Building a Real-Time TWAP Data Engine for a Polymarket Trading Bot

When building a Polymarket Trading Bot, the strategy gets most of the attention.

But for short-duration markets, reliable data is just as important.

The bot needs to continuously track:

TWAP_60s
Spot
Strike
UP price
DOWN price
Time remaining
Market status

A simple architecture is:

Chainlink / Polymarket
        ↓
 WebSocket / Data Feed
        ↓
   Data Collector
        ↓
  TWAP State Store
        ↓
 Strategy Engine
        ↓
 Order Execution

The key is keeping the data engine separate from the trading strategy.

Keep the TWAP Data Fresh

A WebSocket can be connected while the data is stale.

I track the last update time:

import time

def is_fresh(updated_at, max_age=1.0):
    return time.time() - updated_at <= max_age

If the TWAP is too old:

if not is_fresh(state.updated_at):
    return

The bot should stop opening new positions until fresh data arrives.

Handle Real-Time Failures

A production data engine needs to handle more than price updates.

Important cases include:

Timestamp synchronization
Stale TWAP
Missing updates
Duplicate messages
WebSocket disconnects
Invalid prices
Clock drift

For example, after a disconnect:

Disconnect
   ↓
Mark data stale
   ↓
Reconnect
   ↓
Resubscribe
   ↓
Receive fresh data
   ↓
Validate
   ↓
Resume trading

Don't resume trading immediately after reconnecting.

First make sure the state is valid and fresh.

Data Quality Matters

I also track information such as:

TWAP age
Spot age
Network latency
Clock offset
Reconnect count
Sequence validity

The strategy shouldn't only know:

TWAP = 67,421

It should also know:

TWAP age = 40ms
Data = Healthy

This makes the trading system much safer.

One Data Engine, Many Strategies

Once the real-time data layer is reliable, the same infrastructure can support:

TWAP Momentum
TWAP Mean Reversion
Arbitrage
Sniper
Market Making

That's why I prefer building the data engine separately from the strategy.

Build the data engine once. Build multiple strategies on top.

GitHub

I've been developing and researching Polymarket trading systems in Python:

Polymarket Trading Bot V2:
https://github.com/Benjam1nCup/Polymarket-trading-bot-python-V2

The project focuses on experimenting with automated trading strategies, real-time data, and execution infrastructure.

Contact

If you're working on Polymarket bots, prediction markets, or real-time trading systems:

Telegram: https://t.me/BenjaminCup