Pingpong - Polymarket HFT Engine

Ultra-low latency arbitrage engine for Polymarket prediction markets.

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Current Status

✅ Step 1 Complete - Detection Engine Validated

Component	Status	Details
Latency	✅	0.7µs avg, <5µs p99
Token Hash	✅	Fixed bytes→str consistency
Stateful Parsing	✅	asset_id at TOP LEVEL only
Edge Detection	✅	Detecting $0.95-$0.98 combined ASK
Minimum Size Filter	✅	TARGET_SHARES=100
DRY RUN Mode	✅	Paper trading, no real orders

Live Output:

🎯 EDGE DETECTED: Combined Ask = $0.97 (YES=45.00¢, NO=52.00¢)

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Roadmap to Production

Phase 1: Core Infrastructure ⏳ IN PROGRESS

• Add polymarket-client-sdk dependency
• Create src/auth.rs - L1/L2 authentication
• Create src/user_ws.rs - User WebSocket thread
• Create src/execution.rs - Execution thread

Phase 2: Thread Bridges

• Create FillConfirmation struct
• Create OpportunitySnapshot struct
• Add crossbeam_channel::unbounded between hot path and execution
• Add crossbeam_channel between execution and user_ws

Phase 3: Order Flow

• Implement Maker GTC Post-Only order
• Implement Taker FAK (Fill-And-Kill) order
• Implement 3-second timeout
• Implement order cancellation (DELETE /order)

Phase 4: Error Handling

• User WS reconnection with exponential backoff
• PAUSE signal to hot path on WS disconnect
• Stop-Loss market sell logic
• Partial fill handling

Phase 5: Testing

• Test on Amoy testnet (Chain ID: 80002)
• Validate edge detection still works
• Validate Maker → MATCHED → Taker flow
• Validate Stop-Loss on Taker failure
• Switch to Polygon Mainnet

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Architecture

┌─────────────────────────────────────────────────────────────────────────┐
│                     HOT PATH (Sync, No Tokio)                           │
│  • Sub-microsecond latency (0.7µs)                                       │
│  • Parses WebSocket bytes with memchr                                   │
│  • Detects edge when Combined Ask < $0.98                               │
│  • Calls tx.send(OpportunitySnapshot) - NON-BLOCKING                    │
└────────────────────────────────┬────────────────────────────────────────┘
                                 │ crossbeam_channel::unbounded
                                 ▼
┌─────────────────────────────────────────────────────────────────────────┐
│                   EXECUTION THREAD (Async/Tokio)                       │
│  • Waits for edges from rx.recv().await                                 │
│  • Posts Maker GTC Post-Only order via REST                             │
│  • Waits for fill_rx.recv_timeout(3 seconds)                           │
│  • On MATCHED: Fires Taker FAK order                                    │
│  • On TIMEOUT: Cancels Maker, triggers Stop-Loss                        │
└────────────────────────────────┬────────────────────────────────────────┘
                                 │ crossbeam_channel
                                 ▼
┌─────────────────────────────────────────────────────────────────────────┐
│                   USER WS THREAD (Async/Tokio)                         │
│  • Connects to wss://ws-subscriptions-clob.polymarket.com/ws/user      │
│  • Subscribes to orders and trades channels                            │
│  • On order.status == "matched": sends FillConfirmation               │
│  • On disconnect: exponential backoff + PAUSE signal                  │
└─────────────────────────────────────────────────────────────────────────┘

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Key Insights from Development

Token Hash Mismatch (SOLVED)

Standard Rust Hasher produces different hashes for &str vs &[u8]. Our fast_hash_token() converts bytes to UTF-8 string before hashing.

Stateful Parsing (SOLVED)

Polymarket batches multiple tokens per WebSocket message. The asset_id appears only at the TOP LEVEL of each market object, not inside each bid/ask entry.

Minimum Size Filter (NOTEBOOKLM GUIDANCE)

Depth of "5 shares" = only $2.50 liquidity. Added TARGET_SHARES=100 minimum to prevent partial fills on thin liquidity.

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Monitoring

The bot sends periodic Telegram reports with:

[ 🏓 PINGPONG HFT ENGINE ]
MODE: DRY_RUN | TIME: 2026-03-30 12:23:39

=== ⚡ SYSTEM PERFORMANCE ===
Msg rate    : 1,542/sec
Pair Checks : 9,100,000 (1.07k/s)
Total Edges : 91

=== 🎯 EDGE DISTRIBUTION (ASK < $0.98) ===
$0.90-0.92   :            (  0) [High α]
$0.93-0.95   :            (  0) [Mid α]
$0.96-0.98   : ██████████▏ ( 29) [Low α]

=== 💧 LATEST EDGES ===
YES(¢)  NO(¢)   Combined
  45.0    52.0  $ 0.9700

=== 📊 ESTIMATED FILL RATE ===
Ghost Rate: ~60% | Executable: ~40%
Real Opportunities: ~36

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Documentation

File	Description
PATH_TO_PRODUCTION.md	Complete roadmap for live trading
AUTHENTICATION_CODE.md	SDK + EIP-712 + HMAC implementation
USER_WEBSOCKET_CODE.md	Fill confirmation bridge
FINAL_INTEGRATION.md	Thread architecture + startup sequence

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Performance

Metric	Value
Hot Path Avg Latency	~0.7 µs
Hot Path p99 Latency	< 5.0 µs
Orderbook Memory	O(1)
Simulated Ghost Rate	~60%
Executable Rate	~40%

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Repository

GitHub: https://github.com/aissac/polymarket-hft-engine

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License

MIT