large-fill-pressure

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