Market Making#066

Toxic-Flow Detection & Quote Pull

As a market maker, you score the incoming orders hitting your quotes for how 'toxic' they are, meaning how often they're followed by a sharp move against you (using post-trade markouts, the aggressor's wallet history, and bursty patterns). When toxicity spikes, you pull or widen your quotes for a moment, then re-engage once the flow calms down. The edge is dodging informed or insider traders who would otherwise pick you off.

What you need to run it

Per-fill markout (post-trade price) computation
On-chain aggressor wallet labeling/history DB
Real-time toxicity classifier with quote-pull trigger
Fast cancel infra

Where this applies

Markets on Polymarket where toxic-flow detection & quote pull is the natural play:

Will the US strike Iranian nuclear sites before Oct 2026?
Will the Supreme Court rule on the case before its term ends in 2027?
Will a frontier AI lab release a new model before Sept 15, 2026?

Capabilities this demands

Model / quantOn-chain / walletCustom code / APIRisk management

At a glance

CategoryMarket Making

Requirements4

CapabilitiesModel / quant, On-chain / wallet, Custom code / API, Risk management

VenuePolymarket (CLOB, Polygon)

Build it

Related market making 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.