NaxosDataNaxosData

NaxosData Core Datasets

The four institutional datasets and delivery formats.

Engineered specifically for prediction markets. Delivered through the NaxosData Historical Archive, high-throughput REST endpoints, and sub-millisecond WebSocket streaming feeds.

NaxosData Historical Archive
Tick Engine v2
REST API ENDPOINTGET /v1/orderbooks/{venue}/{market_id}/snapshot
FORMATScoped ExportsCSV / JSON / Parquet
RECONSTRUCTIONMillisecond L2Columnar Depth
Direct Query Ingestion:Reconstruct full Level 2 order books at any historical millisecond via Python SDK or REST endpoints.
Day 1 Archives RecordedView self-serve tiers
DATASET 01 · ORDER BOOKS & TICK STREAM

L2 Order Book Snapshots & Tick Stream

API: GET /v1/orderbooks/{venue}/{market_id}/snapshot?ts={timestamp_ms}

Continuous millisecond delta streams and Millisecond L2 Reconstruction across Polymarket, Kalshi, Limitless, PredictIt, Drift BET, and Smarkets. Reconstructed on demand or exported into scoped analytical tables through the NaxosData Historical Archive.

Exact Schema Columns

exchange_ts_msINT64 · Matching engine UTC timestamp
ingest_ts_msINT64 · Ashburn wire ingress timestamp
venue, market_id, pair_idVARCHAR · Unified cross-venue keys
is_reconstructedBOOLEAN · True for reconstructed Level 2 snapshot rungs
bids, asksSTRUCT[] · [price: FLOAT32, size: FLOAT64, total: FLOAT64]
calculated_volume_24h, vwap_1hFLOAT64 · Derived notional and VWAP
Start Quant Pro ($30/mo)Custom export builder
Snapshot API Response Sample
{
  "exchange_ts_ms": 1730000000300,
  "ingest_ts_ms": 1730000000302,
  "venue": "POLYMARKET",
  "market_id": "poly-fed-nov-2026",
  "pair_id": "PAIR_FED_NOV26_25BPS",
  "seq_num": 884129402,
  "is_reconstructed": true,
  "bids": [
    {"price": 0.635, "size": 32000, "total": 32000},
    {"price": 0.630, "size": 40000, "total": 72000}
  ],
  "asks": [
    {"price": 0.640, "size": 25000, "total": 25000},
    {"price": 0.645, "size": 28000, "total": 53000}
  ],
  "calculated_volume_24h": 4210500.0,
  "vwap_1h": 0.6384
}
NaxosData REST & Python SDKSub-millisecond Replay
DATASET 02 · METADATA & PROVENANCE

Market Metadata & Settlement Provenance Catalog

API: GET /v1/markets

Complete historical contract text descriptions, event taxonomy, settlement rules, authoritative resolution sources, expiration timestamps, and verified final outcomes (YES, NO, VOID)—searchable via REST API or joined directly on pair_id.

Key Catalog Columns

title & descriptionVARCHAR · Full contract question & rule text
oracle_sourceVARCHAR · UMA, CFTC FedWire, BLS, Pyth
fungibility_scoreINT32 · 0–100 Oracle and rule equivalence rating
resolution_source_urlVARCHAR · Authoritative government / exchange wire URL
status & final_outcomeVARCHAR · ACTIVE | RESOLVED (YES / NO / VOID)
Explore Metadata in TerminalView full schema spec
Python SDK / Matched Pair Query
import naxosdata as nd

# Fetch matched cross-exchange pair & historical arb edge
client = nd.Client(api_key="nx_live_...")

pair = client.pairs.comparison("PAIR_FED_NOV26_25BPS")
print(f"Long {pair.venue_long} @ {pair.long_ask}")
print(f"Short {pair.venue_short} @ {pair.short_bid}")
print(f"Net Arb Edge: +{pair.net_roi_pct:.2f}% | Score: {pair.fungibility_score}/100")
Sample Output Row:
PAIR_FED_NOV26_25BPS | "Fed Rate Cut Nov 2026" | UMA vs CFTC | Score: 96 | Spread: +2.1¢ Arb
DATASET 03 · CANONICAL PAIR MATRIX

Cross-Venue Canonical Pair Matrix

Path: wss://stream.naxosdata.com/v1/arbitrage & GET /v1/arbitrage/pairs

Real-time synchronized matched pair_id matrix calculating gross spreads, exchange taker fees, net arbitrage ROI, and combined top-of-book dollar capacity across Polymarket, Kalshi, Limitless, PredictIt, Drift BET, and Smarkets.

Live Matrix Attributes

gross_spread_bpsTop-of-book price divergence before fees
net_roi_pctNet return factoring in quadratic taker fees, profit taxes, and venue commissions
combined_liquidity_usdResting executable depth before slippage
oracle_basis_riskContinuous monitoring of settlement divergence
Open Arbitrage MatrixWebSocket stream docs
Active Arbitrage Pairs
Updated every 50ms
PAIR_FED_NOV26_25BPS+1.65% Net ROI
Buy Kalshi: $0.618
Sell Poly: $0.635
Exec Depth: $53,000 USDScore: 98/100 (Low Risk)
PAIR_CPI_NOV26_250+1.28% Net ROI
Buy Poly: $0.440
Sell Kalshi: $0.465
Exec Depth: $42,500 USDScore: 94/100 (BLS Release)
Direct JSON WebSocket FeedNormalized USD Bids/Asks
DATASET 04 · DERIVED LIQUIDITY & VWAP

Derived Liquidity & VWAP Curves

Delivery: Embedded columns in Parquet + Real-time REST endpoints

Pre-computed notional turnover, queue imbalance, and cost-to-sweep ($500, $2,500, $10,000, $50,000) liquidity metrics calculated directly from resting L2 depth rungs to prevent market impact and adverse selection.

Pre-Calculated Liquidity Fields

calculated_volume_24hExact sum of executed trades over trailing 24h
vwap_1h & vwap_24hVolume-weighted average price benchmark
cost_to_sweep_10kExpected price impact in bps for a $10,000 market sweep
orderbook_imbalanceRatio of resting bids vs. asks across top 5 rungs
Interactive Slippage CalculatorView plans ($0 / $30 / $100)
Interactive Slippage Curve PreviewL2 Sweep Simulator
SELECT ORDER NOTIONAL:$2,500 USD
POLYMARKET
VWAP Fill:$0.6402
Slippage:+3 bps
Fee: $0.000 bps
KALSHI
VWAP Fill:$0.6231
Slippage:+18 bps
Fee: $65.96Quadratic taker
Calculated from live resting depth across 5 rungs. Zero guesswork in trade execution sizing.
Integrated in Web TerminalAvailable on all tiers

Self-Serve Quantitative Access

Integrate prediction market data in 5 minutes.

Query the NaxosData Historical Archive via REST and Python SDK, or stream live synchronized L2 tick deltas into your execution bots.

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