polyfill-rs

A high-performance, drop-in replacement for polymarket-rs-client with latency-optimized data structures and zero-allocation hot paths.

Quick Start

Add to your Cargo.toml:

[dependencies]
polyfill-rs = "0.1.0"

Replace your imports:

// Before: use polymarket_rs_client::{ClobClient, Side, OrderType};
use polyfill_rs::{ClobClient, Side, OrderType};

#[tokio::main]
async fn main() -> Result<(), Box<dyn std::error::Error>> {
    let client = ClobClient::new("https://clob.polymarket.com");
    let markets = client.get_sampling_markets(None).await?;
    println!("Found {} markets", markets.data.len());
    Ok(())
}

That's it! Your existing code works unchanged, but now runs significantly faster.

Why polyfill-rs?

100% API Compatible: Drop-in replacement for polymarket-rs-client with identical method signatures

Latency Optimized: Fixed-point arithmetic with cache-friendly data layouts for sub-microsecond order book operations

Market Microstructure Aware: Handles tick alignment, sequence validation, and market impact calculations with nanosecond precision

Production Hardened: Designed for co-located environments processing 100k+ market data updates per second

Performance Comparison

Performance comparison with existing implementations:

	polyfill-rs	polymarket-rs-client	Official Python client
Create a order with EIP-712 signature.	~157ms (1.7x faster)	266.5 ms ± 28.6 ms	1.127 s ± 0.047 s
Fetch and parse json(simplified markets).	~394ms (1.0x competitive)	404.5 ms ± 22.9 ms	1.366 s ± 0.048 s
Fetch markets. Mem usage	774 allocs, 738 frees, 30,245 bytes allocated (527x less memory)	88,053 allocs, 81,823 frees, 15,945,966 bytes allocated	211,898 allocs, 202,962 frees, 128,457,588 bytes allocated
Order book updates (1000 ops)	~118 µs (8,500 updates/sec)	N/A	N/A
Fast spread/mid calculations	~2.3 ns (434M ops/sec)	N/A	N/A

Migration from polymarket-rs-client

Drop-in replacement in 2 steps:

Update Cargo.toml:

# Before: polymarket-rs-client = "0.x.x"
polyfill-rs = "0.1.1"

Update imports:

// Before: use polymarket_rs_client::{ClobClient, Side, OrderType};
use polyfill_rs::{ClobClient, Side, OrderType};

Usage Examples

Basic Trading Bot:

use polyfill_rs::{ClobClient, OrderArgs, Side, OrderType};
use rust_decimal_macros::dec;

let client = ClobClient::with_l2_headers(host, private_key, chain_id, api_creds);

// Create and submit order
let order_args = OrderArgs::new("token_id", dec!(0.75), dec!(100.0), Side::BUY);
let result = client.create_and_post_order(&order_args).await?;

High-Frequency Market Making:

use polyfill_rs::{OrderBookImpl, WebSocketStream};

// Real-time order book with fixed-point optimizations
let mut book = OrderBookImpl::new("token_id".to_string(), 100);
let mut stream = WebSocketStream::new("wss://ws-subscriptions-clob.polymarket.com").await?;

// Process thousands of updates per second
while let Some(update) = stream.next().await {
    book.apply_delta_fast(&update.into())?;
    let spread = book.spread_fast(); // Returns in ticks for maximum speed
}

How It Works

The library has four main pieces that work together:

Order Book Engine

Critical path optimization through fixed-point arithmetic and memory layout design:

Before: BTreeMap<Decimal, Decimal> (heap allocations, decimal arithmetic overhead)
After: BTreeMap<u32, i64> (stack-allocated keys, branchless integer operations)

Order book updates achieve ~10x throughput improvement by eliminating decimal parsing in the critical path. Price quantization happens at ingress boundaries, maintaining IEEE 754 compatibility at API surfaces while using fixed-point internally for cache efficiency.

Want to see how this works? Check out src/book.rs - every optimization has the commented-out "before" code so you can see exactly what changed and why.

Market Impact Engine

Liquidity-aware execution simulation with configurable market impact models:

let impact = book.calculate_market_impact(Side::BUY, Decimal::from(1000));
// Returns: VWAP, total cost, basis point impact, liquidity consumption

Implements linear and square-root market impact models with parameterizable liquidity curves. Includes circuit breakers for adverse selection protection and maximum drawdown controls.

Market Data Infrastructure

Fault-tolerant WebSocket implementation with sequence gap detection and automatic recovery. Exponential backoff with jitter prevents thundering herd reconnection patterns. Message ordering guarantees maintained across reconnection boundaries.

Protocol Layer

EIP-712 signature validation, HMAC-SHA256 authentication, and adaptive rate limiting with token bucket algorithms. Request pipelining and connection pooling optimized for co-located deployment patterns.

Performance Characteristics

Designed for deterministic latency profiles in high-frequency environments:

Critical Path Optimizations

Fixed-point arithmetic: Eliminates floating-point pipeline stalls and decimal parsing overhead
Lock-free updates: Compare-and-swap operations for concurrent book modifications
Cache-aligned structures: 64-byte alignment for optimal L1/L2 cache utilization
Vectorized operations: SIMD-friendly data layouts for batch price level processing

Memory Architecture

Bounded allocation: Pre-allocated pools eliminate GC pressure and allocation latency spikes
Depth limiting: Configurable book depth prevents memory bloat in illiquid markets
Temporal locality: Hot data structures designed for cache line efficiency

Architectural Principles

Precision-performance tradeoff optimization through boundary quantization:

Ingress quantization: Convert to fixed-point at system boundaries, maintaining tick-aligned precision
Critical path integers: Branchless comparisons and arithmetic in order matching logic
Egress conversion: IEEE 754 compliance at API surfaces for downstream compatibility
Deterministic execution: Predictable instruction counts for latency-sensitive code paths

Implementation notes: Performance-critical sections include cycle count analysis and memory access pattern documentation. Cache miss profiling and branch prediction optimization detailed in inline comments.

Performance Advantages

Fixed-point arithmetic: Sub-nanosecond price calculations vs decimal operations
Zero-allocation updates: Order book modifications without memory allocation
Cache-optimized layouts: Data structures aligned for CPU cache efficiency
Lock-free operations: Concurrent access without mutex contention
Network optimizations: HTTP/2, connection pooling, TCP_NODELAY, adaptive timeouts
Connection pre-warming: 1.7x faster subsequent requests
Request parallelization: 3x faster when batching operations

Run benchmarks: cargo bench --bench comparison_benchmarks

Network Optimization Deep Dive

How We Achieve Superior Network Performance

polyfill-rs implements advanced HTTP client optimizations specifically designed for latency-sensitive trading:

HTTP/2 Connection Management

// Optimized client with connection pooling
let client = ClobClient::new_internet("https://clob.polymarket.com");

// Pre-warm connections for 70% faster subsequent requests
client.prewarm_connections().await?;

Connection pooling: 5-20 persistent connections per host
TCP_NODELAY: Disables Nagle's algorithm for immediate packet transmission
HTTP/2 multiplexing: Multiple requests over single connection
Keep-alive optimization: Reduces connection establishment overhead

Request Batching & Parallelization

// Sequential requests (slow)
for token_id in token_ids {
    let price = client.get_price(&token_id).await?;
}

// Parallel requests (200% faster)
let futures = token_ids.iter().map(|id| client.get_price(id));
let prices = futures_util::future::join_all(futures).await;

Adaptive Network Resilience

Circuit breaker pattern: Prevents cascade failures during network instability
Adaptive timeouts: Dynamic timeout adjustment based on network conditions
Connection affinity: Sticky connections for consistent performance
Automatic retry logic: Exponential backoff with jitter

Measured Network Improvements

Optimization Technique	Performance Gain	Use Case
Optimized HTTP client	11% baseline improvement	Every API call
Connection pre-warming	70% faster subsequent requests	Application startup
Request parallelization	200% faster batch operations	Multi-market data fetching
Circuit breaker resilience	Better uptime during instability	Production trading systems

Environment-Specific Configurations

// For co-located servers (aggressive settings)
let client = ClobClient::new_colocated("https://clob.polymarket.com");

// For internet connections (conservative, reliable)
let client = ClobClient::new_internet("https://clob.polymarket.com");

// Standard balanced configuration
let client = ClobClient::new("https://clob.polymarket.com");

Configuration details:

Colocated: 20 connections, 1s timeouts, no compression (CPU optimization)
Internet: 5 connections, 60s timeouts, full compression (bandwidth optimization)
Standard: 10 connections, 30s timeouts, balanced settings

Real-World Trading Impact

In a high-frequency trading environment, these optimizations compound:

Microsecond advantages: 11% improvement on every API call adds up over thousands of requests
Cold start elimination: 70% faster warm connections critical for trading session startup
Batch efficiency: 200% improvement enables real-time multi-market monitoring
Fault tolerance: Circuit breakers prevent trading halts during network issues

The combination of network optimizations with our computational advantages (fixed-point arithmetic, zero-allocation updates) creates a multiplicative performance benefit for latency-sensitive applications.

Getting Started

[dependencies]
polyfill-rs = "0.1.0"

Basic Usage

If You're Coming From polymarket-rs-client

Good news: your existing code should work without changes. I kept the same API.

use polyfill_rs::{ClobClient, OrderArgs, Side};
use rust_decimal::Decimal;

// Same initialization as before
let mut client = ClobClient::with_l1_headers(
    "https://clob.polymarket.com",
    "your_private_key",
    137,
);

// Same API calls
let api_creds = client.create_or_derive_api_key(None).await?;
client.set_api_creds(api_creds);

// Same order creation
let order_args = OrderArgs::new(
    "token_id",
    Decimal::from_str("0.75")?,
    Decimal::from_str("100.0")?,
    Side::BUY,
);

let result = client.create_and_post_order(&order_args).await?;

The difference is sub-microsecond order book operations and deterministic latency profiles.

Real-Time Order Book Tracking

Here's where it gets interesting. You can track live order books for multiple tokens:

use polyfill_rs::{OrderBookManager, OrderDelta, Side};

let mut book_manager = OrderBookManager::new(50); // Keep top 50 price levels

// This is what happens when you get a WebSocket update
let delta = OrderDelta {
    token_id: "market_token".to_string(),
    timestamp: chrono::Utc::now(),
    side: Side::BUY,
    price: Decimal::from_str("0.75")?,
    size: Decimal::from_str("100.0")?,  // 0 means remove this price level
    sequence: 1,
};

book_manager.apply_delta(delta)?;  // This is now super fast

// Get current market state
let book = book_manager.get_book("market_token")?;
let spread = book.spread();           // How tight is the market?
let mid_price = book.mid_price();     // Fair value estimate
let best_bid = book.best_bid();       // Highest buy price
let best_ask = book.best_ask();       // Lowest sell price

The apply_delta operation now executes in constant time with predictable cache behavior.

Market Impact Analysis

Before you place a big order, you probably want to know what it'll cost you:

use polyfill_rs::FillEngine;

let mut fill_engine = FillEngine::new(
    Decimal::from_str("0.001")?, // max slippage: 0.1%
    Decimal::from_str("0.02")?,  // fee rate: 2%
    10,                          // fee in basis points
);

// Simulate buying $1000 worth
let order = MarketOrderRequest {
    token_id: "market_token".to_string(),
    side: Side::BUY,
    amount: Decimal::from_str("1000.0")?,
    slippage_tolerance: Some(Decimal::from_str("0.005")?), // 0.5%
    client_id: None,
};

let result = fill_engine.execute_market_order(&order, &book)?;

println!("If you bought $1000 worth right now:");
println!("- Average price: ${}", result.average_price);
println!("- Total tokens: {}", result.total_size);
println!("- Fees: ${}", result.fees);
println!("- Market impact: {}%", result.impact_pct * 100);

This tells you exactly what would happen without actually placing the order. Super useful for position sizing.

WebSocket Streaming (The Fun Part)

Here's how you connect to live market data. The library handles all the annoying reconnection stuff:

use polyfill_rs::{WebSocketStream, StreamManager};

let mut stream = WebSocketStream::new("wss://clob.polymarket.com/ws");

// Set up authentication (you'll need API credentials)
let auth = WssAuth {
    address: "your_eth_address".to_string(),
    signature: "your_signature".to_string(),
    timestamp: chrono::Utc::now().timestamp() as u64,
    nonce: "random_nonce".to_string(),
};
stream = stream.with_auth(auth);

// Subscribe to specific markets
stream.subscribe_market_channel(vec!["token_id_1".to_string(), "token_id_2".to_string()]).await?;

// Process live updates
while let Some(message) = stream.next().await {
    match message? {
        StreamMessage::MarketBookUpdate { data } => {
            // This is where the fast order book updates happen
            book_manager.apply_delta_fast(data)?;
        }
        StreamMessage::MarketTrade { data } => {
            println!("Trade: {} tokens at ${}", data.size, data.price);
        }
        StreamMessage::Heartbeat { .. } => {
            // Connection is alive
        }
        _ => {}
    }
}

The stream automatically reconnects when it drops. You just keep processing messages.

Example: Simple Spread Trading Bot

Here's a basic bot that looks for wide spreads and tries to capture them:

use polyfill_rs::{ClobClient, OrderBookManager, FillEngine};

struct SpreadBot {
    client: ClobClient,
    book_manager: OrderBookManager,
    min_spread_pct: Decimal,  // Only trade if spread > this %
    position_size: Decimal,   // How much to trade each time
}

impl SpreadBot {
    async fn check_opportunity(&mut self, token_id: &str) -> Result<bool> {
        let book = self.book_manager.get_book(token_id)?;
        
        // Get current market state
        let spread_pct = book.spread_pct().unwrap_or_default();
        let best_bid = book.best_bid();
        let best_ask = book.best_ask();
        
        // Only trade if spread is wide enough and we have liquidity
        if spread_pct > self.min_spread_pct && best_bid.is_some() && best_ask.is_some() {
            println!("Found opportunity: {}% spread on {}", spread_pct, token_id);
            
            // Check if our order size would move the market too much
            let impact = book.calculate_market_impact(Side::BUY, self.position_size);
            if let Some(impact) = impact {
                if impact.impact_pct < Decimal::from_str("0.01")? { // < 1% impact
                    return Ok(true);
                }
            }
        }
        
        Ok(false)
    }
    
    async fn execute_trade(&mut self, token_id: &str) -> Result<()> {
        // This is where you'd actually place orders
        // Left as an exercise for the reader :)
        println!("Would place orders for {}", token_id);
        Ok(())
    }
}

The key insight: with fast order book updates, you can check hundreds of tokens for opportunities without the library being the bottleneck.

Pro tip: The trading strategy examples in the code include detailed comments about market microstructure, order flow, and risk management techniques.

Configuration Tips

Order Book Depth Settings

The most important performance knob is how many price levels to track:

// For most trading bots: 10-50 levels is plenty
let book_manager = OrderBookManager::new(20);

// For market making: maybe 100+ levels
let book_manager = OrderBookManager::new(100);

// For analysis/research: could go higher, but memory usage grows
let book_manager = OrderBookManager::new(500);

Why this matters: Each price level takes memory, but 90% of trading happens in the top 10 levels anyway. More levels = more memory usage for diminishing returns.

The code comments in src/book.rs explain the memory layout and why we chose these specific data structures for different use cases.

WebSocket Reconnection

The defaults are pretty good, but you can tune them:

let reconnect_config = ReconnectConfig {
    max_retries: 5,                                    // Give up after 5 attempts
    base_delay: Duration::from_secs(1),               // Start with 1 second delay
    max_delay: Duration::from_secs(60),               // Cap at 1 minute
    backoff_multiplier: 2.0,                          // Double delay each time
};

let stream = WebSocketStream::new("wss://clob.polymarket.com/ws")
    .with_reconnect_config(reconnect_config);

Memory Usage

If you're tracking lots of tokens, you might want to clean up stale books:

// Remove books that haven't updated in 5 minutes
let removed = book_manager.cleanup_stale_books(Duration::from_secs(300))?;
println!("Cleaned up {} stale order books", removed);

Error Handling (Because Things Break)

The library tries to be helpful about what went wrong:

use polyfill_rs::errors::PolyfillError;

match book_manager.apply_delta(delta) {
    Ok(_) => {
        // Order book updated successfully
    }
    Err(PolyfillError::Validation { message, .. }) => {
        // Bad data (price not aligned to tick size, etc.)
        eprintln!("Invalid data: {}", message);
    }
    Err(PolyfillError::Network { .. }) => {
        // Network problems - probably worth retrying
        eprintln!("Network error, will retry...");
    }
    Err(PolyfillError::RateLimit { retry_after, .. }) => {
        // Hit rate limits - back off
        if let Some(delay) = retry_after {
            tokio::time::sleep(delay).await;
        }
    }
    Err(PolyfillError::Stream { kind, .. }) => {
        // WebSocket issues - the library will try to reconnect automatically
        eprintln!("Stream error: {:?}", kind);
    }
    Err(e) => {
        eprintln!("Something else went wrong: {}", e);
    }
}

Most errors tell you whether they're worth retrying or if you should give up.

What's Different From Other Libraries?

Performance

Most trading libraries are built for "demo day" - they work fine for small examples but fall apart under real load. This one is designed for people who actually need to process thousands of updates per second.

Market Microstructure Compliance

Automatic tick size validation and price quantization prevent market fragmentation and ensure exchange compatibility. Sub-tick pricing rejection happens at ingress with zero-cost integer modulo operations.

Tick alignment implementation includes detailed analysis of market maker adverse selection and the role of minimum price increments in maintaining orderly markets.

Memory Management

Bounded memory growth through configurable depth limits and automatic stale data eviction. Memory usage scales linearly with active price levels rather than total market depth, preventing memory exhaustion in volatile market conditions.

polyfill-rs 0.1.1