Quantitative#121

Liquidity-Adjusted Position Limits

This is a position-limit rule, not a trade signal. Cap each position at a function of that market's order-book depth and recent volume (for example, max size = k times the depth within 3 cents of the mid), so your exit slippage stays bounded and no position can trap capital in a thin market. The benefit is avoiding the classic prediction-market mistake of taking size you can't unwind without crushing the price.

What you need to run it

Live order-book depth + volume snapshots
Slippage/impact model from depth
Per-market size cap formula
Pre-trade limit check in execution path

Where this applies

Markets on Polymarket where liquidity-adjusted position limits is the natural play:

Will a US recession be declared in 2026? (thin, slow-moving market)
Will SOL close above $400 on September 30, 2026? (illiquid long-shot threshold)
Who will win the 2027 Academy Award for Best Picture? (thin multi-candidate legs)

Capabilities this demands

Data ingestionRisk managementModel / quantCustom code / API

At a glance

CategoryQuantitative

Requirements4

CapabilitiesData ingestion, Risk management, Model / quant, Custom code / API

VenuePolymarket (CLOB, Polygon)

Build it

Related quantitative strategies

This is documentation, not advice. Poly Research & Robotics publishes how these strategies work because the method should be checkable — not as a recommendation to trade them. See the full strategy database (147 strategies) or the data resources directory.