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DUST_SNAP_THRESHOLD

nautilus_polymarket::common::consts

Constant DUST_SNAP_THRESHOLD 

Source 
pub const DUST_SNAP_THRESHOLD: f64 = 0.01;
Expand description

Dust band (in shares) for fill quantity normalization. Set to one cent-share, matching Polymarket’s CLOB tick quantization.

Live-fill snapping is overfill-only: when the venue fill exceeds submitted_qty by less than DUST_SNAP_THRESHOLD, the fill is snapped DOWN to submitted_qty. Underfill is preserved on the per-fill path and resolved at terminal MATCHED status by the synthetic dust fill mechanism. OrderStatusReport.filled_qty snapping at terminal Filled status uses this same threshold in both directions.

Two observed drift sources sit within this band:

  • CLOB cent-tick truncation (underfill, up to 0.01 shares).
  • V2 market-BUY USDC-scale truncation in adjust_market_buy_amount (overfill, microshares; largest reproduced production overage is 0.000066 shares).

A diff at or above this threshold is left unsnapped and surfaces to the engine. See docs/integrations/polymarket.md (Fill quantity normalization).