Slippage Protection
Market orders execute via CLOB book walking — walking through the real Polymarket order book to find liquidity. Slippage protection ensures you don’t get a worse price than expected.
How It Works
- The trading engine fetches the real-time order book from Polymarket’s CLOB
- Your order is “walked” through bid/ask levels to compute a depth-weighted fill price
- The actual fill price is compared to the expected mid-price
- If slippage exceeds your
max_slippage_bps threshold, the order is rejected
Expected mid: $0.65
Actual fill: $0.67 (walked through thin liquidity)
Slippage: 200 bps (2%)
If max_slippage_bps = 100 → ORDER REJECTED
If max_slippage_bps = 500 → ORDER FILLED at $0.67
Setting Slippage Tolerance
Add max_slippage_bps to your order request:
{
"market_id": "0xabc...",
"side": "BUY",
"outcome": "Yes",
"quantity": "10",
"order_type": "market",
"max_slippage_bps": 100
}
| Value | Meaning |
|---|
100 | 1% max slippage |
500 | 5% max slippage (default) |
1000 | 10% max slippage |
| Not set | Uses server default (500 bps / 5%) |
Fill Diagnostics
Every market order response includes transparency metadata:
{
"order_id": 42,
"status": "FILLED",
"price": "0.67",
"price_source": "clob_book",
"slippage_bps": 200
}
Price Sources
| Source | Description | Reliability |
|---|
clob_book | Full order book walk from CLOB API | Highest — real depth |
clob_midpoint | CLOB mid-price (thin book fallback) | High |
gamma_api | Gamma API price feed | Medium — may be delayed |
redis_cache | Cached price from background poller | Lower — up to 45s stale |
Monitor price_source in your bot logs. If you see frequent
redis_cache fills, the CLOB API may be experiencing issues.
Consider pausing trading during degraded price quality.
Recommendations by Strategy
| Strategy | Suggested max_slippage_bps |
|---|
| Scalping / HFT | 50–100 (0.5%–1%) |
| Swing trading | 200–500 (2%–5%) |
| Bulk accumulation | 500–1000 (5%–10%) |
| Illiquid markets | 1000+ or use limit orders |
For illiquid markets with wide spreads, consider limit orders instead
of market orders. Limits give you price certainty at the cost of fill
uncertainty.
Next Steps
