Polymarket P&L Substreams

Polymarket P&L

Real-time Profit & Loss tracking for Polymarket prediction markets on Polygon

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Per-wallet positions, average-cost basis, realized and unrealized P&L, volume, fees, win rate, resolutions, redemptions and Protocol V2 migrations for Polymarket on Polygon. It covers CLOB v1, CLOB v2 and Protocol V2 (ExchangeV3 + PositionManager, pUSD collateral).

What's new in v2.0.1 (breaking)

Area	v1.x	v2.0.1
Fills	map_order_fills produced no fills: its blockFilter joined terms with OR (the index query language uses ||) and used checksummed addresses (index keys are lowercase)	map_events uses a lowercase, ||-joined filter. All five exchanges, including ExchangeV3 0xe3333700…
Positions	TransferSingle from any ERC-1155 contract	TransferSingle and TransferBatch, only from Conditional Tokens 0x4D97… and PositionManager 0x006F54F7…
Collateral	USDC.e	USDC.e and pUSD (map_collateral_transfers)
Cost basis	none (avg price = last fill)	Average buy cost per (wallet, token), including splits. Realized P&L on sells, merges and redemptions
Stats	volume / win rate / first trade not tracked	volume, fees, trades, win/loss counts, win_rate, largest win/loss, first/last trade
New events	–	FeeCharged, CTF ConditionResolution, V2 ConditionResolved, UMA v3.1/v2 QuestionResolved, CTF PayoutRedemption, V2 PositionRedeemed, AutoRedeemer redemptions, V2 PositionMigrated (carries cost basis to the new position)
Ordering	HashSet (non-deterministic)	BTreeSet/BTreeMap (deterministic)
Excluded addresses	2	All Polymarket protocol contracts (exchanges, ledgers, modules, adapters, router, AutoRedeemer, UMA v3.1)

Migrating from v1

• Proto package is now pnl.v2. Module names changed: map_order_fills, map_token_transfers, map_usdc_transfers and the seven old stores become map_events, map_collateral_transfers, store_position_totals, map_migration_carry, store_migration_carry, map_realized, store_pnl_totals, store_pnl_max, store_pnl_min and store_latest_prices. map_user_pnl, map_market_stats and db_out keep their names, with new outputs.
• The SQL schema is new. Create a fresh database (or drop the old tables) and run substreams-sink-sql setup again. Amounts are now raw 6-decimal base units (divide by 1e6). trades.amount is replaced by shares / collateral / fee.
• New tables: fees, resolutions, redemptions, migrations. New views: v_user_positions_live, v_user_pnl_live (unrealized P&L at the latest traded price).

Quick start

substreams run polymarket-pnl@v2.0.1 map_events -s -1000 -t 0 -e polygon.streamingfast.io:443
substreams run polymarket-pnl@v2.0.1 map_user_pnl -s -1000 -t 0 -e polygon.streamingfast.io:443

# Postgres (needed for full-history P&L)
substreams-sink-sql setup "psql://user:pass@localhost:5432/pnl?sslmode=disable" polymarket-pnl@v2.0.1
substreams-sink-sql run   "psql://user:pass@localhost:5432/pnl?sslmode=disable" polymarket-pnl@v2.0.1

-- leaderboard (USD)
SELECT user_address, realized_pnl/1e6 AS realized, unrealized_pnl/1e6 AS unrealized, total_pnl/1e6 AS total,
       total_volume/1e6 AS volume, win_rate
FROM v_user_pnl_live ORDER BY total_pnl DESC LIMIT 50;

Modules

sf.ethereum.type.v2.Block
 ├─ map_events ─────────────┬─ store_position_totals ─ map_migration_carry ─ store_migration_carry
 │                          ├─ map_realized ─┬─ store_pnl_totals / store_pnl_max / store_pnl_min
 │                          ├─ store_latest_prices
 │                          ├─ map_user_pnl ─┐
 │                          ├─ map_market_stats ─┤
 │                          └────────────────────┴─ db_out
 └─ map_collateral_transfers

All modules start at block 33,605,403. The block filters use ethcommon:index_events.

P&L methodology

• Fill attribution. Each OrderFilled belongs to its maker (the order owner). The taker order's own fill has the exchange as taker, so every participant is counted exactly once. From Polymarket ctf-exchange / ctf-exchange-v2 Trading.sol:
  • v1: the owner receives taking − fee (shares on a BUY, collateral on a SELL).
  • v2 and V3: the fee is collateral. A BUY pays makerAmountFilled + fee; a SELL receives takerAmountFilled − fee.
• Average cost per (wallet, token) = cumulative buy collateral ÷ cumulative bought shares. Buys include binary splits made by the wallet, priced at collateral ÷ minted shares. This is the average over all buys, not reduced by sells, and it equals standard average cost when buys precede sells.
• Realized P&L = proceeds − shares × average cost, on every sell, merge and redemption. A realizing event with P&L > 0 is a win, < 0 is a loss. win_rate = wins ÷ (wins + losses).
• Unrealized P&L = held quantity × (last fill price − average cost). The views recompute it at each token's latest price.
• Volume per wallet = collateral of its own fills. Market volume counts each match once.

Known limitations

• Stores within a block are read after the whole block is applied: a sell in the same block as a later buy uses the end-of-block average.
• CTF PayoutRedemption reports one payout per condition. It is split across the burned tokens pro rata to amount. V2 PositionRedeemed is exact per position.
• When a contract pulls tokens and redeems them in one tx, the redemption is attributed to the sender of those tokens. Contracts that hold tokens across transactions (for example the undocumented 0xf3cfb6a6…) appear as their own wallet.
• Splits and merges are counted only for the part the stakeholder keeps (or brought in) within the tx, so routers and adapters net to zero. Adapter-level conversions (NegRiskAdapter convert, collateral adapters) are not priced.
• Combinatorial-market lifecycle events and NegRiskAdapter-specific redemptions are not decoded. UMA QuestionResolved is only read from the documented v3.1 / v2 adapters; CTF ConditionResolution is the canonical resolution.
• Balances start at block 33,605,403. Positions opened earlier have quantity but no cost basis.

Contract addresses

From https://docs.polymarket.com/resources/contracts. The v1 exchanges come from github.com/Polymarket/ctf-exchange. All of them are in src/addresses.rs.

Contract	Address
CTF Exchange v1 / Neg Risk Exchange v1	0x4bfb41d5b3570defd03c39a9a4d8de6bd8b8982e / 0xC5d563A36AE78145C45a50134d48A1215220f80a
CTF Exchange v2 / Neg Risk Exchange v2	0xE111180000d2663C0091e4f400237545B87B996B / 0xe2222d279d744050d28e00520010520000310F59
ExchangeV3 (Protocol V2)	0xe3333700cA9d93003F00f0F71f8515005F6c00Aa
Conditional Tokens / PositionManager	0x4D97DCd97eC945f40cF65F87097ACe5EA0476045 / 0x006F54F7F9A22e0000CC2Ab60031000000aE9FEF
pUSD / USDC.e	0xC011a7E12a19f7B1f670d46F03B03f3342E82DFB / 0x2791Bca1f2de4661ED88A30C99A7a9449Aa84174
BinaryModule / NegRiskModule / CombinatorialModule	0x1000008dD9001B968442c1000017eaE6E0dA00Ba / 0x200000900045e3B6259600682756002200028933 / 0x30000034706C7d8e12009DAB006Be20000c031A8
AutoRedeemer / Router	0xa1200000d0002264C9a1698e001292D00E1b00af / 0x12121212006e4CD160D18e3f00711DA5c3372600
UmaCtfAdapter v3.1 / v2	0x157Ce2d672854c848c9b79C49a8Cc6cc89176a49 / 0x6A9D222616C90FcA5754cd1333cFD9b7fb6a4F74

Build

substreams build          # CLI >= 1.25; src/pb is generated (buffa)
cargo test --lib          # unit tests: fill/fee semantics, TransferBatch, cost basis, formatting

License

MIT