Polymarket Depth History Data

The archive records full-L2 ladders — price levels and sizes on both sides — per 250ms row, plus derived top-of-book and cumulative depth, which makes depth history a complete series rather than a snapshot sequence.

Depth is the venue's core distinction from a price history: a market can trade the same price all day and differ completely in resting size, and only the depth record preserves the difference.

Depth in the 5-minute corpus is decisive near settlement: the winner side rests a median 42,254 shares at 0.99 (p90 65,081), while 90% of final-second books are single-sided — the loser side's depth has fully left before the print.

One-sided snapshots at 16.9% of 5-minute granularity and 3.24% crossed states are the extremes the depth series must carry, and the archive's flags make them visible rather than filtered.

Depth history drives capacity analysis — how much a size could have traded at each level — and the honest fill model walks the ladder level by level, charging slippage inside the cumulative depth before crossing the spread.

For venue research, depth persistence (how long a level survived) is the metric that separates resting provision from fleeting quotes, and it is queryable from the series.

Depth shows supply waiting, not supply executing: the honest reading pairs each depth frame with the tape that consumed it — both from the same grid the archive stores.

• Depth explained
• Order book history
• Imbalance data