AI 中文总结
本研究发布首个公开的毫秒级Polymarket与Binance BTC配对同步数据集，基于该数据的样本外预测未产生可交易优势，同时分析了跨市场时间差特征。
AI 中文摘要
OpenMarket最初旨在将Polymarket的BTC 15分钟二元市场与Binance的BTC/USDT订单流进行交易，但该尝试未产生可交易优势：样本外，基于43个微观结构特征的 walk-forward 逻辑模型未优于Polymarket订单簿隐含的概率，反而略逊一筹，在规定的手续费和滑点假设下，模拟交易每尝试一笔的净标准化收益为-0.116。我们发布了该尝试产生的同步语料库和基础设施，据我们所知，这是首个公开的毫秒级Polymarket BTC / Binance BTC-USDT配对语料库，带有明确的配对元数据。冻结归档（标签v0.5.2）包含202个归档快照中的727098247条去重行，涵盖2026年2月12日至2026年5月15日期间54个Polymarket日（57个Binance日）的事件数据，包括2936031个明确的领-滞后对，以及可复现的Rust管道，用于采集、毫秒级配对、Parquet导出和 walk-forward 校准。初步分析确立了Polymarket的典型事实（一档买卖价差）并表征了跨场所时间差：场所源时钟的中位滞后为16毫秒，归档期间相对时钟漂移最多为6毫秒，但仍存在约±99毫秒的单优势点恒定偏移歧义。仅基于采集器时钟的无同步事件研究独立显示，Polymarket报价在Binance大幅变动后中位滞后347毫秒做出响应。我们将本工作定位为数据与方法发布，其核心实证结果是样本外预测为零结果。
英文摘要
OpenMarket began as an attempt to trade Polymarket's BTC 15-minute binary markets against Binance BTC/USDT order flow. The attempt did not produce a tradable edge: out-of-sample, a walk-forward logistic model over 43 microstructure features does not beat, and slightly underperforms, the probability already implied by Polymarket's own order book, and simulated trading nets -0.116 normalized payoff units per attempted trade under stated fee and slippage assumptions. We release the synchronized corpus and infrastructure that attempt produced and, to our knowledge, the first public millisecond-level Polymarket BTC / Binance BTC-USDT paired corpus with explicit pairing metadata. The frozen archive (tag v0.5.2) contains 727,098,247 deduplicated rows across 202 archival snapshots, with event data on 54 observed Polymarket days (57 Binance days) between 2026-02-12 and 2026-05-15, including 2,936,031 explicit lead-lag pairs, alongside a reproducible Rust pipeline for collection, millisecond pairing, Parquet export, and walk-forward calibration. Initial analyses establish Polymarket stylized facts (one-tick top-of-book spreads) and characterize cross-venue timing: an apparent 16 ms median lag on venue source clocks, with relative clock drift bounded to at most 6 ms over the archive but a remaining single-vantage constant-offset ambiguity of approximately plus or minus 99 ms. A synchronization-free event study, measured only on the collector clock, independently shows that Polymarket quotes respond to large Binance moves after a median 347 ms. We position this work as a data-and-methods release whose central empirical result is a null out-of-sample forecasting result.
Comments23 pages, 7 figures, 3 tables. Dataset: https://huggingface.co/datasets/gregyoung14/openmarket-btc-polymarket. Code: https://github.com/gregyoung14/openmarket (tag v0.5.2)
