Bitcoin Backtest Data: Tick-Level Order Books & Trades

import os
import requests

API = "https://api.aymardata.com/v1"
KEY = os.environ["AYMARDATA_API_KEY"]  # export AYMARDATA_API_KEY=ad_live_…
H = {"Authorization": f"Bearer {KEY}", "User-Agent": "aymardata-backtest/1.0"}

def get_book(source: str, market: str, at: str, **extra):
    params = {"source": source, "market": market, "at": at, "depth": 5, **extra}
    r = requests.get(f"{API}/book", headers=H, params=params, timeout=30)
    r.raise_for_status()
    return r.json()

def get_trades(source: str, market: str, start: str, end: str, **extra):
    params = {
        "source": source,
        "market": market,
        "start": start,
        "end": end,
        "limit": 200,
        **extra,
    }
    r = requests.get(f"{API}/trades", headers=H, params=params, timeout=30)
    r.raise_for_status()
    return r.json()["data"]

# 1) Find a recent BTC 15m Up/Down window
mk = requests.get(
    f"{API}/markets",
    headers=H,
    params={"source": "polymarket", "q": "btc-updown-15m", "interval": "15m", "limit": 10},
    timeout=30,
)
mk.raise_for_status()
window = next(r["market"] for r in mk.json()["data"] if "btc-updown-15m-" in r["market"])
hist = next(r["history_from"] for r in mk.json()["data"] if r["market"] == window)

# 2) Point-in-time Polymarket Up book
poly = get_book("polymarket", window, hist, outcome="up")
poly_mid = None
if poly.get("bids") and poly.get("asks"):
    poly_mid = (poly["bids"][0]["price"] + poly["asks"][0]["price"]) / 2

# 3) Matching Binance spot mid (market id is BTCUSDT)
# Use a short window around the same clock for trades + a book snapshot.
spot_at = "2026-10-23T10:00:00Z"
spot = get_book("binance-spot", "BTCUSDT", spot_at)
spot_mid = None
if spot.get("bids") and spot.get("asks"):
    spot_mid = (spot["bids"][0]["price"] + spot["asks"][0]["price"]) / 2

start = "2026-10-23T10:00:00Z"
end = "2026-10-23T10:01:00Z"
spot_trades = get_trades("binance-spot", "BTCUSDT", start, end)

print({
    "polymarket_window": window,
    "poly_mid": poly_mid,
    "spot_mid": spot_mid,
    "spot_trades": len(spot_trades),
    "spread_poly": poly.get("spread"),
    "spread_spot": spot.get("spread"),
})