)
6. Entry window: 120s to 500s into the candle
7. FOK taker at $0.52
8. Sizing: rolling half-Kelly starting after 10 resolved trades (KELLY_MIN_TRADES = 10), capped at 3-20% of balance, hard cap --max-bet $10
9. Hold to resolution

Sample output

[25/05/2026, 15:30:14] Binance connected
[25/05/2026, 15:30:14] Coinbase connected
[25/05/2026, 15:30:14] Kraken connected
[25/05/2026, 15:32:48] Book mid Up=$0.54 depth_imb=+0.18 trend=2/5 — entering
[25/05/2026, 15:32:48]   BUY (FOK) 14sh Up @ $0.52 ($7.39 incl fee)
[25/05/2026, 15:32:48]   Filled: 0xc7a2...
[25/05/2026, 15:45:01] Resolved WIN | +$6.61 | Bal: $36.61

Design targets

Break-even at $0.52 entry: required WR ≈ 52.7%. Design target 55-58% realized WR through the book + depth filter, with the trend filter preventing the worst-streak losses.

Trade rate is lower than v1/v2: only 8-15% of candles produce a book signal that clears both thresholds, so 8-15 trades per day under continuous coverage.

What's included

• poly15m/poly15m-v5.js
• poly15m/run.sh
• polymarket-limits.js
• README with Kelly sizing notes and trend filter customization