“a small classification error can have a large economic consequence”
Dubach validates the side reported on Polymarket's trade prints against the taker leg of each print's on-chain settlement. Across twelve days spanning both exchange generations, 92.1% to 100% of prints match a settled taker leg, and side and token agree on all 24.5 million matched pairs. But accuracy is not economic reliability: on 16.4 million identical fills, Lee-Ready direction raises effective spread by 0.429 cents per share, while tick and bulk-volume classifications can flip the sign of five-minute midpoint impact.
Extensive technical background assumed
Platforms mentioned: Polymarket