large-fill-pressure
GitHub用于识别 Polymarket 市场中大额成交压力，辅助生成自定义 Nautilus 量化交易策略。通过检测大单聚集和方向性信号，帮助判断市场动向，但仅作为模板参考而非确保证盈利的边缘策略。
Trigger Scenarios
Install
npx skills add Superior-Trade/superior-skills --skill large-fill-pressure -g -y
SKILL.md
Frontmatter
{
"name": "large-fill-pressure",
"metadata": {
"updated": 1781654400,
"version": "0.1.0"
},
"description": "Use when repeated large fills on a Polymarket prediction market suggest directional participation or informed flow worth trading behind."
}
Strategy: Polymarket · Large-Fill Pressure
When to use
Use this when the user asks about whales, big fills, unusual size, or "who is moving this market."
What the agent should look for
- Canonical Polymarket market from
GET /context/markets?venue=polymarket. - High-quality filled volume history with enough ticks.
- Fill sizes meaningfully above that market's recent median.
- Multiple large fills in a short interval with same-direction follow-through.
- No single fill dominating the backtest window.
Backtest fit with filled data
Good fit for directional-signal detection, weak fit for proving source-side confidence. Filled TradeTick replay can show whether big prints were associated with sustained movement, but it cannot reveal maker intent, hidden liquidity, or queue position.
Treat this as an archetype template that helps generate custom Nautilus strategy code; do not imply it is a proven edge.
Strategy logic
Count large fill clusters over a rolling window. Enter when both size and direction align with the configured cluster threshold. Exit after a fixed window, reversal signal, or price giveback.
Nautilus strategy shape
- Keep a rolling median of recent fill sizes.
- Tag a fill as large when size exceeds a multiplier of the median.
- Track clusters of large fills by direction and time window.
- Enter after a minimum cluster size and directional confirmation.
- Exit on fixed holding duration, reverse cluster, or price retrace.
Example strategyConfig
{
"size_window_ticks": 80,
"large_fill_multiple": 3.0,
"cluster_ticks": 12,
"min_cluster_count": 3,
"order_size": 10,
"exit_after_ticks": 40
}
Iteration knobs
| Knob | Effect |
|---|---|
large_fill_multiple |
Higher = only react to more unusual fills. |
cluster_ticks |
Lower = require tighter timing between fills. |
min_cluster_count |
Higher = fewer, higher-confidence entries. |
exit_after_ticks |
Lower = shorter reaction window. |
Failure modes
- A one-off large fill may be risk transfer or hedge activity, not directional pressure.
- Fill size does not equal resting-likelihood in live execution.
- One market can show repeated prints during low liquidity and still revert immediately.
- Backtest quality can degrade if fill data coverage is noisy or sparse.
User-facing framing
"This is a filled-trade pressure archetype. It uses exact slugs and TradeTick backtests to shape a custom Nautilus strategy, not to promise profit."
Version History
-
d6f188f
Current 2026-09-08 20:00
将获取市场数据的 API 从 POST /v3/markets/search 迁移至 GET /context/markets?venue=polymarket
- 9333090 2026-08-16 16:12
