How lechatonfat Works: TWAP Fair Value + Confirmation Pyramiding on Polymarket 15m Markets

GitHub Repo: https://github.com/lechatonfat97/lechatonfat-trading-system

Public profile: polymarket.com/@lechatonfat

Proxy wallet: 0x9629804e001a60ebe8a289a334ccf2e5553aee15

This account runs a fully automated directional system on Polymarket’s crypto Up/Down 15-minute markets (mainly BTC, with ETH and SOL support).

The core of the strategy is built around the official Chainlink TWAP that Polymarket uses for settlement.

1. The Signal: Chainlink TWAP Fair Value

Instead of using a single price snapshot or a simple CEX mid, the bot streams the real Polymarket RTDS Chainlink TWAP (30-second and 60-second windows).

At the start of every 15-minute slot it records:

• twap_ref → the TWAP value at the exact moment the window opens

Throughout the window it continuously receives:

• twap_now → the live updating TWAP

It then converts the difference between twap_now and twap_ref (plus a short momentum term) into a fair probability:

fair_p_up = f(twap_now − twap_ref, short TWAP momentum)

This fair value is recomputed on every new TWAP tick. If the feed becomes stale, the bot simply skips the window instead of trading on old data.

Because the signal uses the same oracle family that Polymarket settles on, the model stays aligned with actual resolution.

2. Entry Logic: Buy the Underpriced Side

Once the fair probability is known, the bot looks at the live CLOB price of the Up and Down tokens.

It only enters when the market is underpricing one side relative to its own fair value.

In practice this often means buying the side that is still trading below ~0.50 rather than chasing the favorite at 0.65–0.70.

Typical observed behavior from public data:

• Average entry price around 0.46
• Breakeven win rate at that price ≈ 46%
• Realized share-weighted win rate ≈ 50%
• → Roughly +4 percentage points of edge before incentives

The model does not need large probability gaps. It only needs a small, consistent edge that can be repeated across many windows.

3. Confirmation Pyramiding (How Size Is Added)

This is the second key part of the strategy.

The bot starts with a small initial taker clip. It does not average down on a timer.

Additional size is only added when the market confirms the thesis:

• Short-term price action moves in favor of the held side, or
• The model edge increases

If the price moves against the position, the bot simply stops adding capital.

This creates a useful asymmetry:

• Winning windows receive significantly more size
• Losing windows stay smaller

Public sample data showed average stake on winning windows was roughly 2× the stake on losing windows. That positive skew is a major reason the system stays profitable even though the raw window win rate is close to 50%.

4. Full Control Loop

Here is the simplified decision flow for every 15-minute slot:

1. Slot opens → pin TWAP reference (twap_ref)
2. Continuously stream live TWAP (twap_now)
3. Compute fair_p_up on every tick
4. Compare fair value vs live CLOB price
5. If edge > threshold → buy the underpriced leg (initial clip)
6. While window is still open:
      - If price confirms the thesis → pyramid more size
      - If price moves against → stop adding
7. Hold until resolution → redeem winners
8. Collect taker rebates + volume rewards
9. Sweep excess balance off the hot wallet

5. Execution Style Summary

Component	Behavior
Markets	BTC / ETH / SOL 15m Up/Down
Signal	Chainlink TWAP (RTDS) fair value
Entry	Taker FOK on the underpriced side
Sizing	Confirmation pyramiding only
Exit	Almost pure hold-to-resolution
Capital management	Continuous profit sweep

Why This Approach Works

1. Oracle alignment — Fair value is built from the same TWAP Polymarket uses for settlement.
2. Low latency — Signal updates on every TWAP tick instead of slow REST polls.
3. Small but real edge — ~4 pp is enough when repeated across dozens of windows per day.
4. Risk shaping — Confirmation pyramiding creates positive skew without needing perfect directional accuracy.
5. Incentive awareness — Taker rebates and volume rewards are treated as part of the edge calculation, not free money after the fact.

The system is intentionally simple in concept but carefully engineered in the details (clock sync, signal freshness, idempotent orders, and path-dependent sizing).

You can find the full documentation, architecture notes, and source overview here:

→ https://github.com/lechatonfat97/lechatonfat-trading-system

If you have more questions, please feel free to contact me at any time: https://t.me/abrownfox001

My Polymarket Activity: https://polymarket.com/@abrownfox001?tab=activity

#Polymarket #TWAP #Chainlink #TradingBot #lechatonfat #PredictionMarkets #CryptoTrading