Candlestick Data

Overview

Polymarket Exchange provides multiple methods for obtaining candlestick (OHLC - Open, High, Low, Close) data for market analysis and charting applications.

Method 1: Pre-Aggregated Statistics (Recommended)

Use the REST API’s trade statistics endpoint to get pre-calculated OHLC data:

POST /v1beta1/report/trades/stats

Request Example:

{
  "symbol": "aec-nfl-buf-kc-2026-01-26",
  "start_time": "2026-01-25T00:00:00Z",
  "end_time": "2026-01-26T23:59:59Z",
  "interval": "1h"
}

Response Example:

{
  "stats": [
    {
      "interval_start": "2026-01-25T00:00:00Z",
      "interval_end": "2026-01-25T01:00:00Z",
      "open": "550",
      "high": "580",
      "low": "545",
      "close": "575",
      "volume": "15000",
      "notional": "8625000"
    }
  ]
}

Benefits:

Server-side aggregation (faster, more efficient)
Ready-to-use candlestick data
Configurable time intervals
No client-side computation required

Common Intervals:

1m - 1 minute
5m - 5 minutes
15m - 15 minutes
1h - 1 hour
4h - 4 hours
1d - 1 day

Method 2: Manual Aggregation from Trade Data

Query individual trades and calculate OHLC values client-side:

POST /v1beta1/report/trades/search

Request Example:

{
  "symbol": "aec-nfl-buf-kc-2026-01-26",
  "start_time": "2026-01-25T00:00:00Z",
  "end_time": "2026-01-26T23:59:59Z",
  "limit": 1000
}

Response Example:

{
  "trades": [
    {
      "trade_id": "12345",
      "symbol": "aec-nfl-buf-kc-2026-01-26",
      "price": "550",
      "quantity": "100",
      "timestamp": "2026-01-25T00:05:32Z"
    },
    {
      "trade_id": "12346",
      "symbol": "aec-nfl-buf-kc-2026-01-26",
      "price": "560",
      "quantity": "200",
      "timestamp": "2026-01-25T00:12:18Z"
    }
  ]
}

Aggregation Logic

Query trades for the desired time range
Group trades by your chosen interval (e.g., 5min, 1h, 1d)
For each interval, calculate:

Metric	Calculation
Open	First trade price in the interval
High	Maximum trade price in the interval
Low	Minimum trade price in the interval
Close	Last trade price in the interval
Volume	Sum of quantities traded in the interval
Notional	Sum of (price × quantity) for all trades

Python Example

from datetime import datetime, timedelta
import requests

def aggregate_candles(trades, interval_minutes=5):
    """
    Aggregate trades into OHLC candles.

    Args:
        trades: List of trade dicts with 'timestamp', 'price', 'quantity'
        interval_minutes: Candle interval in minutes

    Returns:
        List of OHLC candle dicts
    """
    candles = {}

    for trade in trades:
        # Round timestamp down to interval
        ts = datetime.fromisoformat(trade['timestamp'].replace('Z', '+00:00'))
        interval_start = ts.replace(
            minute=(ts.minute // interval_minutes) * interval_minutes,
            second=0,
            microsecond=0
        )

        key = interval_start.isoformat()

        if key not in candles:
            candles[key] = {
                'open': float(trade['price']),
                'high': float(trade['price']),
                'low': float(trade['price']),
                'close': float(trade['price']),
                'volume': 0,
                'notional': 0
            }

        # Update candle
        candle = candles[key]
        price = float(trade['price'])
        qty = float(trade['quantity'])

        candle['high'] = max(candle['high'], price)
        candle['low'] = min(candle['low'], price)
        candle['close'] = price  # Last trade price
        candle['volume'] += qty
        candle['notional'] += price * qty

    return [{'timestamp': k, **v} for k, v in sorted(candles.items())]

# Usage
trades = get_trades(symbol="aec-nfl-buf-kc-2026-01-26")
candles_5m = aggregate_candles(trades, interval_minutes=5)

When to use:

Custom aggregation logic needed
Non-standard time intervals
Additional trade metadata required
Complex filtering or weighting logic

Method 3: Real-Time Streaming

Subscribe to market data via gRPC to build live candlestick charts that update as trades occur.

import grpc
from polymarket_pb2 import MarketDataRequest
from polymarket_pb2_grpc import MarketDataServiceStub

# Create channel with credentials
channel = grpc.secure_channel(
    'grpc.preprod.polymarketexchange.com:443',
    grpc.ssl_channel_credentials()
)

stub = MarketDataServiceStub(channel)

# Subscribe to symbols
request = MarketDataRequest(
    symbols=["aec-nfl-buf-kc-2026-01-26"]
)

# Stream updates
for update in stub.Subscribe(request, metadata=[('authorization', f'Bearer {token}')]):
    # Extract last trade price and volume
    last_price = update.last_px
    last_volume = update.last_qty
    timestamp = update.transact_time

    # Update your current candlestick
    update_candlestick(last_price, last_volume, timestamp)

Building Real-Time Candles

from datetime import datetime, timedelta

class RealtimeCandleBuilder:
    def __init__(self, interval_seconds=60):
        self.interval_seconds = interval_seconds
        self.current_candle = None
        self.candles = []

    def on_trade(self, price, volume, timestamp):
        """Process incoming trade from stream"""
        interval_start = self._get_interval_start(timestamp)

        # Start new candle if needed
        if self.current_candle is None or self.current_candle['start'] != interval_start:
            if self.current_candle:
                self.candles.append(self.current_candle)

            self.current_candle = {
                'start': interval_start,
                'open': price,
                'high': price,
                'low': price,
                'close': price,
                'volume': 0
            }

        # Update current candle
        self.current_candle['high'] = max(self.current_candle['high'], price)
        self.current_candle['low'] = min(self.current_candle['low'], price)
        self.current_candle['close'] = price
        self.current_candle['volume'] += volume

    def _get_interval_start(self, timestamp):
        """Round timestamp down to interval"""
        ts = datetime.fromisoformat(timestamp.replace('Z', '+00:00'))
        seconds_since_epoch = int(ts.timestamp())
        interval_start = (seconds_since_epoch // self.interval_seconds) * self.interval_seconds
        return datetime.fromtimestamp(interval_start)

# Usage
builder = RealtimeCandleBuilder(interval_seconds=300)  # 5-minute candles

for market_update in stream:
    builder.on_trade(
        price=market_update.last_px,
        volume=market_update.last_qty,
        timestamp=market_update.transact_time
    )

    # Get current candle for display
    current = builder.current_candle

Features:

Real-time price updates
Last trade price and volume
Aggregated statistics (cumulative volume, notional traded)
Best bid/offer data

Use cases:

Live trading dashboards
Real-time candlestick charts
Automated trading strategies
Market monitoring systems

Choosing the Right Method

Method	Best For	Latency	Complexity
Pre-Aggregated	Historical analysis, standard intervals	Low	Low
Manual Aggregation	Custom intervals, special calculations	Medium	Medium
Real-Time Streaming	Live charts, automated trading	Real-time	High

Best Practices

Time Zones

All timestamps are in UTC. Ensure your client handles timezone conversion appropriately:

from datetime import datetime
import pytz

# Convert UTC to local time
utc_time = datetime.fromisoformat('2026-01-25T00:00:00Z'.replace('Z', '+00:00'))
local_time = utc_time.astimezone(pytz.timezone('America/New_York'))

Price Scaling

Prices in the API use a price_scale multiplier. Check the instrument’s reference data:

# If price_scale = 1000, then price "550" represents $0.55
actual_price = int(price) / price_scale

Data Gaps

Handle gaps in data gracefully:

Pre-aggregated: Missing intervals indicate no trades occurred
Manual: Empty intervals should show previous close as O/H/L/C
Streaming: Implement reconnection logic for dropped connections

Caching

For historical data:

Cache pre-aggregated candles locally
Only query new intervals since last update
Use start_time filters to avoid redundant data

Data Guide

Getting Started

Data Structures

Overview

Method 1: Pre-Aggregated Statistics (Recommended)

Method 2: Manual Aggregation from Trade Data

Aggregation Logic

Python Example

Method 3: Real-Time Streaming

Building Real-Time Candles

Choosing the Right Method

Best Practices

Time Zones

Price Scaling

Data Gaps

Caching

Data Guide

Getting Started

Data Structures

​Overview

​Method 1: Pre-Aggregated Statistics (Recommended)

​Method 2: Manual Aggregation from Trade Data

​Aggregation Logic

​Python Example

​Method 3: Real-Time Streaming

​Subscribe to Market Data

​Building Real-Time Candles

​Choosing the Right Method

​Best Practices

​Time Zones

​Price Scaling

​Data Gaps

​Caching

Overview

Method 1: Pre-Aggregated Statistics (Recommended)

Method 2: Manual Aggregation from Trade Data

Aggregation Logic

Python Example

Method 3: Real-Time Streaming

Subscribe to Market Data

Building Real-Time Candles

Choosing the Right Method

Best Practices

Time Zones

Price Scaling

Data Gaps

Caching