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
- - ENTRYOK — Normal conditions, standard sizing
- REDUCESIZE — 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
CODEBLOCK0
🧪 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.
CLOB微观结构扫描器
通过Polymarket订单簿分析获取结构性阿尔法收益。Simmer平台上没有其他人做这个。
功能说明
从Polymarket的CLOB API拉取原始订单簿数据，从四个微观结构维度对每个市场进行评分：
| 维度 | 衡量内容 |
|---|
| 流动性缺口 | 订单簿中价格可能跳变的薄弱区域 |
| 订单簿不平衡 |
买卖盘权重不对称性 |
|
鲸鱼活动 | 相对于订单簿深度的大额单笔订单 |
|
假突破检测 | 在薄弱成交量上出现随后反转的突然波动 |
每个维度评分0-25分，合并为0-100分的低效评分。
信号
- - ENTRYOK — 正常条件，标准仓位规模
- REDUCESIZE — 微观结构风险升高，削减仓位规模
- SKIP — 风险过高，保持观望
- MEAN_REVERT — 检测到假突破，反向操作
该机器人仅交易MEAN_REVERT信号，通过SimmerClient对假突破进行反向操作。
配置
- - 通过cron每5分钟运行一次
- 默认为模拟运行；添加--live参数进行实盘执行
- 需要SIMMERAPIKEY环境变量
使用方法
bash
模拟运行（默认）
python clob_microstructure.py
实盘交易
python clob_microstructure.py --live
cron静默模式
python clob_microstructure.py --live --quiet
🧪 可混编模板 — 分叉此技能并调整评分权重、信号阈值，或添加您自己的微观结构指标。模块化评分系统使其易于扩展。
