jeremylongshore Liquidity Forecaster
Predicts future orderbook depth and bid-ask spreads using historical market data and TimeGPT.
Overview
This skill analyzes historical trade data and orderbook snapshots from Polymarket to forecast liquidity conditions. It predicts near-term changes in orderbook depth and bid-ask spreads, helping determine optimal trade execution timing. The workflow fetches data via Polymarket API, preprocesses it for TimeGPT compatibility, and generates forecasts with visualizations and reports.
When to use: Determining optimal trade execution timing based on expected liquidity conditions, predicting orderbook depth changes, estimating bid-ask spread evolution.
Trigger phrases: "forecast liquidity", "predict orderbook depth", "estimate spread changes", "analyze market liquidity", "forecast trading conditions".
Prerequisites
Required environment variables:
NIXTLA_TIMEGPT_API_KEY- Your Nixtla TimeGPT API key
Python packages:
pip install nixtla pandas requests matplotlib
Required tools: Read, Write, Bash, Glob, Grep, WebFetch
Minimum Python version: 3.8+
Instructions
Step 1: Fetch orderbook data
Fetch historical orderbook data from Polymarket API using the market ID. The script retrieves bids and asks, combines them into a single dataset, and saves to CSV format.
Script: {baseDir}/scripts/fetch_data.py
Usage:
python {baseDir}/scripts/fetch_data.py --market_id <MARKET_ID> [--output orderbook_data.csv]
Parameters:
--market_id(required): Polymarket market identifier--output(optional): Output CSV file path (default: orderbook_data.csv)
Output: Raw orderbook data CSV with columns: price, quantity, side
Step 2: Preprocess data
Clean and format orderbook data for TimeGPT input. The script calculates mid-price, spread, and depth metrics, then formats the data according to Nixtla's schema requirements.
Script: {baseDir}/scripts/preprocess_data.py
Usage:
python {baseDir}/scripts/preprocess_data.py --input_file orderbook_data.csv [--output preprocessed_data.csv]
Parameters:
--input_file(required): Path to raw orderbook CSV from Step 1--output(optional): Output CSV file path (default: preprocessed_data.csv)
Output: Preprocessed data CSV with Nixtla format (unique_id, ds, y, spread, depth)
Step 3: Execute forecast
Run TimeGPT forecast on preprocessed data. The script generates predictions for the specified horizon, creates visualizations, and produces a summary report.
Script: {baseDir}/scripts/forecast_liquidity.py
Usage:
python {baseDir}/scripts/forecast_liquidity.py --input_file preprocessed_data.csv --horizon <PERIODS> [--output depth_forecast.csv] [--plot_prefix depth]
Parameters:
--input_file(required): Path to preprocessed CSV from Step 2--horizon(required): Number of periods to forecast--output(optional): Output forecast CSV path (default: depth_forecast.csv)--plot_prefix(optional): Prefix for plot filename (default: depth)
Output:
- Forecast CSV with predicted values
- PNG plot showing historical data and forecast
- Text report summarizing the forecasting process
Step 4: Interpret results
Review the generated outputs to understand predicted liquidity conditions. The forecast CSV contains time-indexed predictions, the plot visualizes trends, and the report provides metadata about the forecasting run.
Output
Generated files:
depth_forecast.csv- Time-series predictions for orderbook depth and mid-pricedepth_forecast.png- Visualization showing historical data and forecast overlayreport.txt- Summary report with market ID, horizon, and output file paths
CSV format: Columns include unique_id, ds (timestamp), y (predicted mid-price), and optional spread/depth metrics.
Error Handling
Invalid Polymarket Market ID Cause: Market ID not recognized by Polymarket API Solution: Verify the market ID at https://polymarket.com or check API documentation
TimeGPT API Key missing
Cause: NIXTLA_TIMEGPT_API_KEY environment variable not set
Solution: Export your API key: export NIXTLA_TIMEGPT_API_KEY=your_key_here
Insufficient data from Polymarket API Cause: Empty or incomplete orderbook data for the specified market Solution: Check data availability for the market ID, try a different market, or verify API endpoint
TimeGPT forecast failed Cause: Input data format issues or API connection problems Solution: Verify preprocessed data has required columns (unique_id, ds, y), check API status, ensure data types are correct
Missing required columns Cause: Raw orderbook data lacks price, quantity, or side columns Solution: Verify Polymarket API response structure matches expected format, check for API changes
Examples
Example 1: Forecast depth for presidential election market
Predict orderbook depth 6 periods ahead for a political prediction market.
Commands:
python {baseDir}/scripts/fetch_data.py --market_id trump_election_2024
python {baseDir}/scripts/preprocess_data.py --input_file orderbook_data.csv
python {baseDir}/scripts/forecast_liquidity.py --input_file preprocessed_data.csv --horizon 6
Expected output: depth_forecast.csv with 6 forecasted depth values, plot showing trend, summary report.
Example 2: Forecast spread for cryptocurrency market
Predict bid-ask spread 24 periods ahead for an Ethereum price prediction market.
Commands:
python {baseDir}/scripts/fetch_data.py --market_id eth_price_3000 --output eth_orderbook.csv
python {baseDir}/scripts/preprocess_data.py --input_file eth_orderbook.csv --output eth_preprocessed.csv
python {baseDir}/scripts/forecast_liquidity.py --input_file eth_preprocessed.csv --horizon 24 --output eth_spread_forecast.csv --plot_prefix eth_spread
Expected output: eth_spread_forecast.csv with 24 forecasted values, plot named eth_spread_forecast.png, summary report.
Example 3: Quick workflow for sports outcome market
End-to-end workflow for a sports prediction market using default file names.
Commands:
python {baseDir}/scripts/fetch_data.py --market_id superbowl_winner_2025
python {baseDir}/scripts/preprocess_data.py --input_file orderbook_data.csv
python {baseDir}/scripts/forecast_liquidity.py --input_file preprocessed_data.csv --horizon 12
Expected output: Standard output files (depth_forecast.csv, depth_forecast.png, report.txt) with 12-period forecast.
Resources
Nixtla documentation:
- TimeGPT API reference: https://docs.nixtla.io/
- Data format requirements: https://docs.nixtla.io/docs/tutorials-forecasting_with_timegpt
Polymarket API:
- API documentation: https://docs.polymarket.com/
- Market explorer: https://polymarket.com/markets
Related skills:
nixtla-timegpt-lab- General TimeGPT forecasting workflowsnixtla-schema-mapper- Data format transformation utilities