nautilus_polymarket/common/
consts.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Constants for the Polymarket adapter.
17
18use std::sync::LazyLock;
19
20use nautilus_model::identifiers::{ClientId, Venue};
21use rust_decimal::Decimal;
22use rust_decimal_macros::dec;
23use ustr::Ustr;
24
25/// Venue identifier string.
26pub const POLYMARKET: &str = "POLYMARKET";
27
28/// Static venue instance.
29pub static POLYMARKET_VENUE: LazyLock<Venue> = LazyLock::new(|| Venue::new(Ustr::from(POLYMARKET)));
30
31/// Static client ID instance.
32pub static POLYMARKET_CLIENT_ID: LazyLock<ClientId> =
33    LazyLock::new(|| ClientId::new(Ustr::from(POLYMARKET)));
34
35/// Polymarket builder code for order attribution.
36pub const POLYMARKET_NAUTILUS_BUILDER_CODE: &str =
37    "0x4f2c0bba608033563f74b82300e2ed59f54f8d0de08281031f03fb2c62819e63";
38
39pub const PUSD: &str = "pUSD";
40
41/// Canonical decimal precision for Polymarket prices.
42pub const POLYMARKET_PRICE_PRECISION: u8 = 4;
43
44pub const MAX_PRICE: &str = "0.999";
45pub const MIN_PRICE: &str = "0.001";
46pub const USDC_DECIMALS: u32 = 6;
47pub const LOT_SIZE_SCALE: u32 = 2;
48
49/// Minimum position size (in shares) reported in position status reports.
50/// Smaller positions are filtered as dust during reconciliation.
51pub const DUST_POSITION_THRESHOLD: Decimal = dec!(0.01);
52
53/// Maximum six-decimal position difference below [`DUST_POSITION_THRESHOLD`].
54pub const POSITION_RECONCILIATION_TOLERANCE: Decimal = dec!(0.009999);
55
56/// Dust band (in shares) for fill quantity normalization. Set to one
57/// cent-share, matching Polymarket's CLOB tick quantization.
58///
59/// Live-fill snapping is overfill-only: when the venue fill exceeds
60/// `submitted_qty` by less than `DUST_SNAP_THRESHOLD`, the fill is snapped
61/// DOWN to `submitted_qty`. Underfill is preserved on the per-fill path and
62/// resolved after terminal trade confirmation by lowering the order quantity
63/// to its venue-filled quantity. `OrderStatusReport.filled_qty` snapping at
64/// terminal `Filled` status uses this same threshold in both directions.
65///
66/// Two observed drift sources sit within this band:
67///
68/// - CLOB cent-tick truncation (underfill, up to `0.01` shares).
69/// - V2 market-BUY USDC-scale truncation in `adjust_market_buy_amount`
70///   (overfill, microshares; largest reproduced production overage is
71///   `0.000066` shares).
72///
73/// A diff at or above this threshold is left unsnapped and surfaces to the
74/// engine. See `docs/integrations/polymarket.md` (Fill quantity normalization).
75pub const DUST_SNAP_THRESHOLD_DEC: Decimal = dec!(0.01);
76
77/// Default per-connection market subscription cap.
78///
79/// A conservative, self-chosen reliability bound, not a venue limit: Polymarket
80/// documents no per-connection cap, and high per-connection counts have been
81/// observed to silently stall a connection. The market pool shards across
82/// connections at this bound.
83pub const WS_DEFAULT_SUBSCRIPTIONS: usize = 200;
84
85/// Maximum orders per `POST /orders` batch request; Polymarket caps batch submits at 15.
86pub const BATCH_ORDER_LIMIT: usize = 15;
87
88/// Requests per minute.
89pub const HTTP_RATE_LIMIT: u32 = 100;
90
91/// Maximum number of `condition_ids` accepted in a single Gamma `/markets` query.
92pub const GAMMA_CONDITION_IDS_BATCH_SIZE: usize = 100;
93
94pub const INVALID_API_KEY: &str = "Unauthorized/Invalid api key";
95pub const CANCEL_ALREADY_DONE: &str = "already canceled or matched";
nautilus_polymarket/common/consts.rs

nautilus_polymarket/common/
consts.rs
