Tick size is the smallest price increment an order can be placed at. Polymarket order books quote on a tenth-of-a-cent grid — $0.001 — across a range of roughly $0.001 to $0.999, not on whole cents. Rounding prices to cents corrupts quotes near the extremes of the range.
This one bites in a specific place: at the tails. A market trading at $0.004 has plenty of meaningful price levels below a cent, and code that rounds to two decimal places collapses all of them to $0.00 — which is both wrong and, if it is driving orders, dangerous.
The grid also caps how tight a spread can physically get, which sets a floor under market-making revenue per round trip.
This is a PR&R finding from working with the raw archives rather than something the public documentation emphasises.
Rounding prices to two decimal places. Polymarket books quote on a $0.001 grid, so cent-rounding collapses every meaningful level below one cent to zero, which corrupts extreme quotes and, if it is driving orders, sends nonsense to the exchange.
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