fix(polymarket): publish final batched book state

[proerror77]

Summary

• apply every Polymarket price_change entry before publishing a quote
• publish one final quote per token and reject a still-crossed final book so the feed reconnects from a fresh snapshot
• add regression coverage for transient and final crossed batches

Validation

• cargo test -p ploy-market-data --features live --locked feeds::tests::clob_ -- --nocapture
• cargo test -p ploy-market-data --features live --locked
• cargo fmt --all -- --check
• git diff --check

Summary by CodeRabbit

• Bug Fixes

  • Improved Polymarket price update processing to publish only the final state from each batch.
  • Prevented stale or invalid crossed order books from being published.
  • Added fallback handling when a fresh snapshot is available after an invalid update batch.

• Documentation

  • Marked batch coalescing for Polymarket price changes as completed.

[coderabbitai]

No actionable comments were generated in the recent review. 🎉

ℹ️ Recent review info

⚙️ Run configuration

Configuration used: defaults

Review profile: CHILL

Plan: Pro

Run ID: 8a468313-2712-4f59-9f6d-e6e4b35f810d

📥 Commits

Reviewing files that changed from the base of the PR and between 9885261 and 846fee2.

📒 Files selected for processing (2)

• products/ploy/crates/ploy-market-data/src/feeds.rs
• products/ploy/tasks/todo.md

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📝 Walkthrough

Walkthrough

Polymarket CLOB price-change batches now coalesce fresh deltas before publishing quotes, validate final books for crossed prices, and propagate errors. Tests cover final-state publication, crossed books, stale updates, and the updated Result API.

Changes

Polymarket batch coalescing

Layer / File(s)	Summary
Batch processing and error propagation products/ploy/crates/ploy-market-data/src/feeds.rs	Price-change batches apply fresh deltas to cached books, publish only final states for changed tokens, reject crossed books, and propagate errors through WebSocket handling.
Batch behavior validation and task tracking products/ploy/crates/ploy-market-data/src/feeds.rs, products/ploy/tasks/todo.md	Tests cover seeded books, final-state publication, crossed batches, stale updates, and the updated Result API; the task list records batch coalescing.

Estimated code review effort: 3 (Moderate) | ~20 minutes

Sequence Diagram(s)

sequenceDiagram
  participant WebSocketHandler
  participant BatchProcessor
  participant CachedBook
  participant QuotePublisher
  WebSocketHandler->>BatchProcessor: Forward PriceChange batch
  BatchProcessor->>CachedBook: Apply fresh deltas
  CachedBook-->>BatchProcessor: Final changed book states
  BatchProcessor->>QuotePublisher: Publish validated quote updates
  BatchProcessor-->>WebSocketHandler: Return updates or crossed-book error

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🚥 Pre-merge checks | ✅ 5

✅ Passed checks (5 passed)

Check name	Status	Explanation
Description Check	✅ Passed	Check skipped - CodeRabbit’s high-level summary is enabled.
Title check	✅ Passed	The title clearly matches the main change: publishing only the final batched Polymarket book state.
Docstring Coverage	✅ Passed	No functions found in the changed files to evaluate docstring coverage. Skipping docstring coverage check.
Linked Issues check	✅ Passed	Check skipped because no linked issues were found for this pull request.
Out of Scope Changes check	✅ Passed	Check skipped because no linked issues were found for this pull request.

✨ Finishing Touches

📝 Generate docstrings

• Create stacked PR
• Commit on current branch

🧪 Generate unit tests (beta)

• Create PR with unit tests
• Commit unit tests in branch codex/fix-polymarket-crossed-batches

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[chatgpt-codex-connector]

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[chatgpt-codex-connector]

Preserve both top-of-book sizes while coalescing batches

When a price_change batch arrives before a Book snapshot has initialized ClobBookState (or immediately after reconnect), apply leaves the book empty and quote can only recover sizes from the single entry passed here. Because last_entries.insert overwrites earlier entries for the same token, a batch that updates the bid and then the ask publishes only the last side's size; the previous per-entry flow let the executor observe and carry both sides. This leaves strategies/backtests with missing or stale liquidity until a full book snapshot arrives, so the coalescing needs to retain per-token top bid and ask size metadata, not just the last entry.

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