Ethereum 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 list_windows(q="eth-updown-15m", interval="15m", limit=30):
    r = requests.get(
        f"{API}/markets",
        headers=H,
        params={"source": "polymarket", "q": q, "interval": interval, "limit": limit},
        timeout=30,
    )
    r.raise_for_status()
    seen, out = set(), []
    for row in r.json()["data"]:
        if row["market"] in seen:
            continue
        seen.add(row["market"])
        out.append(row)
    return out

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

def trades(market, start, end, outcome="up"):
    r = requests.get(
        f"{API}/trades",
        headers=H,
        params={
            "source": "polymarket",
            "market": market,
            "outcome": outcome,
            "start": start,
            "end": end,
            "limit": 100,
        },
        timeout=30,
    )
    r.raise_for_status()
    return r.json()["data"]

results = []
for w in list_windows():
    market, hist = w["market"], w.get("history_from")
    if not hist:
        continue
    snap = book(market, hist)
    bids, asks = snap.get("bids") or [], snap.get("asks") or []
    if not bids or not asks:
        continue
    mid = (bids[0]["price"] + asks[0]["price"]) / 2
    # Cheap Up early in the window → long; use ask as fill
    if mid < 0.42:
        fill = asks[0]["price"]
        tape = trades(market, hist, hist)  # may be empty near open; still validates the call
        results.append({"market": market, "mid": mid, "fill": fill, "n_trades": len(tape)})

# Counts only — label any P&L/win-rate/edge you add:
# "Illustrative output — not a real result"
print(f"eth_signals={len(results)} sample={results[:3]}")