Polymarket Order Book Reconstruction: Snapshots, Deltas and Reconnects

How to maintain a trustworthy local Polymarket order book through WebSocket gaps and reconnects.

Bootstrap

Start from a complete snapshot and record its sequence or timestamp before applying incremental events.

Apply deltas

Update price levels deterministically, delete zero-size levels and validate best bid remains below best ask.

Detect gaps

Monitor sequence continuity, message age and checksum-like invariants. On uncertainty, stop quoting and rebuild from a new snapshot.

Persist evidence

Store raw messages around incidents and expose local-book freshness to the risk engine and dashboard.

See Polymarket spread bots and data pipelines.