A Buy in the Data, a Sell in the Model

On 17 July 2026, a trader bought 115.07 shares on Polymarket for 22 cents each. Both the public trade record and the on-chain settlement recorded it as a buy. Lee-Ready, a standard algorithm used in financial research, got it backwards and treated the purchase as a sale, overstating its full effective spread by four cents per share. We examine this trade in our new paper, Measuring Trade Direction in a Prediction Market, a follow-up to our earlier study of Polymarket’s order book. We wanted to know how reliably we could tell whether a buyer or seller started a trade, and how much a wrong answer would change the estimated cost. We downloaded almost two terabytes of historical Polymarket data for this study: about 1.8 TB of archived order-book messages. The archive covers 171 days, from 21 February to 10 August 2026 (data availability). Our earlier archive saved changes in orders waiting to be filled, but not the trade messages themselves. We tried working out who had bought or sold…