Solana 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="sol-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 imbalance(snap):
    bids, asks = snap.get("bids") or [], snap.get("asks") or []
    bid_sz = sum(x["size"] for x in bids[:3]) if bids else 0
    ask_sz = sum(x["size"] for x in asks[:3]) if asks else 0
    if bid_sz + ask_sz == 0:
        return None
    return (bid_sz - ask_sz) / (bid_sz + ask_sz)

rows = []
for w in list_windows():
    market, hist = w["market"], w.get("history_from")
    if not hist:
        continue
    snap = book(market, hist)
    imb = imbalance(snap)
    if imb is None:
        continue
    # Long Up when book is bid-heavy
    if imb > 0.25 and snap.get("asks"):
        rows.append({
            "market": market,
            "imbalance": round(imb, 3),
            "ask": snap["asks"][0]["price"],
            "spread": snap.get("spread"),
        })

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